Orchid Island Capital, Inc. (ORC)

CIK: 0001518621. SIC: 6798 Real Estate Investment Trusts. Latest 10-K as of: 2026-02-20.

SIC breadcrumb: Finance, Insurance, And Real Estate > Holding And Other Investment Offices > SIC 6798 Real Estate Investment Trusts

SEC company page: https://www.sec.gov/edgar/browse/?CIK=1518621. Latest filing source: 0001437749-26-004889.

Selected Fundamentals

Financials

Annual standardized facts from SEC companyfacts as of latest extracted filing date 2026-02-20. Source: https://data.sec.gov/api/xbrl/companyfacts/CIK0001518621.json. Derived margins, ratios, and free cash flow are computed from the extracted annual SEC facts.

Flow metrics use full-year FY periods from 10-K/10-K/A filings; balance-sheet metrics use FY-end instants. Free cash flow = operating cash flow - capital expenditures. Missing metrics are omitted rather than fabricated.

Ratios

ROE and ROA use period-end equity/assets. Liabilities / equity uses total liabilities divided by stockholders' equity. Current ratio uses current assets divided by current liabilities when both are reported.

Financial Charts

Quarterly

Quarterly standardized facts from SEC companyfacts as of latest extracted filing date 2026-04-24. Source: https://data.sec.gov/api/xbrl/companyfacts/CIK0001518621.json.

Flow metrics use discrete quarter-length periods from 10-Q/10-Q/A filings. Q4 revenue and net income are derived only when annual FY and nine-month YTD facts exist for the same fiscal year; derived Q4 values are labeled. EPS Q4 is not derived.

Quarterly Charts

Macro Cross-References

• CPIAUCSL - Consumer Price Index for All Urban Consumers: All Items in U.S. City Average
• UNRATE - Unemployment Rate
• FEDFUNDS - Federal Funds Effective Rate
• CES0500000003 - Average Hourly Earnings of All Employees, Total Private
• DFEDTARU - Federal Funds Target Range - Upper Limit
• DFEDTARL - Federal Funds Target Range - Lower Limit
• DGS3MO - Market Yield on U.S. Treasury Securities at 3-Month Constant Maturity
• DGS2 - Market Yield on U.S. Treasury Securities at 2-Year Constant Maturity
• DGS10 - Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity
• DGS30 - Market Yield on U.S. Treasury Securities at 30-Year Constant Maturity
• T10Y2Y - 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity
• CPILFESL - Consumer Price Index for All Urban Consumers: All Items Less Food and Energy
• CPIUFDSL - Consumer Price Index for All Urban Consumers: Food
• CPIENGSL - Consumer Price Index for All Urban Consumers: Energy
• CUSR0000SAH1 - Consumer Price Index for All Urban Consumers: Shelter
• PCEPI - Personal Consumption Expenditures: Chain-type Price Index
• PCEPILFE - Personal Consumption Expenditures Excluding Food and Energy: Chain-type Price Index
• PPIACO - Producer Price Index by Commodity: All Commodities
• T10YIE - 10-Year Breakeven Inflation Rate
• U6RATE - Total Unemployed, Plus All Marginally Attached Workers Plus Total Employed Part Time for Economic Reasons
• PAYEMS - All Employees, Total Nonfarm
• CIVPART - Labor Force Participation Rate
• EMRATIO - Employment-Population Ratio
• UNEMPLOY - Unemployed
• CE16OV - Employment Level
• ICSA - Initial Claims
• JTSJOL - Job Openings: Total Nonfarm
• JTSQUR - Quits: Total Nonfarm
• GDPC1 - Real Gross Domestic Product
• A191RL1Q225SBEA - Real Gross Domestic Product: Percent Change from Preceding Period
• INDPRO - Industrial Production: Total Index
• TCU - Capacity Utilization: Total Index
• HOUST - New Privately-Owned Housing Units Started: Total Units
• PERMIT - New Privately-Owned Housing Units Authorized in Permit-Issuing Places: Total Units
• RSAFS - Advance Retail Sales: Retail Trade
• PCE - Personal Consumption Expenditures
• DSPIC96 - Real Disposable Personal Income
• PSAVERT - Personal Saving Rate
• M2SL - M2
• BOPGSTB - U.S. International Trade in Goods and Services: Balance
• MSPUS - Median Sales Price of Houses Sold for the United States
• HSN1F - New One Family Houses Sold: United States
• RHORUSQ156N - Homeownership Rate in the United States
• TTLCONS - Total Construction Spending: Total Construction in the United States
• RRVRUSQ156N - Rental Vacancy Rate in the United States
• TOTALSL - Total Consumer Credit Owned and Securitized
• REVOLSL - Revolving Consumer Credit Owned and Securitized
• DRCCLACBS - Delinquency Rate on Credit Card Loans, All Commercial Banks
• GDP - Gross Domestic Product
• GPDI - Gross Private Domestic Investment
• GCE - Government Consumption Expenditures and Gross Investment
• PCEC - Personal Consumption Expenditures
• NETEXP - Net Exports of Goods and Services
• GFDEBTN - Federal Debt: Total Public Debt
• GFDEGDQ188S - Federal Debt: Total Public Debt as Percent of Gross Domestic Product
• FYFSD - Federal Surplus or Deficit
• FGRECPT - Federal Government Current Receipts
• FGEXPND - Federal Government: Current Expenditures
• MANEMP - All Employees, Manufacturing
• USCONS - All Employees, Construction
• USTRADE - All Employees, Retail Trade
• USFIRE - All Employees, Financial Activities
• USGOVT - All Employees, Government
• AWHAETP - Average Weekly Hours of All Employees, Total Private
• DGORDER - Manufacturers' New Orders: Durable Goods
• NEWORDER - Manufacturers' New Orders: Nondefense Capital Goods Excluding Aircraft
• BUSINV - Total Business Inventories
• EXPGS - Exports of Goods and Services
• IMPGS - Imports of Goods and Services
• IR - Import Price Index (End Use): All Commodities
• PPIFIS - Producer Price Index by Commodity: Final Demand

Latest quarter (10-Q)

Latest 10-Q source: 0001437749-26-013290.

Extracted structurally from real Item 2 body heading to real Item 3/4 boundary. Published MD&A gate trimmed front/tail over-capture. Confidence: high. Filing date: 2026-04-24. Report date: 2026-03-31.

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion of our financial condition and results of operations should be read in conjunction with the financial statements and notes to those statements included in Item 1 of this Form 10-Q. Certain written statements in this Quarterly Report on Form 10-Q that are not historical facts constitute “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Exchange Act. Statements in this report addressing expectations, assumptions, beliefs, projections, future plans and strategies, future events, developments that we expect or anticipate will occur in the future, and future operating results, capital management, and dividend policy are forward-looking statements. Forward-looking statements are based upon management’s beliefs, assumptions, and expectations as of the date of this report regarding future events and operating performance, considering all information currently available to us, and are applicable only as of the date of this report. Forward-looking statements generally can be identified by the use of words such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “may,” “will,” “intend,” “should,” “could,” or similar expressions. We caution readers not to place undue reliance on our forward-looking statements, which are not historical facts and may be based on projections, assumptions, expectations, and anticipated events that do not materialize. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statement, whether as a result of new information, future events, or otherwise. Forward-looking statements in this Quarterly Report on Form 10-Q may include, but are not limited to, statements about interest rates, inflation, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio composition, positioning and repositioning, hedging levels, leverage ratio, dividends, investment and return opportunities, the supply and demand for Agency RMBS and the performance of the Agency RMBS sector generally, the effect of actual or expected actions of the U.S. government, including the Fed, market expectations, capital raising, future opportunities and prospects of the Company, the stock repurchase program, geopolitical uncertainty and general economic conditions (including the effects of artificial intelligence, wars, tariffs, trade wars, inflation, the U.S. deficit, and the strength of the U.S. dollar). As a result of many factors, such as those set forth under “Risk Factors” in our most recent Annual Report on Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

Overview

We are a specialty finance company that invests in residential mortgage-backed securities (“RMBS”) which are issued and guaranteed by a federally chartered corporation or agency (“Agency RMBS”). Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through ("PT") Agency RMBS, such as mortgage PT certificates issued by the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac" and together with Fannie Mae, the "Enterprises") or the Government National Mortgage Association ("Ginnie Mae" and, together with the Enterprises the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”) and (ii) structured Agency RMBS, such as interest-only securities (“IOs”), inverse interest-only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency RMBS. We were formed by Bimini Capital Management, Inc. ("Bimini") in August 2010, commenced operations on November 24, 2010 and completed our initial public offering (“IPO”) on February 20, 2013. We are externally managed by Bimini Advisors, LLC ("Bimini Advisors," or our "Manager"), an investment adviser registered with the Securities and Exchange Commission (the “SEC”).

Our business objective is to provide attractive risk-adjusted total returns over the long term through a combination of capital appreciation and the payment of regular monthly distributions. We intend to achieve this objective by investing in the two categories of Agency RMBS described above. We seek to generate income from (i) the net interest margin on our leveraged PT RMBS portfolio and the leveraged portion of our structured Agency RMBS portfolio, and (ii) the interest income we generate from the unleveraged portion of our structured Agency RMBS portfolio. We intend to fund our PT RMBS and certain of our structured Agency RMBS through short-term borrowings structured as repurchase agreements. 

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"). We generally will not be subject to U.S. federal income tax to the extent that we currently distribute all of our REIT taxable income (as defined in the Code) to our stockholders and maintain our REIT qualification.

The Company’s common stock trades on the New York Stock Exchange under the symbol “ORC”.

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Capital Raising Activities

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $350,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000. We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.

On October 27, 2025, we entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $500,000,000 of gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. From inception through March 31, 2026, we issued a total of 44,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $332.7 million, and net proceeds of approximately $327.5 million, after commissions and fees. For the three months ended March 31, 2026, we issued a total of 14,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $109.5 million, and net proceeds of approximately $107.8 million, after commissions and fees. Subsequent to March 31, 2026, we issued a total of 4,000,000 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $28.2 million, and net proceeds of approximately $27.8 million, after commissions and fees.

Stock Repurchase Agreement

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000 shares of our common stock. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company’s discretion without prior notice. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 904,564 shares of the Company’s common stock. Coupled with the 156,751 shares remaining from the original 400,000 share authorization, the increased authorization brought the total authorization to 1,061,315 shares, representing 10% of the Company’s then outstanding share count.

On December 9, 2021, 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 3,372,399 shares, bringing the remaining authorization under the stock repurchase program to 3,539,861 shares, representing approximately 10% of the Company’s then outstanding shares of common stock.

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. This stock repurchase program has no termination date.

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. The Company did not repurchase any shares during the three months ended March 31, 2026. During the year ended December 31, 2025, the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.52 per share. The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.

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Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors may impact our results of operations and financial condition. These factors include:

●

interest rate trends;

●

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

●

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

●

competition for, and supply of, investments in Agency RMBS;

●

actions taken by the U.S. 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. Treasury;

●

prepayment rates on mortgages underlying our Agency RMBS and credit trends insofar as they affect prepayment rates; and

●

other market developments, including bank failures.

In addition, a variety of factors relating to our business may also impact our results of operations and financial condition. These factors include:

●

our degree of leverage;

●

our access to funding and borrowing capacity;

●

our borro

[Excerpt truncated for page length; source filing is linked above.]

Latest 10-K MD&A

Extracted structurally from real Item 7 body heading to real Item 7A/8 boundary. Confidence: high. Filing date: 2026-02-20. Report date: 2025-12-31.

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion of our financial condition and results of operations should be read in conjunction with the financial statements and notes to those statements included in Item 8 of this Form 10-K. The discussion may contain certain forward-looking statements that involve risks and uncertainties. Forward-looking statements are those that are not historical in nature. As a result of many factors, such as those set forth under “Risk Factors” in this Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

Overview

We are a specialty finance company that invests in residential mortgage-backed securities (“RMBS”) which are issued and guaranteed by a federally chartered corporation or agency (“Agency RMBS”). Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional PT Agency RMBS, such as mortgage PT certificates issued by the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac" and together with Fannie Mae, the "Enterprises") or the Government National Mortgage Association ("Ginnie Mae" and, together with the Enterprises the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”) and (ii) structured Agency RMBS, such as interest-only securities (“IOs”), inverse interest-only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency RMBS. We were formed by Bimini Capital Management, Inc. ("Bimini") in August 2010, commenced operations on November 24, 2010 and completed our initial public offering (“IPO”) on February 20, 2013. We are externally managed by Bimini Advisors, LLC ("Bimini Advisors," or our "Manager"), an investment adviser registered with the Securities and Exchange Commission (the “SEC”).

Our business objective is to provide attractive risk-adjusted total returns over the long term through a combination of capital appreciation and the payment of regular monthly distributions. We intend to achieve this objective by investing in the two categories of Agency RMBS described above. We seek to generate income from (i) the net interest margin on our leveraged PT RMBS portfolio and the leveraged portion of our structured Agency RMBS portfolio, and (ii) the interest income we generate from the unleveraged portion of our structured Agency RMBS portfolio. We intend to fund our PT RMBS and certain of our structured Agency RMBS through short-term borrowings structured as repurchase agreements. 

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"). We generally will not be subject to U.S. federal income tax to the extent that we currently distribute all of our REIT taxable income (as defined in the Code) to our stockholders and maintain our REIT qualification.

The Company’s common stock trades on the New York Stock Exchange under the symbol “ORC”.

Capital Raising Activities

On October 29, 2021, we entered into an equity distribution agreement (the “October 2021 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 9,742,188 shares under the October 2021 Equity Distribution Agreement for aggregate gross proceeds of approximately $151.8 million, and net proceeds of approximately $149.3 million, after commissions and fees, prior to its termination in March 2023. 

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

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On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $350,000,000 of gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000. We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.

On October 27, 2025, we entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $500,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through December 31, 2025, we issued a total of 30,265,963 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $223.1 million, and net proceeds of approximately $219.7 million, after commissions and fees. Subsequent to December 31, 2025, we issued a total of 8,707,492 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $66.2 million, and net proceeds of approximately $65.2 million, after commissions and fees.

Stock Repurchase Program

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000 shares of our common stock. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 904,564 shares of the Company’s common stock. Coupled with the 156,751 shares remaining from the original 400,000 share authorization, the increased authorization brought the total authorization to 1,061,315 shares, representing 10% of the then outstanding share count. 

On December 9, 2021, 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 3,372,399 shares, bringing the remaining authorization under the stock repurchase program to 3,539,861 shares, representing approximately 10% of the Company’s then outstanding shares of common stock.

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. This stock repurchase program has no termination date.

From the inception of the stock repurchase program through December 31, 2025, the Company repurchased a total of 6,257,826 shares at an aggregate cost of approximately $84.8 million, including commissions and fees, for a weighted average price of $13.55 per share. During the year ended December 31, 2025, the Company repurchased a total of 1,113,224 shares of its common stock at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.52 per share.

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Table of Contents

Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors may impact our results of operations and financial condition. These factors include:

●

interest rate trends;

●

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

●

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

●

competition for, and supply of, investments in Agency RMBS;

●

actions taken by the U.S. government, including the presidential administration, the Fed, the Federal Housing Financing Agency (the “FHFA”), the Federal Deposit Insurance Corporation (the "FDIC"), the Federal Housing Administration (the “FHA”), the Federal Open Market Committee (the “FOMC”) and the U.S. Treasury;

●

prepayment rates on mortgages underlying our Agency RMBS and credit trends insofar as they affect prepayment rates; and

●

other market developments, including bank failures.

In addition, a variety of factors relating to our business may also impact our results of operations and financial condition. These factors include:

●

our degree of leverage;

●

our access to funding and borrowing capacity;

●

our borrowing costs;

●

our hedging activities;

●

the market value of our investments; and

●

the requirements to maintain our qualification as a REIT and the requirements to qualify for a registration exemption under the Investment Company Act.

Results of Operations

Described below are the Company’s results of operations for the year ended December 31, 2025, as compared to the Company’s results of operations for the years ended December 31, 2024 and 2023.

Net Income (Loss) Summary

Net income for the year ended December 31, 2025 was $159.0 million, or $1.24 per share. Net income for the year ended December 31, 2024 was $37.7 million, or $0.57 per share. Net loss for the year ended December 31, 2023 was $39.2 million, or $0.89 per share. The components of net income (income (loss)) for the years ended December 31, 2025, 2024 and 2023 are presented in the table below:

(in thousands)

2025

2024

2023

Interest income

$

414,001

$

241,577

$

177,569

Interest expense

(305,732

)

(236,281

)

(201,918

)

Net interest income

108,269

5,296

(24,349

)

Gains on RMBS and derivative contracts

71,241

49,110

3,654

Net portfolio income (loss)

179,510

54,406

(20,695

)

Expenses

(20,480

)

(16,744

)

(18,531

)

Net income (loss)

$

159,030

$

37,662

$

(39,226

)

GAAP and Non-GAAP Reconciliations

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including “Net Earnings Excluding Realized and Unrealized Gains and Losses”, “Economic Interest Expense”, “Economic Net Interest Income,” “Interest Income – Inclusive of Premium Amortization/Discount Accretion” and “Yield on Average RMBS – Inclusive of Premium Amortization/Discount Accretion.”

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Net Earnings Excluding Realized and Unrealized Gains and Losses

We have elected to account for our Agency RMBS under the fair value option. Securities held under the fair value option are recorded at estimated fair value, with changes in the fair value recorded as unrealized gains or losses through the statements of comprehensive income (loss).

In addition, we have not designated our derivative financial instruments used for hedging purposes as hedges for accounting purposes, but rather hold them for economic hedging purposes. Changes in fair value of these instruments are presented in a separate line item in the Company’s statements of comprehensive income (loss) and are not included in interest expense. As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

Presenting net earnings excluding realized and unrealized gains and losses allows management to: (i) isolate the net interest income and other expenses of the Company over time, free of all fair value adjustments and (ii) assess the effectiveness of our funding and hedging strategies on our capital allocation decisions and our asset allocation performance. Our funding and hedging strategies, capital allocation and asset selection are integral to our risk management strategy, and therefore critical to the management of our portfolio. We believe that the presentation of our net earnings excluding realized and unrealized gains is useful to investors because it provides a means of comparing our results of operations to those of our peers who have not elected the same accounting treatment. Our presentation of net earnings excluding realized and unrealized gains and losses may not be comparable to similarly-titled measures of other companies, who may use different calculations. As a result, net earnings excluding realized and unrealized gains and losses should not be considered as a substitute for our GAAP net income (loss) as a measure of our financial performance or any measure of our liquidity under GAAP. The table below presents a reconciliation of our net income (loss) determined in accordance with GAAP and net earnings excluding realized and unrealized gains and losses. Described below are the Company's results of operations for the years ended December 31, 2025, 2024 and 2023, and for each quarter during 2025, 2024 and 2023.

Net Earnings (Loss) Excluding Realized and Unrealized Gains and Losses

(in thousands, except per share data)

Per Share

Net

Net

Earnings

Earnings

(Loss)

(Loss)

Excluding

Excluding

Net

Realized and

Realized and

Net

Realized and

Realized and

Income

Unrealized

Unrealized

Income

Unrealized

Unrealized

(Loss)

Gains and

Gains and

(Loss)

Gains and

Gains and

(GAAP)

Losses(1)

Losses

(GAAP)

Losses(1)

Losses

Three Months Ended

December 31, 2025

$

103,408

$

70,742

$

32,666

$

0.62

$

0.43

$

0.19

September 30, 2025

72,078

50,600

21,478

0.53

0.37

0.16

June 30, 2025

(33,578

)

(51,736

)

18,158

(0.29

)

(0.45

)

0.16

March 31, 2025

17,122

1,635

15,487

0.18

0.02

0.16

December 31, 2024

5,545

1,759

3,786

0.07

0.02

0.05

September 30, 2024

17,320

21,249

(3,929

)

0.24

0.29

(0.05

)

June 30, 2024

(4,979

)

98

(5,077

)

(0.09

)

-

(0.09

)

March 31, 2024

19,776

26,004

(6,228

)

0.38

0.50

(0.12

)

December 31, 2023

27,127

33,977

(6,850

)

0.52

0.65

(0.13

)

September 30, 2023

(80,132

)

(66,890

)

(13,242

)

(1.68

)

(1.40

)

(0.28

)

June 30, 2023

10,250

23,828

(13,578

)

0.25

0.59

(0.34

)

March 31, 2023

3,530

12,739

(9,209

)

0.09

0.33

(0.24

)

Years Ended

December 31, 2025

$

159,030

$

71,241

$

87,789

$

1.24

$

0.56

$

0.68

December 31, 2024

37,662

49,110

(11,448

)

0.57

0.75

(0.18

)

December 31, 2023

(39,225

)

3,654

(42,879

)

(0.89

)

0.08

(0.97

)

(1)

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

43

Table of Contents

Economic Interest Expense and Economic Net Interest Income

We use derivative and other hedging instruments, specifically Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures contracts, short positions in U.S. Treasury securities, interest rate floors and caps, dual digital options, interest rate swaps and swaptions, to hedge a portion of the interest rate risk on repurchase agreements in a rising rate environment.

We have not elected to designate our derivative holdings for hedge accounting treatment. Changes in fair value of these instruments are presented in a separate line item in our statements of comprehensive income (loss) and not included in interest expense. As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized and unrealized gains or losses on certain derivative instruments the Company uses, specifically Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, that pertain to each period presented. We believe that adjusting our interest expense for the periods presented by the gains or losses on these derivative instruments would not accurately reflect our economic interest expense for these periods. The reason is that these derivative instruments may cover periods that extend into the future, not just the current period. Any realized or unrealized gains or losses on the instruments reflect the change in market value of the instrument caused by changes in underlying interest rates applicable to the term covered by the instrument, not just the current period. For each period presented, we have combined the effects of the derivative financial instruments in place for the respective period with the actual interest expense incurred on borrowings to reflect total economic interest expense for the applicable period. Interest expense, including the effect of derivative instruments for the period, is referred to as economic interest expense. Net interest income, when calculated to include the effect of derivative instruments for the period, is referred to as economic net interest income. This presentation includes gains or losses on all contracts in effect during the reporting period, covering the current period as well as periods in the future.

From time to time, we invest in TBAs, which are forward contracts for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into a dollar roll transaction. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. These TBAs are accounted for as derivatives and marked to market through the income statement. Gains or losses on TBAs are included with gains or losses on other derivative contracts and are not included in interest income for purposes of the discussions below.

We believe that economic interest expense and economic net interest income provide meaningful information to consider, in addition to the respective amounts prepared in accordance with GAAP. The non-GAAP measures help management to evaluate its financial position and performance without the effects of certain transactions and GAAP adjustments that are not necessarily indicative of our current investment portfolio or operations. The unrealized gains or losses on derivative instruments presented in our statements of comprehensive income (loss) are not necessarily representative of the total interest rate expense that we will ultimately realize. This is because as interest rates move up or down in the future, the gains or losses we ultimately realize, and which will affect our total interest rate expense in future periods, may differ from the unrealized gains or losses recognized as of the reporting date.

Our presentation of the economic value of our hedging strategy has important limitations. First, other market participants may calculate economic interest expense and economic net interest income differently than the way we calculate them. Second, while we believe that the calculation of the economic value of our hedging strategy described above helps to present our financial position and performance, it may be of limited usefulness as an analytical tool. Therefore, the economic value of our investment strategy should not be viewed in isolation and is not a substitute for interest expense and net interest income computed in accordance with GAAP.

The tables below present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the income statement line item, gains (losses) on derivative instruments, calculated in accordance with GAAP for the years ended December 31, 2025, 2024 and 2023 and each quarter during 2025, 2024 and 2023.

44

Table of Contents

Gains (Losses) on Derivative Instruments

(in thousands)

Economic Hedges

Recognized in

Attributed to

Attributed to

Income

TBA Securities Gain (Loss)

Current

Future

Statement

Short

Long

Period

Periods

(GAAP)

Positions

Positions

(Non-GAAP)

(Non-GAAP)

Three Months Ended

December 31, 2025

$

14,048

$

(3,478

)

$

158

$

19,578

$

(2,210

)

September 30, 2025

(8,772

)

(4,272

)

957

21,872

(27,329

)

June 30, 2025

(53,286

)

(7,662

)

472

20,937

(67,033

)

March 31, 2025

(74,659

)

3,026

100

20,912

(98,697

)

December 31, 2024

160,412

9,937

(683

)

27,782

123,376

September 30, 2024

(140,825

)

(16,315

)

348

31,924

(156,782

)

June 30, 2024

26,068

3,042

-

29,459

(6,433

)

March 31, 2024

87,899

9,903

105

27,587

50,304

December 31, 2023

(149,016

)

(29,750

)

(2,262

)

25,161

(142,165

)

September 30, 2023

142,042

21,511

(2,024

)

24,440

98,115

June 30, 2023

93,367

15,599

(574

)

23,482

54,860

March 31, 2023

(41,156

)

(5,990

)

-

19,211

(54,377

)

Years Ended

December 31, 2025

$

(122,669

)

$

(12,386

)

$

1,687

$

83,299

$

(195,269

)

December 31, 2024

133,554

6,567

(230

)

116,752

10,465

December 31, 2023

45,237

1,370

(4,860

)

92,294

(43,567

)

Economic Interest Expense and Economic Net Interest Income

(in thousands)

Interest Expense on Borrowings

Gains

(Losses) on

Derivative

Instruments

Net Interest Income

GAAP

Attributed

Economic

GAAP

Economic

Interest

Interest

to Current

Interest

Net Interest

Net Interest

Income

Expense

Period(1)

Expense(2)

Income

Income(3)

Three Months Ended

December 31, 2025

$

132,188

$

93,705

$

19,578

$

74,127

$

38,483

$

58,061

September 30, 2025

108,434

81,515

21,872

59,643

26,919

48,791

June 30, 2025

92,289

69,135

20,937

48,198

23,154

44,091

March 31, 2025

81,090

61,377

20,912

40,465

19,713

40,625

December 31, 2024

71,996

63,853

27,782

36,071

8,143

35,925

September 30, 2024

67,646

67,306

31,924

35,382

340

32,264

June 30, 2024

53,064

53,761

29,459

24,302

(697

)

28,762

March 31, 2024

48,871

51,361

27,587

23,774

(2,490

)

25,097

December 31, 2023

49,539

52,325

25,161

27,164

(2,786

)

22,375

September 30, 2023

50,107

58,705

24,440

34,265

(8,598

)

15,842

June 30, 2023

39,911

48,671

23,482

25,189

(8,760

)

14,722

March 31, 2023

38,012

42,217

19,211

23,006

(4,205

)

15,006

Years Ended

December 31, 2025

$

414,001

$

305,732

$

83,299

$

222,433

$

108,269

$

191,568

December 31, 2024

241,577

236,281

116,752

119,529

5,296

122,048

December 31, 2023

177,569

201,918

92,294

109,624

(24,349

)

67,945

(1)

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

(2)

Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP interest expense.

(3)

Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.

45

Table of Contents

Net Interest Income

During the year ended December 31, 2025, we generated $108.3 million of net interest income, consisting of $414.0 million of interest income from RMBS assets offset by $305.7 million of interest expense on borrowings. For the comparable period ended December 31, 2024, we generated $5.3 million of net interest income, consisting of $241.6 million of interest income from RMBS assets offset by $236.3 million of interest expense on borrowings. The $172.4 million increase in interest income was driven by a 26 basis points ("bps") increase in yield on average RMBS, combined with a $2,901.3 million increase in average RMBS. The $69.5 million increase in interest expense for the year ended December 31, 2025 was driven by a $2,749.6 million increase in average borrowings, that was partially offset by 108 bps decrease in the average cost of funds.

For the year ended December 31, 2023, we incurred $24.4 million of net interest expense, consisting of $177.6 million of interest income from RMBS assets offset by $201.9 million of interest expense on borrowings. The $64.0 million increase in interest income for the year ended December 31, 2024, compared to the year ended December 31, 2023, was due to a 97 bps increase in yield on average RMBS, combined with a $453.0 million increase in average RMBS. The $34.4 million increase in interest expense for the year ended December 31, 2024 was due to a 28 bps increase in the average cost of funds, combined with a $428.4 million increase in average borrowings.

On an economic basis, our interest expense on borrowings for the years ended December 31, 2025, 2024 and 2023 was $222.4 million, $119.5 million and $109.6 million, respectively, resulting in $191.6 million, $122.1 million and $68.0 million of economic net interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income (expense) and net interest spread for each quarter in 2025, 2024 and 2023 and for the years ended December 31, 2025, 2024 and 2023 on both a GAAP and economic basis.

($ in thousands)

Average

Yield on

Interest Expense

Average Cost of Funds

RMBS

Interest

Average

Average

GAAP

Economic

GAAP

Economic

Held(1)

Income

RMBS

Borrowings(1)

Basis

Basis(2)

Basis

Basis(3)

Three Months Ended

December 31, 2025

$

9,492,369

$

132,188

5.57

%

$

9,061,222

$

93,705

$

74,127

4.14

%

3.27

%

September 30, 2025

7,674,720

108,434

5.65

%

7,331,428

81,515

59,643

4.45

%

3.25

%

June 30, 2025

6,865,727

92,289

5.38

%

6,537,260

69,135

48,198

4.23

%

2.95

%

March 31, 2025

5,995,702

81,090

5.41

%

5,722,092

61,377

40,465

4.29

%

2.83

%

December 31, 2024

5,348,057

71,996

5.38

%

5,128,207

63,853

36,071

4.98

%

2.81

%

September 30, 2024

4,984,279

67,646

5.43

%

4,788,287

67,306

35,382

5.62

%

2.96

%

June 30, 2024

4,203,416

53,064

5.05

%

4,028,601

53,761

24,302

5.34

%

2.41

%

March 31, 2024

3,887,545

48,871

5.03

%

3,708,573

51,361

23,774

5.54

%

2.56

%

December 31, 2023

4,207,118

49,539

4.71

%

4,066,298

52,325

27,164

5.15

%

2.67

%

September 30, 2023

4,447,098

50,107

4.51

%

4,314,332

58,705

34,265

5.44

%

3.18

%

June 30, 2023

4,186,939

39,911

3.81

%

3,985,577

48,671

25,189

4.88

%

2.53

%

March 31, 2023

3,769,954

38,012

4.03

%

3,573,941

42,217

23,006

4.72

%

2.57

%

Years Ended

December 31, 2025

$

7,507,130

$

414,001

5.51

%

$

7,163,001

$

305,732

$

222,433

4.27

%

3.11

%

December 31, 2024

4,605,824

241,577

5.25

%

4,413,417

236,281

119,529

5.35

%

2.71

%

December 31, 2023

4,152,777

177,569

4.28

%

3,985,037

201,918

109,624

5.07

%

2.75

%

46

Table of Contents

($ in thousands)

Net Interest Income

Net Interest Spread

GAAP

Economic

GAAP

Economic

Basis

Basis(2)

Basis

Basis(4)

Three Months Ended

December 31, 2025

$

38,483

$

58,061

1.43

%

2.30

%

September 30, 2025

26,919

48,791

1.20

%

2.40

%

June 30, 2025

23,154

44,091

1.15

%

2.43

%

March 31, 2025

19,713

40,625

1.12

%

2.58

%

December 31, 2024

8,143

35,925

0.40

%

2.57

%

September 30, 2024

340

32,264

(0.19

)%

2.47

%

June 30, 2024

(697

)

28,762

(0.29

)%

2.64

%

March 31, 2024

(2,490

)

25,097

(0.51

)%

2.47

%

December 31, 2023

(2,786

)

22,375

(0.44

)%

2.04

%

September 30, 2023

(8,598

)

15,842

(0.93

)%

1.33

%

June 30, 2023

(8,760

)

14,722

(1.07

)%

1.28

%

March 31, 2023

(4,205

)

15,006

(0.69

)%

1.46

%

Years Ended

December 31, 2025

$

108,269

$

191,568

1.24

%

2.40

%

December 31, 2024

5,296

122,048

(0.10

)%

2.54

%

December 31, 2023

(24,349

)

67,945

(0.79

)%

1.53

%

(1)

Portfolio yields and costs of borrowings presented in the tables above are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.

(2)

Economic interest expense and economic net interest income presented in the table above includes the effect of our derivative instrument hedges for only the periods presented.

(3)

Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.

(4)

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

Interest Expense and the Cost of Funds

We had average outstanding borrowings of $7,163.0 million and $4,413.4 million and total interest expense of $305.7 million and $236.3 million for the years ended December 31, 2025 and 2024, respectively. Our average cost of funds was 4.27% for the year ended December 31, 2025, compared to 5.35% for the comparable period in 2024. There was a $2,749.6 million increase in average outstanding borrowings during the year ended December 31, 2025 as compared to the year ended December 31, 2024.

For the year ended December 31, 2023, we had average borrowings of $3,985.0 million and total interest expense of $201.9 million, resulting in an average cost of funds of 5.07%. There was a 28 bps increase in the average cost of funds and an $428.4 million increase in average outstanding borrowings during the year ended December 31, 2024 as compared to the year ended December 31, 2023.

Our economic interest expense was $222.4 million, $119.5 million and $109.6 million for the years ended December 31, 2025, 2024 and 2023, respectively. There was a 40 bps increase in the average economic cost of funds to 3.11% for the year ended December 31, 2025 from 2.71% for the year ended December 31, 2024. There was a 4 bps decrease in the average economic cost of funds to 2.71% for the year ended December 31, 2024 from 2.75% for the year ended December 31, 2023.

Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense. Our average cost of funds calculated on a GAAP basis was 8 bps above one-month average SOFR and 10 bps below six-month average SOFR for the year ended December 31, 2025. Our average economic cost of funds was 108 bps below one-month average SOFR and 126 bps below six-month average SOFR for the year ended December 31, 2025. The average term to maturity of the outstanding repurchase agreements was 39 days as of December 31, 2025 and 26 days as of December 31, 2024. 

The table below presents the one-month average and six-month average SOFR rates for each quarter in 2025, 2024 and 2023 and for the years ended December 31, 2025, 2024 and 2023 on both a GAAP and economic basis.

47

Table of Contents

Average GAAP Cost of Funds

Average Economic Cost of Funds

Relative to Average

Relative to Average

Average SOFR

One-Month

Six-Month

One-Month

Six-Month

One-Month

Six-Month

SOFR

SOFR

SOFR

SOFR

Three Months Ended

December 31, 2025

3.79

%

4.20

%

0.35

%

(0.06

)%

(0.52

)%

(0.93

)%

September 30, 2025

4.31

%

4.37

%

0.14

%

0.08

%

(1.06

)%

(1.12

)%

June 30, 2025

4.32

%

4.37

%

(0.09

)%

(0.14

)%

(1.37

)%

(1.42

)%

March 31, 2025

4.33

%

4.55

%

(0.04

)%

(0.26

)%

(1.50

)%

(1.72

)%

December 31, 2024

4.53

%

5.03

%

0.45

%

(0.05

)%

(1.72

)%

(2.22

)%

September 30, 2024

5.16

%

5.37

%

0.46

%

0.25

%

(2.20

)%

(2.41

)%

June 30, 2024

5.34

%

5.39

%

0.00

%

(0.05

)%

(2.93

)%

(2.98

)%

March 31, 2024

5.32

%

5.39

%

0.22

%

0.15

%

(2.76

)%

(2.83

)%

December 31, 2023

5.34

%

5.35

%

(0.19

)%

(0.20

)%

(2.67

)%

(2.68

)%

September 30, 2023

5.32

%

5.17

%

0.12

%

0.27

%

(2.14

)%

(1.99

)%

June 30, 2023

5.07

%

4.78

%

(0.19

)%

0.10

%

(2.54

)%

(2.25

)%

March 31, 2023

4.63

%

4.09

%

0.09

%

0.63

%

(2.06

)%

(1.52

)%

Years Ended

December 31, 2025

4.19

%

4.37

%

0.08

%

(0.10

)%

(1.08

)%

(1.26

)%

December 31, 2024

5.09

%

5.29

%

0.26

%

0.06

%

(2.38

)%

(2.58

)%

December 31, 2023

5.09

%

4.85

%

(0.02

)%

0.22

%

(2.34

)%

(2.10

)%

Gains or Losses

The table below presents our gains or losses for the years ended December 31, 2025, 2024 and 2023.

(in thousands)

2025

2024

2023

Realized losses on sales of RMBS

$

(6,321

)

$

(4,602

)

$

(22,642

)

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

200,231

(79,842

)

(18,941

)

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

193,910

(84,444

)

(41,583

)

(Losses) gains on interest rate futures

(30,282

)

26,638

32,650

(Losses) gains on interest rate swaps

(81,687

)

101,151

19,657

Gains on payer swaptions (short positions)

-

-

4,113

Losses on payer swaptions (long positions)

-

(72

)

(8,734

)

Gains (losses) on dual digital option

-

(500

)

-

(Losses) gains on interest rate caps

-

-

(219

)

Gains on interest rate floors (long positions)

-

-

1,785

Losses on interest rate floors (short positions)

-

-

(525

)

(Losses) gains on TBA securities (short positions)

(12,289

)

6,567

1,370

Gains (losses) on TBA securities (long positions)

1,687

(230

)

(4,860

)

Losses on U.S. Treasury securities (short positions)

(98

)

-

-

Total

$

71,241

$

49,110

$

3,654

We invest in RMBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for the purpose of making short term gains from sales. However, we have sold, and may continue to sell, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy.  During the years ended December 31, 2025, 2024 and 2023, the Company received proceeds of $1,455.1 million, $904.3 million, and $835.1 million, respectively, from the sales and maturities of RMBS and U.S. Treasury securities. Approximately $221.7 million of the 2024 proceeds received consisted of pools that were consolidated into a larger pool and simultaneously acquired by us. No gain or loss was recorded on this resecuritization. 

48

Table of Contents

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. Treasuries or swaps, as well as varying levels of demand for RMBS, which affect the pricing of the securities in our portfolio. The unrealized gains and losses on RMBS may also include the premium lost as a result of prepayments on the underlying mortgages, decreasing unrealized gains or increasing unrealized losses as prepayment speeds or premiums increase. To the extent RMBS are carried at a discount to par, unrealized gains or losses on RMBS would also include discount accreted as a result of prepayments on the underlying mortgages, increasing unrealized gains or decreasing unrealized losses as speeds on discounts increase. Gains and losses on interest rate futures contracts are affected by changes in implied forward rates during the reporting period. The table below presents historical interest rate data for each quarter end during 2025, 2024 and 2023.

5 Year

10 Year

15 Year

30 Year

U.S.

U.S

Fixed-Rate

Fixed-Rate

90 Day

Treasury

Treasury

Mortgage

Mortgage

Average

Rate(1)

Rate(1)

Rate(2)

Rate(2)

SOFR(3)

December 31, 2025

3.72

%

4.16

%

5.44

%

6.15

%

4.01

%

September 30, 2025

3.73

%

4.15

%

5.49

%

6.30

%

4.35

%

June 30, 2025

3.80

%

4.23

%

5.89

%

6.77

%

4.34

%

March 31, 2025

3.98

%

4.25

%

5.89

%

6.65

%

4.35

%

December 31, 2024

4.38

%

4.57

%

6.00

%

6.85

%

4.69

%

September 30, 2024

3.58

%

3.80

%

5.16

%

6.08

%

5.31

%

June 30, 2024

4.33

%

4.34

%

6.16

%

6.86

%

5.35

%

March 31, 2024

4.22

%

4.21

%

6.11

%

6.79

%

5.35

%

December 31, 2023

3.84

%

3.87

%

5.93

%

6.61

%

5.36

%

September 30, 2023

4.61

%

4.57

%

6.72

%

7.31

%

5.27

%

June 30, 2023

4.13

%

3.82

%

6.06

%

6.71

%

5.00

%

March 31, 2023

3.61

%

3.49

%

5.56

%

6.32

%

4.51

%

(1)

Historical 5 and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.

(2)

Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac’s Primary Mortgage Market Survey.

(3)

Historical SOFR is obtained from the Federal Reserve Bank of New York. The SOFR averages are compounded averages of the SOFR over rolling 30 and 180 calendar day periods.

Unrealized Gains and Losses on PT RMBS

For the purpose of recording income on the Company’s investments in PT RMBS, interest income is based on the stated interest rate of the security. Using the fair value accounting method, premiums or discounts to the face value of the PT RMBS present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income (loss). The following table adjusts the Company’s interest income as reported on the Company’s statements of comprehensive income (loss) for the periods indicated to show interest income adjusted for premium amortization and discount accretion on its mortgage-backed security investments. The purpose of presenting this non-GAAP measure of interest income is to provide management and investors with an alternative way of evaluating yield on RMBS that may be more comparable to some of its peers who amortize premiums and discounts on their PT RMBS investments.

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Table of Contents

($ in thousands)

Unrealized Gains (Losses) on PT RMBS

Inclusive of

Price

Premium Amortization/

Premium

Only

Discount Accretion

Average

Yield on

Amortization/

Unrealized

Yield on

RMBS

Interest

Average

As

(Discount

Gains

Interest

Average

Held

Income

RMBS

Reported(1)

Accretion)(2)

(Losses)

Income(3)

RMBS(3)

Three Months Ended

December 31, 2025

$

9,492,369

$

132,188

5.57

%

$

53,960

$

(7,412

)

$

61,372

$

124,776

5.26

%

September 30, 2025

7,674,720

108,434

5.65

%

59,418

(1,412

)

60,830

107,022

5.58

%

June 30, 2025

6,865,727

92,289

5.38

%

9,264

(1,471

)

10,735

90,818

5.29

%

March 31, 2025

5,995,702

81,090

5.41

%

77,445

2,608

74,837

83,698

5.58

%

December 31, 2024

5,348,057

71,996

5.38

%

(153,880

)

(1,600

)

(152,280

)

70,396

5.27

%

September 30, 2024

4,984,279

67,646

5.43

%

161,919

5,048

156,871

72,694

5.83

%

June 30, 2024

4,203,416

53,064

5.05

%

(26,642

)

4,402

(31,044

)

57,466

5.47

%

March 31, 2024

3,887,545

48,871

5.03

%

(62,111

)

3,037

(65,148

)

51,908

5.34

%

December 31, 2023

4,207,118

49,539

4.71

%

206,223

8,067

198,156

57,606

5.48

%

September 30, 2023

4,447,098

50,107

4.51

%

(210,159

)

7,252

(217,411

)

57,359

5.16

%

June 30, 2023

4,186,939

39,911

3.81

%

(68,898

)

4,886

(73,784

)

44,797

4.28

%

March 31, 2023

3,769,954

38,012

4.03

%

53,443

4,774

48,669

42,786

4.54

%

Years Ended

December 31, 2025

$

7,507,130

$

414,001

5.51

%

$

200,087

$

(7,687

)

$

207,774

$

406,314

5.41

%

December 31, 2024

4,605,824

241,577

5.25

%

(80,714

)

10,887

(91,601

)

252,464

5.48

%

December 31, 2023

4,152,777

177,569

4.28

%

(19,391

)

24,979

(44,370

)

202,548

4.88

%

(1)

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

(2)

Premium amortization/discount accretion for each period is calculated using the beginning of period market value of all securities. Amounts presented are intended to approximate amortization/accretion using the yield method over the life of the security based on premium/discount present at purchase date.

(3)

Interest Income – Inclusive of Premium Amortization/Discount Accretion and Yield on Average RMBS – Inclusive of Premium Amortization/Discount Accretion are non-GAAP measures. See “—GAAP and Non-GAAP Reconciliations,” for a description of our non-GAAP measures.

Expenses

Total operating expenses were $20.5 million, $16.7 million and $18.5 million for the years ended December 31, 2025, 2024 and 2023, respectively. The table below provides a breakdown of operating expenses for the years ended December 31, 2025, 2024 and 2023.

(in thousands)

2025

2024

2023

Management fees

$

12,723

$

9,354

$

10,491

Overhead allocation

2,782

2,644

2,389

Incentive compensation

450

723

1,419

Directors fees and liability insurance

1,340

1,358

1,322

Audit, legal and other professional fees

1,338

1,341

1,495

Direct REIT operating expenses

1,208

787

715

Other administrative

639

537

700

Total expenses

$

20,480

$

16,744

$

18,531

As of December 31, 2023, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees. During the year ended December 31, 2024, the Company awarded shares of Company common stock with a fair value of $0.3 million. Accrued incentive compensation for the year ended December 31, 2024 includes a reversal of the over accrual of this liability. As of December 31, 2024, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees. During the year ended December 31, 2025, the Company awarded shares of Company common stock with a fair value of $0.2 million. Accrued incentive compensation for the year ended December 31, 2025 includes a reversal of the over accrual of this liability.

Table of Contents

50

Table of Contents

We are externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 2027 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. Under the terms of the management agreement, the Manager is responsible for administering the business activities and day-to-day operations of the Company. The Manager receives a monthly management fee in the amount of:

●

One-twelfth of 1.5% of the first $250 million of the Company’s month end equity, as defined in the management agreement,

●

One-twelfth of 1.25% of the Company’s month end equity that is greater than $250 million and less than or equal to $500 million, and

●

One-twelfth of 1.00% of the Company’s month end equity that is greater than $500 million.

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.

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

On April 1, 2022, pursuant to the third amendment to the management agreement entered into on November 16, 2021, the Manager began providing certain repurchase agreement trading, clearing and administrative services to the Company that had been previously provided by AVM, L.P. under an agreement terminated on March 31, 2022.  In consideration for such services, the Company pays the following fees to the Manager:

●

a daily fee equal to the outstanding principal balance of repurchase agreement funding in place as of the end of such day multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance less than or equal to $5 billion, and multiplied by 1.0 basis point for any amount of aggregate outstanding principal balance in excess of $5 billion, and

●

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

The following table summarizes the management fee and overhead allocation expenses for each quarter in 2025, 2024 and 2023 and for the years ended December 31, 2025, 2024 and 2023.

($ in thousands)

Advisory Services

Average

Average

Average

Repurchase,

Orchid

Orchid

Repurchase

Management

Overhead

Clearing and

Three Months Ended

MBS

Equity

Agreements

Fee

Allocation

Administrative

Total

December 31, 2025

$

9,492,369

$

1,233,957

$

9,061,222

$

3,700

$

705

$

319

$

4,724

September 30, 2025

7,674,720

1,108,307

7,331,428

3,294

887

277

4,458

June 30, 2025

6,865,727

1,012,986

6,537,260

2,982

582

247

3,811

March 31, 2025

5,995,702

902,590

5,722,092

2,747

608

227

3,582

December 31, 2024

5,348,057

817,241

5,128,207

2,487

677

222

3,386

September 30, 2024

4,984,279

780,010

4,788,287

2,449

637

216

3,302

June 30, 2024

4,203,416

699,766

4,028,601

2,257

732

178

3,167

March 31, 2024

3,887,545

672,057

3,708,573

2,161

598

170

2,929

December 31, 2023

4,207,118

851,532

4,066,298

2,275

617

184

3,076

September 30, 2023

4,447,098

964,230

4,314,332

2,870

557

193

3,620

June 30, 2023

4,186,939

899,109

3,985,577

2,704

639

173

3,516

March 31, 2023

3,769,954

865,722

3,573,941

2,642

576

165

3,383

Years Ended

December 31, 2025

$

7,507,130

$

1,064,460

$

7,163,001

$

12,723

$

2,782

$

1,070

$

16,575

December 31, 2024

4,605,824

742,269

4,413,417

9,354

2,644

786

12,784

December 31, 2023

4,152,777

895,148

3,985,037

10,491

2,389

715

13,595

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Table of Contents

Financial Condition:

Mortgage-Backed Securities

As of December 31, 2025, our RMBS portfolio consisted of $10,628.7 million of Agency RMBS at fair value and had a weighted average coupon on assets of 5.64%. During the year ended December 31, 2025, we received principal repayments of $903.4 million, compared to $495.3 million for the year ended December 31, 2024. The average three month prepayment speeds for the quarters ended December 31, 2025 and 2024 were 15.7% and 10.5%, respectively.

The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our portfolio, on an annualized basis, for the quarterly periods presented. CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR in the chart below represents the three month prepayment rate of the securities.

Total

Three Months Ended

Portfolio (%)

December 31, 2025

15.7

September 30, 2025

10.1

June 30, 2025

10.1

March 31, 2025

7.8

December 31, 2024

10.5

September 30, 2024

8.8

June 30, 2024

7.6

March 31, 2024

6.0

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

($ in thousands)

Weighted

Percentage

Average

of

Weighted

Maturity

Fair

Entire

Average

in

Longest

Asset Category

Value

Portfolio

Coupon

Months

Maturity

December 31, 2025

Fixed Rate RMBS

$

10,615,570

99.9

%

5.67

%

341

1-Jan-56

Other

13,088

0.1

%

3.25

%

210

25-Jul-48

Total Mortgage Assets

$

10,628,658

100.0

%

5.64

%

340

1-Jan-56

December 31, 2024

Fixed Rate RMBS

$

5,237,812

99.7

%

5.03

%

330

1-Nov-54

Other

15,498

0.3

%

3.19

%

222

25-Jul-48

Total Mortgage Assets

$

5,253,310

100.0

%

4.99

%

328

1-Nov-54

($ in thousands)

December 31, 2025

December 31, 2024

Percentage of

Percentage of

Agency

Fair Value

Entire Portfolio

Fair Value

Entire Portfolio

Fannie Mae

$

5,675,461

53.4

%

$

3,693,032

70.3

%

Freddie Mac

4,953,197

46.6

%

1,560,278

29.7

%

Total Portfolio

$

10,628,658

100.0

%

$

5,253,310

100.0

%

52

Table of Contents

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. As of  December 31, 2024, the Company's portfolio had an effective duration of 4.200, indicating that an interest rate increase of 1.0% would be expected to cause a 4.200% decrease in the value of the RMBS in the Company’s investment portfolio. These figures do not include the effect of the Company’s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

The following table presents a summary of portfolio assets acquired during the years ended December 31, 2025 and 2024.

($ in thousands)

2025

2024

Total Cost

Average Price

Weighted Average Yield

Total Cost

Average Price

Weighted Average Yield

PT RMBS

$

7,464,907

$

102.00

5.27

%

$

2,393,320

$

102.06

5.70

%

Borrowings

As of December 31, 2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with 28 of these counterparties. None of these lenders are affiliated with the Company. These borrowings are secured by the Company’s RMBS and cash, and bear interest at prevailing market rates. We believe our established repurchase agreement borrowing facilities provide borrowing capacity in excess of our needs.

As of December 31, 2025, we had obligations outstanding under the repurchase agreements of approximately $10,115.5 million with a net weighted average borrowing cost of 3.98%. The remaining maturity of our outstanding repurchase agreement obligations ranged from 5 to 317 days, with a weighted average remaining maturity of 39 days. Securing the repurchase agreement obligations as of December 31, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $10,551.3 million. Through February 20, 2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed as of December 31, 2025 with maturities extending to various dates through November 13, 2026.

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

($ in thousands)

Difference Between Ending

Ending

Maximum

Average

Borrowings and

Balance of

Balance of

Balance of

Average Borrowings

Three Months Ended

Borrowings

Borrowings(1)

Borrowings(2)

Amount

Percent

December 31, 2025

$

10,115,466

$

10,119,839

$

9,061,222

$

1,054,244

11.63

%

September 30, 2025

8,006,978

8,024,512

7,331,428

675,550

9.21

%

June 30, 2025

6,655,879

6,655,879

6,537,260

118,619

1.81

%

March 31, 2025

6,418,641

6,453,905

5,722,092

696,549

12.17

%

December 31, 2024

5,025,543

5,230,871

5,128,207

(102,664

)

(2.00

)%

September 30, 2024

5,230,871

5,252,365

4,788,287

442,584

9.24

%

June 30, 2024

4,345,704

4,354,704

4,028,601

317,103

7.87

%

March 31, 2024

3,711,498

3,774,739

3,708,573

2,925

0.08

%

(1)

Maximum balance during the quarter reflects the highest daily close‑of‑business balance outstanding under repurchase agreements for the period. 

(2)

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

Leverage

We use two primary measures of leverage. Economic leverage is calculated by dividing the sum of total liabilities and our net notional TBA position, by stockholders' equity. We include our net TBA position in our calculation of economic leverage because a forward contract to purchase or sell an Agency RMBS in the TBA market carries similar risks to an Agency RMBS purchased or sold in the cash market and funded with repurchase agreement liabilities. Adjusted leverage is calculated by dividing our repurchase agreements by stockholders' equity. Our economic leverage as of December 31, 2025 was 7.4 to 1, compared to 7.3 to 1 as of December 31, 2024.  Our adjusted leverage as of December 31, 2025 was 7.4 to 1, compared to 7.5 to 1 as of December 31, 2024.  The following table presents information related to our historical leverage.

53

Table of Contents

($ in thousands)

Ending

Ending

Ending

Ending

Repurchase

Total

Net TBA

Stockholders'

Adjusted

Economic

Agreements

Liabilities

Positions

Equity

Leverage

Leverage

December 31, 2025

$

10,115,466

$

10,304,045

$

(180,000

)

$

1,371,948

7.4:1

7.4:1

September 30, 2025

8,006,978

8,052,945

(32,000

)

1,086,091

7.4:1

7.4:1

June 30, 2025

6,655,879

6,698,673

-

911,959

7.3:1

7.3:1

March 31, 2025

6,418,641

6,448,407

200,000

855,879

7.5:1

7.8:1

December 31, 2024

5,025,543

5,053,127

(150,000

)

668,500

7.5:1

7.3:1

September 30, 2024

5,230,871

5,260,469

(300,000

)

656,024

8.0:1

7.6:1

June 30, 2024

4,345,704

4,373,973

(400,000

)

555,932

7.8:1

7.1:1

March 31, 2024

3,711,498

3,733,030

(370,700

)

481,632

7.7:1

7.0:1

Liquidity and Capital Resources

Liquidity is our ability to turn non-cash assets into cash, purchase additional investments, repay principal and interest on borrowings, fund overhead, fulfill margin calls and pay dividends. We have both internal and external sources of liquidity. However, our material unused sources of liquidity include cash balances, unencumbered assets and our ability to sell encumbered assets to raise cash. Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our RMBS portfolio. Management believes that we currently have sufficient short-term and long-term liquidity and capital resources available for (a) the acquisition of additional investments consistent with the size and nature of our existing RMBS portfolio, (b) the repayments on borrowings and (c) the payment of dividends to the extent required for our continued qualification as a REIT. We may also generate liquidity from time to time by selling our equity or debt securities in public offerings or private placements.

Internal Sources of Liquidity

Our internal sources of liquidity include our cash balances, unencumbered assets and our ability to liquidate our encumbered security holdings. Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our RMBS portfolio. Because our PT RMBS portfolio consists entirely of government and agency securities, we do not anticipate having difficulty converting our assets to cash should our liquidity needs ever exceed our immediately available sources of cash. Our structured RMBS portfolio also consists entirely of governmental agency securities, although they typically do not trade with comparable bid / ask spreads as PT RMBS. 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. 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. 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. When the market causes these short positions to decline in value we are required to meet margin calls with cash. This can reduce our liquidity position to the extent other securities in our portfolio move in price in such a way that we do not receive enough cash via margin calls to offset the derivative related margin calls. If this were to occur in sufficient magnitude, the loss of liquidity might force us to reduce the size of the levered portfolio, pledge additional structured securities to raise funds or risk operating the portfolio with less liquidity.

External Sources of Liquidity

Our primary external sources of liquidity are our ability to (i) borrow under master repurchase agreements, (ii) use the TBA security market and (iii) sell our equity or debt securities in public offerings or private placements. Our borrowing capacity will vary over time as the market value of our interest earning assets varies. Our master repurchase agreements have no stated expiration, but can be terminated at any time at our option or at the option of the counterparty. However, once a definitive repurchase agreement under a master repurchase agreement has been entered into, it generally may not be terminated by either party. A negotiated termination can occur, but may involve a fee to be paid by the party seeking to terminate the repurchase agreement transaction.

54

Table of Contents

Under our repurchase agreement funding arrangements, we are required to post margin at the initiation of the borrowing. The margin posted represents the haircut, which is a percentage of the market value of the collateral pledged. To the extent the market value of the asset collateralizing the financing transaction declines, the market value of our posted margin will be insufficient and we will be required to post additional collateral. Conversely, if the market value of the asset pledged increases in value, we would be over collateralized and we would be entitled to have excess margin returned to us by the counterparty. Our lenders typically value our pledged securities daily to ensure the adequacy of our margin and make margin calls as needed, as do we. Typically, but not always, the parties agree to a minimum threshold amount for margin calls so as to avoid the need for nuisance margin calls on a daily basis. Our master repurchase agreements do not specify the haircut; rather haircuts are determined on an individual repo transaction basis. Throughout the year ended December 31, 2025, haircuts on our pledged collateral remained stable and as of December 31, 2025, our weighted average haircut was approximately 4.1% of the value of our collateral.

TBAs represent a form of off-balance sheet financing and are accounted for as derivative instruments. (See Note 5 to our Financial Statements in this Form 10-K for additional details on of our TBAs). Under certain market conditions, it may be uneconomical for us to roll our TBAs into future months and we may need to take or make physical delivery of the underlying securities. If we were required to take physical delivery to settle a long TBA, we would have to fund our total purchase commitment with cash or other financing sources and our liquidity position could be negatively impacted.

Our TBAs are also subject to margin requirements governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC and by our Master Securities Forward Transaction Agreements ("MSFTAs"), which may establish margin levels in excess of the MBSD. Such provisions require that we establish an initial margin based on the notional value of the TBA, which is subject to increase if the estimated fair value of our TBAs or the estimated fair value of our pledged collateral declines. The MBSD has the sole discretion to determine the value of our TBAs and of the pledged collateral securing such contracts. In the event of a margin call, we must generally provide additional collateral on the same business day.

Settlement of our TBA obligations by taking delivery of the underlying securities as well as satisfying margin requirements could negatively impact our liquidity position. 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.

We invest a portion of our capital in structured Agency RMBS. We generally do not apply leverage to this portion of our portfolio. The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repo market. However, we have and may continue to pledge a portion of our structured RMBS in order to raise our cash levels, but generally will not pledge these securities in order to acquire additional assets.

In future periods, we expect to continue to finance our activities in a manner that is consistent with our current operations through repurchase agreements. As of December 31, 2025, we had cash and cash equivalents of $665.9 million. We generated cash flows of $1,267.2 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $7,163.0 million during the year ended December 31, 2025.

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

Capital Expenditures

As of December 31, 2025, we had no material commitments for capital expenditures.

Stockholders’ Equity

On October 29, 2021, we entered into an equity distribution agreement (the “October 2021 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 9,742,188 shares under the October 2021 Equity Distribution Agreement for aggregate gross proceeds of approximately $151.8 million, and net proceeds of approximately $149.3 million, after commissions and fees, prior to its termination in March 2023. 

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On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $350,000,000 of gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000. We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.

On October 27, 2025, we entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $500,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through December 31, 2025, we issued a total of 30,265,963 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $223.1 million, and net proceeds of approximately $219.7 million, after commissions and fees. Subsequent to December 31, 2025, we issued a total of 8,707,492 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $66.2 million, and net proceeds of approximately $65.2 million, after commissions and fees.

Outlook

Economic Summary

As the year 2025 came to a close market conditions were relatively calm. The government shutdown that commenced October 1, 2025 and lasted for six weeks indirectly contributed to the calm. As a result of the government shutdown, many entities that provide economic data to the markets were unable to do so and it took several weeks after the government reopened before they were able to resume.  The lack of economic data deprived both the markets and Fed policy makers of the ability to gauge the performance of the economy and its many components, such as the labor market, consumer spending and price data. As a result, market participants and the Fed were left with limited data from private sources.  The result of the data vacuum for the markets was a continuation of the status quo, as the market awaited further clarification on growth and inflation. Interest rates were stable and traded in a rather tight range. Interest rate implied volatility continued its long decline that started in early April 2025, after the Trump administration imposed broad tariffs. The FOMC opted to continue on their path of policy normalization by lowering the Fed Funds rate twice in the fourth quarter of 2025, in each case by 25 basis points. In doing so the Fed believed they had reached the upper end of neutral – implying the neutral policy rate was in fact a range versus a specific rate level.

As with prior quarters the economy continues to operate with elevated inflation relative to the Fed’s 2% target, and with evidence of a fragile labor market. There is ample data to support either thesis regarding the outlook for the economy, and market participants and FOMC members are split on how monetary policy should be managed to address the Fed’s dual mandates. The two rate cuts that occurred during the fourth quarter of 2025 were the result of split votes whereby some members dissented in both the direction of more cuts and fewer, or no cuts. As we enter the first quarter of 2026 the dilemma persists, although the FOMC opted to hold policy steady at their January 2026 meeting, claiming they had time to monitor the incoming data for now as monetary policy was deemed near neutral and there was no pressing need to increase accommodation. 

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One additional development that will likely impact monetary policy going forward was the decision by President Trump to nominate Kevin Warsh as the next chairman of the Fed in late January. The term of the current chairman, Jerome Powell, ends in May of 2026. While President Trump has been highly critical of Chairman Powell and openly stated his desire for lower interest rates, the market does not appear to anticipate incoming Chairman Warsh will aggressively lower the Fed Funds rate. In fact Chairman Warsh is expected to be more of a proponent of fighting inflation and shrinking the Fed’s balance sheet. 

Interest Rates

As alluded to above, interest rates were quite stable over the course of the fourth quarter of 2025 and into the first quarter of 2026. All indicators of economic activity, while often of suspect quality and not always available or timely, did not indicate much changed during the fourth quarter.  Inflation data remained above the Fed’s target, although there did not appear to be material flow-through from the tariffs implemented during the year, and the labor market, while not robust, did not appear to be deteriorating. The Fed lowered the Fed Funds rate two times in the fourth quarter – a continuation of their plan to bring monetary policy towards neutral – and signaled they had done so.  Additional cuts may come if needed, but are not anticipated in the near term. Longer maturity U.S. Treasury rates remained in a tight range throughout the fourth quarter and remained so into the first quarter of 2026.  As a result of the two 25 basis point rate cuts by the Fed in the fourth quarter, the spread between the Fed Funds rate and the two-year U.S. Treasury is less inverted than was the case at September 30, 2025, reflecting both the cuts and the market pricing in fewer cuts in the future. Accordingly, the U.S. Treasury curve is slightly steeper, as evidenced by the spread between the 2-year and 10-year U.S. Treasury notes increasing from approximately 54 basis points to approximately 70 basis points at year-end. 

The Federal Reserve ended their quantitative tightening program, which reduced their balance sheet via the maturation of their holdings, and began reinvesting them into additional U.S. Treasury holdings on December 1, 2025.  Run-off from the Agency RMBS holdings is now directed towards purchasing U.S. Treasury bills.  The Fed also announced their intention, via Reserve Management Purchases ( “RMPs”), to grow their balance sheet over time to maintain a stable relationship between the size of their balance sheet and the economy. These steps will result in increased purchases of U.S. Treasury securities by the Fed going forward, and interest rate swap spreads have widened – or become less negative – as a result. The widening of swap spreads, particularly longer-dated spreads, caused the swap curve to steepen more than the cash U.S. Treasury curve. Longer-dated swap spreads had become progressively more negative over the previous years, reflecting the market’s concern with increasing government issuance of U.S. Treasury securities.  The increased purchases by the Fed offset some of the impact of the deficit induced growth in issuance anticipated in the future.

As realized interest rate volatility was very low during the quarter, implied rate volatility in the swaptions market continued to decline and has reached multi-year lows in early 2026.

The Agency RMBS Market 

As a proxy for the performance of the Agency RMBS market during 2025, the spread of the 30-year, fixed rate current coupon to the 10-year U.S. Treasury Note peaked at approximately 142 basis points in April 2025, not long after the market turmoil surrounding the various tariff measures introduced by the Trump administration on April 2, 2025. Since then, the spread has steadily declined, closely mirroring the performance of implied interest rate volatility, an important driver of Agency RMBS performance. The current coupon spread to the 10-year U.S. Treasury was at approximately 105 basis points at the beginning of the fourth quarter of 2025, and approximately 88 basis points at the end of the fourth quarter. On January 8 2, 2026, President Trump announced plans for the Enterprises to purchase up to $200 billion of Agency RMBS in 2026 in an effort to drive mortgage rates down and improve housing affordability.  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. Since the announcement, spreads have widened slightly but are still lower than the level at the end of 2025.

Within Agency RMBS for the fourth quarter of 2025, conventional 30-year mortgages generated a total return of 1.7%, 15-year mortgages generated a total return of 1.5% and Ginnie Mae 30-year mortgages generated a total return of 1.5%.  Versus comparable duration swaps, the returns were 1.4%, 0.8% and 1.1% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.  The Company invests predominantly in 30-year conventional mortgages.  Returns with the 30-year stack of coupons were very consistent across the various coupons: the 2.0% coupon generated a return of 1.3%, the 3.5% coupon generated a return of 2.2% and all other coupons were between 1.6% and 1.8%.  Excess returns versus comparable duration swaps were in the range of -0.5% to 2.1%, with the 3.5% coupon again being the outlier to the upside. The highest coupons – 6.0% and higher – all generated excess returns below 1.0%. Excess returns for the balance of the coupons were between 1.1% and 1.7%, similar to absolute returns.

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Recent Legislative and Regulatory Developments

In response to the deterioration in the markets for U.S. Treasuries, Agency RMBS and other mortgage and fixed income markets resulting from the impacts of the COVID-19 pandemic, the Fed implemented a program of quantitative easing. Through November of 2021, the Fed was committed to purchasing $80 billion of U.S. Treasuries and $40 billion of Agency RMBS each month. In November of 2021, it began tapering its net asset purchases each month, ended net asset purchases by early March of 2022, and ended asset purchases entirely in September of 2022. On May 4, 2022, the FOMC announced a plan for reducing the Fed’s balance sheet. In June of 2022, in accordance with this plan, the Fed began reducing its balance sheet by a maximum of $30 billion of U.S. Treasuries and $17.5 billion of Agency RMBS each month. On September 21, 2022, the FOMC announced the Fed’s decision to continue reducing its balance sheet by a maximum of $60 billion of U.S. Treasuries and $35 billion of Agency RMBS per month. On May 1, 2024, the FOMC announced the Fed’s decision to reduce its balance sheet by a maximum of $25 billion of U.S. Treasury securities and remove the cap on Agency RMBS reduction, with any amounts in excess of $35 billion per month being reinvested in U.S. Treasury securities.  On March 19, 2025, the FOMC announced the Fed's decision to reduce its balance sheet by a maximum of $5 billion of U.S. Treasury securities beginning April 1, 2025. Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency RMBS below $20 billion per month throughout 2024 and 2025.  As of December 31, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $741 billion from the peak to $2.0 trillion, shedding approximately 54% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since December 2020. On December 1, 2025, the Fed ended quantitative tightening and began reinvesting all proceeds from maturing Agency RMBS up to a $35 billion per month cap in U.S. Treasuries and announced that it would begin buying an additional $40 billion per month of U.S. Treasuries via RMPs in order to maintain an ample level of reserves on an ongoing basis.

On September 14, 2021, the U.S. Treasury and the FHFA suspended certain policy provisions in the Enterprise capital framework established in December 2020, including limits on loans acquired for cash consideration, multifamily loans, loans with higher risk characteristics and second homes and investment properties (the "September 2021 Provisions"). Effective April 26, 2022, the FHFA further amended this framework by, among other things, replacing the fixed leverage buffer equal to 1.5% of an Enterprise’s adjusted total assets with a dynamic leverage buffer equal to 50% of an Enterprise’s stability capital buffer, reducing the risk weight floor from 10% to 5%, and removing the requirement that the Enterprises must apply an overall effectiveness adjustment to their credit risk transfer exposures. On June 14, 2022, the Enterprises announced that they would each charge a 50 bps fee for commingled securities issued on or after July 1, 2022 to cover the additional capital required for such securities under the Enterprise capital framework, which was subsequently reduced on January 19, 2023 to 9.375 bps for commingled securities issued on or after April 1, 2023 to address industry concern that the fee posed a risk to the fungibility of the Uniform Mortgage-Backed Security and negatively impacted liquidity and pricing in the market for TBA securities. On November 30, 2023, the FHFA published a final rule, which became effective April 1, 2024, which reduced the risk weight and credit conversion factor for guarantees on commingled securities to 5% and 50%, respectively; replaced the current exposure methodology with the standardized approach for counterparty credit risk as the method for computing exposure and risk-weighted asset amounts for derivatives and cleared transactions; updated the credit score assumption to 680 for single-family mortgage exposures originated without a representative credit score; and introduced a risk weight of 20% for guarantee assets. On January 2, 2025, the U.S. 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. Throughout 2025, there was some speculation in the market regarding progress towards an end to the conservatorship, including through an initial public offering, but a directive by the Trump administration in January 2026 that the Enterprises purchase up to $200 billion of Agency RMBS from their accumulated cash reserves will increase the Enterprises’ balance sheets and exposure to mortgage risk and could make a near-term end to the conservatorship unlikely.  The announcement of the directive, designed to increase liquidity and compress the spread between mortgage interest rates and the 10-year U.S. Treasury, had the intended effect immediately and significantly increased mortgage application volumes.  The longer-term implications of this directive remain to be seen, with some analysts fearing a demand surge in home prices negating any affordability gains, systemic instability due to increased exposure to mortgage risk by the Enterprises, and volatility in the 10-year U.S. Treasury and mortgage interest spreads if the Fed decides to tighten monetary policy while the Trump administration is loosening it through the Enterprises.  Further, the Enterprises are quickly approaching their regulatory asset caps, and it is unclear whether the FHFA will raise these caps to signal a long-term commitment to this directive or whether this is a limited intervention.

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On July 27, 2023, the federal banking regulators, including the Office of the Comptroller of the Currency, (the "OCC") the FDIC and the Fed, jointly issued a proposed rule that would revise large bank capital requirements (the "Basel III Endgame").  The Basel III Endgame, if implemented as originally proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.  The comment period for the Basel III Endgame closed on January 16, 2024, and the proposed rule was met with strong objections from the banking industry. While implementation of the Basel III Endgame has since stalled, Fed Vice Chair for Supervision Michelle Bowman commented in August 2025 that a revised Basel III Endgame is expected to be issued for public comment in early 2026, which the market expects to be more capital-neutral than the original proposal. On November 25, 2025, the Fed, OCC and FDIC jointly adopted a final rule to revise the enhanced supplementary leverage ratio for globally systemically important bank holding companies (“GSIBs”). The rule, which becomes effective April 1, 2026 and may be adopted by banks subject to the rule as early as January 1, 2026, seeks to promote effective GSIB capital management and remove disincentives for banks to engage in low-risk activities, particularly in the U.S. Treasury market. This shift is expected to free up significant capital, allowing GSIBs greater discretion in asset allocation and potentially fostering increased lending and economic activity.

The scope and nature of the actions the U.S. government or the Fed will ultimately undertake are unknown and will continue to evolve.

Effect on Us

Regulatory developments, movements in interest rates and prepayment rates affect us in many ways, including the following:

Effects on our Assets

A change in or elimination of the guarantee structure of Agency RMBS may increase our costs (if, for example, guarantee fees increase) or require us to change our investment strategy altogether. For example, the elimination of the guarantee structure of Agency RMBS may cause us to change our investment strategy to focus on non-Agency RMBS, which in turn would require us to significantly increase our monitoring of the credit risks of our investments in addition to interest rate and prepayment risks.

If prepayment rates are relatively low (due, in part, to the refinancing problems described above), lower long-term interest rates can increase the value of our Agency RMBS. This is because investors typically place a premium on assets with coupon/yields that are higher than coupon/yields available in the market. To the extent such securities pre-pay slower than would otherwise be the case, we benefit from an above market coupon/yield for longer, enhancing the return from the security. Although lower long-term interest rates may increase asset values in our portfolio, we may not be able to invest new funds in similarly yielding assets.

If prepayment levels increase, the value of any of our Agency RMBS that are carried at a premium to par that are affected by such prepayments may decline. This is because a principal prepayment accelerates the effective term of an Agency RMBS, which would shorten the period during which an investor would receive above-market returns (assuming the yield on the prepaid asset is higher than market yields). Also, prepayment proceeds may not be able to be reinvested in similar-yielding assets. Agency RMBS backed by mortgages with high interest rates are more susceptible to prepayment risk because holders of those mortgages are most likely to refinance to a lower rate. If prepayment levels decrease, the value of any of our Agency RMBS that are carried at a discount to par that are affected by such prepayments may increase. This is because a principal prepayment accelerates the effective term of an Agency RMBS, which would shorten the timeframe over which an investor would receive the principal of the underlying loans. Agency RMBS backed by mortgages with low interest rates are less susceptible to prepayment risk because holders of those mortgages are less likely to refinance to a higher rate. IOs and IIOs, however, may be the types of Agency RMBS most sensitive to increased prepayment rates. Because the holder of an IO or IIO receives no principal payments, the values of IOs and IIOs are entirely dependent on the existence of a principal balance on the underlying mortgages. If the principal balance is eliminated due to prepayment, IOs and IIOs essentially become worthless. Although increased prepayment rates can negatively affect the value of our IOs and IIOs, they have the opposite effect on POs. Because POs act like zero-coupon bonds, meaning they are purchased at a discount to their par value and have an effective interest rate based on the discount and the term of the underlying loan, an increase in prepayment rates would reduce the effective term of our POs and accelerate the yields earned on those assets, which would increase our net income.

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Higher long-term rates can also affect the value of our Agency RMBS.  As long-term rates rise, rates available to borrowers also rise.  This tends to cause prepayment activity to slow and extend the expected average life of mortgage cash flows.  As the expected average life of the mortgage cash flows increases, coupled with higher discount rates, the value of Agency RMBS declines.  Some of the instruments we use to hedge our Agency RMBS assets, such as interest rate futures, swaps and swaptions, are stable average life instruments.  This means that to the extent we use such instruments to hedge our Agency RMBS assets, our hedges may not adequately protect us from price declines, and therefore may negatively impact our book value.  It is for this reason we use interest only securities in our portfolio. As interest rates rise, the expected average life of these securities increases, causing generally positive price movements as the number and size of the cash flows increase the longer the underlying mortgages remain outstanding. This makes interest only securities desirable hedge instruments for PT Agency RMBS.

Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency RMBS with shorter durations. We believe these securities have a lower sensitivity to changes in long-term interest rates than other asset classes. We may attempt to mitigate our exposure to changes in long-term interest rates by investing in IOs and IIOs, which typically have different sensitivities to changes in long-term interest rates than PT RMBS, particularly PT RMBS backed by fixed-rate mortgages.

Effects on our borrowing costs

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. The interest rates on our debt are determined by the short term interest rate markets. Increases in the Fed Funds rate or SOFR typically increase our borrowing costs, which could affect our interest rate spread if there is no corresponding increase in the interest we earn on our assets. The impact of these increases would be most prevalent with respect to our Agency RMBS backed by fixed rate mortgage loans because the interest rate on a fixed-rate mortgage loan does not change even though market rates may change.

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

Summary

The fixed income markets have experienced a period of calm as 2025 came to close and we enter 2026.  Interest rates have remained in a very tight range, implied interest rate volatility has continued the steady decline that began in April of 2025, and Agency RMBS performed well during the fourth quarter of 2025.  Other sectors of the fixed income markets performed well during the fourth quarter as well, and spreads on investment grade corporate bonds reached levels not seen since 1998.  Risk sentiment generally was quite strong during the quarter, and the S&P 500 generated a return of 2.3%.  The government shutdown that started on October 1, 2025 and lasted until mid-November created a near complete data vacuum for the markets during the quarter. Once the government reopened it was several weeks before data for the quarter was available.  Exacerbating the data shortage was the perception the data was of poor quality owing to frequent and substantial revisions after the initial release.  The market had limited means to gauge the strength of the economy.  The Fed did lower the Fed Funds rate twice in the fourth quarter – in both cases by 25 basis points – and stated they had reached the upper end of what they deemed the range of neutral.  However, owing to the lack of the most critical data on the labor market and inflation - and the fact that the data that was available did not indicate much had changed with the economy since the shutdown began – the Fed seems likely to hold rates steady for now until incoming data dictates otherwise.  This seems especially likely to be the case as President Trump announced Kevin Warsh will replace current Chairman Powell in May, and the Fed is not likely to take meaning policy steps just before a chairmanship transition.

The Agency RMBS market generated a total return of 1.7% for the quarter, consistent with the solid returns for all sectors of the fixed income markets.  The return for the Agency RMBS market versus comparable durations swaps, a proxy for returns for levered bond investors such as the Company, was 1.3%. During the fourth quarter, excess returns were generally even across the various 30-year coupons – with the 3.5% coupon being an outlier to the upside at 2.2%. The highest coupons, 6.0% and higher, lagged the returns of the rest of the coupon stack on an excess return basis, all between 0.5% and 0.9%.

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Looking forward, economic activity remains resilient and could strengthen as the stimulative components of the One Big Beautiful Bill Act, passed in mid-2025, start to impact the economy – lower tax withholding, capital expenditure expensing, less regulation, among other measures.  The labor market still seems weak, although it is not deteriorating.  Inflation remains sticky, still above the Fed’s target level of 2%, but there do not appear to be meaningful follow-through impacts from the tariffs introduced in 2025.  Monetary policy may remain steady for the time being as well.  If these conditions persist, interest rates are likely to remain stable, implied interest rate volatility subdued and risk assets, including Agency RMBS, will likely perform well. This outlook will change if interest rates move substantially in either direction, especially if the movement is towards higher rates, and interest rate implied volatility increases materially. 

Critical Accounting Estimates

Our financial statements are prepared in accordance with GAAP. GAAP requires our management to make some complex and subjective decisions and assessments. Our most critical accounting policies involve decisions and assessments which could significantly affect reported assets, liabilities, revenues and expenses. Management has identified its most critical accounting estimates:

Mortgage-Backed Securities

Our investments in Agency RMBS are accounted for at fair value. We acquire our Agency RMBS for the purpose of generating long-term returns, and not for the short-term investment of idle capital.

As discussed in Note 13 to the financial statements, our Agency RMBS are valued using Level 2 valuations, and such valuations currently are determined by our manager based on independent pricing sources and/or third party broker quotes, when available. Because the price estimates may vary, our Manager must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. Alternatively, our Manager could opt to have the value of all of our positions in Agency RMBS determined by either an independent third-party or do so internally.

In managing our portfolio, Bimini Advisors employs the following four-step process at each valuation date to determine the fair value of our Agency RMBS:

•         First, our Manager obtains fair values from subscription-based independent pricing sources. These prices are used by both our Manager as well as many of our repurchase agreement counterparty on a daily basis to establish margin requirements for our borrowings.

•         Second, our Manager requests non-binding quotes from one to four broker-dealers for certain Agency RMBS in order to validate the values obtained by the pricing service. Our Manager requests these quotes from broker-dealers that actively trade and make markets in the respective asset class for which the quote is requested.

•         Third, our Manager reviews the values obtained by the pricing source and the broker-dealers for consistency across similar assets.

•         Finally, if the data from the pricing services and broker-dealers is not homogenous or if the data obtained is inconsistent with our Manager’s market observations, our Manager makes a judgment to determine which price appears the most consistent with observed prices from similar assets and selects that price. To the extent our Manager believes that none of the prices are consistent with observed prices for similar assets, which is typically the case for only an immaterial portion of our portfolio each quarter, our Manager may use a third price that is consistent with observed prices for identical or similar assets. In the case of assets that have quoted prices such as Agency RMBS backed by fixed-rate mortgages, our Manager generally uses the quoted or observed market price. For assets such as Agency RMBS backed by ARMs or structured Agency RMBS, our Manager may determine the price based on the yield or spread that is identical to an observed transaction or a similar asset for which a dealer mark or subscription-based price has been obtained.

Management believes its pricing methodology to be consistent with the definition of fair value described in Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements.

Derivative Financial Instruments

We use derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and we may continue to do so in the future. The principal instruments that we have used to date are Fed Funds, SOFR, T-Note and ERIS SOFR Swap futures contracts, interest rate swaps, interest rate swaptions, interest rate caps and TBA securities, but we may enter into other derivatives in the future.

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

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We have elected not to treat any of our derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of our portfolio assets under the fair value option election. All derivative instruments are carried at fair value, and changes in fair value are recorded in earnings for each period. Our futures contracts are Level 1 valuations, as they are exchange-traded instruments and quoted market prices are readily available. Our interest rate swaps, interest rate swaptions and TBA securities are Level 2 valuations. The fair value of interest rate swaps is determined using a discounted cash flow approach using forward market interest rates and discount rates, which are observable inputs. The fair value of interest rate swaptions is determined using an option pricing model. The fair value of our TBA securities are determined by the Company based on independent pricing sources and/or third party broker quotes, similar to how the fair value of our Agency RMBS is derived, as discussed above.

Income Recognition

Since we commenced operations, we have elected to account for all of our Agency RMBS under the fair value option.

All of our Agency RMBS are either PT securities or structured Agency RMBS, including CMOs, IOs, IIOs or POs. Income on PT securities, POs and CMOs that contain principal balances is based on the stated interest rate of the security. As a result of accounting for our RMBS under the fair value option, premium or discount present at the date of purchase is not amortized. For IOs, IIOs and CMOs that do not contain principal balances, income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively for future reporting periods based on the new estimate of prepayments, current interest rates and current asset prices. The new effective yield is calculated based on the carrying value at the end of the previous reporting period, the new prepayment estimates and the contractual terms of the security. Changes in fair value of all of our Agency RMBS during the period are recorded in earnings and reported as unrealized gains (losses) on mortgage-backed securities in the accompanying statements of comprehensive income (loss). For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security.

Dividends

In addition to other requirements that must be satisfied to continue to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deductions for dividends paid and excluding any net capital gains. REIT taxable income (loss) is computed in accordance with the Code, and can be greater than or less than our financial statement net income (loss) computed in accordance with GAAP. These book to tax differences primarily relate to the recognition of interest income on RMBS, unrealized gains and losses on RMBS, and the amortization of losses on derivative instruments that are treated as funding hedges for tax purposes.

We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since the completion of our IPO.

(in thousands, except per share amounts)

Year

Per Share Amount

Total

2013

$

6.975

$

4,662

2014

10.800

22,643

2015

9.600

38,748

2016

8.400

41,388

2017

8.400

70,717

2018

5.350

55,814

2019

4.800

54,421

2020

3.950

53,570

2021

3.900

97,601

2022

2.475

87,906

2023

1.800

81,127

2024

1.440

96,309

2025

1.440

190,930

2026 YTD(1)

0.240

44,957

Totals

$

69.570

$

940,793

(1)

On January 7, 2026, the Company declared a dividend of $0.12 per share to be paid on February 26, 2026. On February 11, 2026, the Company declared a dividend of $0.12 per share to be paid on March 30, 2026.  The effects of these dividends are included in the table above but are not reflected in the Company’s financial statements as of December 31, 2025.

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