Core Insights - Orchid Island Capital, Inc. reported a net income of $72.1 million for Q3 2025, a significant increase from $17.3 million in Q3 2024, reflecting strong operational performance [6][7] - The company generated a total return of 6.7% for the quarter, driven by stable interest rates and effective capital allocation strategies [4][6] - The company maintained a strong liquidity position with $620 million in cash and cash equivalents, representing approximately 57% of stockholders' equity as of September 30, 2025 [7][12] Financial Performance - Net interest income for the quarter was $26.9 million, or $0.20 per common share, with total expenses of $5.4 million [7] - The yield on average Agency RMBS increased from 5.38% in Q2 2025 to 5.65% in Q3 2025, while borrowing costs rose from 4.23% to 4.45% [6][8] - The book value per common share increased by $0.12 to $7.33 at the end of Q3 2025 [7][24] Market Conditions - Market conditions were favorable for levered Agency RMBS investors, with stable interest rates outside of short-term rates, which declined in anticipation of further interest rate cuts [4][5] - The Federal Reserve indicated a tilt towards economic weakness, impacting the labor market and overall economic growth [5] - Despite uncertainties, consumer spending appeared stable, and potential benefits from legislative measures and deregulation could support growth [5] Portfolio and Capital Allocation - As of September 30, 2025, approximately 98.5% of the company's investable capital was deployed in the pass-through RMBS portfolio [27] - The company received $212.8 million in principal repayments and prepayments during the quarter, resulting in a constant prepayment rate of approximately 10.1% [9] - The return on invested capital for the pass-through RMBS portfolio was approximately 9.9%, while the structured RMBS portfolio generated a return of 1.2% [33][34] Financing and Leverage - The company had outstanding repurchase obligations of approximately $8.0 billion with a net weighted average borrowing rate of 4.33% [12] - The adjusted leverage ratio was 7.4 to 1, indicating room for further leverage if market conditions improve [12] - The company plans to enhance liquidity by potentially pledging more structured RMBS as part of repurchase agreements [12] Dividends - The company declared a dividend of $0.12 per share on October 15, 2025, to be paid on November 26, 2025 [23][22] - Total dividends declared and paid for the quarter amounted to $0.36 per common share [7] Future Outlook - The company believes its portfolio is well-positioned to deliver attractive returns in various economic scenarios, despite uncertainties surrounding interest rates and economic growth [5][4]

Core Insights - Orchid Island Capital, Inc. (ORC) is set to report its third-quarter 2025 earnings on October 23, after market close [1][9] - The second-quarter 2025 results showed a year-over-year improvement in average asset yield, although higher expenses were a concern [1] - ORC has a strong earnings surprise history, exceeding the Zacks Consensus Estimate in three of the last four quarters, with an average earnings surprise of 103.06% [1] Earnings Estimates - The consensus estimate for ORC's earnings remains unchanged at 15 cents per share, compared to a reported loss of 5 cents per share in the same quarter last year [2] Market Conditions - Despite a 25-basis-point rate cut by the Federal Reserve in September 2025, mortgage rates did not significantly decline, leading to moderate growth in refinancing activities and origination volumes [3] - A significant portion of ORC's mortgage-backed securities (MBS) holdings is expected to have experienced slightly higher constant prepayment rates, positively impacting net premium amortization and supporting growth in interest income and average asset yield [4] Financial Metrics - The primary-secondary spread remained slightly wider than the previous quarter, indicating stable gain-on-sale margins for ORC [5] - Agency MBS spreads tightened in Q3 due to lower interest rate volatility, likely resulting in an improvement in ORC's book value per share [5] Earnings Prediction Model - The current model does not predict an earnings beat for ORC, as it has an Earnings ESP of 0.00% and a Zacks Rank of 3 (Hold) [6][7]

[Estimated Third Quarter 2025 Results and October 2025 Dividend Announcement](index=1&type=section&id=Estimated%20Third%20Quarter%202025%20Results%20and%20October%202025%20Dividend%20Announcement) This section presents estimated Q3 2025 financial results, covering dividends, book value, net income, and total return on equity [October 2025 Monthly Dividend Declaration](index=1&type=section&id=October%202025%20Monthly%20Dividend%20Declaration) Orchid Island Capital declared a **$0.12 per share** monthly dividend for October 2025, payable November 26, 2025, with the next dividend announcement on November 12, 2025 October 2025 Monthly Dividend Details | Metric | Value | | :--- | :--- | | October 2025 Monthly Dividend | $0.12 per share | | Payment Date | November 26, 2025 | | Record Date | October 31, 2025 | | Ex-dividend Date | October 31, 2025 | - The Company plans on announcing its next common stock dividend on November 12, 2025[2](index=2&type=chunk) [REIT Distribution Requirements](index=1&type=section&id=REIT%20Distribution%20Requirements) To maintain REIT status, the Company must distribute at least **90% of REIT taxable income** annually, with undistributed income subject to taxes and no guarantee of future distributions - To qualify as a real estate investment trust ("REIT"), the Company must distribute annually to its stockholders an amount at least equal to **90% of its REIT taxable income**[3](index=3&type=chunk) - The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates[3](index=3&type=chunk) - The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future[3](index=3&type=chunk) [Shares Outstanding](index=1&type=section&id=Shares%20Outstanding) The number of common shares outstanding increased significantly from June 30, 2025, to October 15, 2025 Common Shares Outstanding | Date | Shares of Common Stock Outstanding | | :--- | :--- | | October 15, 2025 | 151,712,160 | | September 30, 2025 | 148,239,401 | | June 30, 2025 | 126,566,926 | [Estimated Book Value Per Share](index=1&type=section&id=Estimated%20September%2030%2C%202025%20Book%20Value%20Per%20Share) Estimated book value per share as of September 30, 2025, was **$7.33**, based on preliminary **$1,086.1 million** equity and **148,239,401 shares** outstanding, subject to review Estimated Book Value Per Share (as of Sep 30, 2025) | Metric | Value (as of Sep 30, 2025) | | :--- | :--- | | Estimated Book Value Per Share | $7.33 | | Preliminary Estimated Total Stockholders' Equity | ~$1,086.1 million | | Shares of Common Stock Outstanding | 148,239,401 | - These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm[5](index=5&type=chunk) [Estimated Net Income Per Share and Realized and Unrealized Gains](index=1&type=section&id=Estimated%20Net%20Income%20Per%20Share%20and%20Realized%20and%20Unrealized%20Gains%20on%20RMBS%20and%20Derivative%20Instruments) Q3 2025 estimated net income per share was **$0.53**, including **$0.37 per share** from RMBS and derivative gains, with REIT taxable income considered a better dividend indicator than GAAP net income Estimated Net Income and Gains (Q3 2025) | Metric | Value (Q3 2025) | | :--- | :--- | | Estimated Net Income Per Share | $0.53 | | Estimated Net Realized and Unrealized Gains on RMBS and Derivative Instruments | $0.37 per share | | Total Dividends Declared | $0.36 per share | - The Company views **REIT taxable income** as a better indication of income to be paid in the form of a dividend rather than net income[6](index=6&type=chunk) - These figures are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm[6](index=6&type=chunk) [Estimated Total Return on Equity](index=1&type=section&id=Estimated%20Total%20Return%20on%20Equity) Estimated total return on equity for Q3 2025 was **6.6%**, derived from **$0.36 per share** in dividends and a **$0.12 per share** increase in book value from June 30, 2025 Estimated Total Return on Equity (Q3 2025) | Metric | Value (Q3 2025) | | :--- | :--- | | Estimated Total Return on Equity | 6.6% | | Total Return Per Share | $0.48 | | Dividends Per Share | $0.36 | | Increase in Book Value Per Share (from Jun 30, 2025) | $0.12 | [Highlights of Estimated Results](index=1&type=section&id=Highlights%20of%20Estimated%20Results) This section summarizes key estimated financial results for Q3 2025 and the October 2025 dividend, highlighting their preliminary nature - October 2025 Monthly Dividend of **$0.12 Per Share** of Common Stock[8](index=8&type=chunk) - Estimated Book Value Per Share as of September 30, 2025, of **$7.33**[8](index=8&type=chunk) - Estimated GAAP net income of **$0.53 per share** for the quarter ended September 30, 2025, including an estimated **$0.37 per share** of net realized and unrealized gains on RMBS and derivative instruments[8](index=8&type=chunk) - Estimated **6.6% total return on equity** for the quarter ended September 30, 2025[8](index=8&type=chunk) - Estimated book value, net income and total return on equity amounts are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm[8](index=8&type=chunk) [RMBS Portfolio Characteristics as of September 30, 2025](index=2&type=section&id=RMBS%20Portfolio%20Characteristics) This section details the RMBS portfolio characteristics, including valuation, agency distribution, regulatory compliance, and repurchase agreement exposure [RMBS Valuation Characteristics and Interest Rate Sensitivity](index=3&type=section&id=RMBS%20Valuation%20Characteristics) As of September 30, 2025, the RMBS portfolio was **99.84% fixed-rate pass-through**, with a **5.47% weighted average coupon** and **328-month maturity**, alongside detailed hedging instruments and modeled interest rate sensitivities RMBS Portfolio Composition (as of Sep 30, 2025) | Type | Fair Value ($) | % of Portfolio | Weighted Average Coupon | Weighted Average Maturity (Months) | | :--- | :--- | :--- | :--- | :--- | | Total Pass Through RMBS | 8,594,615 | 99.84% | 5.50% | 329 | | Total Structured RMBS | 14,180 | 0.16% | 3.25% | 213 | | **Total Mortgage Assets** | **8,608,795** | **100.00%** | **5.47%** | **328** | Modeled Interest Rate Sensitivity (Total Mortgage Assets & Hedges) | Scenario | Impact on Rate Shock Grand Total ($) | | :--- | :--- | | -50 BPS | (18,886) | | +50 BPS | (12,934) | - Hedge instruments include 3-Month SOFR Futures, 5-Year Treasury Future, 10-Year Treasury Future, 10-Year Ultra Treasury Future, 5-Year ERIS SOFR Swap Futures, and Swaps[12](index=12&type=chunk) [RMBS Assets by Agency](index=4&type=section&id=RMBS%20Assets%20by%20Agency) As of September 30, 2025, the Company's mortgage assets were predominantly issued by Fannie Mae (**56.7%**) and Freddie Mac (**43.3%**) RMBS Assets by Agency (as of Sep 30, 2025) | Agency | Fair Value ($ in thousands) | Percentage of Portfolio | | :--- | :--- | :--- | | Fannie Mae | 4,741,968 | 56.7% | | Freddie Mac | 3,614,112 | 43.3% | | **Total Mortgage Assets** | **8,356,080** | **100.0%** | [Investment Company Act of 1940 Whole Pool Test Results](index=4&type=section&id=Investment%20Company%20Act%20of%201940%20%28Whole%20Pool%29%20Test%20Results) As of September 30, 2025, **92.2%** of total mortgage assets were Whole Pool Assets, with **7.8%** Non-Whole Pool, complying with the Investment Company Act of 1940 Investment Company Act of 1940 Whole Pool Test (as of Sep 30, 2025) | Asset Category | Fair Value ($ in thousands) | Percentage of Portfolio | | :--- | :--- | :--- | | Whole Pool Assets | 7,701,330 | 92.2% | | Non-Whole Pool Assets | 654,750 | 7.8% | | **Total Mortgage Assets** | **8,356,080** | **100.0%** | [Repurchase Agreement Exposure by Counterparty](index=4&type=section&id=Repurchase%20Agreement%20Exposure%20by%20Counterparty) Total repurchase agreement borrowings were **$8,006,978 thousand** as of September 30, 2025, with a **4.33% weighted average repo rate** and **39-day maturity**, with J.P. Morgan Securities LLC as the largest counterparty Borrowings By Counterparty (as of Sep 30, 2025) | Metric | Value | | :--- | :--- | | Total Borrowings | $8,006,978 thousand | | Weighted Average Repo Rate | 4.33% | | Weighted Average Maturity | 39 days | | Largest Counterparty (J.P. Morgan Securities LLC) | $511,662 thousand (6.4% of Total Debt) | [Company Information and Disclaimers](index=2&type=section&id=Company%20Information%20and%20Disclaimers) This section provides company background, forward-looking statement disclaimers, and contact information [About Orchid Island Capital, Inc.](index=2&type=section&id=About%20Orchid%20Island%20Capital%2C%20Inc.) Orchid Island Capital, Inc. is a specialty finance company investing in leveraged Agency RMBS, focusing on traditional pass-through and structured products, managed by Bimini Advisors, LLC - Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS[9](index=9&type=chunk) - Its investment strategy focuses on traditional pass-through Agency RMBS and structured Agency RMBS[9](index=9&type=chunk) - The Company is managed by Bimini Advisors, LLC, a registered investment adviser[9](index=9&type=chunk) [Forward-Looking Statements](index=2&type=section&id=Forward-Looking%20Statements) This press release contains forward-looking statements, particularly regarding distributions, which are not guaranteed, and investors should consult the Form 10-K "Risk Factors" section - This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws, including statements about the Company's distributions[10](index=10&type=chunk) - These forward-looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur[10](index=10&type=chunk) - Investors should refer to the "Risk Factors" section of the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2024, for further discussion of factors that could affect outcomes[10](index=10&type=chunk) [Contact Information](index=4&type=section&id=Contact) Provides contact details for Orchid Island Capital, Inc., including the contact person, address, and telephone number - Contact Person: Robert E. Cauley[18](index=18&type=chunk) - Address: 3305 Flamingo Drive, Vero Beach, Florida 32963[18](index=18&type=chunk) - Telephone: (772) 231-1400[18](index=18&type=chunk)

Core Viewpoint - Orchid Island Capital, Inc. will release its third quarter 2025 results on October 23, 2025, after market close [1] Earnings Conference Call Details - An earnings conference call and live audio webcast is scheduled for October 24, 2025, at 10:00 AM ET [2] - Participants can register for the call and receive dial-in information through the provided registration link [2] - A live audio webcast of the conference call will be accessible via the company's investor relations website, with an audio archive available for 30 days post-call [3] Company Overview - Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS on a leveraged basis [4] - The company's investment strategy focuses on two categories of Agency RMBS: traditional pass-through Agency RMBS and structured Agency RMBS [4] - Orchid Island Capital is managed by Bimini Advisors, LLC, a registered investment adviser with the SEC [4]

Group 1 - The individual investor tends toward value investing while also exploring new strategies [1] - The investor has experience teaching financial management, focusing on financial statement and project financial analysis [1] - The investor has contributed to Seeking Alpha as a Top 40 REIT Contributor and Top 100 Mutual Funds and Financials contributor [1] Group 2 - The analyst has a beneficial long position in ORC through stock ownership, options, or other derivatives [2] - The article expresses the analyst's own opinions and is not compensated beyond Seeking Alpha [2] - The analyst does not have any open cash-secured puts or buy orders but may add to the position later [3] Group 3 - Seeking Alpha emphasizes that past performance is not indicative of future results and does not provide specific investment advice [4] - The views expressed may not reflect those of Seeking Alpha as a whole, and analysts may not be licensed or certified [4]

Core Points - Orchid Island Capital, Inc. declared a monthly cash dividend of $0.12 per share for September 2025, payable on October 30, 2025, to shareholders of record as of September 30, 2025 [1][7] - The company aims to make regular monthly cash distributions to its common stockholders, adhering to the requirement of distributing at least 90% of its REIT taxable income annually to qualify as a real estate investment trust [2] - As of September 8, 2025, the company had 146,130,135 shares of common stock outstanding, an increase from 141,863,067 shares as of August 31, 2025 [3] RMBS Portfolio Characteristics - Orchid Island Capital focuses on investing in Agency RMBS, including traditional pass-through Agency RMBS and structured Agency RMBS [4] - As of August 31, 2025, the total mortgage assets amounted to $7,966,555, with Fannie Mae accounting for 59.3% and Freddie Mac for 40.7% of the portfolio [11] - The company reported that 93.5% of its mortgage assets were whole pool assets, while 6.5% were non-whole pool assets [12] RMBS Valuation Characteristics - The company’s RMBS portfolio as of August 31, 2025, included various fixed-rate RMBS with a weighted average coupon of 5.49% and a weighted average maturity of 334 days [6] - The total pass-through RMBS was valued at $8,204,742, representing 99.82% of the portfolio [6] - The company has exposure to various repurchase agreements, with total borrowings amounting to $7,488,079 as of August 31, 2025 [13]

Summary of Orchid Island Capital, Inc. News Core Viewpoint Orchid Island Capital, Inc. has declared a monthly cash dividend of $0.12 per share for August 2025, with plans for regular monthly distributions to its common stockholders. The company is focused on maintaining its status as a real estate investment trust (REIT) by distributing at least 90% of its taxable income. Group 1: Dividend Announcement - The Board of Directors declared a monthly cash dividend of $0.12 per share for August 2025, payable on September 29, 2025, to stockholders of record as of August 29, 2025, with an ex-dividend date of August 29, 2025 [1] - The next common stock dividend announcement is expected on September 8, 2025 [7] Group 2: REIT Compliance and Distribution Strategy - To qualify as a REIT, the company must distribute annually at least 90% of its REIT taxable income, excluding net capital gains [2] - The company has not established a minimum distribution payment level and does not guarantee future distributions [2] Group 3: Shareholder Information - As of August 13, 2025, the company had 133,172,673 shares of common stock outstanding, an increase from 130,595,848 shares as of July 31, 2025 [3] Group 4: RMBS Portfolio Characteristics - Orchid Island Capital, Inc. invests in Agency RMBS, focusing on traditional pass-through Agency RMBS and structured Agency RMBS [4] - The company is managed by Bimini Advisors, LLC, a registered investment adviser [4] Group 5: RMBS Valuation and Characteristics - As of July 31, 2025, the total mortgage assets amounted to $7,350,578,000, with Fannie Mae and Freddie Mac representing 60.1% and 39.9% of the portfolio, respectively [11] - The company holds a significant portion of its assets in whole pool RMBS, accounting for 94.3% of total mortgage assets [12]

PART I [Financial Statements](index=4&type=section&id=ITEM%201.%20Financial%20Statements) This section presents Orchid Island Capital, Inc.'s unaudited condensed financial statements as of June 30, 2025, including balance sheets, income statements, equity statements, cash flows, and explanatory notes [Condensed Balance Sheets](index=4&type=section&id=Condensed%20Balance%20Sheets) Total assets grew to **$7.61 billion** by June 30, 2025, driven by mortgage-backed securities and funded by repurchase agreements and equity, with stockholders' equity reaching **$912.0 million** Condensed Balance Sheet Highlights (in thousands) | Account | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | **Total Assets** | **$7,610,631** | **$5,721,627** | | Mortgage-backed securities, at fair value | $6,993,359 | $5,253,310 | | Cash and cash equivalents | $440,756 | $309,330 | | **Total Liabilities** | **$6,698,671** | **$5,053,127** | | Repurchase agreements | $6,655,879 | $5,025,543 | | **Total Stockholders' Equity** | **$911,960** | **$668,500** | [Condensed Statements of Comprehensive Income (Loss)](index=5&type=section&id=Condensed%20Statements%20of%20Comprehensive%20Income%20(Loss)) The company reported a **$16.5 million** net loss for the six months ended June 30, 2025, primarily due to derivative losses, contrasting with a **$14.8 million** net income in the prior year Statement of Comprehensive Income (Loss) Summary (in thousands) | Metric | Six Months Ended June 30, 2025 | Six Months Ended June 30, 2024 | Three Months Ended June 30, 2025 | Three Months Ended June 30, 2024 | | :--- | :--- | :--- | :--- | :--- | | Net interest income (expense) | $42,867 | $(3,187) | $23,154 | $(697) | | (Losses) gains on derivative instruments | $(127,945) | $113,967 | $(53,286) | $26,068 | | **Net (loss) income** | **$(16,456)** | **$14,797** | **$(33,578)** | **$(4,979)** | | **Basic and diluted net (loss) income per share** | **$(0.16)** | **$0.27** | **$(0.29)** | **$(0.09)** | [Condensed Statements of Stockholders' Equity](index=6&type=section&id=Condensed%20Statements%20of%20Stockholders%27%20Equity) Stockholders' equity increased to **$912.0 million** by June 30, 2025, driven by **$344.8 million** in common stock issuances, offsetting a **$16.5 million** net loss and **$78.4 million** in dividends - For the six months ended June 30, 2025, the company issued common stock generating net proceeds of **$344.8 million** (**$205.4 million** in Q1 and **$139.4 million** in Q2)[16](index=16&type=chunk) - Cash dividends declared for the first six months of 2025 totaled **$78.4 million** (**$35.7 million** in Q1 and **$42.6 million** in Q2)[16](index=16&type=chunk) - The company repurchased and retired **1,113,000** shares for a total cost of **$7.26 million** in the second quarter of 2025[16](index=16&type=chunk) [Condensed Statements of Cash Flows](index=7&type=section&id=Condensed%20Statements%20of%20Cash%20Flows) Net cash increased by **$121.3 million** for the six months ended June 30, 2025, with **$44.2 million** from operations, **$1.82 billion** used in investing, and **$1.89 billion** provided by financing activities Cash Flow Summary (in thousands) | Cash Flow Category | Six Months Ended June 30, 2025 | Six Months Ended June 30, 2024 | | :--- | :--- | :--- | | Net Cash Provided by Operating Activities | $44,222 | $64,300 | | Net Cash Used in Investing Activities | $(1,817,749) | $(719,723) | | Net Cash Provided by Financing Activities | $1,894,802 | $712,145 | | **Net Increase in Cash** | **$121,275** | **$56,722** | [Notes to Condensed Financial Statements](index=8&type=section&id=Notes%20to%20Condensed%20Financial%20Statements) Notes detail accounting policies, RMBS investments, capital raising via 'at the market' offerings, portfolio composition, repurchase agreements, derivative hedging, and related party transactions - The company is engaged in managing a leveraged investment portfolio of residential mortgage-backed securities (RMBS)[20](index=20&type=chunk) - Through June 30, 2025, the company issued **34,355,086** shares under its February 2025 Equity Distribution Agreement for net proceeds of approximately **$261.2 million**[23](index=23&type=chunk) Mortgage-Backed Securities Portfolio (in thousands) | Security Type | Fair Value (June 30, 2025) | Fair Value (Dec 31, 2024) | | :--- | :--- | :--- | | Pass-Through RMBS | $6,978,561 | $5,237,812 | | Structured RMBS | $14,798 | $15,498 | | **Total** | **$6,993,359** | **$5,253,310** | Repurchase Agreements by Maturity (in thousands) | Maturity | June 30, 2025 | Dec 31, 2024 | | :--- | :--- | :--- | | Between 2 and 30 days | $4,657,644 | $4,656,303 | | Between 31 and 90 days | $1,781,505 | $192,338 | | Greater than 90 days | $216,730 | $176,902 | | **Total** | **$6,655,879** | **$5,025,543** | [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=26&type=section&id=ITEM%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the company's financial performance, including a net loss driven by derivative losses, growth in the RMBS portfolio, and an outlook on market volatility and investment opportunities [Results of Operations](index=28&type=section&id=Results%20of%20Operations) The company reported a **$16.5 million** net loss for the six months ended June 30, 2025, primarily due to derivative losses, despite improved net interest income of **$42.9 million** Net (Loss) Income Summary (in thousands) | Component | Six Months Ended June 30, 2025 | Six Months Ended June 30, 2024 | Change | | :--- | :--- | :--- | :--- | | Net interest income (expense) | $42,867 | $(3,187) | $46,054 | | (Losses) gains on RMBS and derivative contracts | $(50,101) | $26,102 | $(76,203) | | Expenses | $(9,222) | $(8,118) | $(1,104) | | **Net (loss) income** | **$(16,456)** | **$14,797** | **$(31,253)** | GAAP vs. Economic Net Interest Income (in thousands) | Metric | Six Months Ended June 30, 2025 | Six Months Ended June 30, 2024 | | :--- | :--- | :--- | | GAAP Net Interest Income (Expense) | $42,867 | $(3,187) | | Economic Net Interest Income | $84,716 | $53,859 | [Financial Condition](index=37&type=section&id=Financial%20Condition) The RMBS portfolio grew to **$7.0 billion** by June 30, 2025, financed by **$6.7 billion** in repurchase agreements, maintaining a stable **7.3:1** economic leverage ratio Portfolio and Leverage Metrics | Metric | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | Total Mortgage Assets (Fair Value) | $6,993,359 thousand | $5,253,310 thousand | | Repurchase Agreements | $6,655,879 thousand | $5,025,543 thousand | | Stockholders' Equity | $911,959 thousand | $668,500 thousand | | Economic Leverage | 7.3:1 | 7.3:1 | | Adjusted Leverage | 7.3:1 | 7.5:1 | [Liquidity and Capital Resources](index=40&type=section&id=Liquidity%20and%20Capital%20Resources) The company maintains liquidity through internal cash and RMBS cash flows, supplemented by external repurchase agreements and equity offerings, which are deemed sufficient for obligations - As of June 30, 2025, the company had cash and cash equivalents of **$440.8 million**[211](index=211&type=chunk) - Primary external liquidity sources are master repurchase agreements, the TBA security market, and public or private equity/debt offerings[205](index=205&type=chunk) - The company has utilized a series of equity distribution agreements to raise capital, with the latest February 2025 agreement allowing for up to **$350 million** in share offerings[216](index=216&type=chunk) [Outlook](index=41&type=section&id=Outlook) Q2 2025 was turbulent due to tariff announcements and new legislation, yet the economy remained resilient, creating attractive investment opportunities in the Agency RMBS market - Q2 2025 market volatility was driven by the announcement of 'reciprocal' tariffs and the signing of the 'One Big Beautiful Bill Act'[217](index=217&type=chunk)[218](index=218&type=chunk) - Despite initial expectations of a slowdown, the economy has remained resilient, supported by fiscal deficits, and expectations for Fed rate cuts have been pushed further into the future[219](index=219&type=chunk)[238](index=238&type=chunk) - The Agency RMBS market has lagged but offers elevated returns, and the company has increased its capital base to capitalize on these favorable investment opportunities[239](index=239&type=chunk) [Quantitative and Qualitative Disclosures about Market Risk](index=46&type=section&id=ITEM%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) The company's primary market risks include interest rate, prepayment, spread, liquidity, extension, and counterparty credit risks, with hedging strategies and sensitivity analysis presented - The company's primary market risks include interest rate risk, prepayment risk, spread risk, liquidity risk, extension risk, and counterparty credit risk[244](index=244&type=chunk) Interest Rate Sensitivity Analysis (as of June 30, 2025) | Change in Interest Rate | Estimated Change in Portfolio Market Value | Estimated Change in Book Value | | :--- | :--- | :--- | | -100 Basis Points | (0.94)% | (7.22)% | | -50 Basis Points | (0.31)% | (2.38)% | | **Base** | **0.00%** | **0.00%** | | +50 Basis Points | (0.03)% | (0.23)% | | +100 Basis Points | (0.38)% | (2.92)% | [Controls and Procedures](index=49&type=section&id=ITEM%204.%20Controls%20and%20Procedures) Management concluded that disclosure controls and procedures were effective as of June 30, 2025, with no significant changes to internal control over financial reporting - Based on an evaluation as of June 30, 2025, the CEO and CFO concluded that the company's disclosure controls and procedures were effective[266](index=266&type=chunk) - No significant changes to internal control over financial reporting occurred during the quarter ended June 30, 2025[267](index=267&type=chunk) PART II [Legal Proceedings](index=51&type=section&id=ITEM%201.%20Legal%20Proceedings) The company is not involved in any material pending legal proceedings - The company is not party to any material pending legal proceedings[269](index=269&type=chunk) [Risk Factors](index=51&type=section&id=ITEM%201A.%20Risk%20Factors) No material changes to the company's risk factors have occurred since the December 31, 2024 Annual Report on Form 10-K - As of June 30, 2025, there have been no material changes in risk factors from those set forth in the Annual Report on Form 10-K for the year ended December 31, 2024[270](index=270&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=51&type=section&id=ITEM%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) The company had no unregistered equity sales in Q2 2025 but repurchased **1,113,224** shares at a weighted average price of **$6.52** under its stock repurchase program Share Repurchase Activity (Q2 2025) | Period | Total Shares Repurchased | Weighted Average Price Paid Per Share | Shares Purchased as Part of Program | | :--- | :--- | :--- | :--- | | April 2025 | 1,113,224 | $6.52 | 1,113,224 | | May 2025 | - | - | - | | June 2025 | 2,786 | $7.01 | - | | **Total** | **1,116,010** | **$6.52** | **1,113,224** | - As of the end of April 2025, **2,719,137** shares remained available for repurchase under the authorized program[273](index=273&type=chunk) [Defaults upon Senior Securities](index=51&type=section&id=ITEM%203.%20Defaults%20upon%20Senior%20Securities) The company reports no defaults on senior securities - None[274](index=274&type=chunk) [Mine Safety Disclosures](index=51&type=section&id=ITEM%204.%20Mine%20Safety%20Disclosures) This item is not applicable to the company - Not Applicable[275](index=275&type=chunk) [Other Information](index=51&type=section&id=ITEM%205.%20Other%20Information) No directors or officers adopted, modified, or terminated Rule 10b5-1 or non-Rule 10b5-1 trading arrangements during Q2 2025 - No directors or officers adopted, modified, or terminated a Rule 10b5-1 or non-Rule 10b5-1 trading arrangement during the second quarter of 2025[276](index=276&type=chunk) [Exhibits](index=52&type=section&id=ITEM%206.%20Exhibits) This section lists all exhibits filed with the Form 10-Q, including corporate governance documents, officer certifications, and XBRL data files - Exhibits filed include Articles of Amendment, Amended and Restated Bylaws, CEO and CFO certifications pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act, and Inline XBRL documents[278](index=278&type=chunk)

Financial Data and Key Metrics Changes - The company reported a loss of $0.29 per share in Q2 2025, compared to income of $0.18 per share in Q1 2025. Excluding realized and unrealized losses, net income was $0.16 per share, unchanged from Q1 [5] - Book value decreased from $7.94 per share at the end of Q1 to $7.21 at the end of Q2. Total return for the quarter was negative 4.66%, compared to positive 2.6% in Q1 [5] - The company maintained dividends of $0.36 in both quarters [5] Business Line Data and Key Metrics Changes - Average mortgage-backed securities (MBS) during the quarter increased to $6.9 billion from just under $6 billion in Q1. The leverage ratio decreased from $7.8 billion at the end of Q1 to $7.3 billion at the end of Q2 [6] - Prepayment speeds increased to 10.1% in Q2 from 7.8% in Q1, while liquidity rose to 54% from 52% [6] Market Data and Key Metrics Changes - The market experienced significant volatility due to reciprocal tariffs and the passage of a major bill, impacting the overall market outlook [8][9] - The U.S. Treasury curve has been steepening, which is significant for levered MBS investors as it makes hedging positions using swaps more attractive [13][20] Company Strategy and Development Direction - The company is shifting its portfolio strategy towards a more concentrated production coupon bias, moving away from a barbell approach. This strategy has been beneficial in the current steepening yield curve environment [36] - The company expects the investment environment for Agency RMBS to remain attractive, with production coupon spreads at historically wide levels [45] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the resilience of the economy despite challenges such as tariffs and high mortgage rates. They anticipate continued strong economic performance driven by government deficits and spending [26][99] - The company expects refinancing activity to remain low due to high mortgage rates and affordability issues, which could make higher coupon assets attractive [24][70] Other Important Information - The company raised $140 million in new equity during the quarter, which was deployed into higher coupon specified pools [45] - The funding environment remains stable, with ample liquidity and no issues in adding repo counterparties [47] Q&A Session Summary Question: Increase in shares and capital raising strategy - Management confirmed an increase in shares due to a capital raise and indicated that future capital raising would depend on stock price and market conditions [54][56] Question: Premium risk in high coupon pools - Management acknowledged the premium risk but noted that the prepayment experience on lower pay-up pools has been favorable, suggesting a cautious but optimistic approach [57][59] Question: Updated book value - Management provided an estimate of a 3-cent decline in book value quarter-to-date, indicating ongoing market fluctuations [65] Question: Outlook for prepayment speeds - Management expects prepayment speeds to remain muted in the third quarter, with seasonal factors influencing the outlook [68][70] Question: MBS spreads and interest rate expectations - Management discussed the potential for MBS spreads to widen or tighten based on economic conditions and emphasized the resilience of the mortgage market despite challenges [91][96]

Financial Performance - The company reported a net loss of $0.29 per share for Q2 2025, compared to a net income of $0.18 per share in Q1 2025 [11] - Book value decreased from $7.94 in Q1 2025 to $7.21 in Q2 2025 [11] - Average MBS balances increased from $5,996 million in Q1 2025 to $6,866 million in Q2 2025 [15] - Economic leverage ratio remained constant at 7.8 in both Q1 and Q2 2025 [15] - Liquidity increased from 52.2% in Q1 2025 to 54.0% in Q2 2025 [15] Portfolio & Hedging - The company increased its allocation to 30yr 5.5%, 6.0%, and 6.5% coupons by $555 million, $145 million, and $86 million, respectively, while decreasing allocation to 30yr 4.0% and 5.0% by $334 million and $137 million, respectively [47] - Total notional balance of hedge positions was $(4,881.8) million [59] - Interest rate swaps had a notional balance of $(3,843.3) million with a weighted average pay fix rate of 3.30% [59] - The company's hedge positions covered 58% of its repo funding liability [59]