What changed in this filing

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Item 1. Financial Statements

2026-04-24 compared with 2025-10-24 · 422 added, 524 removed, 1012 unchanged (48% 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 $ 11,259,049 and $ 10,502,743 , respectively)

10 unchanged sentences

Derivative assets

Reverse repurchase agreements

358,740 128,613

Receivable for investment securities and TBA transactions

$ 12,671,391 $ 11,675,993

LIABILITIES AND STOCKHOLDERS' EQUITY

1 unchanged sentence

$ 10,864,723 $ 10,115,466

Payable for investment securities and TBA transactions

Dividends payable

23,629 21,865

Derivative liabilities

2 unchanged sentences

Due to affiliates

Obligation to return securities borrowed under reverse repurchase agreements, at fair value

359,202 128,724

Other liabilities

5 unchanged sentences

20,000,000 shares authorized;

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

no shares issued and outstanding as of March 31, 2026 and December 31, 2025

Common Stock, $ 0.01 par value;

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

400,000,000 shares authorized, 196,700,226 shares issued and outstanding as of March 31, 2026 and 181,985,900 shares issued and outstanding as of December 31, 2025

Additional paid-in capital

9 unchanged sentences

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME

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

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

For the Three Months Ended March 31, 2026 and 2025

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Interest income

$ 157,838 $ 81,090

Interest expense

Net interest income (expense)

Realized (losses) gains on mortgage-backed securities

Unrealized gains on mortgage-backed securities

Losses on derivative and other hedging instruments

Net portfolio income

( 100,775 ) ( 61,377 )

Net interest income

57,063 19,713

Realized gains (losses) on mortgage-backed securities

Unrealized (losses) gains on mortgage-backed securities

( 115,968 ) 77,592

Gains (losses) on derivative and other hedging instruments

46,308 ( 74,659 )

Net portfolio (loss) income

( 12,558 ) 21,348

Management fees

1 unchanged sentence

Incentive compensation

1,415 ( 207 )

Directors' fees and liability insurance

3 unchanged sentences

Total expenses

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

Net (loss) income

$ ( 19,955 ) $ 17,122

Unrealized (losses) gains on U.S.

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

Comprehensive net (loss) income

$ ( 20,234 ) $ 17,372

Basic and diluted net (loss) income per share

$ ( 0.11 ) $ 0.18

Weighted Average Shares Outstanding

189,259,574 95,174,719

See Notes to Financial Statements

1 unchanged sentence

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

For the Nine Months Ended September 30, 2025 and 2024

For the Three Months Ended March 31, 2026 and 2025

(in thousands)

1 unchanged sentence

Balances, January 1, 2026

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, March 31, 2025

181,986 $ 1,820 $ 1,553,451 $ ( 183,741 ) $ 418 $ 1,371,948

- - - ( 19,955 ) - ( 19,955 )

Unrealized loss 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, June 30, 2025

Unrealized gain on available-for-sale securities

- - - - ( 279 ) ( 279 )

Cash dividends declared ($ 0.36 per share)

- - ( 68,977 ) - - ( 68,977 )

Stock based awards and amortization

155 2 1,302 - - 1,304

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)

14,559 145 107,622 - - 107,767

Balances, March 31, 2026

196,700 $ 1,967 $ 1,593,398 $ ( 203,696 ) $ 139 $ 1,391,808

Comprehensive

Balances, January 1, 2025

Unrealized loss 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, March 31, 2024

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, June 30, 2024

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

Shares repurchased and retired

Balances, September 30, 2024

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

Balances, March 31, 2025

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

See Notes to Financial Statements

1 unchanged sentence

CONDENSED STATEMENTS OF CASH FLOWS

For the Nine Months Ended September 30, 2025 and 2024

For the Three Months Ended March 31, 2026 and 2025

($ in thousands)

CASH FLOWS FROM OPERATING ACTIVITIES:

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

Net (loss) income

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

Stock based compensation

1 unchanged sentence

Treasury securities

Realized losses (gains) on mortgage-backed securities

Unrealized gains on mortgage-backed securities

Realized and unrealized losses on derivative instruments

Realized (gains) losses on mortgage-backed securities

Unrealized losses (gains) on mortgage-backed securities

Realized and unrealized (gains) losses on derivative instruments

Changes in operating assets and liabilities:

12 unchanged sentences

Treasury securities, available-for-sale

Net payments on derivative instruments

Net payments on reverse repurchase agreements

Net proceeds from (payments on) derivative instruments

NET CASH USED IN INVESTING ACTIVITIES

14 unchanged sentences

NOTES TO CONDENSED FINANCIAL STATEMENTS

September 30, 2025

March 31, 2026

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 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 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 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 .

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 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 the Company’s common stock in transactions that were 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 .

The Company 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.

On October 27, 2025, Orchid entered into an equity distribution agreement (the “October 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 $ 500,000,000 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.

From inception through March 31, 2026 , t he Company issued a total of 44,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 332.7 million, and net proceeds of approximately $ 327.5 million, after commissions and fees.

For the three months ended March 31, 2026 , t he Company issued a total of 14,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 109.5 million, and net proceeds of approximately $ 107.8 million, after commissions and fees.

Subsequent to March 31, 2026 , t he Company issued a total of 4,000,000 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 28.2 million, and net proceeds of approximately $ 27.8 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 interim periods presented are not necessarily indicative of the results that may be expected for the year ending December 31, 2025 .

Operating results for the three -month period ended March 31, 2026 are not necessarily indicative of the results that may be expected for the year ending December 31, 2026 .

The balance sheet at December 31, 2025 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 September 30, 2025 .

Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of March 31, 2026 .

Variable Interest Entities ( “ VIEs ” )

9 unchanged sentences

(in thousands)

September 30, 2025

March 31, 2026

December 31, 2025

22 unchanged sentences

The Company has designated its U.S.

Treasury securities purchased after August 2023 as available-for-sale, and changes in fair value during the period for reasons other than expected credit losses are recognized in other comprehensive income.

The Company records securities transactions on the trade date.

7 unchanged sentences

Premiums or discounts present at the date of purchase are not amortized.

Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income.

Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income (loss).

For IO securities, the income is accrued based on the carrying value and the effective yield.

4 unchanged sentences

Treasury securities is based on the stated interest rate (if any) of the security.

Premiums or discounts associated with the purchase are amortized or accreted income over the life of the investment and reported in the statements of comprehensive income as interest income.

Premiums or discounts associated with the purchase are amortized or accreted income over the life of the investment and reported in the statements of comprehensive income (loss) as interest income.

Changes in fair value of investments for which the fair value option is elected are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities and U.S.

Treasury securities in the accompanying statements of comprehensive income.

Realized gains and losses on sales of investments for which the fair value option has been elected, using the specific identification method, are reported as a separate component of net portfolio income on the statements of comprehensive income.

Treasury securities in the accompanying statements of comprehensive income (loss).

Changes in fair value of U.S.

Treasury securities that are classified as available-for-sale are reported in accumulated other comprehensive income ("OCI").

Treasury securities that are classified as available-for-sale are reported in accumulated other comprehensive income (loss) ("OCI").

Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method.

7 unchanged sentences

The Company accounts for TBA securities as derivative instruments.

Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of comprehensive income.

Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of comprehensive income (loss).

The Company enters into short-sales of U.S.

Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market.

The Company accounts for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying balance sheets based on the value of the underlying U.S.

Treasury security as of the reporting date.

Gains and losses associated with U.S.

Treasury security short positions are recognized in gain (loss) on derivative instruments, net in our statements of comprehensive income (loss).

Derivative and other hedging instruments are carried at fair value, and changes in fair value are recorded in income as gains or losses on derivative and other hedging instruments for each period.

13 unchanged sentences

Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Reverse Repurchase Agreements and Obligations to Return Securities Borrowed under Reverse Repurchase Agreements

The Company borrows securities to cover short sales of U.S.

Treasury securities through reverse repurchase transactions under our master repurchase agreements.

We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date.

The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties.

Our reverse repurchase agreements typically have maturities of 30 days or less.

Manager Compensation

22 unchanged sentences

Recent Accounting Pronouncements

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

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

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

Disaggregation of Income Statement Expenses ".

The amendments in the ASU require disclosures about specific types of expenses included in the expense captions presented on the Consolidated Statements of Income, as well as disclosures about selling expenses.

ASU 2024 - 03 is effective for fiscal years beginning after December 15, 2026, with early adoption allowed.

The amendments in the ASU require disclosures about specific types of expenses included in the expense captions presented on the Statements of Income, as well as disclosures about selling expenses.

ASU 2024 - 03 is effective for fiscal years beginning after December 15, 2026.

We are currently evaluating the impact of adoption on our financial disclosures.

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 September 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 March 31, 2026 and December 31, 2025 :

(in thousands)

September 30, 2025

March 31, 2026

December 31, 2025

Pass-Through RMBS Certificates:

Fixed-rate Mortgages

Total Pass-Through Certificates

Structured RMBS Certificates:

Interest-Only Securities (2)

Inverse Interest-Only Securities (3)

Total Structured RMBS Certificates

Fixed-rate RMBS

$ 11,161,389 $ 11,376,248 $ 11,326,089 $ 10,345,029 $ 10,558,236 $ 10,615,570

Other(2)(3)(4)

15,467 12,452 16,103 13,088

$ 11,161,389 $ 11,391,715 $ 11,338,541 $ 10,345,029 $ 10,574,339 $ 10,628,658

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 $ 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 .

( 2 ) Other securities are comprised of interest-only and inverse interest-only securities.

The notional balance for the interest-only securities portfolio was $ 70.6 million and $ 72.9 million as of March 31, 2026 and December 31, 2025 , respectively.

The notional balance for the inverse interest-only securities portfolio was $ 15.2 million and $ 17.7 million as of March 31, 2026 and December 31, 2025 , respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the three months ended March 31, 2026 and 2025 .

(in thousands)

Nine Months Ended September 30,

Three Months Ended March 31,

Proceeds from sales of RMBS

$ 25,006 $ 168,634

Carrying value of RMBS sold

Net (loss) gain on sales of RMBS

( 24,967 ) ( 169,932 )

Net gain (loss) on sales of RMBS

$ 39 $ ( 1,298 )

Gross gain on sales of RMBS

Gross loss on sales of RMBS

Net (loss) gain on sales of 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.

No gain or loss was recorded on this resecuritization.

Net gain (loss) on sales of RMBS

$ 39 $ ( 1,298 )

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 September 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 March 31, 2026 and December 31, 2025 .

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

(in thousands)

September 30, 2025

March 31, 2026

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

Treasury Bill maturing 12/4/2025

$ 100,068 $ 162 $ - $ 100,230

Treasury Note, 0.75%, 5/31/2026 Maturity

34,832 - ( 4 ) 34,828

Treasury Note, 4.125%, 10/31/2026 Maturity

20,056 - ( 19 ) 20,037

$ 154,956 $ 162 $ ( 23 ) $ 155,095

December 31, 2025

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

$ 100,136 $ 395 $ - $ 100,531

Treasury Note, 0.75%, 5/31/2026 Maturity

34,579 $ 23 $ 34,602

$ 134,715 $ 418 $ - $ 135,133

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

government, the Company has not recorded an allowance for credit losses.

REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS

Repurchase Agreements

2 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 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:

As of March 31, 2026 , the Company had met all margin call requirements.

As of March 31, 2026 and December 31, 2025 , the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)

September 30, 2025

March 31, 2026

Fair value of securities pledged, including accrued interest receivable

5 unchanged sentences

Net weighted average borrowing rate

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.

In addition, cash pledged to counterparties for repurchase agreements was approximately $ 82.6 million and $ 51.2 million as of March 31, 2026 and December 31, 2025 , 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 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 .

At March 31, 2026 , 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 $ 499.9 million.

The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at March 31, 2026 or December 31, 2025 .

Reverse Repurchase Agreements

As of March 31, 2026 and December 31, 2025 , the Company had $ 358.7 million and $ 128.6 million of reverse repurchase agreements outstanding, respectively, for which we had associated obligations to return borrowed securities at fair value of $ 359.2 million and $ 128.7 million.

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 September 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 March 31, 2026 and December 31, 2025 .

(in thousands)

1 unchanged sentence

Balance Sheet Location

September 30, 2025

March 31, 2026

December 31, 2025

4 unchanged sentences

Total derivative assets, at fair value

$ 548 $ 9,277

Interest rate swaps

Derivative liabilities, at fair value

TBA securities

1 unchanged sentence

Total derivative liabilities, at fair value

$ 2,949 $ 332

Margin Balances Posted to (from) Counterparties

1 unchanged sentence

Restricted cash

$ 6,434 $ 2,625

TBA securities (including margin paid on unsettled trades)

2 unchanged sentences

Other liabilities

( 330 ) ( 4,282 )

Total margin balances on derivative contracts

$ 6,634 $ ( 1,377 )

T-Note and SOFR futures are cash and securities settled futures contracts on their respective underlying or delivery eligible underlying U.S.

1 unchanged sentence

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 September 30, 2025 and December 31, 2024 .

The tables below present information related to the Company’s T-Note and SOFR futures positions at March 31, 2026 and December 31, 2025 .

($ in thousands)

September 30, 2025

March 31, 2026

Expiration Year

Treasury Note Futures Contracts (Short Positions) (2)

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

June 2026 5-year T-Note futures (Jun 2026 - Jun 2031 Hedge Period)

$ 180,000 3.86 % 3.93 % $ 520

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

June 2026 10-year T-Note futures (Jun 2026 - Jun 2036 Hedge Period)

53,000 3.85 % 4.13 % 977

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

June 2026 10-year Ultra futures (Jun 2026 - Jun 2036 Hedge Period)

60,000 4.09 % 4.32 % 1,223

SOFR Futures Contracts (Short Positions)

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

$ 97,500 4.00 % 4.04 % $ 43

March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)

97,500 3.73 % 3.69 % ( 46 )

June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)

9 unchanged sentences

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

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

June 2026 5-Year Term, 3.75% fixed rate, (Jun 2026 - June 2031 Hedge Period)

$ 10,000 3.42 % 3.63 % $ 88

9 unchanged sentences

60,000 4.03 % 4.14 % 575

SOFR Futures Contracts (Short Positions)

March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)

$ 97,500 3.73 % 3.69 % $ ( 44 )

June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)

97,500 3.55 % 3.52 % ( 33 )

September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)

97,500 3.38 % 3.31 % ( 66 )

December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)

97,500 3.27 % 3.16 % ( 111 )

March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)

97,500 3.22 % 3.11 % ( 105 )

June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)

97,500 3.21 % 3.11 % ( 90 )

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

March 2026 5-Year Term, 3.75% fixed rate (Mar 2026 - Mar 2031 Hedge Period)

$ 10,000 3.48 % 3.45 % $ ( 13 )

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 $ 109.20 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.

5 -Year T-Note futures contracts were valued at a price of $ 108.18 at March 31, 2026 and $ 109.30 at December 31, 2025 .

The contract values of the short positions were $ 194.7 million and $ 133.9 million at March 31, 2026 and December 31, 2025 , respectively.

10 -Year T-Note futures contracts were valued at a price of $ 111.05 at March 31, 2026 and $ 112.44 at December 31, 2025 .

The contract values of the short positions were $ 58.9 million and $ 101.2 million at March 31, 2026 and December 31, 2025 , respectively.

10 -Year Ultra futures contracts were valued at a price of $ 113.52 at March 31, 2026 and $ 115.02 at December 31, 2025 .

The contract values of the short positions were $ 68.1 million and $ 69.0 million at March 31, 2026 and December 31, 2025 , 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 September 30, 2025 and December 31, 2024 .

The table below presents information related to the Company’s interest rate swap positions at March 31, 2026 and December 31, 2025 .

($ in thousands)

September 30, 2025

March 31, 2026

Expiration > 1 to ≤ 5 years

$ 1,922,500 2.90 % 4.24 % 3.7

Expiration > 5 years

2,020,800 3.69 % 4.27 % 7.0

$ 3,943,300 3.31 % 4.25 % 5.4

December 31, 2025

Expiration > 1 to ≤ 5 years

$ 1,450,000 1.69 % 4.58 % 3.4

Expiration > 5 years

2,066,800 3.55 % 4.52 % 7.0

$ 3,516,800 2.78 % 4.54 % 5.5

Our interest rate swaps are centrally cleared through two registered commodities exchanges, the Chicago Mercantile Exchange ("CME") and the London Clearing House (“LCH”).

2 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 September 30, 2025 and December 31, 2024 .

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of March 31, 2026 and December 31, 2025 .

($ in thousands)

September 30, 2025

March 31, 2026

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, 2025

15-Year TBA securities:

5.0% $ 50,000 $ 50,074 $ 49,742 $ ( 332 )

30-Year TBA securities:

3.0% ( 200,000 ) ( 174,406 ) ( 169,703 ) 4,703

$ ( 150,000 ) $ ( 124,332 ) $ ( 119,961 ) $ 4,371

Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.

3 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 nine and three months ended September 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 (loss) for the three months ended March 31, 2026 and 2025 .

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Interest rate futures contracts (short position)

$ ( 26,789 ) $ 16,100 $ ( 3,159 ) $ ( 14,668 )

Interest rate swaps

( 102,549 ) ( 39,469 ) ( 2,298 ) ( 110,085 )

Payer swaptions (long positions)

Dual digital option

- ( 500 ) - ( 105 )

TBA securities (short positions)

( 8,908 ) ( 3,370 ) ( 4,272 ) ( 16,315 )

TBA securities (long positions)

1,529 453 957 348

$ ( 136,717 ) $ ( 26,858 ) $ ( 8,772 ) $ ( 140,825 )

Treasury securities (short positions)

Credit Risk-Related Contingent Features

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In the event of a default by a counterparty, the Company may not receive payments provided for under the terms of its derivative agreements and may have difficulty obtaining its assets pledged as collateral for its derivatives.

The cash and cash equivalents pledged as collateral for the Company derivative instruments are included in restricted cash on its balance sheets.

The cash and cash equivalents pledged as collateral for the Company's derivative instruments are included in restricted cash on its balance sheets.

It is the Company's policy not to offset assets and liabilities associated with open derivative contracts.

3 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 September 30, 2025 and December 31, 2024 .

(in thousands)

September 30, 2025

March 31, 2026

December 31, 2025

6 unchanged sentences

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of September 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 March 31, 2026 and December 31, 2025 .

(in thousands)

September 30, 2025

March 31, 2026

Treasury securities - fair value

December 31, 2025

Assets Pledged to Orchid

Treasury securities - fair value

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.

Treasury securities received as margin under the Company's repurchase agreements are not recorded in the balance sheets because the counterparty retains ownership of the security.

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

OFFSETTING ASSETS AND LIABILITIES

3 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 September 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 March 31, 2026 and December 31, 2025 .

(in thousands)

1 unchanged sentence

Gross Amount Not

Gross Gross of Assets Offset in the Balance Sheet

Amount Amount Presented Financial

Offset in the Balance Sheet

Offset in the

September 30, 2025

March 31, 2026

Interest rate swaps

TBA securities

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

Reverse repurchase agreements

December 31, 2025

Interest rate swaps

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

TBA securities

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

$ 9,277 $ - $ 9,277 $ - $ ( 4,282 ) $ 4,995

Reverse repurchase agreement

(in thousands)

5 unchanged sentences

as Collateral

September 30, 2025

March 31, 2026

Repurchase Agreements

Interest rate swaps

TBA securities

7 unchanged sentences

Common Stock Issuances

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.

During the three months ended March 31, 2026 and the year ended December 31, 2025 , the Company completed the following public offerings of shares of its common stock.

($ in thousands, except per share amounts)

3 unchanged sentences

First Quarter

$ 8.17 25,142,046 $ 205,424

At the Market Offering Program (3)

Second Quarter

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)

First Quarter

$ 8.80 1,490,075 $ 13,109

At the Market Offering Program (3)

Second Quarter

8.40 11,990,383 100,698

At the Market Offering Program (3)

Third Quarter

8.25 13,314,022 109,891

At the Market Offering Program (3)

Fourth Quarter

7.86 4,533,067 35,630

31,327,547 $ 259,328

Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs.

1 unchanged sentence

The Company has entered into 14 equity distribution agreements, 13 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 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.

From the inception of the stock repurchase program through March 31, 2026 , 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.

There were no shares repurchased during the three months ended March 31, 2026 .

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

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

The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.

Cash Dividends

2 unchanged sentences

Per Share Amount

$ 6.975 $ 4,662

10.800 22,643

2026 - YTD (1)

1.200 147,192

$ 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 .

On April 15, 2026 , the Company declared a dividend of $ 0.10 per share to be paid on May 28, 2026 .

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2026 .

STOCK INCENTIVE PLAN

13 unchanged sentences

PUs are subject to forfeiture should the participant no longer serve as an executive officer or employee of the Company or the Manager.

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 nine months ended September 30, 2025 and 2024 .

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

The dividend payable on the PUs as of March 31, 2026 and December 31, 2025 was $ 34,000 and $ 6,000 , respectively, and is included in “Due to affiliates” in the Company's balance sheet.

The following table presents information related to PUs outstanding during the three months ended March 31, 2026 and 2025 .

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended March 31,

Unvested, beginning of period

1 unchanged sentence

240,486 7.23 18,137 8.27

Forfeited(1)(2)

( 2,393 ) 9.13 ( 14,365 ) 12.48

Vested and issued

4 unchanged sentences

Unrecognized compensation expense, end of period

$ 1,810 $ 386

Intrinsic value, end of period

$ 1,970 $ 647

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 (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.

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

The Plans provide that if such a book value impairment event occurs, then the number of outstanding PUs that are outstanding as of the last day of such two quarter period shall be reduced by 15%.

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 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.

The following table presents information related to fully vested common stock issued during the three months ended March 31, 2026 and 2025 .

All of the fully vested shares of common stock issued during the three months ended March 31, 2026 and 2025 , and the related compensation expense, were granted with respect to service performed during the fiscal years ended December 31, 2025 and 2024 , respectively.

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended March 31,

Fully vested shares granted

3 unchanged sentences

Compensation expense related to fully vested shares of common stock awards (1)

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 nine month periods ended September 30, 2025 and 2024 .

$ 1,739 $ 150

The awards issued during the three months ended March 31, 2026 and 2025 were granted with respect to service performed in 2025 and 2024, respectively.

Deferred Stock Units

3 unchanged sentences

The DSUs are immediately vested and are settled at a future date based on the election of the individual participant.

Compensation expense for the DSUs is included in directors’ fees and liability insurance in the statements of comprehensive income.

Compensation expense for the DSUs is included in directors’ fees and liability insurance in the statements of comprehensive income (loss).

The DSUs contain dividend equivalent rights, which entitle the participant to receive distributions declared by the Company on common stock.

1 unchanged sentence

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 nine months ended September 30, 2025 and 2024 .

The dividend payable on the DSUs as of March 31, 2026 and December 31, 2025 was $ 80,000 and $ 74,000 , respectively, and is included in “Other liabilities” in the Company's balance sheet.

The following table presents information related to the DSUs outstanding during the three months ended March 31, 2026 and 2025 .

($ in thousands, except per share data)

Nine Months Ended September 30,

Three Months Ended March 31,

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 September 30, 2025 .

Management is not aware of any reported or unreported contingencies as of March 31, 2026 .

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

1 unchanged sentence

A REIT must generally distribute at least 90% of its REIT taxable income, determined without regard to the deductions for dividends paid and excluding net capital gain, to its stockholders, annually to maintain REIT status.

An amount equal to the sum of which 85% of its REIT ordinary income and 95% of its REIT capital gain net income, plus certain undistributed income from prior taxable years, must be distributed within the taxable year, in order to avoid the imposition of an excise tax.

The remaining balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution and meets certain other requirements.

EARNINGS PER SHARE (EPS)

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

The Company had dividend eligible PUs and DSUs that were outstanding during the three months ended March 31, 2026 and 2025 .

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

The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2026 and 2025 .

(in thousands, except per share information)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Basic and diluted EPS per common share:

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

Net income - Basic and diluted

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

Net (loss) income - Basic and diluted

Weighted average shares of common stock:

Shares of common stock outstanding at the balance sheet date

148,239 78,083 148,239 78,083

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

273 227 273 227

Effect of weighting

( 32,938 ) ( 17,609 ) ( 12,143 ) ( 5,933 )

Weighted average shares-basic and diluted

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

Net income per common share:

Net (loss) income per common share:

Basic and diluted

$ 0.48 $ 0.53 $ 0.53 $ 0.24

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).

19 unchanged sentences

The Company’s U.S.

Treasury securities are based on quoted prices for identical instruments in active markets and are classified as Level 1 assets.

Treasury securities that are based on quoted prices for identical instruments in active markets are classified as Level 1 assets.

Treasury securities are considered Level 2 investments when they were issued before the most recent issue and were still outstanding at measurement day.

The Company’s futures contracts are Level 1 valuations, as they are exchange-traded instruments and quoted market prices are readily available.

3 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 nine and three months ended September 30, 2025 and 2024 .

Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the three months ended March 31, 2026 and 2025 .

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 September 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 September 30, 2025 and December 31, 2024 .

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025 .

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

1 unchanged sentence

Quoted Prices

September 30, 2025

March 31, 2026

Mortgage-backed securities

$ - $ 8,356,080 $ -

Treasury securities

Interest rate swaps

- ( 2,267 ) -

TBA securities

Obligation to return securities borrowed under reverse repurchase agreements

December 31, 2025

Mortgage-backed securities

$ - $ 5,253,310 $ -

Treasury securities

1 unchanged sentence

TBA securities

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.

Obligation to return securities borrowed under reverse repurchase agreements

During the three months ended March 31, 2026 and 2025 , 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 $ 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.

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $ 5.1 million and $ 3.6 million for the three months ended March 31, 2026 and 2025, respectively.

At March 31, 2026 and December 31, 2025 , the net amount due to affiliates was approximately $ 1.8 million and $ 1.7 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 September 30, 2025 , Bimini owned 569,071 shares, or 0.4 %, of the Company’s common stock.

In addition, as of March 31, 2026 , Bimini owned 569,071 shares, or 0.3 %, of the Company’s common stock.

SEGMENT INFORMATION

3 unchanged sentences

Consequently, the Company has determined that it operates in a single reportable segment and the strategic purpose of all operating activities is to support that one segment.

The CODM evaluates company-wide performance based on multiple performance measures, including but not limited to net income and net interest income.

The CODM evaluates company-wide performance based on multiple performance measures, including net income, which is the Company's primary measure of segment performance.

The CODM does not generally evaluate our performance using asset or historical cash flow information.

Since the Company operates in one operating segment, all required financial segment information can be found in the financial statements.

Significant expenses within net income that are used to evaluate performance are each separately presented in the statements of comprehensive income.

Significant expenses within net income that are used to evaluate performance are each separately presented in the statements of comprehensive income (loss).

The Company does not distinguish between markets or segments for the purpose of internal reporting.

9 unchanged sentences

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

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

deficit, and the strength of the U.S.

2 unchanged sentences

Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS:

(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.

(i) traditional pass-through ("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.

We intend to achieve this objective by investing in and strategically allocating capital between the two categories of Agency RMBS described above.

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.

PT RMBS and structured Agency RMBS typically exhibit materially different sensitivities to movements in interest rates.

Declines in the value of one portfolio may be offset by appreciation in the other.

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.

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").

3 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 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 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 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 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 were deemed to be “at the market” offerings and privately negotiated transactions.

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 .

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.

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 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.

From inception through March 31, 2026, we issued a total of 44,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $332.7 million, and net proceeds of approximately $327.5 million, after commissions and fees.

For the three months ended March 31, 2026, we issued a total of 14,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $109.5 million, and net proceeds of approximately $107.8 million, after commissions and fees.

Subsequent to March 31, 2026, we issued a total of 4,000,000 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $28.2 million, and net proceeds of approximately $27.8 million, after commissions and fees .

Stock Repurchase Agreement

7 unchanged sentences

This stock repurchase program has no termination date.

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.

The Company did not repurchase any shares during the three months ended March 31, 2026 .

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

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

The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.

Factors that Affect our Results of Operations and Financial Condition

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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 and 2025, 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 2025, or potential additional changes in the Fed Funds rate;

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

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Results of Operations

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:

Described below are the Company’s results of operations for the three months ended March 31, 2026, as compared to the Company’s results of operations for the three months ended March 31, 2025.

Net (Loss) Income Summary

Net loss for the three months ended March 31, 2026 was $20.0 million, or $0.11 per share.

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

The components of net (loss) income for the three months ended March 31, 2026 and 2025 , along with the changes in those components are presented in the table below:

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Interest income

Interest expense

Net interest income (expense)

Gains on RMBS and derivative contracts

Net portfolio income

Net interest income

(Losses) gains on RMBS and derivative contracts

Net portfolio (loss) income

Net (loss) income

GAAP and Non-GAAP Reconciliations

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We have elected to account for our Agency RMBS under the fair value option.

Securities held under the fair value option are recorded at estimated fair value, with changes in the fair value recorded as unrealized gains or losses through the statements of comprehensive income.

Securities held under the fair value option are recorded at estimated fair value, with changes in the fair value recorded as unrealized gains or losses through the statements of comprehensive income (loss).

In addition, we have not designated our derivative financial instruments used for hedging purposes as hedges for accounting purposes, but rather hold them for economic hedging purposes.

Changes in fair value of these instruments are presented in a separate line item in the Company’s statements of comprehensive income and are not included in interest expense.

Changes in fair value of these instruments are presented in a separate line item in the Company’s statements of comprehensive income (loss) and are not included in interest expense.

As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

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

Described below are the Company’s results of operations for each quarter in 2026 to date and 2025.

Net Earnings Excluding Realized and Unrealized Gains and Losses

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

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March 31, 2025

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.

Economic Interest Expense and Economic Net Interest Income

We use derivative and other hedging instruments, specifically Fed Funds, SOFR and T-Note futures contracts, short positions in U.S.

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, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, to hedge a portion of the interest rate risk on repurchase agreements in a rising rate environment.

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As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

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 U.S.

Treasury futures, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, that pertain to each period presented.

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The non-GAAP measures help management to evaluate its financial position and performance without the effects of certain transactions and GAAP adjustments that are not necessarily indicative of our current investment portfolio or operations.

The unrealized gains or losses on derivative instruments presented in our statements of comprehensive income are not necessarily representative of the total interest rate expense that we will ultimately realize.

The unrealized gains or losses on derivative instruments presented in our statements of comprehensive income (loss) are not necessarily representative of the total interest rate expense that we will ultimately realize.

This is because as interest rates move up or down in the future, the gains or losses we ultimately realize, and which will affect our total interest rate expense in future periods, may differ from the unrealized gains or losses recognized as of the reporting date.

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

Gains (Losses) on Derivative Instruments

(in thousands)

Treasury Short and

Funding Hedges

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

3 unchanged sentences

March 31, 2025

Nine Months Ended

September 30, 2025

September 30, 2024

Economic Interest Expense and Economic Net Interest Income

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

3 unchanged sentences

March 31, 2025

Nine Months Ended

September 30, 2025

September 30, 2024

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

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Net Interest Income (Expense)

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 $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 $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.

During the three months ended March 31, 2026 , we earned net interest income of $57.1 million consisting of $157.8 million of interest income from RMBS assets offset by $100.8 million of interest expense on borrowings.

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

The $76.7 million increase in interest income was due to a 34 basis point ("bp") increase in the yield on average RMBS, combined with a $4,987.9 million increase in average RMBS .

The $39.4 million increase in interest expense was due to a $4,768.0 million increase in average outstanding borrowings, offset by a 45 bps decrease in the average cost of funds.

On an economic basis, our interest expense on borrowings for the three months ended March 31, 2026 and 2025 was $86.1 million and $40.5 million , respectively, resulting in $71.7 million and $40.6 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 and net interest spread for each quarter in 2026 to date and 2025 on both a GAAP and economic basis.

($ in thousands)

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

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March 31, 2025

Nine Months Ended

September 30, 2025

September 30, 2024

($ in thousands)

Net Interest Income (Expense)

Net Interest Income

Net Interest Spread

Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

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March 31, 2025

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.

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

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

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Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS.

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

($ in thousands)

Average RMBS Held

Interest Income

Realized Yield on Average RMBS

Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2025

December 31, 2024

September 30, 2024

June 30, 2024

March 31, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Interest Expense and the Cost of Funds

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.

We had average outstanding borrowings of $10,490.1 million and $5,722.1 million and total interest expense of $100.8 million and $61.4 million for the three months ended March 31, 2026 and 2025, respectively.

Our average cost of funds was 3.84% for the three months ended March 31, 2026, compared to 4.29% for the comparable period in 2025.

Our economic interest expense was $86.1 million and $40.5 million for the three months ended March 31, 2026 and 2025, respectively.

There was a 45 bps increase in the average economic cost of funds to 3.28% for the three months ended March 31, 2026, from 2.83% for the three months ended March 31, 2025.

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 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)

Interest Expense

Average Cost of Funds

Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2025

December 31, 2024

September 30, 2024

June 30, 2024

March 31, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Our average cost of funds calculated on a GAAP basis was 19 bps above the one-month average SOFR and 2 bps below the six-month average SOFR for the quarter ended March 31, 2026.

Our average economic cost of funds was 37 bps below the average one-month SOFR and 58 bps below the average six-month SOFR for the quarter ended March 31, 2026.

The average term to maturity of the outstanding repurchase agreements was 46 days at March 31, 2026 and 39 days at December 31, 2025.

The table below presents the one-month average and six-month average SOFR rates for each quarter in 2026 to date and 2025, on both a GAAP and economic basis.

Average GAAP Cost of Funds

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

3 unchanged sentences

March 31, 2025

Nine Months Ended

September 30, 2025

September 30, 2024

Gains or Losses

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

The table below presents our gains or losses for the three months ended March 31, 2026 and 2025.

(in thousands)

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 on interest rate swaps

Three Months Ended March 31,

Realized gains (losses) on sales of RMBS

Unrealized (losses) gains on RMBS

Total (losses) gains on RMBS

Gains (losses) on interest rate futures

Gains (losses) on interest rate swaps

Losses on payer swaptions (long positions)

Losses on dual digital option

Losses on TBA securities (short positions)

Gains on TBA securities (short positions)

Gains on TBA securities (long positions)

Total losses from derivative instruments

Losses on U.S.

Treasury securities (short positions)

Total gains (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 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.

During the three months ended March 31, 2026, we received proceeds of $25.0 million from sales of RMBS, resulting in gains of approximately $39,000.

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

Realized and unrealized gains and losses on RMBS are driven in part by changes in yields and interest rates, the spreads that Agency RMBS trade relative to comparable duration U.S.

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Gains and losses on interest rate futures contracts are affected by changes in implied forward rates during the reporting period.

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

September 30, 2025

June 30, 2025

The table below presents historical interest rate data for each quarter in 2026 to date and 2025.

March 31, 2026

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Using the fair value accounting method, premiums or discounts to the face value of the PT RMBS present at the date of purchase are not amortized.

Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income.

Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income (loss).

The following table adjusts the Company’s interest income as reported on the Company’s statements of comprehensive income for the periods indicated to show interest income adjusted for premium amortization and discount accretion on its mortgage-backed security investments.

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

3 unchanged sentences

March 31, 2025

As reported in the Company’s statements of comprehensive income using the fair value accounting method.

As reported in the Company’s statements of comprehensive income (loss) using the fair value accounting method.

Premium amortization/discount accretion for each period is calculated using the beginning of period market value of all securities.

2 unchanged sentences

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

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.

For the three months ended March 31, 2026, the Company’s total operating expenses were approximately $7.4 million, compared to approximately $4.2 million for the three months ended March 31, 2025.

The table below presents a breakdown of operating expenses for the three months ended March 31, 2026 and 2025.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

Three Months Ended March 31,

Management fees

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As of December 31, 2025 and 2024, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees.

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.

During the three months ended March 31, 2026 and 2025, the Company awarded shares of Company common stock with a fair value of $1.7 million and $0.3 million, respectively.

Accrued incentive compensation for the three months ended March 31, 2026 includes $1.1 million under accrual of this liability.

Incentive compensation for the three months ended March 31, 2025 includes a reversal of the $0.4 million 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.

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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.

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.

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A fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 per month.

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.

The following table summarizes the management fee and overhead allocation expenses for each quarter in 2026 to date and 2025.

($ in thousands)

1 unchanged sentence

Three Months Ended

September 30, 2025

June 30, 2025

Administrative

March 31, 2026

3 unchanged sentences

March 31, 2025

Nine Months Ended

September 30, 2025

September 30, 2024

Financial Condition:

Mortgage-Backed Securities

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.

As of March 31, 2026, our RMBS portfolio consisted of $11.3 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.58%.

During the three months ended March 31, 2026, we received principal repayments of $404.7 million, compared to $133.0 million for the three months ended March 31, 2025.

The average three month prepayment speeds for the quarters ended March 31, 2026 and 2025 were 14.7% and 7.8%, respectively.

The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our RMBS 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.

2 unchanged sentences

Portfolio (%)

September 30, 2025

June 30, 2025

March 31, 2026

3 unchanged sentences

March 31, 2025

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

The following tables summarize certain characteristics of the Company’s RMBS portfolio as of March 31, 2026 and December 31, 2025:

($ in thousands)

Asset Category

September 30, 2025

March 31, 2026

Fixed Rate RMBS

Interest-Only Securities

Inverse Interest-Only Securities

Total Mortgage Assets

1 unchanged sentence

Fixed Rate RMBS

Interest-Only Securities

Inverse Interest-Only Securities

Total Mortgage Assets

($ in thousands)

September 30, 2025

March 31, 2026

December 31, 2025

4 unchanged sentences

Total Portfolio

September 30, 2025

December 31, 2024

Weighted Average Pass-through Purchase Price

Weighted Average Structured Purchase Price

Weighted Average Pass-through Current Price

Weighted Average Structured Current Price

Effective Duration (1)

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

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.

These figures include the structured securities in the portfolio, but do not include the effect of the Company’s funding cost hedges.

As of March 31, 2026, the Company's portfolio had an effective duration of 3.005, indicating that an interest rate increase of 1.0% would be expected to cause a 3.005% decrease in the value of the RMBS in the Company’s investment portfolio.

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.

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.

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.

The following table presents a summary of portfolio assets acquired during the three months ended March 31, 2026 and 2025, including securities purchased during the period that settled after the end of the period, if any.

($ in thousands)

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Weighted Average Yield

Pass-through RMBS

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.

As of March 31, 2026, 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.

None of these lenders are affiliated with the Company.

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

As of 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%.

As of March 31, 2026, we had obligations outstanding under the repurchase agreements of approximately $10.9 billion with a net weighted average borrowing cost of 3.79%.

The remaining maturity of our outstanding repurchase agreement obligations ranged from 2 to 227 days, with a weighted average remaining maturity of 46 days.

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.

Securing the repurchase agreement obligations as of March 31, 2026 are RMBS with an estimated fair value, including accrued interest, of approximately $11.3 billion, and cash pledged to counterparties of approximately $82.6 million.

Through April 24, 2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed at March 31, 2026, with maturities through November 13, 2026.

The table below presents information about our period end, maximum and average balances of borrowings for each quarter in 2026 to date and 2025.

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Three Months Ended

September 30, 2025

June 30, 2025

March 31, 2026

4 unchanged sentences

We use two primary measures of leverage.

Economic leverage is calculated by dividing the sum of total liabilities and our net notional TBA position, by stockholders' equity.

Economic leverage is calculated by dividing total liabilities, adjusted for our net notional TBA position and securities borrowed, by stockholders' equity.

We include our net TBA position in our calculation of economic leverage because a forward contract to purchase or sell an Agency RMBS in the TBA market carries similar risks to an Agency RMBS purchased or sold in the cash market and funded with repurchase agreement liabilities.

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

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.

Our economic leverage as of March 31, 2026 was 7.9 to 1, compared to 7.4 to 1 as of December 31, 2025.

Our adjusted leverage as of March 31, 2026 was 7.8 to 1, compared to 7.4 to 1 as of December 31, 2025.

The following table presents information related to our historical leverage.

1 unchanged sentence

Stockholders'

September 30, 2025

June 30, 2025

March 31, 2026

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rather haircuts are determined on an individual repo transaction basis.

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.

Throughout the three months ended March 31, 2026, haircuts on our pledged collateral remained stable and as of March 31, 2026, our weighted average haircut was approximately 4.1% of the value of our collateral.

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

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The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repurchase market.

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.

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 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 of March 31, 2026, we had cash and cash equivalents of $674.0 million.

We generated cash flows of $549.4 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $10.4 billion during the three months ended March 31, 2026.

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

At March 31, 2026, we had no material commitments for capital expenditures.

Stockholders ’ Equity

Economic Summary

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.

Economic developments during the first quarter of 2026 were to a large extent a continuation of 2025, with inflation stubbornly above the Fed’s target of 2%, the labor market stable, and growth and spending holding up.

There was also considerable uncertainty surrounding the two primary focus points of the Fed – inflation and the labor market.

The impact of tariffs implemented in 2025 had not materially impacted goods prices, and it was unclear whether they would, and to what extent.

The Trump administration’s crack down on immigration has meaningfully slowed labor market growth, and economists suspect the current base line growth rate of the labor market is at or close to zero.

Both of these factors make it difficult for economists and Fed officials to interpret economic data and ascertain the appropriate path, or level, of monetary policy.

Consequently, the Fed has held monetary policy stable and guided that they will continue assessing incoming data over time to determine what changes, if any are needed.

Additional factors that could affect the economy emerged over the course of the quarter.

The first was apparent strains in the private credit markets.

These first emerged in 2025, but intensified materially during the first quarter of 2026 – predominantly as developments in artificial intelligence were viewed as a threat to software developers.

Coincidentally, the market feared the tens of billions of dollars of spending on data centers throughout the country and world announced in recent months by the country’s largest technology companies could lead to overcapacity.

The weakness in the private credit markets spilled over into the broader equity markets, and most major market indices were down for the year by mid-single percentage points through late February, with software related companies down multiples of that.

On February 28, 2026, the United States and Israel attacked Iran and began the current war that has materially disrupted the supply and production of oil in the Persian Gulf region, among other important commodities needed for the global economy.

Financial markets immediately reflected higher interest rates, equity markets declined and commodity prices rose, especially the price of oil, which jumped to over $100 per barrel.

Markets initially expected the war to be brief and the disruptions to the supply of oil and market turmoil to end quickly.

This has not proved to be the case.

With respect to domestic markets in the United States, the immediate impact has been inflationary, and headline inflation readings are expected to be elevated while the war lasts.

Market pricing of Fed monetary policy adjustment quickly shifted from possibly one or two more interest rate cuts in 2026 to a possible hike before year end.

As the war has continued, the market now expects the effect of the war may become more growth oriented, and longer-term rates have declined back to levels seen at year-end 2025.

The ultimate outcome of the war remains unclear at this point, but what is very clear is the uncertainty surrounding the Fed and its pursuit of its dual mandates has become even more challenging.

Interest Rates

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.

While interest rates across the U.S.

Treasury curve had been remarkably stable for most of 2025, especially the latter half of the year, interest rate volatility increased during the first quarter of 2026 and into the second quarter.

While the range of the yield on the 10-year U.S.

Treasury and other maturities outside of the 2-year U.S.

Treasury have expanded, yields have remained within the new range throughout the year.

Implied interest rate volatility in the rate options market spiked at the onset of the Iranian war, but has since retraced most of the upward spike.

Shorter maturity U.S.

Treasuries, those most sensitive to monetary policy, have increased as the market no longer anticipates additional interest rate cuts by the Fed.

Prior to the outbreak of the war, the market was anticipating at least two 25-basis point cuts in the Fed Funds rate by the end of 2026, with additional cuts priced in for 2027.

By the end of the first quarter, market pricing was approximately one-quarter of one 25-basis point cut by the end of 2026.

The Fed ended its quantitative tightening program, which reduced its balance sheet via the maturation of its holdings, and began reinvesting them into additional U.S.

Treasury holdings on December 1, 2025.

Run-off from the Agency RMBS holdings is now directed towards purchasing U.S.

The Fed also announced its intention, via Reserve Management Purchases (“RMPs”), to grow its balance sheet over time to maintain a stable relationship between the size of its balance sheet and the economy.

These steps will result in increased purchases of U.S.

Treasuries by the Fed going forward, and interest rate swap spreads have widened – or become less negative – as a result.

When the RMP program was first introduced, U.S.

Treasury purchases were $40 billion per month, which had the added benefit of taking pressure off of the overnight funding markets, as market participants such as money-market funds had fewer options to deploy their liquidity and therefore increased the pool of available funds for the overnight repurchase agreement (“repo”) funding markets.

As a result, funding levels available to the Company in the repo markets during the quarter – typically expressed as a spread over SOFR, were lower than had been the case for 2025.

As is typically the case, the U.S.

Treasury cash balances are elevated around the April 15 th filing deadline for individual income taxes.

The Fed has reduced its RMP purchases for the balance of the filing period – typically approximately 2 months – to $25 billion per month.

The market anticipates the level of purchases will go back to $40 billion per month thereafter.

The reduction in monthly RMP purchases during this period is not expected to materially impact the Company’s funding levels.

The Agency RMBS Market

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 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%.

The Agency RMBS market had a strong start to the quarter as both absolute and relative performance versus comparable duration U.S.

Treasuries and swaps.

On January 8, 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.

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.

The anticipated increase in purchases by the Enterprises resulted in an immediate outperformance of the sector.

Subsequently, the Iranian war commenced on February 28, 2026, and negatively impacted the performance of the Agency RMBS sector, as well all risk markets generally, for the month of March 2026.

The Agency RMBS market had a -1.6% return for March and an excess return of -0.3% versus comparable duration swaps.

For the first quarter of 2026, the Agency RMBS sector still managed to generate a positive return of 0.6%, but versus comparable durations swaps, the return was only 0.02%.

The returns compare to absolute returns of -0.6% and -0.4%, respectively, for the high yield and investment grade corporate bond sectors for the first quarter of 2026, and 0.1% and 1.4%, respectively, of excess returns versus comparable duration swaps for the quarter.

Within Agency RMBS for the first quarter of 2026, conventional 30-year mortgages generated a total return of 0.6%, 15-year mortgages generated a total return of 0.3% and Ginnie Mae 30-year mortgages generated a total return of 0.9%.

Versus comparable duration swaps, the returns were (0.11%), (0.08%) and 0.29% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.

The Company invests predominantly in 30-year conventional mortgages.

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%.

Returns with the 30-year stack varied greatly by coupon, with lower (3.0% and lower) and highest coupons (6.5% and higher) outperforming middle coupons.

This was the case for both absolute and excess returns for the first quarter.

As interest rates ended the quarter slightly higher than at the end of 2025 prepayment rates – and expectations for prepayment rates going forward – subsided.

This led to outperformance for highest coupons – even higher than the lowest coupon securities.

The Company has the greatest concentration of its holdings in the 5.5% and 6.0% coupons, which generated absolute returns of 0.4% and 0.6%, respectively.

Excess returns for these coupons were both -0.2%.

Recent Legislative and Regulatory Developments

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Treasury securities beginning April 1, 2025.

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

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

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.

Treasuries and announced that it would begin buying an additional $40 billion per month of U.S.

Treasuries via RMPs in order to maintain an ample level of reserves on an ongoing basis.

As of March 31, 2026, the Fed had reduced its balance sheet for Agency RMBS by approximately $745 billion from the peak of approximately $2.7 trillion to approximately $2.0 trillion , shedding approximately 54% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since December 2020.

On September 14, 2021, the U.S.

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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.

In March 2025, the Trump administration's nominee for FHFA director, Bill Pulte, was confirmed and replaced 14 board members at the Enterprises.

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.

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.

The announcement of the directive, designed to increase liquidity and compress the spread between mortgage interest rates and the 10-year U.S.

Treasury, had the intended effect immediately and significantly increased mortgage application volumes.

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.

Treasury and mortgage interest spreads if the Fed decides to tighten monetary policy while the Trump administration is loosening it through the Enterprises.

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 “2023 Basel III Endgame”).

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 2023 Basel III Endgame, if implemented as originally proposed, would have significantly increased the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could have disincentivized banks from originating mortgages for sale to the GSEs and impacted pricing in the Agency RMBS markets.

The comment period for the 2023 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 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.

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

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”).

The rule, which became 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.

Treasury market.

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

On March 19, 2026, the OCC, FDIC and the Fed rescinded the 2023 Basel III Endgame proposal and concurrently issued three revised notices of proposed rulemaking.

The three proposals include (i) a revised Basel III Endgame proposal that would apply an expanded risk-based approach to Category I and Category II banking organizations, thus narrowing the mandatory scope from the 2023 proposal, with all other banking organizations permitted to opt in;

(ii) a revised standardized approach proposal that would reduce risk weights for traditional lending activities for banking organizations not subject to the expanded risk-based approach;

and (iii) a revised GSIB capital surcharge proposal.

The OCC, FDIC, and the Fed estimate that the revised proposals would decrease aggregate common equity tier 1 capital requirements by approximately 4.8 percent for Category I and Category II banking organizations, in contrast to the significant capital increases that would have resulted under the 2023 Basel III Endgame.

Additionally, the revised proposal would eliminate the requirement to deduct mortgage servicing assets from common equity tier 1 capital, instead assigning a 250% risk weight, which is designed to promote mortgage origination and servicing by banking organizations.

The Fed voted 6-to-1 to advance all three proposals and the FDIC board voted unanimously in favor of the revised Basel III Endgame and standardized approach proposals.

The comment period for the revised proposals is scheduled to close on June 18, 2026.

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

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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.

This makes interest only securities desirable hedge instruments for pass-through Agency RMBS.

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.

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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.

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 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.

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.

The Company invests exclusively in Agency RMBS securities and applies leverage utilizing repurchase agreement funding.

The primary drivers of the performance of our assets – both absolute performance and performance relative to our hedges, are interest rates, their impact on both our asset prices and the level of prepayments, interest rate volatility, particularly the level of implied volatility in interest rate swaptions and various interest rate derivatives, and finally our funding levels.

Accordingly, we have significant exposure to interest rates and our performance is driven by our ability to select assets, manage our leverage, and our hedging strategy.

Interest rates have been range bound for several months going back approximately 12 months, with the range briefly expanding slightly during the first quarter of 2026 as a result of the Iranian war.

Interest rate volatility, both realized and implied in interest rate options, has remained subdued outside of a temporary spike at the onset of the war in Iran.

It seems the economy and the markets generally are caught in a quandary where it is unclear if inflation, which has been running above the Fed’s 2% target level for several years, or growth prospects, now potentially negatively impacted by the war and increased commodity prices, will be the predominant driver of interest rates, monetary policy and the performance of risk assets of all types.

The resulting uncertainty has resulted in relative stability in the level and volatility of interest rates, and therefore generally conducive conditions for levered Agency RMBS investors.

Looking forward, the war in Iran continues to be the dominant force driving the performance of all markets.

At this point it is unclear what the ultimate outcome of the war will be or when it will end.

As for the economy and monetary policy the outlook is equally uncertain, as the war will likely impact both inflation and growth in the U.S.

and global economies.

The Company has deployed modest levels of leverage for the past several quarters and is likely to continue to do so given the market uncertainty.

Positioning of the portfolio, in terms of asset selection, is likely to remain defensive going forward as well.

Critical Accounting Estimates

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2026 - YTD (1)

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.

On April 15, 2026, the Company declared a dividend of $0.10 per share to be paid on May 28, 2026.

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2026.

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