\n| \n ($s in thousands except per share data)<\/i><\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n December 31, 2022<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n ASSETS<\/b><\/p>\n<\/td>\n | \n (unaudited)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCash and cash equivalents<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n279,028<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n332,035<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCash collateral posted to counterparties<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n114,594<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n117,842<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMortgage-backed securities (including pledged of $3,012,970 and $2,810,957, respectively)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,296,784<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,112,705<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDue from counterparties<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n115,323<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n10,348<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDerivative assets<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n37,179<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n7,102<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccrued interest receivable<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n17,234<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n15,260<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther assets, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n9,716<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n9,942<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal assets<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,869,858<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,605,234<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n LIABILITIES AND SHAREHOLDERS\u2019 EQUITY<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n Liabilities:<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreements<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n2,937,124<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n2,644,405<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDue to counterparties<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n24,918<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4,159<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDerivative liabilities<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n22,595<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCash collateral posted by counterparties<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n27,125<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n435<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccrued interest payable<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n12,806<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n16,450<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccrued dividends payable<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n9,214<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n9,103<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther liabilities<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,843<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n6,759<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal liabilities<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,015,030<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,703,906<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n Shareholders\u2019 equity:<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n107,843<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n107,843<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCommon stock<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n539<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n536<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAdditional paid-in capital<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,361,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,357,514<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccumulated other comprehensive loss<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(166,553<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(181,346<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAccumulated deficit<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(448,001<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(383,219<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal shareholders’ equity<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n854,828<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n901,328<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal liabilities and shareholders\u2019 equity<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,869,858<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,605,234<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock aggregate liquidation preference<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n111,500<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n111,500<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nBook value per common share<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n13.80<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n14.73<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCommon shares outstanding<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n53,876,914<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n53,637,095<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n Consolidated Comprehensive Statements of Income (Loss) (unaudited)<\/i><\/span><\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n Three Months Ended<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n ($s in thousands except per share data)<\/i><\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n December 31, 2022<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \nInterest income<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n30,846<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n30,528<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nInterest expense<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(31,308<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(24,320<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest (expense) income<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(462<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n6,208<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRealized (loss) gain on sale of investments, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(23,315<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n450<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnrealized gain on investments, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n57,120<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n32,529<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n(Loss) gain on derivative instruments, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(67,267<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n12,437<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGeneral and administrative expenses<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(7,372<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(7,898<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther operating expense, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(426<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(438<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet (loss) income<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(41,722<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n43,288<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock dividends<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1,923<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1,923<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet (loss) income to common shareholders<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(43,645<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n41,365<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther comprehensive income:<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nUnrealized gain on available-for-sale investments, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n14,793<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n15,320<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nReclassification of realized gain on available-for-sale investments<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(37<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal other comprehensive income<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n14,793<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n15,283<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nComprehensive (loss) income to common shareholders<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(28,852<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n56,648<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet (loss) income per common share-basic<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(0.81<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n0.85<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet (loss) income per common share-diluted<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(0.81<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n0.85<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average common shares-basic<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n53,824<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n48,541<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average common shares-diluted<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n53,824<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n48,541<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nDividends declared per common share<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n0.39<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n0.39<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n<\/table>\n Results Discussion<\/span><\/b><\/p>\n\nThe Company’s book value per common share of $13.80 as of March 31, 2023 declined $(0.93) from December 31, 2022 primarily due to spread widening on MBS as a result of turmoil in the banking sector during the first quarter of 2023. The impact of spread widening on the fair value of the Company’s investment portfolio muted the benefit gained from the decline in the 10-year U.S. Treasury rate during March 2023. The decline in the 10-year U.S. Treasury rate also resulted in unrealized losses in the fair value of the Company’s interest rate hedges. The resulting decline in fair value of the Company’s interest rate hedges, net of its investment portfolio, of $(18.7) million comprised the majority of the Company’s comprehensive loss to common shareholders of $(28.9) million, or $(0.54) per common share, for the first quarter of 2023. The Company realized gains of $89.0 million from its interest rate hedges in February 2023, which are included in its GAAP earnings but will not become distributable until amortized into taxable income over time. Further discussion of the interest rate hedge gains is provided below under “Hedging Portfolio.” In addition to spread widening, the Company’s earnings continue to be impacted by increasing borrowing costs as the Federal Reserve continues raising the U.S. Federal Funds Rate in its efforts to tame inflation. The Company’s interest expense exceeded its interest income by $(0.5) million for the first quarter of 2023.<\/p>\n \nThe following table summarizes the changes in the Company’s financial position during the first quarter of 2023:<\/p>\n \n\n| \n ($s in thousands except per share data)<\/i><\/p>\n<\/td>\n | \n Net Changes
\n
in Fair Value<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Comprehensive
\n
Income (Loss)<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Common Book
\n
Value
\n
Rollforward<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Per
\n
Common
\n
Share (1)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n Balance as of December 31, 2022 (1)<\/sup><\/b><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n789,828<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n14.73<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest income<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(462<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBA drop income<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,457<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGeneral & administrative and other operating expenses<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(7,798<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock dividends<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1,923<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nChanges in fair value:<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nMBS and loans<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n48,599<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBAs<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n41,906<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nU.S. Treasury futures<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(106,373<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOptions on U.S. Treasury futures<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(4,258<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal net change in fair value<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(20,126<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total comprehensive income to common shareholders<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(28,852<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.54<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n Capital transactions:<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet proceeds from stock issuance (2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,489<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCommon dividends declared<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(21,137<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.39<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n Balance as of March 31, 2023 (1)<\/sup><\/b><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n743,328<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n13.80<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n (1)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Amounts represent total shareholders’ equity less the aggregate liquidation preference of the Company’s preferred stock of $111,500.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (2)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Net proceeds from common stock issuances include $2.8 million from at-the-market (:ATM”) issuances and $0.7 million from amortization of share-based compensation.<\/i><\/p>\n<\/td>\n<\/tr>\n<\/table>\n \nThe following table provides detail on the Company’s MBS investments, including TBA securities as of March 31, 2023:<\/p>\n \n\n| \n \n($ in millions)<\/p>\n<\/td>\n | \n Par Value<\/b><\/p>\n<\/td>\n | \n Total
\n
<\/b>Par Value<\/b><\/p>\n<\/td>\n | \n Total Estimated
\n
<\/b>Fair Value<\/b><\/p>\n<\/td>\n | \n % of
\n
<\/b>Portfolio<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n Pools<\/b><\/p>\n<\/td>\n | \n TBA<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n Agency RMBS:<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n2.0% coupon<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n1,051,974<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n1,051,974<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n875,432<\/p>\n<\/td>\n | \n \n12.5<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n2.5% coupon<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n649,246<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n649,246<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n564,171<\/p>\n<\/td>\n | \n \n8.0<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n4.0% coupon<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n319,350<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n547,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n866,350<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n831,648<\/p>\n<\/td>\n | \n \n11.9<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n4.5% coupon<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n909,477<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n460,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,369,477<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,347,149<\/p>\n<\/td>\n | \n \n19.2<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n5.0% coupon<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n321,515<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,345,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,666,515<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,659,406<\/p>\n<\/td>\n | \n \n37.9<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n5.5% coupon<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n400,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n400,000<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n404,000<\/p>\n<\/td>\n | \n \n5.8<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total Agency RMBS<\/b><\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,251,563<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,752,000<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n7,003,562<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n6,681,806<\/p>\n<\/td>\n | \n \n95.3<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency CMBS<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n125,220<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n125,220<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n119,474<\/p>\n<\/td>\n | \n \n1.7<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency CMBS IO<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n (1<\/sup><\/i><\/p>\n<\/td>\n| \n )<\/sup><\/i><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n (1<\/sup><\/i><\/p>\n<\/td>\n| \n )<\/sup><\/i><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n161,446<\/p>\n<\/td>\n | \n \n2.3<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNon-Agency CMBS IO<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n (1<\/sup><\/i><\/p>\n<\/td>\n| \n )<\/sup><\/i><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n (1<\/sup><\/i><\/p>\n<\/td>\n| \n )<\/sup><\/i><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n48,838<\/p>\n<\/td>\n | \n \n0.7<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNon-Agency RMBS<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n191<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n191<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n136<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n Total<\/b><\/p>\n<\/td>\n | \n $<\/b><\/p>\n<\/td>\n | \n 3,376,974<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n $<\/b><\/p>\n<\/td>\n | \n 3,752,000<\/b><\/p>\n<\/td>\n | \n $<\/b><\/p>\n<\/td>\n | \n 7,128,973<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n $<\/b><\/p>\n<\/td>\n | \n 7,011,700<\/b><\/p>\n<\/td>\n | \n 100.0<\/b><\/p>\n<\/td>\n | \n %<\/b><\/p>\n<\/td>\n<\/tr>\n<\/table>\n\n\n| \n (1)<\/i><\/p>\n<\/td>\n | | \n\n CMBS IO do not have underlying par values.<\/i><\/p>\n<\/td>\n<\/tr>\n<\/table>\n \nThe following table provides detail on the Company’s repurchase agreement borrowings outstanding as of the dates indicated:<\/p>\n \n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n December 31, 2022<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n Remaining Term to Maturity<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Balance<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Weighted
\n
<\/b>Average
\n
Rate<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n WAVG
\n
Original
\n
Term to
\n
Maturity<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Balance<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Weighted
\n
<\/b>Average
\n
Rate<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n WAVG
\n
Original
\n
Term to
\n
Maturity<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n ($s in thousands)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nLess than 30 days<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n1,288,034<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.96<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n35<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n858,161<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.44<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n42<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n30 to 90 days<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,254,958<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.88<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n78<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,786,244<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.06<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n104<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n91 to 180 days<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n394,132<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.95<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n183<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u2014<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n2,937,124<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.92<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n73<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n2,644,405<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.18<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n84<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \nLeverage based on repurchase agreement amounts outstanding was 3.4 times total shareholders’ equity as of March 31, 2023 compared to 2.9 times as of December 31, 2022. Total leverage including the cost basis of TBAs was 7.8 times shareholders’ equity as of March 31, 2023 compared to 6.1 times as of December 31, 2022.<\/p>\n \nThe following table provides information about the performance of the Company’s MBS (including TBA securities) and repurchase agreement financing for the first quarter of 2023 compared to the prior quarter:<\/p>\n \n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n Three Months Ended<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n December 31, 2022<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n ($s in thousands)<\/i><\/p>\n<\/td>\n | \n Interest
\n
Income\/Expense<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Average
\n
Balance (1)(2)<\/sup><\/b><\/p>\n<\/td>\n\n \n\u00a0<\/p>\n<\/td>\n | \n Effective
\n
Yield\/
\n
<\/b>Cost of
\n
Funds (3)(4)<\/sup><\/b><\/p>\n<\/td>\n\n \n\u00a0<\/p>\n<\/td>\n | \n Interest
\n
Income\/Expense<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Average
\n
Balance (1)(2)<\/sup><\/b><\/p>\n<\/td>\n\n \n\u00a0<\/p>\n<\/td>\n | \n Effective
\n
Yield\/
\n
<\/b>Cost of
\n
Funds (3)(4)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \nAgency RMBS<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n23,526<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,204,610<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2.94<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n22,777<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n3,226,876<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2.82<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAgency CMBS<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n884<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n128,625<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2.80<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n943<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n136,303<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2.93<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCMBS IO(5)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,542<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n230,033<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.04<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,869<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n247,071<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n5.71<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNon-Agency MBS and other<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n40<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,700<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.98<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n31<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,140<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n4.18<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n26,992<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,565,968<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3.00<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n27,620<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,613,390<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3.03<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nCash equivalents<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,854<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,908<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTotal interest income<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n30,846<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n30,528<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nRepurchase agreement financing<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(31,308<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,713,481<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(4.62<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(24,320<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,727,274<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(3.49<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest (expense) income\/net interest spread<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(462<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1.62<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n6,208<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.46<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBA securities (6)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,457<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n3,291,617<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.18<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n5,522<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n2,532,584<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.85<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAdjusted net interest income\/adjusted net interest spread (7)<\/sup><\/p>\n<\/td>\n| \n \n$<\/p>\n<\/td>\n | \n \n995<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.75<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n11,730<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.07<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n (1)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Average balance for assets is calculated as a simple average of the daily amortized cost and excludes securities pending settlement if applicable.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (2)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Average balance for liabilities is calculated as a simple average of the daily borrowings outstanding during the period.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (3)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Effective yield is calculated by dividing interest income by the average balance of asset type outstanding during the reporting period. Unscheduled adjustments to premium\/discount amortization\/accretion, such as for prepayment compensation, are not annualized in this calculation.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (4)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Cost of funds is calculated by dividing annualized interest expense by the total average balance of borrowings outstanding during the period with an assumption of 360 days in a year.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (5)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n CMBS IO (“Interest only”) includes Agency and non-Agency issued securities.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (6)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Drop income from TBA securities is calculated by multiplying the notional amount of the TBA dollar roll positions by the difference in price between two TBA securities with the same terms but different settlement dates.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (7)<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n See “Use of Non-GAAP Financial Measures” below. Adjusted net interest spread includes the impact from TBA drop income of 87 basis points for the first quarter of 2023 compared to 53 basis points for the fourth quarter of 2022.<\/i><\/p>\n<\/td>\n<\/tr>\n<\/table>\n Hedging Portfolio<\/span><\/b><\/p>\n\nThe Company’s realized gains and losses on its interest rate hedges are recognized in its GAAP earnings upon maturity or termination of the derivative instrument, but are not included in the Company’s earnings available for distribution (“EAD”), a non-GAAP measure, and are not recognized in taxable income during the same period. Because these derivative instruments are designated for tax purposes as interest rate hedges, the realized gains and losses are instead amortized into the Company’s REIT taxable income over the original periods hedged by those derivatives. On a tax basis, the benefit expected to be recognized in taxable income for the first quarter of 2023 is estimated to be $18.2 million, or $0.34 per average common share outstanding, which is not included in the Company’s EAD of $(8.7) million, or $(0.16) per common share. The Company’s remaining estimated net deferred tax hedge gains from its interest rate hedging portfolio was $766.0 million as of March 31, 2023. These hedge gains will be part of the Company’s future distribution requirements along with net interest income and other ordinary gains and losses in future periods. The table below provides the projected amortization of the Company’s net deferred tax hedge gains that may be recognized as taxable income over the periods indicated given conditions known as of March 31, 2023; however, uncertainty inherent in the forward interest rate curve makes future realized gains and losses difficult to estimate, and as such, these projections are subject to change for any given period.<\/p>\n \n\n| \n Projected Period of Recognition for Remaining Hedge Gains, Net<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n ($ in thousands)<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n \nSecond quarter 2023<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n20,624<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nThird quarter 2023<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n20,658<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nFourth quarter 2023<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n20,749<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nFiscal year 2024<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n85,219<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nFiscal year 2025 and thereafter<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n618,778<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n766,028<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \nAs of March 31, 2023, the Company held short positions of $4.4 billion in 10-year U.S. Treasury futures, $900.0 million in 5-year U.S. Treasury futures, and held put options on 10-year U.S. Treasury futures of $250.0 million.<\/p>\n Use of Non-GAAP Financial Measures<\/span><\/b><\/p>\n\nIn evaluating the Company\u2019s financial and operating performance, management considers book value per common share, total economic return to common shareholders, and other operating results presented in accordance with GAAP as well as certain non-GAAP financial measures, which include the following: EAD to common shareholders, adjusted net interest income and the related metric adjusted net interest spread. Management believes these non-GAAP financial measures may be useful to investors because they are viewed by management as a measure of the investment portfolio\u2019s return based on the effective yield of its investments, net of financing costs and, with respect to EAD, net of other normal recurring operating income and expenses. Drop income generated by TBA dollar roll positions, which is included in “gain (loss) on derivatives instruments, net” on the Company’s consolidated statements of comprehensive income, is included in these non-GAAP financial measures because management views drop income as the economic equivalent of net interest income (interest income less implied financing cost) on the underlying Agency security from trade date to settlement date.<\/p>\n \nHowever, these non-GAAP financial measures are not a substitute for GAAP earnings and may not be comparable to similarly titled measures of other REITs because they may not be calculated in the same manner. Furthermore, though EAD is one of several factors management considers in determining the appropriate level of distributions to common shareholders, it should not be utilized in isolation, and it is not an accurate indication of the Company\u2019s REIT taxable income nor its distribution requirements in accordance with the Internal Revenue Code of 1986, as amended.<\/p>\n \nReconciliations of the non-GAAP financial measures used in this earnings release to the most directly comparable GAAP financial measures are presented below.<\/p>\n \n\n| \n \n\u00a0<\/p>\n<\/td>\n | \n Three Months Ended<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n ($s in thousands except per share data)<\/i><\/p>\n<\/td>\n | \n March 31, 2023<\/b><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n December 31, 2022<\/b><\/p>\n<\/td>\n<\/tr>\n\n| \n \nComprehensive (loss) income to common shareholders<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(28,852<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n56,648<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nLess:<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nChange in fair value of investments, net (1)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n(48,599<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(48,262<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nChange in fair value of derivative instruments, net (2)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n68,725<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(6,915<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEAD to common shareholders<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(8,726<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n1,471<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nWeighted average common shares<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n53,824<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n48,541<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEAD per common share<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(0.16<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n0.03<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest (expense) income<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(462<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n6,208<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nTBA drop income (3)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n1,457<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n5,522<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAdjusted net interest income<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n995<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n11,730<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nGeneral and administrative expenses<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(7,372<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(7,898<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nOther operating expense, net<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(426<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(438<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nPreferred stock dividends<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1,923<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1,923<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nEAD to common shareholders<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n(8,726<\/p>\n<\/td>\n | \n \n)<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n$<\/p>\n<\/td>\n | \n \n1,471<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nNet interest spread<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(1.62<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.46<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nImpact from TBA drop income (4)<\/sup><\/p>\n<\/td>\n| \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.87<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.53<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n | \n| \n \nAdjusted net interest spread<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n(0.75<\/p>\n<\/td>\n | \n \n)%<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n \n0.07<\/p>\n<\/td>\n | \n \n%<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n\n| \n (1)\u00a0<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Amount includes realized and unrealized gains and losses from the Company’s MBS and other investments.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n (2)\u00a0<\/i><\/p>\n<\/td>\n | \n \n\u00a0<\/p>\n<\/td>\n | \n Amount includes unrealized gains and losses from changes in fair value of derivatives and realized gains and losses on terminated derivatives and excludes TBA drop income.<\/i><\/p>\n<\/td>\n<\/tr>\n\n| \n | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |