Item 2.02. Results of Operations and Financial Condition.

The second quarter of 2021 was characterized by falling long-term interest rates and a flatter yield curve. In the mortgage market, current coupon spreads were largely unchanged in the quarter. In higher coupons, where we have significant exposure, the stubborn absence of prepayment burnout along with the introduction of government programs to help borrowers refinance both contributed to changing market expectations around prepayment speeds and resulted in significantly wider mortgage spreads. Adjusting for the $0.17 per share common dividend we announced on June 17, 2021, we estimate that our book value per common share at June 30, 2021 was in the range of $6.40 to $6.44, reflecting a decrease from our book value per common share of $7.29 at March 31, 2021. We further estimate that our Core Earnings for the second quarter of 2021 was in the range of $0.17 to $0.20 per basic common share, and our economic debt-to-equity was approximately 6.5 times at June 30, 2021.

Our preliminary estimated results for the second quarter of 2021 are unaudited and subject to change as we complete the quarter end closing process and prepare our financial statements for the quarter end. Our preliminary estimated results have not yet been reviewed by our independent registered public accounting firm. While we believe that these estimates are based on reasonable assumptions, our actual results may vary, and such variations may be material. Factors that could cause the preliminary estimates to differ include, but are not limited to: (i) additional adjustments in the calculation of, or application of accounting principles for, the financial results for the quarter ended June 30, 2021; (ii) the discovery of new information that impacts valuation methodologies underlying these results; (iii) errors in the assessment of portfolio value; and (iv) accounting changes required by GAAP. The inclusion of preliminary estimated financial information herein should not be regarded as an indication that we consider such preliminary estimated financial information to be predictive of actual or future results.

Our actual results may vary following completion of our internal processes to finalize our financial results for the quarter ended June 30, 2021 and remain subject in certain cases to review of our financial statements by our independent auditors. Investors should not place undue reliance on these estimates because they may prove to be materially inaccurate.




 Item 8.01. Other Events.

The information set forth above under Item 2.02 of this Current Report on Form 8-K is hereby incorporated by reference into this Item 8.01.


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