Core Insights - BioArctic AB's partner Eisai presented significant findings on lecanemab (Leqembi®) at the Alzheimer's Association International Conference, highlighting its clinical efficacy and safety profile over four years of treatment [1] Group 1: Clinical Efficacy - Four years of lecanemab treatment helped patients remain in the early stage of Alzheimer's disease longer compared to the natural disease course, with a 27% slowing of clinical decline as measured by the CDR-SB scale [2] - Among patients who completed the core study, 95% chose to continue in the open-label extension study, demonstrating a 1.01-point less decline over three years and a 1.75-point less decline after four years compared to expected decline in other cohorts [3] - In a tau PET sub-study, 69% of participants with low tau levels showed improvement or no decline after four years of treatment, indicating sustained long-term benefits [4] Group 2: Safety Profile - No new safety findings were observed in the open-label extension study, with rates of amyloid-related imaging abnormalities (ARIA) decreasing after the first 12 months and remaining consistent throughout four years [5] - Interim real-world data indicated that 84% of patients on lecanemab either remained stable or clinically improved, with a safety profile consistent with phase 3 data [6] Group 3: Treatment Administration - Subcutaneous dosing of lecanemab is being explored as a new treatment option, with a weekly maintenance dose of 360 mg showing comparable clinical and biomarker benefits to intravenous administration [9][10] - The safety profile of the 360 mg weekly subcutaneous maintenance dose was consistent with intravenous therapy, with systemic injection reactions occurring in less than 1% of patients [11] - Subcutaneous dosing allows for easier home administration, potentially reducing the need for infusion center visits and enhancing patient compliance [12] Group 4: Commercialization and Collaboration - Eisai leads the global development and regulatory submissions for Leqembi, with BioArctic holding rights for commercialization in the Nordic region [13][17] - BioArctic has no development costs for lecanemab and is entitled to payments related to regulatory approvals and sales milestones [17] - The collaboration between BioArctic and Eisai has been ongoing since 2005, focusing on the development and commercialization of Alzheimer's disease treatments [16]

Core Insights - NewAmsterdam Pharma's obicetrapib significantly reduced plasma p-tau217 levels, a key Alzheimer's disease biomarker, in both the full analysis set and in ApoE4 carriers, indicating its potential as a novel approach to Alzheimer's prevention [1][3][13] - In ApoE4/E4 carriers, obicetrapib reduced p-tau217 levels by 20.5% over 12 months compared to placebo [1][4][5] - The results support obicetrapib's cardiometabolic profile, showing reductions in LDL-C and other cardiovascular risk factors [1][2][15] Company Overview - NewAmsterdam Pharma is a late-stage biopharmaceutical company focused on developing oral, non-statin medicines for patients at risk of cardiovascular disease with elevated LDL-C [1][16] - The company aims to address unmet needs in populations where current therapies are inadequate or poorly tolerated [16] - Obicetrapib is being evaluated in multiple clinical trials, including the pivotal Phase 3 BROADWAY trial, which assesses its efficacy and safety in patients with established atherosclerotic cardiovascular disease and/or heterozygous familial hypercholesterolemia [2][10][15] Clinical Trial Insights - The BROADWAY trial included 2,530 patients and was designed to evaluate the LDL-C lowering efficacy of obicetrapib [2][10] - A prespecified analysis of the trial assessed the effects of obicetrapib on plasma biomarkers of Alzheimer's disease in 1,515 patients, including 367 ApoE4 carriers [2][13] - The primary outcome measure was the absolute and percent change in p-tau217 over 12 months, with significant reductions observed [3][13] Biomarker Analysis - Statistically significant reductions in p-tau217 levels were observed in both the full analysis set and ApoE4 carriers, with p-values of 0.0019 and 0.0215, respectively [1][3][13] - Additional favorable trends were noted across other biomarkers, including NFL, GFAP, and p-tau181 [3][4][6] - The analysis highlights the potential of obicetrapib to influence Alzheimer's disease risk through lipid modulation, particularly in high-risk ApoE4 carriers [7][13] Future Directions - NewAmsterdam plans to discuss the results with regulatory authorities to determine potential next steps for obicetrapib [7][18] - The company is also exploring the commercialization rights of obicetrapib in Europe, which have been granted to the Menarini Group [15][16]

Core Insights - Cognition Therapeutics, Inc. presented positive results from the Phase 2 COG1201 SHIMMER study of zervimesine in dementia with Lewy bodies (DLB) at the Alzheimer's Association International Conference 2025 [1][2] - Zervimesine treatment showed an 86% improvement in neuropsychiatric symptoms compared to placebo after six months [2] - The SHINE study results indicated that lower plasma p-tau217 levels can identify Alzheimer's patients more likely to benefit from zervimesine treatment [3][4] Study Results - The SHIMMER study met its primary endpoint of safety and tolerability, with zervimesine showing a positive impact across various scales [2][6] - DLB patients treated with zervimesine scored significantly better on the neuropsychiatric inventory, particularly in symptoms like hallucinations and anxiety [2][3] - The SHINE study also met its primary endpoint, with zervimesine arresting cognitive deterioration by 129% in mild Alzheimer's and 91% in moderate Alzheimer's patients [4][9] Biomarker Analysis - Plasma p-tau217 levels were used to identify patients likely to benefit from zervimesine, with significant reductions in neuroinflammation markers observed [4][5] - The study found trends towards normalization of neurofilament light (NfL) and amyloid beta species in patients with lower p-tau217 levels [5][4] - Zervimesine's impact on neuroinflammation and neurodegeneration was supported by biomarker evidence presented at the conference [5][4] Company Overview - Cognition Therapeutics is focused on developing innovative therapeutics for neurodegenerative disorders, with zervimesine as a lead candidate [11][13] - The company has received significant funding from the National Institute on Aging, totaling approximately $30 million for both the SHIMMER and SHINE studies [8][10] - Zervimesine has been granted FDA Fast Track designation for Alzheimer's disease, indicating its potential significance in treatment [11]

Core Insights - InMed Pharmaceuticals is presenting new preclinical data on its drug candidate INM-901 at the Alzheimer's Association International Conference (AAIC) 2025, focusing on its potential in treating Alzheimer's disease [1][5]. Group 1: Study Findings - The study evaluates INM-901 using a long-term 5xFAD mouse model, showing improvements in cognitive function, anxiety-related behavior, and sensory responsiveness [3]. - Treatment with INM-901 resulted in a significant reduction in inflammatory biomarkers, indicating a dose-dependent therapeutic effect in neuroinflammation [6]. - Behavioral improvements were observed, with cognitive function and anxiety-related behavior approaching normal levels following treatment with INM-901 [12]. Group 2: Mechanisms of Action - INM-901 targets multiple biological pathways associated with Alzheimer's disease, demonstrating anti-inflammatory action and neuroprotection by significantly reducing amyloid-beta-induced cell death [12]. - The drug promotes neurite outgrowth, enhancing neuronal connectivity and function, which aligns with observed improvements in cognition and memory [12]. - Molecular validation through mRNA data supports the behavioral findings, indicating a comprehensive therapeutic potential for INM-901 in Alzheimer's pathology [12]. Group 3: Conference Details - The AAIC 2025 will take place from July 27-31, 2025, in Toronto, Canada, serving as a premier global event for advancing research in dementia and cognitive health [5][8].

About Obicetrapib NAARDEN, the Netherlands and MIAMI, July 22, 2025 (GLOBE NEWSWIRE) -- NewAmsterdam Pharma Company N.V. (Nasdaq: NAMS or "NewAmsterdam" or the "Company"), a late-stage, clinical biopharmaceutical company developing oral, non-statin medicines for patients at risk of cardiovascular disease (CVD) with elevated low-density lipoprotein cholesterol (LDL-C), for whom existing therapies are not sufficiently effective or well-tolerated, today announced that it will present full data from the prespec ...

Economic Indicators - As of September 30, 2023, the 10-year U.S. Treasury rate increased to 4.57%, a rise of 73 basis points from the previous quarter[194]. - The Freddie Mac average primary mortgage rate rose by 60 basis points to 7.31% as of September 30, 2023[196]. - The Consumer Price Index (CPI) reached 3.7% for the twelve-month period ending September 30, 2023[196]. - Housing prices increased by 2.6% year-over-year as reported by the S&P CoreLogic Case-Shiller U.S. National Home Price NSA index in August 2023[196]. Company Financials - The company's MSR financing receivables amounted to $191.8 million at fair value, with an unrealized gain of $49.9 million[202]. - Total invested capital as of September 30, 2023, was $434.9 million, with 64% allocated to MSR financing receivables[200]. - The company's leverage ratio was 0.4 as of September 30, 2023[200]. - The total fair value of credit investments as of September 30, 2023 is $128,488, with an invested capital of $49,290 and leverage of 1.6[206]. - The company reported net operating income primarily from interest and other income recognized from investments, net of interest expenses[212]. - Net operating income for Q3 2023 was $4.8 million, down from $6.6 million in Q3 2022[217]. - The net loss attributable to common stock was $7.3 million in Q3 2023, compared to a net income of $2.8 million in Q3 2022[217]. - Diluted loss earnings per common share were $(0.26) in Q3 2023, compared to earnings of $0.10 in Q3 2022[217]. - Interest and other income increased by $1.2 million, or 9.7%, from $12.4 million in Q3 2022 to $13.6 million in Q3 2023[218]. - For the nine months ended September 30, 2023, interest and other income rose by $11.7 million, or 40.9%, from $28.6 million in 2022 to $40.3 million in 2023[218]. - Interest expense increased by $2.8 million, or 46.7%, from $6.0 million in Q3 2022 to $8.8 million in Q3 2023[223]. - For the nine months ended September 30, 2023, interest expense rose by $11.6 million, or 84.7%, from $13.7 million in 2022 to $25.3 million in 2023[223]. Investment Portfolio - The agency MBS investment portfolio has a fair value of $520,851, with a net short TBA position of $(406,204), resulting in a total agency MBS investment portfolio of $114,647[209]. - The annualized prepayment rate for agency MBS was 5.31% for the three months ended September 30, 2023, with 61% of the portfolio in specified pools of loans[210]. - The commercial mortgage loan investment is a $25.6 million participation in a $75.8 million syndicated mortgage loan, secured by 42 health care facilities, with a variable note rate of SOFR plus 5.61%[207]. - The total fair value of commercial MBS investments is $99.4 million, with an unpaid principal balance of $100 million and 30.9% in subordinated credit support[207]. - The average balance of agency MBS increased to $498.9 million in Q3 2023, with an interest yield of 4.34%[219]. Debt and Financing - The company reported a total of $14.6 billion in long-term unsecured debt as of September 30, 2023, a decrease of $2.9 billion from the previous year[226]. - The company sold all its SFR rental properties in two separate transactions in August 2022 and December 2022[227]. - Total long-term unsecured debt as of September 30, 2023, was $86.7 million, including $34.9 million in Senior Notes due 2025 and $37.8 million in Senior Notes due 2026[247]. - The company may seek debt or equity financings for strategic business opportunities, including possible acquisitions[240]. - As of September 30, 2023, outstanding repurchase agreements for agency MBS financing were $475,109 million, with a weighted-average rate of 5.48%[245]. - The average balance of repurchase agreements was $504.5 million in Q3 2023, with an interest expense of $7.2 million[224]. Risk Management - The primary market risks the company is exposed to include interest rate risk, liquidity risk, and credit risk[262]. - The company manages interest rate risk through investment allocation and hedging instruments, including interest rate swaps and U.S. Treasury note futures[263]. - The company is exposed to spread risk, with the fair value of Agency MBS potentially decreasing to $517,715,000 and increasing to $523,987,000 with basis point changes in spreads[269]. - The company accepts credit risk at levels deemed prudent, with credit losses allocated on a "reverse sequential" basis for non-agency MBS investments[270]. - The company utilizes interest rate hedging instruments to mitigate exposure to changes in benchmark interest rates, but these do not address spread risk[267]. Corporate Strategy and Operations - The company no longer anticipates allocating capital to a single-family residential investment strategy after selling its SFR portfolio in 2022[192]. - The company is exploring business expansion beyond investing in MBS, with uncertain returns expected from such ventures[275]. - The company is dependent on short-term borrowings and repurchase agreements to finance its mortgage-related holdings, which poses liquidity risks[275]. - The company acknowledges potential adverse developments in the residential mortgage market and the overall economy, which could impact performance[273]. - The proposed merger with EFC is subject to shareholder approval and other conditions, with potential risks including significant transaction costs and management distraction[273]. Tax and Compliance - The company is required to distribute annually 90% of its REIT taxable income to shareholders to maintain its REIT status[259]. - The company has estimated NOL carryforwards of $163,800,000 to offset future taxable income[259]. - The company has not guaranteed any obligations of unconsolidated entities as of September 30, 2023[260]. - The company must maintain its qualification as a REIT for federal income tax purposes, which is critical for its financial strategy[275]. Miscellaneous - The company is monitoring the economic impact of the COVID-19 pandemic and other public health emergencies on its operations[275]. - The company has identified various risk factors in its Annual Report that could lead to actual results differing materially from forward-looking statements[273].

Financial Performance - Net income for the three months ended June 30, 2023, was $4.9 million, compared to a net income of $0.3 million for the same period in 2022 [218]. - Diluted earnings per common share for the three months ended June 30, 2023, was $0.15, compared to a loss of $0.01 for the same period in 2022 [218]. - Interest and other income increased by $3.9 million, or 44.3%, from $8.8 million for the three months ended June 30, 2022, to $12.7 million for the three months ended June 30, 2023 [218]. - Interest and other income for the six months ended June 30, 2023, rose by $10.5 million, or 64.8%, to $26.7 million compared to $16.2 million for the same period in 2022 [218]. - Interest expense increased by $3.7 million, or 82.2%, from $4.5 million for the three months ended June 30, 2022, to $8.2 million for the three months ended June 30, 2023 [223]. - The total interest expense for the six months ended June 30, 2023, was $16.5 million, up from $7.7 million for the same period in 2022, reflecting a 114.3% increase [223]. - Net income available to common stock for the three months ended June 30, 2023, was $4.2 million, compared to a loss of $0.4 million for the same period in 2022 [235]. - Non-GAAP earnings available for distribution for the six months ended June 30, 2023, were $3.7 million, up from $2.8 million in the same period of 2022, representing a 32% increase [235]. Investment Portfolio - The total invested capital as of June 30, 2023, was $450.5 million, with 66% allocated to MSR financing receivables, 11% to credit investments, and 23% to agency MBS [199]. - The agency MBS investment portfolio has a fair value of $467,503, with a net short TBA position of $(343,236), resulting in a total portfolio value of $124,267 [207]. - The total credit investment portfolio as of June 30, 2023, is valued at $130,347, with a leverage ratio of 2.8 [205]. - The company holds two AAA rated senior position commercial MBS with a combined fair value of $99.6 million, secured by properties in New York and North Carolina [205]. - The average balance of agency MBS increased to $472.8 million, generating interest and other income of $5.0 million at a yield of 4.26% for the three months ended June 30, 2023 [219]. - The average balance of credit investments was $132.2 million, yielding $2.8 million at an 8.48% rate for the three months ended June 30, 2023 [219]. Market Conditions - The 10-year U.S. Treasury rate increased by 37 basis points to 3.84% as of June 30, 2023, contributing to a rise in residential mortgage rates, which reached 6.71% [193]. - The average primary mortgage rate from Freddie Mac increased by 39 basis points to 6.71% as of June 30, 2023, impacting the housing market [195]. - Housing prices declined by 0.5% annually as reported by the S&P CoreLogic Case-Shiller U.S. National Home Price NSA index in May 2023 [195]. - The Consumer Price Index (CPI) declined to 3.0% for the twelve-month period ending June 30, 2023, indicating a decrease in inflation from its peak in 2022 [195]. Risk Factors - The company is exposed to various market risks including interest rate risk, credit risk, and spread risk, which can significantly impact its financial position [261]. - Credit risk is present in the company's non-agency MBS investments, which do not carry a credit guarantee, exposing the company to potential credit losses [270]. - The company acknowledges that actual results may differ materially from estimates due to various market conditions and risks [265]. - The company is facing risks related to the proposed merger with EFC, including the need for shareholder approval and potential litigation risks [272]. - Current adverse conditions in the residential mortgage market and the overall economy could affect the company's performance [273]. Capital Structure - The company’s leverage ratio was reported at 0.5 as of June 30, 2023, reflecting the ratio of financing and commitments to investable capital [199]. - As of June 30, 2023, the debt-to-equity leverage ratio was 2.7 to 1, indicating a significant reliance on debt financing [238]. - Total repurchase agreements outstanding as of June 30, 2023, amounted to $499.9 million, with a weighted-average rate of 5.48% [243]. - The company had outstanding repurchase agreement balances with eight counterparties, with no more than 4.2% of stockholders' equity at risk with any one counterparty [245]. - As of June 30, 2023, the company had $86.6 million in total long-term unsecured debt, with $34.9 million in 6.75% Senior Notes due 2025 and $37.8 million in 6.00% Senior Notes due 2026 [246]. Strategic Decisions - The company no longer anticipates allocating capital to a single-family residential investment strategy after selling its SFR portfolio in 2022 [191]. - The company does not anticipate allocating capital to an SFR investment strategy going forward, having sold all SFR rental properties in 2022 [222]. - The company is exploring business expansion beyond mortgage-backed securities (MBS), with uncertain returns [273]. - The company intends to distribute 100% of its taxable income to shareholders, in compliance with REIT distribution requirements [257]. Operational Insights - General and administrative expenses include professional services, insurance, and non-recurring expenses related to the proposed merger with EFC [214]. - General and administrative expenses increased by $0.9 million from $3.8 million for the three months ended June 30, 2022, to $4.7 million for the same period in 2023, primarily due to non-recurring legal and professional service fees [230]. - The company incurred property operating expenses of $1.9 million for the three months ended June 30, 2022, including $0.6 million of depreciation expense [226]. - The company recognized a provision for income taxes of $1.4 million for the three months ended June 30, 2023, compared to $0.8 million for the same period in 2022 [231]. Future Outlook - The company expects substantial realization of remaining value from business purpose residential MBS within the next several quarters [205]. - The company anticipates that changes in prepayment rates and interest rates will affect its portfolio performance [271]. - The company acknowledges the potential economic impact of the COVID-19 pandemic on its operations [273].

Interest Rates and Inflation - The 10-year U.S. Treasury rate decreased by 40 basis points to 3.47% as of March 31, 2023, contributing to a modest decline in residential mortgage rates [188]. - The average primary mortgage rate from Freddie Mac decreased by 10 basis points to 6.32% as of March 31, 2023 [190]. - The Consumer Price Index (CPI) declined to 5.0% for the twelve-month period ending March 31, 2023, indicating a decrease in inflation from its peak in 2022 [189]. - The Federal Open Market Committee raised the federal funds rate by 50 basis points to a target range of 4.75% to 5.00% during the first quarter of 2023 [189]. - The market is projecting a 50% likelihood of an additional 25 basis point increase in the federal funds rate within the next three months [189]. Company Financials and Performance - Net operating income for the three months ended March 31, 2023, was $5.653 million, an increase from $3.697 million in the same period of 2022, representing a 53.1% increase [211]. - Interest and other income increased by $6.6 million, or 89.2%, from $7.4 million in Q1 2022 to $14.0 million in Q1 2023, primarily due to higher average investment yields [213]. - Interest expense rose by $5.1 million, or 159.4%, from $3.2 million in Q1 2022 to $8.3 million in Q1 2023, mainly due to higher interest rates on repurchase agreement financings [219]. - The company reported a net loss of $(2.218) million for the three months ended March 31, 2023, compared to a net loss of $(2.701) million in the same period of 2022 [211]. - Diluted loss per common share was $(0.10) for Q1 2023, compared to $(0.12) for Q1 2022 [211]. Mortgage-Related Assets and Investments - The company has shifted its investment focus primarily to mortgage-related assets, including mortgage servicing rights, credit investments, and agency mortgage-backed securities [186]. - The company sold its portfolio of single-family residential properties in 2022 and does not plan to allocate capital to an SFR investment strategy in the future [186]. - As of March 31, 2023, the company had $183.1 million in MSR financing receivables at fair value, with an amortized cost basis of $139.2 million and an unrealized gain of $43.9 million [195]. - The total agency MBS consisted of various fixed-rate securities, with a total unpaid principal balance of $480.5 million and a net unrealized loss of $(12.6) million [203]. - The company anticipates substantial realization of the remaining value in its business purpose residential MBS within the next several quarters [201]. Debt and Leverage - The total invested capital as of March 31, 2023, was $404.5 million, with a leverage ratio of 2.8 [193]. - For the three months ended March 31, 2023, the company reported a total debt of $5.454 billion, a decrease of $349 million compared to $5.105 billion in the same period of 2022 [221]. - As of March 31, 2023, the company's debt-to-equity leverage ratio was 2.7 to 1, and the "at risk" leverage ratio was 0.4 to 1 [234]. - The company had outstanding repurchase agreement borrowings of $385.9 million, with a fair value of $413.2 million as of March 31, 2023 [240]. Risk Management - The company is exposed to interest rate risk, with potential impacts on the fair value of agency MBS and MSR related assets due to changes in interest rates [259]. - Interest rate hedging instruments include swaps and U.S. Treasury note futures to manage exposure to interest rate fluctuations [259]. - The company faces spread risk, which may lead to fluctuations in the fair value of Agency MBS independent of interest rate changes [262]. - Credit risk is present in non-agency MBS investments, with potential losses if underlying mortgage loans default [265]. - The company aims to manage credit risk through prudent asset selection and ongoing performance monitoring [265]. Corporate Governance and Compliance - The company emphasizes the importance of maintaining its qualification as a REIT for federal income tax purposes [267]. - The company intends to distribute 100% of its taxable income to shareholders, subject to REIT distribution requirements [254]. - The company has no relationships with unconsolidated entities or financial partnerships that could materially affect its financial condition as of March 31, 2023 [255]. Future Outlook - Forward-looking statements include expectations regarding capital deployment and business growth strategies [266]. - The potential impact of the COVID-19 pandemic remains a concern for the company's operations and market conditions [270].

Financial Losses and Carryforwards - As of December 31, 2022, the company had estimated net operating loss (NOL) carryforwards of $162.5 million, with $14.6 million expiring in 2028 and $147.9 million having no expiration period[38] - The company reported estimated net capital loss (NCL) carryforwards of $155.7 million, with scheduled expirations of $110.3 million in 2023, $14.2 million in 2026, and $31.2 million in 2027[38] REIT Compliance and Requirements - The company intends to distribute 100% of its taxable income to maintain its REIT status, which requires an annual distribution of at least 90% of REIT taxable income[34] - The company must satisfy two gross income requirements annually to qualify as a REIT: at least 75% of gross income must come from real property investments, and at least 95% must come from a combination of qualifying income[36] - At the close of each calendar quarter, the company must meet five gross asset tests, including that at least 75% of asset value must be in real estate assets, cash, or U.S. Government securities[37] - The company aims to maintain its exclusion from regulation under the 1940 Act by ensuring that at least 55% of its assets consist of qualified assets[40] Market and Investment Risks - The company is exposed to various market risks, including interest rate, prepayment, extension, spread, credit, liquidity, and regulatory risks, which it manages through hedging instruments and investment strategies[32] - The company competes with various entities for targeted investments, including mortgage finance companies, banks, and institutional investors, which may impact its investment strategy and financing availability[33] Financing and Capital Management - The company has issued long-term unsecured notes as an additional source of financing, indicating a strategy to diversify funding sources[31] Employee and Workplace Policies - As of December 31, 2022, the company had nine employees and focuses on maintaining a workplace free from discrimination while ensuring fair compensation[42] Fair Value and Interest Rate Sensitivity - The fair value of Agency MBS as of December 31, 2022, is $443,540, with a projected decrease to $432,852 with a 50 basis point increase in interest rates and an increase to $453,192 with a 50 basis point decrease[262] - The estimated fair value of MSR financing receivables is $180,365, projected to increase to $183,526 with a 50 basis point decrease in interest rates and decrease to $177,422 with a 50 basis point increase[262] - Equity available to common stock is $183,920, with a projected increase of 0.39% under a 50 basis point increase in interest rates and a decrease of 0.25% under a 50 basis point decrease[262] - The analysis indicates that a 100 basis point increase in interest rates would decrease the fair value of Agency MBS to $421,404, while a decrease would increase it to $461,688[262] - Spread risk is highlighted, with the fair value of Agency MBS potentially declining independently of changes in benchmark interest rates, reflecting market conditions and monetary policy actions[263] - The fair value of Agency MBS is projected to decrease to $441,034 with a 10 basis point increase in spreads and increase to $446,046 with a 10 basis point decrease[264] Credit Risk Management - Credit risk is present in non-agency MBS investments, with potential losses if underlying mortgage loans default, and credit enhancements may mitigate some exposure[266] - The company accepts credit risk at levels deemed prudent within its overall investment strategy, with ongoing performance monitoring to manage exposure[266] Interest Rate Hedging - The company utilizes interest rate hedging instruments, including swaps and U.S. Treasury note futures, to manage interest rate risk[259] - The effective durations for interest rate sensitivity are based on observed fair value changes and historical prepayment patterns[259]

Interest Rates and Economic Indicators - As of September 30, 2022, the 10-year U.S. Treasury rate increased by 82 basis points to 3.83% compared to the previous quarter[198]. - The average primary mortgage rate rose by 100 basis points to 6.70% during the third quarter of 2022[200]. - The Consumer Price Index increased by 8.2% for the twelve months ending September 30, 2022, marking one of the largest increases in over 40 years[200]. - The spread between the 2-year and 10-year U.S. Treasury rates inverted to a negative 45 basis points as of September 30, 2022[198]. - The Federal Reserve raised its target range for the federal funds rate by 75 basis points to a range of 3.00% to 3.25% on September 21, 2022[201]. - The market is anticipating additional interest rate hikes totaling approximately 150 basis points in the next six months[201]. Mortgage and Housing Market - Housing prices reported a 13.0% annual gain in August 2022, down from 15.6% in the previous month, indicating a deceleration in growth[203]. - Prepayment speeds in the fixed-rate residential mortgage market decreased during the third quarter of 2022 due to rising primary mortgage rates[202]. - Valuation multiples of mortgage servicing rights (MSRs) increased during the third quarter of 2022, driven by declining prepayment speed expectations[202]. - The average unpaid principal balance of underlying MSRs was $13.8 billion with a weighted average note rate of 3.14%[218]. - The annualized prepayment rate for agency MBS was 6.36% for the three months ended September 30, 2022, with approximately 29% in high loan-to-value pools and 18% in low balance loans[222]. Financial Performance - Interest and other income increased by $6.1 million, or 96.8%, from $6.3 million for the three months ended September 30, 2021, to $12.4 million for the same period in 2022[233]. - Net operating income for the three months ended September 30, 2022, was $6,647,000, compared to $4,396,000 for the same period in 2021, representing a 51.3% increase[232]. - The company reported a net income of $3,431,000 for the three months ended September 30, 2022, compared to a net loss of $250,000 for the same period in 2021[232]. - General and administrative expenses for the three months ended September 30, 2022, were $3,377,000, an increase from $2,897,000 in the same period of 2021[232]. - The company reported a net loss on agency MBS investments of $22.728 million for the three months ended September 30, 2022, compared to a loss of $2.447 million in 2021[243]. Debt and Financing - The total invested capital as of September 30, 2022, was $624.9 million, with a total investable capital of $301.5 million[216]. - The company had $15.0 million of junior subordinated debt outstanding requiring quarterly interest payments at three-month LIBOR plus a spread of 2.25% to 3.00%[212]. - As of September 30, 2022, the debt-to-equity leverage ratio was 3.5 to 1, indicating a significant reliance on debt financing[253]. - The company has a $75 million credit facility with its mortgage servicing counterparty, which was increased to $100 million on October 15, 2022[279]. - Total long-term unsecured debt as of September 30, 2022, was $86.3 million, with 6.75% Senior Notes due 2025 and 6.00% Senior Notes due 2026 outstanding[270]. Cash Flow and Liquidity - Cash used in operating activities during the nine months ended September 30, 2022, was $2.4 million, primarily due to net interest income less general and administrative expenses[256]. - Cash provided by investing activities during the nine months ended September 30, 2022, was $48.1 million, mainly from sales of agency MBS and credit securities[256]. - Cash used in financing activities during the nine months ended September 30, 2022, was $51.2 million, primarily from repayments of repurchase agreements and dividend payments to stockholders[256]. - The company believes that existing cash balances and other sources of liquidity will be sufficient to meet cash requirements for at least the next twelve months[255]. - The company's liquid assets totaled $45.9 million, consisting of cash and cash equivalents of $13.8 million and settled unencumbered agency MBS of $32.1 million at fair value[254]. Risk Management - The company manages interest rate risk through investment allocation and the utilization of interest rate hedging instruments[299]. - The company faces spread risk, which is the risk of an increase in the spread between market participants' required rate of return and prevailing benchmark interest rates[304]. - The company has credit risk exposure due to investments in non-agency MBS, which do not carry a credit guarantee from a GSE or government agency[308]. - The company attempts to manage credit risk through prudent asset selection and ongoing performance monitoring[311]. - The company does not guarantee the success of its credit risk management strategies, which could lead to substantial losses if credit performance falls short of expectations[312]. Shareholder and Equity Information - The company intends to distribute 100% of its taxable income to shareholders, in compliance with REIT distribution requirements[292]. - The Series C Preferred Stock has a liquidation preference of $24.1 million and pays a cumulative cash dividend at a fixed rate of 8.250% per annum until March 30, 2024[289]. - The company reported a net income available to common stock of $2.756 million for the three months ended September 30, 2022, compared to a net loss of $981,000 in the same period of 2021[248]. - As of September 30, 2022, the equity available to common stock was $181,575,000, with a 0.47% increase and a 0.21% decrease in response to a 50 basis point change in interest rates[302]. - The company has issued 6,058 shares of Series B preferred stock for proceeds net of selling commissions and expenses of $0.1 million during the nine months ended September 30, 2022[291].