Net loss per common share of $0.28 compared to net income of $0.68 in Q4 2025
Earnings available for distribution per common share(1) of $0.55 compared to $0.56 in Q4 2025
Monthly common stock dividends totaling $0.36 per share compared to quarterly dividend of $0.36 in Q4 2025
Book value per common share(2) of $8.08 compared to $8.72 as of December 31, 2025
Economic return(3) of (3.2)% compared to 8.0% in Q4 2025
Debt-to-equity ratio of 6.1x compared to 7.0x as of December 31, 2025
Economic debt-to-equity ratio(1) of 7.5x compared to 7.0x as of December 31, 2025
Update from Kevin Collins, Incoming Chief Executive Officer
"During the first quarter of 2026, we operated in a more challenging market environment following the strong recovery in Agency MBS valuations experienced in the second half of 2025. Financial conditions deteriorated as rising geopolitical tensions, higher energy prices and renewed inflation concerns drove increased interest rate volatility and pushed U.S. Treasury yields higher across the curve. These dynamics weighed on risk assets broadly and resulted in higher coupon Agency RMBS underperformance relative to Treasuries. Although our Agency CMBS investments performed well during the quarter, the benefit was outweighed by increased Agency RMBS risk premiums and notable swap spread tightening. Book value declined by 7.3% to $8.08 at quarter end, and when combined with our monthly dividends, resulted in an economic return of (3.2)% for the quarter.
"Our economic debt-to-equity ratio increased to 7.5x as of quarter end, up from 7.0x as of December 31, 2025, reflecting the decline in our book value per common share and a more constructive outlook on Agency RMBS as we enter the second quarter. At quarter end, our $7.3 billion investment portfolio consisted of $5.2 billion Agency RMBS, $1.2 billion Agency TBA, and $0.9 billion Agency CMBS, and we maintained a sizable balance of unrestricted cash and unencumbered investments totaling $493.1 million.
"Risk sentiment has improved entering the second quarter, supported by a decline in interest rate volatility. A further de‑escalation of the Middle East conflict would likely provide additional support for risk assets. From a supply‑and‑demand perspective, Agency RMBS net issuance is expected to remain manageable, the GSEs continue to provide steady demand and bank participation is likely to increase, supported in part by recent Basel capital framework proposals that improve the relative capital efficiency of high-quality mortgage assets. Together, these macro and technical factors create a more constructive backdrop for our Agency RMBS holdings, particularly as wider spread levels relative to the prior quarter offer more attractive entry points. In addition, despite elevated supply, our Agency CMBS continues to offer attractive risk‑adjusted yields and diversification benefits, given its stable cash flow profile and lower sensitivity to interest rate fluctuations."
(1) Earnings available for distribution (and by calculation, earnings available for distribution per common share) and economic debt-to-equity ratio are non-Generally Accepted Accounting Principles ("GAAP") financial measures. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable U.S. GAAP measures.
(2) Book value per common share as of March 31, 2026 and December 31, 2025 is calculated as total stockholders' equity less the liquidation preference of the Company's Series C Preferred Stock ($169.7 million as of March 31, 2026 and $171.4 million as of December 31, 2025), divided by total common shares outstanding.
(3) Economic return for the quarter ended March 31, 2026 is defined as the change in book value per common share from December 31, 2025 to March 31, 2026 of ($0.64); plus dividends declared of $0.36 per common share; divided by the December 31, 2025 book value per common share of $8.72. Economic return for the quarter ended December 31, 2025 is defined as the change in book value per common share from September 30, 2025 to December 31, 2025 of $0.31; plus dividends declared of $0.36 per common share; divided by the September 30, 2025 book value per common share of $8.41.
Key performance indicators for the quarters ended March 31, 2026 and December 31, 2025 are summarized in the table below.
$ in millions, except share amounts
Q1 2026
Q4 2025
Variance
Average Balances (1)
(unaudited)
(unaudited)
Average earning assets (at amortized cost)
$5,946.5
$5,868.9
$77.6
Average borrowings
$5,367.5
$5,393.7
($26.2)
Average total stockholders' equity
$887.5
$793.0
$94.5
U.S. GAAP Financial Measures
Total interest income
$79.6
$77.9
$1.7
Total interest expense
$52.6
$56.6
($4.0)
Net interest income
$27.0
$21.3
$5.7
Total expenses
$4.9
$4.6
$0.3
Net income (loss) attributable to common stockholders
($23.1)
$48.2
($71.3)
Average earning asset yields
5.36 %
5.31 %
0.05 %
Average cost of funds
3.92 %
4.20 %
(0.28) %
Average net interest rate margin
1.44 %
1.11 %
0.33 %
Period-end weighted average asset yields (2)
5.34 %
5.37 %
(0.03) %
Period-end weighted average cost of funds
3.80 %
4.04 %
(0.24) %
Period-end weighted average net interest rate margin
1.54 %
1.33 %
0.21 %
Book value per common share (3)
$8.08
$8.72
($0.64)
Earnings (loss) per common share (basic)
($0.28)
$0.68
($0.96)
Earnings (loss) per common share (diluted)
($0.28)
$0.68
($0.96)
Debt-to-equity ratio
6.1x
7.0x
(0.9x)
Non-GAAP Financial Measures (4)
Earnings available for distribution
$44.7
$39.9
$4.8
Effective interest expense
$31.0
$30.2
$0.8
Effective net interest income
$48.6
$47.7
$0.9
Effective cost of funds
2.31 %
2.24 %
0.07 %
Effective interest rate margin
3.05 %
3.07 %
(0.02) %
Earnings available for distribution per common share
$0.55
$0.56
($0.01)
Economic debt-to-equity ratio
7.5x
7.0x
0.5x
(1) Average earning assets, average borrowings and average total stockholders' equity are calculated based on the weighted month-end balances of mortgage-backed securities at amortized cost, repurchase agreement borrowings and total U.S. GAAP stockholders' equity, respectively.
(2) Period-end weighted average asset yields are based on amortized cost as of period-end and incorporate future prepayment assumptions when appropriate.
(3) Book value per common share is calculated as total stockholders' equity less the liquidation preference of the Company's Series C Preferred Stock ($169.7 million as of March 31, 2026 and $171.4 million as of December 31, 2025), divided by total common shares outstanding.
(4) Earnings available for distribution (and by calculation, earnings available for distribution per common share), effective interest expense (and by calculation, effective cost of funds), effective net interest income (and by calculation, effective interest rate margin), and economic debt-to-equity ratio are non-GAAP financial measures. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable U.S. GAAP measures of net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share), total interest expense (and by calculation, cost of funds), net interest income (and by calculation, net interest rate margin) and debt-to-equity ratio.
Portfolio Composition
The following table summarizes certain characteristics of the Company's investment portfolio including TBAs as of March 31, 2026 and December 31, 2025.
As of
March 31, 2026
December 31, 2025
$ in thousands
Fair Value
Percentage of Portfolio
Period-endWeighted AverageYield
Fair Value
Percentage of Portfolio
Period-end WeightedAverageYield
Agency RMBS:
30 year fixed-rate pass-through coupon:
4.5 %
757,581
10.4 %
4.89 %
785,584
12.5 %
4.89 %
5.0 %
1,434,765
19.8 %
5.20 %
1,486,801
23.7 %
5.20 %
5.5 %
1,704,437
23.5 %
5.49 %
1,534,654
24.5 %
5.51 %
6.0 %
1,198,042
16.5 %
5.93 %
1,283,242
20.4 %
5.93 %
6.5 %
—
— %
— %
218,879
3.5 %
6.14 %
Total 30 year fixed-rate pass-through
5,094,825
70.2 %
5.42 %
5,309,160
84.6 %
5.46 %
Agency CMO
67,113
1.0 %
8.89 %
69,320
1.1 %
9.18 %
Agency CMBS
864,270
11.9 %
4.61 %
898,129
14.3 %
4.62 %
Total MBS portfolio
6,026,208
83.1 %
5.34 %
6,276,609
100.0 %
5.37 %
TBAs, at implied market value (1)
1,226,450
16.9 %
—
— %
Total investment portfolio including TBAs
7,252,658
100.0 %
6,276,609
100.0 %
(1) The presentation of TBAs in the table above represents management's view of the investment portfolio and does not reflect how the Company records TBAs on its condensed consolidated balance sheets under U.S. GAAP. Under U.S. GAAP, the Company records TBAs that it does not intend to settle on the contractual settlement date as derivative financial instruments. The Company values TBAs on its condensed consolidated balance sheets at net carrying value, which represents the difference between implied market value and implied cost basis of the TBAs.
The following table summarizes certain characteristics of the Company's borrowings as of March 31, 2026 and December 31, 2025.
As of
$ in thousands
March 31, 2026
December 31, 2025
Amount Outstanding
WeightedAverageInterest Rate
Weighted AverageRemaining Maturity (days)
Amount Outstanding
WeightedAverage Interest Rate
Weighted Average RemainingMaturity (days)
Repurchase agreements - Agency RMBS
