38 unchanged sentences
20,000,000 shares authorized;
−Removed: no shares issued and outstanding as of March 31, 2026 and December 31, 2025
+Added: no shares issued and outstanding as of June 30, 2026 and December 31, 2025
Common Stock, $ 0.01 par value;
−Removed: 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
+Added: 400,000,000 shares authorized, 199,603,438 shares issued and outstanding as of June 30, 2026 and 181,985,900 shares issued and outstanding as of December 31, 2025
Additional paid-in capital
2 unchanged sentences
( 114,504 ) ( 183,741 )
−Removed: Accumulated other comprehensive income
+Added: Accumulated other comprehensive (loss) income
Total Stockholders' Equity
5 unchanged sentences
CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
−Removed: For the Three Months Ended March 31, 2026 and 2025
+Added: For the Six and Three Months Ended June 30, 2026 and 2025
($ in thousands, except per share data)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Interest income
5 unchanged sentences
Realized gains (losses) on mortgage-backed securities
+Added: 924 ( 9,288 ) 885 ( 7,990 )
Unrealized (losses) gains on mortgage-backed securities
2 unchanged sentences
108,708 ( 127,945 ) 62,400 ( 53,286 )
−Removed: Net portfolio (loss) income
+Added: Net portfolio income (loss)
83,397 ( 7,234 ) 95,955 ( 28,582 )
Management fees
+Added: 8,111 5,729 4,123 2,982
Allocated overhead
+Added: 1,371 1,190 585 582
Incentive compensation
1 unchanged sentence
Directors' fees and liability insurance
+Added: 635 672 323 334
Audit, legal and other professional fees
+Added: 712 753 400 360
Direct REIT operating expenses
+Added: 981 474 509 247
Other administrative
+Added: 520 383 408 263
Total expenses
−Removed: Net (loss) income
14,160 9,222 6,763 4,996
+Added: Net income (loss)
+Added: $ 69,237 $ ( 16,456 ) $ 89,192 $ ( 33,578 )
Unrealized (losses) gains on U.S.
−Removed: Treasury securities measured at fair value through other comprehensive net (loss) income
−Removed: Comprehensive net (loss) income
+Added: Treasury securities measured at fair value through other comprehensive net income (loss)
( 556 ) 186 ( 277 ) ( 64 )
−Removed: Basic and diluted net (loss) income per share
+Added: Comprehensive net income (loss)
$ 68,681 $ ( 16,270 ) $ 88,915 $ ( 33,642 )
+Added: Basic and diluted net income (loss) per share
+Added: $ 0.35 $ ( 0.16 ) $ 0.44 $ ( 0.29 )
Weighted Average Shares Outstanding
3 unchanged sentences
CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY
−Removed: For the Three Months Ended March 31, 2026 and 2025
+Added: For the Six Months Ended June 30, 2026 and 2025
(in thousands)
13 unchanged sentences
196,700 $ 1,967 $ 1,593,398 $ ( 203,696 ) $ 139 $ 1,391,808
+Added: - - - 89,192 - 89,192
+Added: Unrealized loss on available-for-sale securities
+Added: - - - - ( 277 ) ( 277 )
+Added: Cash dividends declared ($ 0.30 per share)
+Added: - - ( 60,265 ) - - ( 60,265 )
+Added: Stock based awards and amortization
+Added: 10 - 386 - - 386
+Added: Issuance of common stock pursuant to public offerings, net
+Added: 4,000 40 27,718 - - 27,758
+Added: Shares repurchased and retired
+Added: ( 1,107 ) ( 11 ) ( 7,333 ) - - ( 7,344 )
+Added: Balances, June 30, 2026
+Added: 199,603 $ 1,996 $ 1,553,904 $ ( 114,504 ) $ ( 138 ) $ 1,441,258
Comprehensive
12 unchanged sentences
107,787 $ 1,078 $ 1,180,062 $ ( 325,649 ) $ 389 $ 855,880
+Added: - - - ( 33,578 ) - ( 33,578 )
+Added: Unrealized loss on available-for-sale securities
+Added: - - - - ( 64 ) ( 64 )
+Added: Cash dividends declared ($ 0.36 per share)
+Added: - - ( 42,635 ) - - ( 42,635 )
+Added: Stock based awards and amortization
+Added: 9 - 201 - - 201
+Added: Issuance of common stock pursuant to public offerings, net
+Added: 19,884 199 139,217 - - 139,416
+Added: Shares repurchased and retired
+Added: ( 1,113 ) ( 11 ) ( 7,249 ) - - ( 7,260 )
+Added: Balances, June 30, 2025
+Added: 126,567 $ 1,266 $ 1,269,596 $ ( 359,227 ) $ 325 $ 911,960
See Notes to Financial Statements
1 unchanged sentence
CONDENSED STATEMENTS OF CASH FLOWS
−Removed: For the Three Months Ended March 31, 2026 and 2025
+Added: For the Six Months Ended June 30, 2026 and 2025
($ in thousands)
CASH FLOWS FROM OPERATING ACTIVITIES:
−Removed: Net (loss) income
−Removed: Adjustments to reconcile net (loss) income to net cash provided by operating activities:
+Added: Net income (loss)
+Added: $ 69,237 $ ( 16,456 )
+Added: Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Stock based compensation
1 unchanged sentence
Treasury securities
+Added: ( 260 ) ( 316 )
Realized (gains) losses on mortgage-backed securities
+Added: ( 924 ) 9,288
Unrealized losses (gains) on mortgage-backed securities
+Added: 143,270 ( 87,132 )
Realized and unrealized (gains) losses on derivative instruments
+Added: ( 96,192 ) 144,349
Changes in operating assets and liabilities:
Accrued interest receivable
+Added: ( 4,284 ) ( 8,938 )
+Added: ( 701 ) ( 196 )
Accrued interest payable
2 unchanged sentences
NET CASH PROVIDED BY OPERATING ACTIVITIES
+Added: 130,222 44,222
CASH FLOWS FROM INVESTING ACTIVITIES:
From mortgage-backed securities investments:
+Added: ( 2,273,827 ) ( 2,728,263 )
Sales and maturities
+Added: 356,475 733,904
Principal repayments
+Added: 863,500 332,154
Purchases of U.S.
Treasury securities, available-for-sale
+Added: ( 183,025 ) ( 74,098 )
Proceeds from maturity of U.S.
Treasury securities, available-for-sale
+Added: 135,000 50,000
Net payments on reverse repurchase agreements
+Added: ( 367,215 ) -
Net proceeds from (payments on) derivative instruments
+Added: 460,032 ( 131,446 )
NET CASH USED IN INVESTING ACTIVITIES
+Added: ( 1,009,060 ) ( 1,817,749 )
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from repurchase agreements
+Added: 42,801,202 28,368,377
Principal payments on repurchase agreements
+Added: ( 41,829,753 ) ( 26,738,041 )
Cash dividends
+Added: ( 131,046 ) ( 73,026 )
Proceeds from issuance of common stock, net of issuance costs
+Added: 135,525 344,840
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes
+Added: ( 8,016 ) ( 7,348 )
NET CASH PROVIDED BY FINANCING ACTIVITIES
+Added: 967,912 1,894,802
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH
+Added: 89,074 121,275
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period
+Added: 724,561 335,053
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period
+Added: $ 813,635 $ 456,328
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for:
+Added: $ 187,113 $ 127,414
See Notes to Financial Statements
1 unchanged sentence
NOTES TO CONDENSED FINANCIAL STATEMENTS
−Removed: March 31, 2026
+Added: June 30, 2026
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
11 unchanged sentences
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.
−Removed: 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.
−Removed: 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.
−Removed: 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 .
+Added: From inception through June 30, 2026 , t he Company issued a total of 48,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 360.9 million, and net proceeds of approximately $ 355.2 million, after commissions and fees.
+Added: For the six months ended June 30, 2026 , t he Company issued a total of 18,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 137.7 million, and net proceeds of approximately $ 135.5 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.
−Removed: 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 .
+Added: Operating results for the six and three -month periods ended June 30, 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.
−Removed: Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of March 31, 2026 .
+Added: Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of June 30, 2026 .
Variable Interest Entities ( “ VIEs ” )
9 unchanged sentences
(in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
December 31, 2025
5 unchanged sentences
$ 813,635 $ 724,561
−Removed: The Company maintains cash balances at three banks, a government securities backed overnight sweep fund, and excess margin on account with three exchange clearing members.
+Added: The Company maintains cash balances at three banks, an overnight cash sweep position backed by Federal Deposit Insurance Corporation ("FDIC") insured deposit balances at participating banks, a government securities backed overnight sweep fund, and excess margin on account with three exchange clearing members.
At times, balances may exceed federally insured limits.
14 unchanged sentences
The Company has designated its U.S.
−Removed: 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 (loss).
+Added: Treasury securities 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 (loss).
The Company records securities transactions on the trade date.
32 unchanged sentences
Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market.
−Removed: 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.
+Added: The Company accounts for these as securities borrowing transactions and recognizes 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.
53 unchanged sentences
MORTGAGE-BACKED SECURITIES, AT FAIR VALUE
−Removed: 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 :
+Added: The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of June 30, 2026 and December 31, 2025 :
(in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
December 31, 2025
−Removed: Pass-Through RMBS Certificates:
Fixed-rate RMBS
5 unchanged sentences
( 2 ) Other securities are comprised of interest-only and inverse interest-only securities.
−Removed: 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.
−Removed: 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.
−Removed: 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 .
+Added: The notional balance for the interest-only securities portfolio was $ 68.5 million and $ 72.9 million as of June 30, 2026 and December 31, 2025 , respectively.
+Added: The notional balance for the inverse interest-only securities portfolio was $ 14.1 million and $ 17.7 million as of June 30, 2026 and December 31, 2025 , respectively.
+Added: The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the six months ended June 30, 2026 and 2025 .
(in thousands)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
Proceeds from sales of RMBS
9 unchanged sentences
TREASURY SECURITIES, AVAILABLE-FOR-SALE
−Removed: 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 .
+Added: The following table presents the amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of June 30, 2026 and December 31, 2025 .
Treasury securities are held primarily to satisfy collateral requirements of the Company's repurchase and derivative counterparties.
(in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
Treasury Note, 4.125%, 10/31/2026 Maturity
18 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.
−Removed: As of March 31, 2026 , the Company had met all margin call requirements.
−Removed: As of March 31, 2026 and December 31, 2025 , the Company’s repurchase agreements had remaining maturities as summarized below:
+Added: As of June 30, 2026 , the Company had met all margin call requirements.
+Added: As of June 30, 2026 and December 31, 2025 , the Company’s repurchase agreements had remaining maturities as summarized below:
($ in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
Fair value of securities pledged, including accrued interest receivable
+Added: $ - $ 7,522,852 $ 3,876,650 $ 99,663 $ 11,499,165
Repurchase agreement liabilities associated with these securities
+Added: $ - $ 7,254,945 $ 3,750,480 $ 81,490 $ 11,086,915
Net weighted average borrowing rate
+Added: - 3.77 % 3.78 % 3.80 % 3.77 %
December 31, 2025
Fair value of securities pledged, including accrued interest receivable
+Added: $ - $ 6,821,306 $ 3,445,678 $ 284,296 $ 10,551,280
Repurchase agreement liabilities associated with these securities
+Added: $ - $ 6,544,072 $ 3,297,567 $ 273,827 $ 10,115,466
Net weighted average borrowing rate
−Removed: 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.
+Added: - 4.00 % 3.96 % 3.92 % 3.98 %
+Added: In addition, cash pledged to counterparties for repurchase agreements was approximately $ 111.5 million and $ 51.2 million as of June 30, 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.
−Removed: 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.
−Removed: 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 .
+Added: At June 30, 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 $ 472.2 million.
+Added: The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at June 30, 2026 or December 31, 2025 .
Reverse Repurchase Agreements
−Removed: 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.
+Added: As of June 30, 2026 and December 31, 2025 , the Company had $ 495.8 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 $ 496.0 million and $ 128.7 million.
DERIVATIVE AND OTHER HEDGING INSTRUMENTS
−Removed: 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 .
+Added: The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of June 30, 2026 and December 31, 2025 .
(in thousands)
1 unchanged sentence
Balance Sheet Location
−Removed: March 31, 2026
+Added: June 30, 2026
December 31, 2025
1 unchanged sentence
Derivative assets, at fair value
+Added: $ 11,520 $ 8,238
+Added: Payer swaptions
+Added: Derivative assets, at fair value
TBA securities
1 unchanged sentence
Total derivative assets, at fair value
+Added: $ 15,062 $ 9,253
TBA securities
Derivative liabilities, at fair value
+Added: $ 4,723 $ 1,846
Total derivative liabilities, at fair value
+Added: $ 4,723 $ 1,846
Margin Balances Posted to (from) Counterparties
1 unchanged sentence
Restricted cash
+Added: $ 4,140 $ 5,131
+Added: Interest rate swaps
+Added: Restricted cash
TBA securities (including margin paid on unsettled trades)
2 unchanged sentences
Other liabilities
+Added: ( 2,020 ) ( 360 )
+Added: Swaption margin
+Added: Other liabilities
Total margin balances on derivative contracts
+Added: $ 16,428 $ 7,165
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.
−Removed: The tables below present information related to the Company’s T-Note and SOFR futures positions at March 31, 2026 and December 31, 2025 .
+Added: The tables below present information related to the Company’s T-Note and SOFR futures positions at June 30, 2026 and December 31, 2025 .
($ in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
Expiration Year
Treasury Note Futures Contracts (Short Positions) (2)
−Removed: June 2026 5-year T-Note futures (Jun 2026 - Jun 2031 Hedge Period)
−Removed: $ 180,000 3.86 % 3.93 % $ 520
−Removed: June 2026 10-year T-Note futures (Jun 2026 - Jun 2036 Hedge Period)
+Added: September 2026 10-year T-Note futures (Sep 2026 - Sep 2036 Hedge Period)
$ 188,600 4.46 % 4.31 % $ ( 1,773 )
−Removed: June 2026 10-year Ultra futures (Jun 2026 - Jun 2036 Hedge Period)
+Added: September 2026 10-year Ultra futures (Sep 2026 - Sep 2036 Hedge Period)
60,000 4.62 % 4.43 % ( 954 )
SOFR Futures Contracts (Short Positions)
−Removed: June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)
−Removed: $ 97,500 3.55 % 3.68 % $ 123
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)
7 unchanged sentences
ERIS SOFR Swap Futures Contracts (Short Positions) (3)
−Removed: June 2026 5-Year Term, 3.75% fixed rate, (Jun 2026 - June 2031 Hedge Period)
+Added: September 2026 5-Year Term, 3.75% fixed rate, (Sep 2026 - Sep 2031 Hedge Period)
$ 10,000 4.01 % 3.91 % $ ( 38 )
26 unchanged sentences
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
−Removed: 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 .
−Removed: The contract values of the short positions were $ 194.7 million and $ 133.9 million at March 31, 2026 and December 31, 2025 , respectively.
−Removed: 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 .
−Removed: The contract values of the short positions were $ 58.9 million and $ 101.2 million at March 31, 2026 and December 31, 2025 , respectively.
−Removed: 10 -Year Ultra futures contracts were valued at a price of $ 113.52 at March 31, 2026 and $ 115.02 at December 31, 2025 .
−Removed: The contract values of the short positions were $ 68.1 million and $ 69.0 million at March 31, 2026 and December 31, 2025 , respectively.
+Added: 5 -Year T-Note futures contracts were valued at a price $ 109.30 of at December 31, 2025 .
+Added: The contract values of the short positions were $ 133.9 million at December 31, 2025 .
+Added: 10 -Year T-Note futures contracts were valued at a price of $ 109.89 at June 30, 2026 and $ 112.44 at December 31, 2025 .
+Added: The contract values of the short positions were $ 207.3 million and $ 101.2 million at June 30, 2026 and December 31, 2025 , respectively.
+Added: 10 -Year Ultra futures contracts were valued at a price of $ 112.47 at June 30, 2026 and $ 115.02 at December 31, 2025 .
+Added: The contract values of the short positions were $ 67.5 million and $ 69.0 million at June 30, 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.
−Removed: The table below presents information related to the Company’s interest rate swap positions at March 31, 2026 and December 31, 2025 .
+Added: The table below presents information related to the Company’s interest rate swap positions at June 30, 2026 and December 31, 2025 .
($ in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
Expiration > 1 to ≤ 5 years
+Added: $ 5,292,800 3.46 % 3.68 % 3.0
Expiration > 5 years
+Added: 2,521,400 3.92 % 3.68 % 8.0
+Added: $ 7,814,200 3.61 % 3.68 % 4.6
December 31, 2025
Expiration > 1 to ≤ 5 years
+Added: $ 4,162,500 3.38 % 3.87 % 3.2
Expiration > 5 years
+Added: 1,695,800 3.87 % 3.87 % 7.1
+Added: $ 5,858,300 3.53 % 3.87 % 4.3
Our interest rate swaps are centrally cleared through two registered commodities exchanges, the Chicago Mercantile Exchange ("CME") and the London Clearing House (“LCH”).
The clearing exchanges require that we post an "initial margin" amount determined by the exchanges.
−Removed: The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors.
+Added: Initial margin is intended to be set at a level sufficient to protect the exchange against potential losses that could arise during the period required to close out or hedge the interest rate swap positions following a participant default.
+Added: The amount is determined using risk-based models that consider potential market movements over a multi-day liquidation period and is subject to adjustment based on changes in market volatility, portfolio composition, liquidity, concentration and other factors.
We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchanges.
−Removed: The following table summarizes the Company’s contracts to purchase and sell TBA securities as of March 31, 2026 and December 31, 2025 .
+Added: Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the interest rate swap asset or liability.
+Added: The table below presents information related to the Company’s payer swaption positions as of June 30, 2026 .
+Added: The Company did not have any open swaption positions as of December 31, 2025 .
($ in thousands)
−Removed: March 31, 2026
−Removed: 15-Year TBA securities:
+Added: Underlying Swap
+Added: June 30, 2026
+Added: Payer Swaption (long position)
+Added: $ 7,124 $ 5,633 5.0 $ 1,000,000 4.11 % SOFR
+Added: Payer Swaption (short position)
+Added: ( 3,024 ) ( 2,091 ) 5.0 1,000,000 4.51 % SOFR
+Added: $ 4,100 $ 3,542 $ 2,000,000
+Added: We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio.
+Added: Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future.
+Added: Our interest rate swaption agreements are not subject to central clearing.
+Added: The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative and other hedging instruments in our statements of comprehensive income (loss).
+Added: If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid.
+Added: If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.
+Added: The following table summarizes the Company’s contracts to purchase and sell TBA securities as of June 30, 2026 and December 31, 2025 .
+Added: ($ in thousands)
+Added: June 30, 2026
30-Year TBA securities:
+Added: 5.0% $ ( 145,000 ) $ ( 141,270 ) $ ( 142,689 ) $ ( 1,419 )
+Added: 5.5% ( 449,900 ) ( 448,564 ) ( 451,868 ) ( 3,304 )
+Added: $ ( 594,900 ) $ ( 589,834 ) $ ( 594,557 ) $ ( 4,723 )
December 31, 2025
15-Year TBA securities:
+Added: 4.5% $ 250,000 $ 249,998 $ 250,186 $ 188
30-Year TBA securities:
+Added: 3.0% - ( 343 ) - 343
+Added: 3.5% - 34 - ( 34 )
+Added: 4.0% - ( 215 ) - 215
+Added: 5.0% - 218 - ( 218 )
+Added: 5.5% ( 275,000 ) ( 277,696 ) ( 278,996 ) ( 1,300 )
+Added: 6.5% ( 155,000 ) ( 161,103 ) ( 161,127 ) ( 24 )
+Added: $ ( 180,000 ) $ ( 189,107 ) $ ( 189,937 ) $ ( 830 )
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
−Removed: 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 .
+Added: The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income (loss) for the six and three months ended June 30, 2026 and 2025 .
(in thousands)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Interest rate futures contracts (short position)
+Added: $ 8,659 $ ( 23,630 ) $ 4,222 $ ( 8,688 )
Interest rate swaps
+Added: 104,355 ( 100,251 ) 63,353 ( 37,408 )
+Added: Payer swaptions (short positions)
+Added: Payer swaptions (long positions)
+Added: ( 1,490 ) - ( 1,490 ) -
TBA securities (short positions)
+Added: ( 3,033 ) ( 4,636 ) ( 3,228 ) ( 7,662 )
TBA securities (long positions)
+Added: 930 572 ( 347 ) 472
Treasury securities (short positions)
+Added: ( 1,645 ) - ( 1,042 ) -
+Added: $ 108,708 $ ( 127,945 ) $ 62,400 $ ( 53,286 )
Credit Risk-Related Contingent Features
9 unchanged sentences
Assets Pledged to Counterparties
−Removed: The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2026 and December 31, 2025 .
+Added: The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2026 and December 31, 2025 .
(in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
December 31, 2025
1 unchanged sentence
PT RMBS - fair value
+Added: $ 11,434,805 $ - $ 11,434,805 $ 10,489,655 $ - $ 10,489,655
Structured RMBS - fair value
+Added: 11,966 - 11,966 13,088 - 13,088
Treasury securities
+Added: - 182,862 182,862 - 135,133 135,133
Accrued interest on pledged securities
+Added: 52,394 600 52,994 48,537 36 48,573
Restricted cash
+Added: 111,469 19,568 131,037 51,171 7,525 58,696
+Added: $ 11,610,634 $ 203,030 $ 11,813,664 $ 10,602,451 $ 142,694 $ 10,745,145
Assets Pledged from Counterparties
−Removed: 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 .
+Added: The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of June 30, 2026 and December 31, 2025 .
(in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
+Added: $ 9,363 $ - $ 3,140 $ 12,503
Treasury securities - fair value
+Added: 2,345 496,036 - 498,381
+Added: $ 11,708 $ 496,036 $ 3,140 $ 510,884
December 31, 2025
+Added: $ 12,549 $ - $ 360 $ 12,909
Treasury securities - fair value
+Added: - 128,724 - 128,724
+Added: $ 12,549 $ 128,724 $ 360 $ 141,633
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.
5 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.
−Removed: 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 .
+Added: The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2026 and December 31, 2025 .
(in thousands)
1 unchanged sentence
Gross Amount Not
−Removed: Offset in the Balance Sheet
+Added: Gross Gross of Assets Offset in the Balance Sheet
+Added: Amount Amount Presented Financial
Offset in the
−Removed: March 31, 2026
+Added: June 30, 2026
Interest rate swaps
−Removed: TBA securities
+Added: $ 13,041 $ ( 1,521 ) $ 11,520 $ - $ ( 11,520 ) $ -
+Added: Payer swaptions
+Added: 3,542 - 3,542 - ( 1,120 ) 2,422
Reverse repurchase agreements
+Added: 495,828 - 495,828 ( 495,828 ) - -
+Added: $ 512,411 $ ( 1,521 ) $ 510,890 $ ( 495,828 ) $ ( 12,640 ) $ 2,422
December 31, 2025
Interest rate swaps
+Added: $ 8,237 $ - $ 8,237 $ - $ - $ 8,237
TBA securities
+Added: 1,015 - 1,015 - ( 360 ) 655
Reverse repurchase agreement
+Added: 128,613 - 128,613 ( 128,613 ) - -
+Added: $ 137,865 $ - $ 137,865 $ ( 128,613 ) $ ( 360 ) $ 8,892
(in thousands)
1 unchanged sentence
Gross Amount Not
−Removed: of Liabilities
−Removed: Offset in the Balance Sheet
−Removed: Offset in the
+Added: Gross Gross of Liabilities Offset in the Balance Sheet
+Added: of Offset in the in the Instruments
as Collateral
−Removed: March 31, 2026
+Added: June 30, 2026
Repurchase Agreements
+Added: $ 11,086,915 $ - $ 11,086,915 $ ( 10,975,446 ) $ ( 111,469 ) $ -
+Added: Interest rate swaps
+Added: 1,521 ( 1,521 ) - - - -
TBA securities
+Added: 4,723 - 4,723 - ( 3,929 ) 794
+Added: $ 11,093,159 $ ( 1,521 ) $ 11,091,638 $ ( 10,975,446 ) $ ( 115,398 ) $ 794
December 31, 2025
Repurchase Agreements
+Added: $ 10,115,466 $ - $ 10,115,466 $ ( 10,064,295 ) $ ( 51,171 ) $ -
TBA securities
+Added: 1,846 - 1,846 - ( 1,846 ) -
+Added: $ 10,117,312 $ - $ 10,117,312 $ ( 10,064,295 ) $ ( 53,017 ) $ -
The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the balance sheets.
3 unchanged sentences
Common Stock Issuances
−Removed: 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.
+Added: During the six months ended June 30, 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
+Added: $ 7.40 14,558,681 $ 107,767
At the Market Offering Program (3)
+Added: Second Quarter
+Added: $ 6.94 4,000,000 27,758
+Added: 18,558,681 $ 135,525
+Added: At the Market Offering Program (3)
First Quarter
+Added: $ 8.17 25,142,046 $ 205,424
At the Market Offering Program (3)
Second Quarter
+Added: 7.01 19,884,204 139,416
At the Market Offering Program (3)
Third Quarter
+Added: 7.03 21,664,659 152,345
At the Market Offering Program (3)
Fourth Quarter
+Added: 7.24 33,738,722 244,238
+Added: 100,429,631 $ 741,423
Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs.
7 unchanged sentences
On October 12, 2022, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 4,300,000 shares, bringing the remaining authorization under the stock repurchase program to 6,183,601 shares, representing approximately 18% of the Company’s then outstanding shares of common stock.
+Added: On June 22, 2026, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 25,000,000 shares, bringing the remaining authorization under the stock repurchase program to 26,612,580 shares, representing approximately 13.3% of the Company’s currently outstanding shares of common stock.
As part of the stock repurchase program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5 - 1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”).
3 unchanged sentences
The stock repurchase program may be suspended or discontinued at the Company’s discretion without prior notice and has no termination date.
−Removed: 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.
−Removed: There were no shares repurchased during the three months ended March 31, 2026 .
+Added: From the inception of the stock repurchase program through June 30, 2026 , the Company repurchased a total of 7,364,383 shares at an aggregate cost of approximately $ 92.1 million , including commissions and fees, for a weighted average price of $ 12.51 per share.
+Added: During the six and three months ended June 30, 2026 , the Company repurchased a total of 1,106,557 shares at an aggregate cost of approximately $ 7.3 million, including commissions and fees, for a weighted average price of $ 6.64 per share.
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.
−Removed: The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.
+Added: The remaining authorization under the stock repurchase program as of July 23, 2026 was 26,612,580 shares.
Cash Dividends
2 unchanged sentences
Per Share Amount
+Added: $ 6.975 $ 4,662
+Added: 10.800 22,643
+Added: 1.440 190,930
2026 - YTD (1)
−Removed: On April 15, 2026 , the Company declared a dividend of $ 0.10 per share to be paid on May 28, 2026 .
−Removed: 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 .
+Added: 0.760 149,256
+Added: $ 70.090 $ 1,045,092
+Added: On July 8, 2026 , the Company declared a dividend of $ 0.10 per share to be paid on August 28, 2026 .
+Added: The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2026 .
STOCK INCENTIVE PLAN
5 unchanged sentences
The 2021 Incentive Plan provides for awards of up to an aggregate of 10 % of the issued and outstanding shares of the Company’s common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregate 1,473,324 shares of the Company’s common stock that may be issued under the 2021 Incentive Plan.
−Removed: The 2021 Incentive Plan replaces the 2012 Incentive Plan, and no further grants will be made under the 2012 Incentive Plan.
−Removed: However, any outstanding awards under the 2012 Incentive Plan will continue in accordance with the terms of the 2012 Incentive Plan and any award agreement executed in connection with such outstanding awards.
Performance Units
5 unchanged sentences
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.
−Removed: 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.
−Removed: The following table presents information related to PUs outstanding during the three months ended March 31, 2026 and 2025 .
+Added: The dividend payable on the PUs as of June 30, 2026 and December 31, 2025 was $ 27,000 and $ 6,000 , respectively, and is included in “Due to affiliates” in the Company's balance sheet.
+Added: The following table presents information related to PUs outstanding during the six months ended June 30, 2026 and 2025 .
($ in thousands, except per share data)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
Unvested, beginning of period
1 unchanged sentence
240,486 7.23 18,137 8.27
+Added: Forfeited (1)
+Added: - - ( 2,393 ) 9.13
Vested and issued
8 unchanged sentences
Weighted-average remaining vesting term (in years)
+Added: 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.
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.
−Removed: The following table presents information related to fully vested common stock issued during the three months ended March 31, 2026 and 2025 .
−Removed: 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.
+Added: The following table presents information related to fully vested common stock issued during the six months ended June 30, 2026 and 2025 .
+Added: All of the fully vested shares of common stock issued during the six months ended June 30, 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)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
Fully vested shares granted
14 unchanged sentences
The DSUs do not include the right to vote the underlying shares of common stock.
−Removed: 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.
−Removed: The following table presents information related to the DSUs outstanding during the three months ended March 31, 2026 and 2025 .
+Added: The dividend payable on the DSUs as of June 30, 2026 and December 31, 2025 was $ 75,000 and $ 74,000 , respectively, and is included in “Other liabilities” in the Company's balance sheet.
+Added: The following table presents information related to the DSUs outstanding during the six months ended June 30, 2026 and 2025 .
($ in thousands, except per share data)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
Outstanding, beginning of period
9 unchanged sentences
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business.
−Removed: Management is not aware of any reported or unreported contingencies as of March 31, 2026 .
+Added: Management is not aware of any reported or unreported contingencies as of June 30, 2026 .
The Company will generally not be subject to U.S.
4 unchanged sentences
EARNINGS PER SHARE (EPS)
−Removed: The Company had dividend eligible PUs and DSUs that were outstanding during the three months ended March 31, 2026 and 2025 .
+Added: The Company had dividend eligible PUs and DSUs that were outstanding during the six and three months ended June 30, 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.
−Removed: The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2026 and 2025 .
+Added: The table below reconciles the numerator and denominator of EPS for the six and three months ended June 30, 2026 and 2025 .
(in thousands, except per share information)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Basic and diluted EPS per common share:
Numerator for basic and diluted EPS per share of common stock:
−Removed: Net (loss) income - Basic and diluted
+Added: Net income (loss) - Basic and diluted
+Added: $ 69,237 $ ( 16,456 ) $ 89,192 $ ( 33,578 )
Weighted average shares of common stock:
Shares of common stock outstanding at the balance sheet date
+Added: 199,603 126,567 199,603 126,567
Unvested dividend eligible share based compensation outstanding at the balance sheet date
Effect of weighting
+Added: ( 5,002 ) ( 21,824 ) 789 ( 12,114 )
Weighted average shares-basic and diluted
−Removed: Net (loss) income per common share:
+Added: 195,141 104,743 200,932 114,453
+Added: Net income (loss) per common share:
Basic and diluted
+Added: $ 0.35 $ ( 0.16 ) $ 0.44 $ ( 0.29 )
+Added: Anti-dilutive incentive shares not included in calculation
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).
26 unchanged sentences
The fair value of interest rate swaptions and dual digital options are determined using an option pricing model.
−Removed: 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 .
+Added: Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the six and three months ended June 30, 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.
−Removed: The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values due to the short-term nature of these financial instruments as of March 31, 2026 and December 31, 2025 .
+Added: The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values due to the short-term nature of these financial instruments as of June 30, 2026 and December 31, 2025 .
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.
−Removed: The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025 .
+Added: The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of June 30, 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
−Removed: March 31, 2026
+Added: June 30, 2026
Mortgage-backed securities
+Added: $ - $ 11,540,164 $ -
Treasury securities
Interest rate swaps
+Added: Interest rate swaptions
TBA securities
+Added: - ( 4,723 ) -
Obligation to return securities borrowed under reverse repurchase agreements
1 unchanged sentence
Mortgage-backed securities
+Added: $ - $ 10,628,658 $ -
Treasury securities
2 unchanged sentences
Obligation to return securities borrowed under reverse repurchase agreements
−Removed: 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.
+Added: During the six and three months ended June 30, 2026 and 2025 , there were no transfers of financial assets or liabilities between levels 1, 2 or 3.
RELATED PARTY TRANSACTIONS
7 unchanged sentences
One- twelfth of 1.00% of the Company’s month-end equity that is greater than $500 million.
−Removed: 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.
−Removed: under an agreement terminated on March 31, 2022.
+Added: The Manager also provides certain repurchase agreement trading, clearing and administrative services to the Company.
In consideration for such services, the Company pays the following fees to the Manager:
3 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.
−Removed: 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.
−Removed: At March 31, 2026 and December 31, 2025 , the net amount due to affiliates was approximately $ 1.8 million and $ 1.7 million, respectively.
+Added: Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $ 10.2 million and $ 5.1 million for the six and three months ended June 30, 2026 , respectively, and $ 7.4 million and $ 3.8 million for the six and three months ended June 30, 2025 , respectively.
+Added: At June 30, 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.
−Removed: In addition, as of March 31, 2026 , Bimini owned 569,071 shares, or 0.3 %, of the Company’s common stock.
+Added: In addition, as of June 30, 2026 , Bimini owned 569,071 shares, or 0.3 %, of the Company’s common stock.
SEGMENT INFORMATION
29 unchanged sentences
We intend to achieve this objective by investing in the two categories of Agency RMBS described above.
−Removed: 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.
−Removed: We intend to fund our PT RMBS and certain of our structured Agency RMBS through short-term borrowings structured as repurchase agreements.
+Added: We seek to generate income from the net interest margin on our leveraged PT RMBS and structured Agency RMBS portfolio.
+Added: We intend to fund our PT RMBS and structured Agency RMBS through short-term borrowings structured as repurchase agreements.
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").
9 unchanged sentences
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.
−Removed: 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.
−Removed: 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.
−Removed: 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 .
+Added: From inception through June 30, 2026, we issued a total of 48,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $360.9 million, and net proceeds of approximately $355.2 million, after commissions and fees.
+Added: For the six months ended June 30, 2026, we issued a total of 18,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $137.7 million, and net proceeds of approximately $135.5 million, after commissions and fees.
Stock Repurchase Agreement
7 unchanged sentences
This stock repurchase program has no termination date.
−Removed: 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.
−Removed: The Company did not repurchase any shares during the three months ended March 31, 2026 .
+Added: On June 22, 2026, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 25,000,000 shares, bringing the remaining authorization under the stock repurchase program to 26,612,580 shares, representing approximately 13.3% of the Company’s currently outstanding shares of common stock.
+Added: From the inception of the stock repurchase program through June 30, 2026 , the Company repurchased a total of 7,364,383 shares at an aggregate cost of approximately $ 92.1 million , including commissions and fees, for a weighted average price of $ 12.51 per share.
+Added: During the six and three months ended June 30, 2026 , the Company repurchased a total of 1,106,557 shares at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.64 per share.
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.
−Removed: The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.
+Added: The remaining authorization under the stock repurchase program as of July 23, 2026 was 26,612,580 shares.
Factors that Affect our Results of Operations and Financial Condition
6 unchanged sentences
actions taken by the U.S.
−Removed: government, including the presidential administration, the Fed, the Federal Housing Financing Agency (the “FHFA”), the Federal Deposit Insurance Corporation ("FDIC"), Federal Housing Administration (the “FHA”), the Federal Open Market Committee (the “FOMC”) and the U.S.
+Added: government, including the presidential administration, the Fed, the Federal Housing Financing Agency (the “FHFA”), the FDIC, Federal Housing Administration (the “FHA”), the Federal Open Market Committee (the “FOMC”) and the U.S.
prepayment rates on mortgages underlying our Agency RMBS and credit trends insofar as they affect prepayment rates;
9 unchanged sentences
Results of Operations
−Removed: 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.
−Removed: Net (Loss) Income Summary
−Removed: Net loss for the three months ended March 31, 2026 was $20.0 million, or $0.11 per share.
−Removed: Net income for the three months ended March 31, 2025 was $17.1 million, or $0.18 per share.
−Removed: 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:
+Added: Described below are the Company’s results of operations for the six and three months ended June 30, 2026, as compared to the Company’s results of operations for the six and three months ended June 30, 2025.
+Added: Net Income (Loss) Summary
+Added: Net income for the six months ended June 30, 2026 was $69.2 million, or $0.35 per share.
+Added: Net loss for the six months ended June 30, 2025 was $16.5 million, or $0.16 per share.
+Added: Net income for the three months ended June 30, 2026 was $89.2 million, or $0.44 per share.
+Added: Net loss for the three months ended June 30, 2025 was $33.6 million, or $0.29 per share.
+Added: The components of net income (loss) for the six and three months ended June 30, 2026 and 2025 , along with the changes in those components are presented in the table below:
(in thousands)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Interest income
2 unchanged sentences
(Losses) gains on RMBS and derivative contracts
−Removed: Net portfolio (loss) income
−Removed: Net (loss) income
+Added: Net portfolio income (loss)
+Added: Net income (loss)
GAAP and Non-GAAP Reconciliations
13 unchanged sentences
The table below presents a reconciliation of our net income (loss) determined in accordance with GAAP and net earnings excluding realized and unrealized gains and losses.
−Removed: Described below are the Company’s results of operations for each quarter in 2026 to date and 2025.
+Added: Described below are the Company’s results of operations for the six months ended June 30, 2026 and 2025, and for each quarter in 2026 to date and 2025.
Net Earnings Excluding Realized and Unrealized Gains and Losses
3 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest income or expense on interest rate swaps.
38 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
Economic Interest Expense and Economic Net Interest Income
3 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
Reflects the effect of derivative instrument hedges for only the period presented.
2 unchanged sentences
Net Interest Income (Expense)
−Removed: 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.
−Removed: 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.
+Added: During the six months ended June 30, 2026 , we earned net interest income of $117.0 million consisting of $322.0 million of interest income from RMBS assets offset by $205.0 million of interest expense on borrowings.
+Added: For the comparable period ended June 30, 2025 , we earned $42.9 million o f net interest income, consisting of $173.4 million of interest income from RMBS assets offset by $130.5 million of interest expense on borrowings.
The $148.6 million increase in interest income was due to a 35 basis point ("bp") increase in the yield on average RMBS, combined with a $4,780.8 million increase in average RMBS .
The $74.5 million increase in interest expense was due to a $4,603.3 million increase in average outstanding borrowings, offset by a 44 bps decrease in the average cost of funds.
−Removed: 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.
−Removed: 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.
+Added: During the three months ended June 30, 2026 , we earned net interest income of $60.0 million consisting of $164.2 million of interest income from RMBS assets offset by $104.2 million of interest expense on borrowings.
+Added: For the comparable period ended June 30, 2025 , we earned $23.2 million of net interest income, consisting of $92.3 million of interest income from RMBS assets offset by $69.1 million of interest expense on borrowings.
+Added: The $71.9 million increase in interest income was due to a 36 basis point ("bp") increase in the yield on average RMBS, combined with a $4,573.6 million increase in average RMBS .
+Added: The $35.1 million increase in interest expense was due to a $4,438.5 million increase in average outstanding borrowings, offset by a 43 bps decrease in the average cost of funds.
+Added: On an economic basis, our interest expense on borrowings for the six months ended June 30, 2026 and 2025 was $177.4 million and $88.7 million , respectively, resulting in $144.6 million and $84.7 million of economic net interest income, respectively.
+Added: On an economic basis, our interest expense on borrowings for the three months ended June 30, 2026 and 2025 was $91.3 million and $48.2 million , respectively, resulting in $72.9 million and $44.1 million of economic net interest income, respectively.
+Added: The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income and net interest spread for the six months ended June 30, 2026 and 2025, and for each quarter in 2026 to date and 2025 on both a GAAP and economic basis.
($ in thousands)
3 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
($ in thousands)
2 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
−Removed: 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.
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
+Added: Portfolio yields and costs of borrowings presented in the tables above 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.
−Removed: Economic interest expense and economic net interest expense presented in the table above and the tables on page 30 includes the effect of our derivative instrument hedges for only the periods presented.
+Added: Economic interest expense and economic net interest expense presented in the table above includes the effect of our derivative instrument hedges for only the periods presented.
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.
1 unchanged sentence
Interest Expense and the Cost of Funds
−Removed: 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.
−Removed: 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.
−Removed: Our economic interest expense was $86.1 million and $40.5 million for the three months ended March 31, 2026 and 2025, respectively.
−Removed: 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.
+Added: We had average outstanding borrowings of $10,733.0 million and $6,129.7 million and total interest expense of $205.0 million and $130.5 million for the six months ended June 30, 2026 and 2025, respectively.
+Added: Our average cost of funds was 3.82% for the six months ended June 30, 2026, compared to 4.26% for the comparable period in 2025.
+Added: We had average outstanding borrowings of $10,975.8 million and $6,537.3 million and total interest expense of $104.2 million and $69.1 million for the three months ended June 30, 2026 and 2025, respectively.
+Added: Our average cost of funds was 3.80% for the three months ended June 30, 2026, compared to 4.23% for the comparable period in 2025.
+Added: Our economic interest expense was $177.4 million and $88.7 million for the six months ended June 30, 2026 and 2025, respectively.
+Added: There was a 42 bps increase in the average economic cost of funds to 3.31% for the six months ended June 30, 2026, from 2.89% for the six months ended June 30, 2025.
+Added: Our economic interest expense was $91.3 million and $48.2 million for the three months ended June 30, 2026 and 2025, respectively.
+Added: There was a 38 bps increase in the average economic cost of funds to 3.33% for the three months ended June 30, 2026, from 2.95% for the three months ended June 30, 2025.
Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense.
−Removed: Our average cost of funds calculated on a GAAP basis was 19 bps above the one-month average SOFR and 2 bps below the six-month average SOFR for the quarter ended March 31, 2026.
−Removed: 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.
−Removed: The average term to maturity of the outstanding repurchase agreements was 46 days at March 31, 2026 and 39 days at December 31, 2025.
−Removed: 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.
+Added: Our average cost of funds calculated on a GAAP basis was 17 bps above the one-month average SOFR and 13 bps above the six-month average SOFR for the quarter ended June 30, 2026.
+Added: Our average economic cost of funds was 30 bps below the average one-month SOFR and 34 bps below the average six-month SOFR for the quarter ended June 30, 2026.
+Added: The average term to maturity of the outstanding repurchase agreements was 33 days at June 30, 2026 and 39 days at December 31, 2025.
+Added: The table below presents the one-month average and six-month average SOFR rates for the six months ended June 30, 2026 and 2025, and for each quarter in 2026 to date and 2025.
Average GAAP Cost of Funds
3 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
Gains or Losses
−Removed: The table below presents our gains or losses for the three months ended March 31, 2026 and 2025.
+Added: The table below presents our gains or losses for the six and three months ended June 30, 2026 and 2025.
(in thousands)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Realized gains (losses) on sales of RMBS
3 unchanged sentences
Gains (losses) on interest rate swaps
+Added: Gains (losses) on payer swaptions (short positions)
Losses on payer swaptions (long positions)
−Removed: Losses on dual digital option
−Removed: Gains on TBA securities (short positions)
+Added: Losses on TBA securities (short positions)
Gains on TBA securities (long positions)
4 unchanged sentences
However, we have sold, and may continue to sell, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy.
−Removed: 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.
−Removed: 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.
+Added: During the six months ended June 30, 2026, we received proceeds of $356.5 million from sales of RMBS, resulting in gains of approximately $0.9 million.
+Added: During the six months ended June 30, 2025, we received proceeds of $733.9 million from sales of RMBS, resulting in losses of approximately $9.3 million.
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.
4 unchanged sentences
The table below presents historical interest rate data for each quarter in 2026 to date and 2025.
+Added: June 30, 2026
March 31, 2026
21 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
8 unchanged sentences
See “—GAAP and Non-GAAP Reconciliations,” for a description of our non-GAAP measures.
−Removed: 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.
−Removed: The table below presents a breakdown of operating expenses for the three months ended March 31, 2026 and 2025.
+Added: For the six and three months ended June 30, 2026, the Company’s total operating expenses were approximately $14.2 million and $6.8 million, respectively, compared to approximately $9.2 million and $5.0 million for the six and three months ended June 30, 2025, respectively.
+Added: The table below presents a breakdown of operating expenses for the six and three months ended June 30, 2026 and 2025.
(in thousands)
−Removed: Three Months Ended March 31,
+Added: Six Months Ended June 30,
+Added: Three Months Ended June 30,
Management fees
7 unchanged sentences
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.
−Removed: 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.
−Removed: Accrued incentive compensation for the three months ended March 31, 2026 includes $1.1 million under accrual of this liability.
−Removed: Incentive compensation for the three months ended March 31, 2025 includes a reversal of the $0.4 million over accrual of this liability.
+Added: During the six months ended June 30, 2026 and 2025, the Company awarded shares of Company common stock with a fair value of $1.7 million and $0.3 million, respectively.
+Added: Accrued incentive compensation for the six months ended June 30, 2026 includes a reversal of a $1.1 million under accrual of the December 31, 2025 liability.
+Added: Incentive compensation for the six months ended June 30, 2025 includes a reversal of a $0.4 million over accrual of the December 31, 2024 liability.
We are externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement.
5 unchanged sentences
One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500 million.
−Removed: 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.
−Removed: Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement.
−Removed: 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.
−Removed: under an agreement terminated on March 31, 2022.
+Added: The Manager also provides certain repurchase agreement trading, clearing and administrative services to the Company.
In consideration for such services, the Company pays the following fees to the Manager:
1 unchanged sentence
A fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 per month.
−Removed: The following table summarizes the management fee and overhead allocation expenses for each quarter in 2026 to date and 2025.
+Added: The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement.
+Added: Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement.
+Added: The following table summarizes the management fee and overhead allocation expenses for six months ended June 30, 2026 and 2025, and for each quarter in 2026 to date and 2025.
($ in thousands)
2 unchanged sentences
Administrative
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
+Added: Six Months Ended
+Added: June 30, 2026
+Added: June 30, 2025
Financial Condition:
Mortgage-Backed Securities
−Removed: 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%.
−Removed: 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.
−Removed: The average three month prepayment speeds for the quarters ended March 31, 2026 and 2025 were 14.7% and 7.8%, respectively.
+Added: As of June 30, 2026, our RMBS portfolio consisted of $11.5 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.52%.
+Added: During the six months ended June 30, 2026, we received principal repayments of $863.5 million, compared to $332.2 million for the six months ended June 30, 2025.
+Added: The average three month prepayment speeds for the quarters ended June 30, 2026 and 2025 were 10.9% and 10.1%, respectively.
The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our RMBS portfolio, on an annualized basis, for the quarterly periods presented.
3 unchanged sentences
Portfolio (%)
+Added: June 30, 2026
March 31, 2026
3 unchanged sentences
March 31, 2025
−Removed: The following tables summarize certain characteristics of the Company’s RMBS portfolio as of March 31, 2026 and December 31, 2025:
+Added: The following tables summarize certain characteristics of the Company’s RMBS portfolio as of June 30, 2026 and December 31, 2025:
($ in thousands)
Asset Category
−Removed: March 31, 2026
+Added: June 30, 2026
Fixed Rate RMBS
4 unchanged sentences
($ in thousands)
−Removed: March 31, 2026
+Added: June 30, 2026
December 31, 2025
4 unchanged sentences
Total Portfolio
−Removed: 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.
+Added: As of June 30, 2026, the Company's portfolio had an effective duration of 3.180, indicating that an interest rate increase of 1.0% would be expected to cause a 3.180% 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.
1 unchanged sentence
Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
−Removed: 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.
+Added: The following table presents a summary of portfolio assets acquired during the six months ended June 30, 2026 and 2025, including securities purchased during the period that settled after the end of the period, if any.
($ in thousands)
3 unchanged sentences
Weighted Average Yield
−Removed: 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.
+Added: As of June 30, 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 33 of these counterparties.
None of these lenders are affiliated with the Company.
1 unchanged sentence
We believe our established repurchase agreement borrowing facilities provide borrowing capacity in excess of our needs.
−Removed: 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%.
+Added: As of June 30, 2026, we had obligations outstanding under the repurchase agreements of approximately $11.1 billion with a net weighted average borrowing cost of 3.77%.
The remaining maturity of our outstanding repurchase agreement obligations ranged from 2 to 136 days, with a weighted average remaining maturity of 33 days.
−Removed: 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.
−Removed: 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.
+Added: Securing the repurchase agreement obligations as of June 30, 2026 are RMBS with an estimated fair value, including accrued interest, of approximately $11.5 billion, and cash pledged to counterparties of approximately $111.5 million.
+Added: Through July 24, 2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed at June 30, 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.
4 unchanged sentences
Three Months Ended
+Added: June 30, 2026
March 31, 2026
7 unchanged sentences
Adjusted leverage is calculated by dividing our repurchase agreements by stockholders' equity.
−Removed: Our economic leverage as of March 31, 2026 was 7.9 to 1, compared to 7.4 to 1 as of December 31, 2025.
−Removed: Our adjusted leverage as of March 31, 2026 was 7.8 to 1, compared to 7.4 to 1 as of December 31, 2025.
+Added: Our economic leverage as of June 30, 2026 and December 31, 2025 was 7.3 to 1.
+Added: Our adjusted leverage as of June 30, 2026 was 7.7 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'
+Added: June 30, 2026
March 31, 2026
16 unchanged sentences
However, we anticipate that we would be able to liquidate such securities readily, even in distressed markets, although we would likely do so at prices below where such securities could be sold in a more stable market.
−Removed: To enhance our liquidity even further, we may pledge a portion of our structured RMBS as part of a repurchase agreement funding, but retain the cash in lieu of acquiring additional assets.
−Removed: In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash.
Our strategy for hedging our funding costs typically involves taking short positions in interest rate futures, interest rate swaps, interest rate swaptions or other instruments.
16 unchanged sentences
rather haircuts are determined on an individual repo transaction basis.
−Removed: 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.
+Added: Throughout the six months ended June 30, 2026, haircuts on our pledged collateral remained stable and as of June 30, 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.
8 unchanged sentences
However, since we do not use TBA dollar roll transactions as our primary source of financing, we believe that we will have adequate sources of liquidity to meet such obligations.
−Removed: We invest a portion of our capital in structured Agency RMBS.
−Removed: We generally do not apply leverage to this portion of our portfolio.
−Removed: The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repurchase market.
−Removed: 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.
−Removed: As of March 31, 2026, we had cash and cash equivalents of $674.0 million.
−Removed: 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.
+Added: As of June 30, 2026, we had cash and cash equivalents of $682.6 million.
+Added: We generated cash flows of $1,163.4 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $10.7 billion during the six months ended June 30, 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
−Removed: At March 31, 2026, we had no material commitments for capital expenditures.
+Added: At June 30, 2026, we had no material commitments for capital expenditures.
Stockholders ’ Equity
5 unchanged sentences
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.
−Removed: 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.
−Removed: 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.
−Removed: 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 .
+Added: From inception through June 30, 2026, we issued a total of 48,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $360.9 million, and net proceeds of approximately $355.2 million, after commissions and fees.
+Added: For the six months ended June 30, 2026, we issued a total of 18,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $137.7 million, and net proceeds of approximately $135.5 million, after commissions and fees.
Economic Summary
−Removed: 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.
−Removed: There was also considerable uncertainty surrounding the two primary focus points of the Fed – inflation and the labor market.
−Removed: The impact of tariffs implemented in 2025 had not materially impacted goods prices, and it was unclear whether they would, and to what extent.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: Additional factors that could affect the economy emerged over the course of the quarter.
−Removed: The first was apparent strains in the private credit markets.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: Markets initially expected the war to be brief and the disruptions to the supply of oil and market turmoil to end quickly.
−Removed: This has not proved to be the case.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
+Added: The second quarter of 2026 was pivotal in many ways.
+Added: The Federal Reserve (“Fed”) transitioned from an easing bias to a hiking bias and a new Fed Chairman with a strong anti-inflation disposition was seated.
+Added: Meanwhile, the war between the United States, Israel and Iran (the “Iran War”) appeared to be on course to wind down by June before conditions deteriorated materially.
+Added: A near-term resolution now appears unlikely, allowing energy related inflationary pressures to persist.
+Added: On May 22, 2026, Kevin Warsh became the new Chairman of the Fed, replacing Jerome Powell as Chairman.
+Added: The new Chairman brings an elevated level of vigor in addressing the persistently high inflation that has exceeded the Fed’s 2% target for approximately 5 years.
+Added: Even before Chairman Warsh assumed his new role, the FOMC appeared to be shifting its bias away from additional easing toward hiking.
+Added: At the Fed’s meeting on April 29, 2026, there were three votes in favor of signaling a more two-side characterization of the Fed’s future interest rate decisions.
+Added: At Chairman Warsh’s first press conference on June 17, 2026, all doubt regarding the bias of the FOMC was put to rest.
+Added: The new Chairman was very stern in declaring his highest priority was bringing inflation back to the Fed’s target.
+Added: The Iran War appeared to be nearing conclusion when a ceasefire was announced on April 8, 2026, and a formal Memorandum of Understanding (“MOU”) was signed by the parties on June 17, 2026.
+Added: Shipping traffic through the Strait of Hormuz (“SOH”) was slowly returning to pre-war levels, and market volatility materially subsided.
+Added: However, shortly after the MOU was signed, hostilities between the parties began to escalate and shipping traffic through the SOH has slowed significantly again.
+Added: Commodity prices have rebounded in turn and are slowly heading back toward the peak levels reached in the early days of the war.
+Added: At this point, there is no obvious path to an end to the war, as the two crucial points of disagreement – control over the SOH and the status of Iran’s nuclear capability – seem unlikely to be resolved diplomatically.
+Added: Unless and until the war pivots again toward a peaceful resolution, upward pressure on commodity prices seems likely to persist, adding to already elevated levels of inflation in the United States and globally.
+Added: Developments in the Iran War have only exacerbated problems for the new Fed Chair and the FOMC.
+Added: The economy in the United States has proven to be very resilient in the face of inflation, particularly elevated commodity prices and disruptions to critical supply channels.
+Added: At the beginning of 2026, the labor market appeared to be stable, yet at low levels of job growth.
+Added: During the second quarter of 2026, the labor market appeared to pivot as job growth rebounded.
+Added: Consumer spending has also remained robust.
+Added: If the war remains unresolved for an extended period, the Fed will likely need to act and increase the Fed Funds rate.
+Added: Data for June 2026 released in July – namely the jobs report and the consumer price index and producer price index – were all weak.
+Added: As a result, market pricing of Fed hikes over the balance of 2026 and into 2027 has subsided.
+Added: Unless this data remains weak, the market is likely to see higher funding levels.
Interest Rates
−Removed: While interest rates across the U.S.
−Removed: 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.
−Removed: While the range of the yield on the 10-year U.S.
−Removed: Treasury and other maturities outside of the 2-year U.S.
−Removed: Treasury have expanded, yields have remained within the new range throughout the year.
−Removed: 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.
−Removed: Shorter maturity U.S.
−Removed: Treasuries, those most sensitive to monetary policy, have increased as the market no longer anticipates additional interest rate cuts by the Fed.
−Removed: 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.
−Removed: By the end of the first quarter, market pricing was approximately one-quarter of one 25-basis point cut by the end of 2026.
+Added: Consistent with the pivot in the outlook for Fed policy during the quarter, the nominal rates curve moved higher and flatter during the second quarter of 2026.
+Added: Specifically, the yield on the 2-year U.S.
+Added: Treasury note increased from 3.796% at March 31, 2026 to 4.175% at June 30, 2026, while the yield on the 10-year U.S.
+Added: Treasury note increased from 4.319% at March 31, 2026 to 4.466% at June 30, 2026.
+Added: As a result, the curve between these two points flattened by approximately 9 basis points.
+Added: Most proxies for the shape of the rates curve show comparable – or greater – levels of flattening during the second quarter of 2026.
+Added: The primary impetus for the movements in the nominal U.S.
+Added: Treasury curve and the swap curve was the pivot in market expectations for Fed Funds rate going forward.
+Added: At March 31, 2026, market expectations for the Fed Funds rate (based on Fed Funds futures contracts) were for slightly more than one rate cut by year end and two cuts by mid-2027.
+Added: By the end of the second quarter of 2026, Fed Funds futures implied nearly two hikes by year-end and in excess of three hikes by the end of first quarter of 2027.
+Added: Current pricing, reflecting the soft June 2026 data released in early July, is unchanged in terms of year-end levels but now reflects very modest cuts in early 2027.
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.
−Removed: Run-off from the Agency RMBS holdings is now directed towards purchasing U.S.
+Added: Run-off from the Agency RMBS holdings is now directed toward 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.
−Removed: These steps will result in increased purchases of U.S.
−Removed: Treasuries by the Fed going forward, and interest rate swap spreads have widened – or become less negative – as a result.
+Added: These steps resulted in increased purchases of U.S.
+Added: Treasuries by the Fed.
When the RMP program was first introduced, U.S.
−Removed: 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.
−Removed: 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.
−Removed: As is typically the case, the U.S.
−Removed: Treasury cash balances are elevated around the April 15 th filing deadline for individual income taxes.
−Removed: The Fed has reduced its RMP purchases for the balance of the filing period – typically approximately 2 months – to $25 billion per month.
−Removed: The market anticipates the level of purchases will go back to $40 billion per month thereafter.
−Removed: The reduction in monthly RMP purchases during this period is not expected to materially impact the Company’s funding levels.
+Added: Treasury purchases were $40 billion per month, although they have declined since and are currently $10 billion per month.
+Added: However, even at the lower level of purchases the program has been successful at 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.
+Added: As a result, funding levels available to the Company in the repo markets – typically expressed as a spread over SOFR – have remained stable during the second quarter, continuing the trend we saw during the first quarter of 2026.
The Agency RMBS Market
−Removed: The Agency RMBS market had a strong start to the quarter as both absolute and relative performance versus comparable duration U.S.
−Removed: Treasuries and swaps.
−Removed: 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.
−Removed: 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.
−Removed: The anticipated increase in purchases by the Enterprises resulted in an immediate outperformance of the sector.
−Removed: 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.
−Removed: The Agency RMBS market had a -1.6% return for March and an excess return of -0.3% versus comparable duration swaps.
−Removed: 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%.
−Removed: 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.
−Removed: 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%.
+Added: Interest rate volatility spiked meaningfully after the outbreak of the Iran War, consistent with the increase in interest rates across the curve.
+Added: Volatility peaked just before the first quarter of 2026 ended, with the Merrill Lynch Option Volatility Estimate Index reaching 115.02.
+Added: Following the announcement of a ceasefire on April 8, 2026, rate volatility dropped nearly to pre-war levels by mid-April and remained relatively stable throughout the balance of the second quarter.
+Added: Implied interest rate volatility has remained range bound at low levels since the end of the second quarter.
+Added: As is typically the case, subdued levels of implied interest rate volatility and range-bound interest rates are conducive to Agency RMBS market performance, and the sector had a positive quarter in both absolute and excess returns.
+Added: For the second quarter of 2026, the Agency RMBS sector generated a total return of 0.6% and 0.5% versus comparable duration swaps.
+Added: By comparison, the high-yield and investment-grade corporate bond sectors produced returns of 2.5% and 1.4%, respectively, and excess returns of 2.4% and 1.5%, respectively, versus comparable duration swaps over the same period.
+Added: Within Agency RMBS for the second quarter of 2026, conventional 30-year mortgages generated a total return of 0.6%, 15-year mortgages generated a total return of 0.1% and Ginnie Mae 30-year mortgages generated a total return of 0.7%.
Versus comparable duration swaps, the returns were 0.6%, 0.0% and 0.6% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.
The Company invests predominantly in 30-year conventional mortgages.
−Removed: Returns with the 30-year stack varied greatly by coupon, with lower (3.0% and lower) and highest coupons (6.5% and higher) outperforming middle coupons.
−Removed: This was the case for both absolute and excess returns for the first quarter.
−Removed: As interest rates ended the quarter slightly higher than at the end of 2025 prepayment rates – and expectations for prepayment rates going forward – subsided.
−Removed: This led to outperformance for highest coupons – even higher than the lowest coupon securities.
−Removed: 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.
−Removed: Excess returns for these coupons were both -0.2%.
+Added: Returns with the 30-year stack were lowest for lower coupons and increased for progressively higher coupons, with returns for coupons 4% and lower between 0.2% and 0.5%, and above 1.0% for coupons of 5% and higher.
+Added: This is consistent with higher interest rates, lower prepayment expectations and the durations of the various coupons inversely related to coupon – the lower the coupon the higher the duration, and visa-versa.
+Added: Conversely, excess returns were best for middle coupons – between the 4.5% and 6.0% coupons, with lower and higher coupons lagging.
+Added: Excess returns for middle coupons were between 0.7% and 1.2%, while the lower and higher coupons ranged between 0.3% and 0.8%.
Recent Legislative and Regulatory Developments
18 unchanged sentences
Treasuries via RMPs in order to maintain an ample level of reserves on an ongoing basis.
−Removed: 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.
+Added: RMPs were reduced to $25 billion per month in April 2026, and further reduced to $10 billion per month in May 2026, As of June 30, 2026, the Fed had reduced its balance sheet for Agency RMBS by approximately $792 billion from the peak of approximately $2.7 trillion to approximately $1.9 trillion, shedding approximately 58% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since August 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.
−Removed: 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.
−Removed: The announcement of the directive, designed to increase liquidity and compress the spread between mortgage interest rates and the 10-year U.S.
−Removed: Treasury, had the intended effect immediately and significantly increased mortgage application volumes.
−Removed: 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.
−Removed: Treasury and mortgage interest spreads if the Fed decides to tighten monetary policy while the Trump administration is loosening it through the Enterprises.
−Removed: 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.
+Added: Throughout 2025 and early 2026, there was some speculation in the market regarding progress towards an end to the conservatorship, including through an initial public offering, but no definitive action has been taken and many analysts believe additional capital is needed before the Enterprises can safely exit conservatorship.
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”).
12 unchanged sentences
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.
−Removed: The comment period for the revised proposals is scheduled to close on June 18, 2026.
+Added: The comment period for the revised proposals closed on June 18, 2026, with the Fed indicating that they hope to release the final rule by the end of 2026.
The scope and nature of the actions the U.S.
33 unchanged sentences
Effects on our borrowing costs
−Removed: We leverage our PT RMBS portfolio and a portion of our structured Agency RMBS with principal balances through the use of short-term repurchase agreement transactions.
+Added: We leverage our PT RMBS and structured Agency RMBS through the use of short-term repurchase agreement transactions.
The interest rates on our debt are determined by the short term interest rate markets.
5 unchanged sentences
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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: 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.
−Removed: Looking forward, the war in Iran continues to be the dominant force driving the performance of all markets.
+Added: As we entered 2026, interest rates had been range bound for more than 12 months, but the range was broken during the first quarter of 2026 as a result of the Iran War.
+Added: After a brief respite in the conflict, rates moved higher once again as prospects for a resolution dimmed and a new Fed Chairman, Kevin Warsh, took control of the Fed, immediately expressing his strong conviction in ending the five-year period of inflation running above the Fed’s 2% target.
+Added: Interest rate volatility, both realized and implied in interest rate options, has remained subdued outside of the temporary spike at the onset of the Iran War.
+Added: At the outset of 2026, there was uncertainty about how the risks facing the economy would ultimately drive Fed policy and the level of interest rates, with resulting impacts on risk assets and Agency RMBS.
+Added: Inflation was elevated, but risks to the growth outlook were clearly present, creating a quandary for policy makers.
+Added: This does not appear to be the case now.
+Added: Growth has proven to be remarkably resilient, as has the labor market, and the growth of the economy is not a pressing concern for policy makers or markets.
+Added: Inflation, however, remains well above the Fed’s target and the Iran War seems likely to persist, representing a continued source of commodity inflation.
+Added: Data released for June in early July reflected a welcome decrease in the various inflation measures, but considerable doubt remains regarding the sustainability of these readings.
+Added: Looking forward, the Iran War continues to be a 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.
−Removed: 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.
−Removed: and global economies.
−Removed: 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.
−Removed: Positioning of the portfolio, in terms of asset selection, is likely to remain defensive going forward as well.
+Added: As for the economy and monetary policy, the outlook is no longer uncertain, as the path of inflation alone is likely to drive monetary policy and interest rate levels in the United States.
+Added: The Company has maintained modest levels of leverage for the past several quarters and is likely to continue to do so given the prevailing market uncertainty.
Critical Accounting Estimates
10 unchanged sentences
2026 - YTD (1)
−Removed: On April 15, 2026, the Company declared a dividend of $0.10 per share to be paid on May 28, 2026.
−Removed: 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.
+Added: On July 8, 2026, the Company declared a dividend of $0.10 per share to be paid on August 28, 2026.
+Added: The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 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.