BMNM 10-K & 10-Q changes, risk factors and insider trading

You should carefully consider the risks and uncertainties described below and all other information contained in this Report, including our annual consolidated financial statements and related notes thereto, and our other reports filed with or furnished to the SEC before making an investment decision regarding our common stock. These disclosures reflect the Company’s beliefs and opinions as to factors that could materially and adversely affect the Company and its securities in the future. Our business, financial condition or results of operations could be harmed by any of these risks. Similarly, these risks could cause the market price of our common stock to decline and you might lose all or part of your investment. Our forward-looking statements in this Report are subject to the following risks and uncertainties. Our actual results could differ materially from those anticipated by our forward-looking statements as a result of the risk factors below. References to past events are provided by way of example only and are not intended to be a complete listing or a representation as to whether or not such factors have occurred in the past or their likelihood of occurring in the future.

We finance our acquisitions of pass-throughPT Agency MBS with short-term financing. During periods of rising short-term interest rates, the income we earn on these securities will not change (with respect to Agency MBS backed by fixed-rate mortgage loans) or will not increase at the same rate (with respect to Agency MBS backed by ARMs and hybrid ARMs) as our related financing costs, which may reduce our net interest margin or result in losses.

Short-term interest rates havemay recently beenbecome higher than long-term interest rates.rates, Thiswhich phenomenon,is typically referred to as an inverted treasury or yield curve,curve. An inverted yield curve occurred during 2022 through the majority of 2024, and may occur again in the future. Under such conditions the Company’s funding costs may equal or exceed yields available on the Company assets, adversely impacting our financial condition and results of operations and our ability to pay distributions to our stockholders.

As the Federal Reserve began to increase over-night funding rates during 2022, short-term interest rates began to rise faster than longer-term interest rates and eventually the treasury yield curve became inverted, whereby yields on short-terms rates exceeded yields on long-term interest rates. This condition continued through 2023 and the majority of 2024, and may occur again in the future. Consistent with this development, funding costs associated with the Company’s borrowings haveincreased increasedduring these periods relative to yields on the Company’s MBS securities. As a result, the Company’s net interest income hasdeclined declined.during these periods. The Company has employed various hedging strategies to off-setoffset the phenomenon.inverted yield curve. However, such hedges may not be adequate to protect the Company’s net interest income if the yield curve inverts again in the future. If the yield curve inverts again in the future, adversely affecting ourthe financial conditions, results of operations and the Company maycould havebe tomaterially reduceadversely or even eliminate is monthly distributions of dividends.affected.

In the case of residential mortgages, there are seldom any restrictions on borrowers’ ability to prepay their loans. Prepayment rates generally increase when interest rates fall and decrease when interest rates rise. Prepayment rates also may be affected by other factors, including, without limitation, conditions in the housing and financial markets, governmental action, general economic conditions and the relative interest rates on ARMs, hybrid ARMs and fixed-rate mortgage loans. To the extent that our pass-throughPT Agency MBS are carried at a premium to par, faster-than-expected prepayments could also materially adversely affect our business, financial condition and results of operations in various ways, including, if we are unable to quickly acquire new Agency MBS that generate comparable returns to replace the prepaid Agency MBS.

Adverse market developments, including a sharp or prolonged rise in interest rates, a change in prepayment rates or increasing market concern about the value or liquidity of one or more types of Agency MBS, might reduce the market value of our portfolio, which might cause our lenders to initiate margin calls. The specific collateral value to borrowing ratio that would trigger a margin call is not set in the master repurchase agreements and not determined until we engage in a repo transaction under these agreements. Our fixed-rate Agency MBS generally are more susceptible to margin calls as increases in interest rates tend to more negatively affect the market value of fixed-rate securities. The threat or occurrence of a margin call could force us to sell, either directly or if we are unable to satisfy such margin call through a foreclosure, our Agency MBS under adverse market conditions. Because of the significant leverage we have and expect to have, we may incur substantial losses upon the threat or occurrence of a margin call, which could materially adversely affect our business, financial condition and results of operations. We have sold Agency MBS to satisfy margin calls in the past in adverse market conditions. These sales have, and may in the future, cause us to realize losses. This risk is magnified given that the Company’s equity capital, particularly its tangible equity, is relatively small.

There are no perfect hedging strategies, and interest rate hedging strategies deployed by us have failed, and strategies deployed by us may fail in the future, to protect us from loss. Alternatively, we may fail to properly assess a risk to our investment portfolio or may fail to recognize a risk entirely, leaving us exposed to losses without the benefit of any offsetting hedging activities. The derivative financial instruments we select may not have the effect of reducing our interest rate risk. The nature and timing of hedging transactions may influence the effectiveness of these strategies. Poorly designed strategies or improperly executed transactions could actually increase our risk and losses. In addition, hedging activities could result in losses if the event against which we hedge does not occur. These risks are magnified given that the Company’s equity capital, particularly its tangible equity, is relatively small.

We incur indebtedness by borrowing against a substantial portion of the market value of our pass-throughPT Agency MBS and a portion of our structured Agency MBS. Our total indebtedness, however, is not expressly limited by our policies and will depend on our prospective lenders’ estimates of the stability of our portfolio’s cash flow. As a result, there is no limit on the amount of leverage that we may incur. We face the risk that we might not be able to meet our debt service obligations or a lender’s margin requirements from our income and, to the extent we cannot, we might be forced to liquidate some of our Agency MBS at unfavorable prices. Our use of leverage could materially adversely affect our business, financial condition and results of operations. For example, a decline in the market value of the PT Agency MBS or structured Agency MBS used to secure our debt obligations could limit our ability to borrow or result in lenders requiring us to pledge additional collateral to secure our borrowings. In that situation, we could be required to sell Agency MBS under adverse market conditions in order to obtain the additional collateral required by the lender. If these sales are made at prices lower than the carrying value of the Agency MBS, we would experience losses. If we experience losses as a result of our use of leverage, such losses could materially adversely affect our business, results of operations and financial condition.

Significant adverse changes in financial market conditions can result in a deleveraging of the global financial system and the forced sale of large quantities of mortgage-related and other financial assets. Concerns over rising or high interest rates, inflation, economic recession, geopolitical issues including events such as global pandemics, the conflicts in Ukraine and the Middle East, policy priorities of a newthe U.S. presidential administration, trade wars, unemployment, the availability and cost of financing, the mortgage market and a declining real estate market or prolonged government shutdown have in the past contributed, and may contribute in the future, to increased volatility and diminished expectations for the economy and markets.

Increased volatility and deterioration in the markets for mortgages and mortgage-related assets as well as the broader financial markets have in the past adversely affected, and may adversely affect in the future, the performance and market value of our Agency MBS and our investment in Orchid common stock. If these conditions exist, institutions from which we seek financing for our investments may tighten their lending standards, increase margin calls or become insolvent, which could make it more difficult for us to obtain financing on favorable terms or at all. Our profitability and financial condition may be adversely affected if we are unable to obtain cost-effective financing for our investments.

Agency MBS generally experience periods of illiquidity. Such conditions are more likely to occur for structured Agency MBS because such securities are generally traded in markets much less liquid than the pass-throughPT Agency MBS market. As a result, we may be unable to dispose of our Agency MBS at advantageous times and prices or in a timely manner. The lack of liquidity might result from the absence of a willing buyer or an established market for these assets as well as legal or contractual restrictions on resale. The illiquidity of Agency MBS could materially adversely affect our business, financial condition and results of operations.

When we engage in a repo transaction, we initially sell securities to the financial institution under one of our master repurchase agreements in exchange for cash, and our counterparty is obligated to resell the securities to us at the end of the term of the transaction, which is typically fromless 24 tothan 90 days but may be up to 364 days or more. The cash we receive when we initially sell the securities is less than the value of those securities, which is referred to as the “haircut.” Many financial institutions from which we may obtain repurchase agreement financing have increased their haircuts in the past and may do so again in the future. When haircuts are increased, we are required to post additional cash or securities as collateral for our Agency MBS. If our counterparty defaults on its obligation to resell the securities to us, we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). We would also lose money on a repo transaction if the value of the underlying securities had declined as of the end of the transaction term, as we would have to repurchase the securities for their initial value but would receive securities worth less than that amount. Any losses we incur on our repo transactions could materially adversely affect our business, financial condition and results of operations.

We have operated and intend to continue to operate our business so as to be exempt from registration under the Investment Company Act, because we are “primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate.” Specifically, we invest and intend to continue to invest so that at least 55% of the assets that we own on an unconsolidated basis consist of qualifying mortgages and other liens and interests in real estate, which are collectively referred to as “qualifying real estate assets,” and so that at least 80% of the assets we own on an unconsolidated basis consist of real estate-related assets (including our qualifying real estate assets). We treat Fannie Mae, Freddie Mac and Ginnie Mae whole-pool residential mortgage pass-throughPT securities issued with respect to an underlying pool of mortgage loans in which we hold all of the certificates issued by the pool as qualifying real estate assets based on no-action letters issued by the SEC. To the extent that the SEC publishes new or different guidance with respect to these matters, we may fail to qualify for this exemption.

If we fail to qualify for this exemption and for any other exemption, we could be required to restructure our activities in a manner that, or at a time when, we would not otherwise choose to do so, which could negatively affect the value of shares of our common stock and our ability to distribute dividends. For example, if the market value of our investments in CMOs or structured Agency MBS, neither of which are qualifying real estate assets for Investment Company Act purposes, were to increase by an amount that resulted in less than 55% of our assets being invested in pass-throughPT Agency MBS, we might have to sell CMOs or structured Agency MBS in order to maintain our exemption from the Investment Company Act. The sale could occur during adverse market conditions, and we could be forced to accept a price below that which we believe is acceptable.

In December 2015, ourOur Board of Directors has adopted a Rights Agreement (as amended, the “Rights Plan”) in an effort to protect against a possible limitation on our ability to use our net operating losses ("NOLs”) and net capital lossesloss carryovers (“NCLs”) by discouraging investors from aggregating ownership of our Class A Common Stock and triggering an “ownership change” for purposes of Sections 382 and 383 of the Code. Under the terms of the Rights Plan, in general, if a person or group acquires ownership of 4.9% or more of the outstanding shares of our Class A Common Stock without the consent of our Board of Directors (an “Acquiring Person”), all of our other stockholders will have the right to purchase securities from us at a discount to such securities’ fair market value, thus causing substantial dilution to the Acquiring Person. As a result, the Rights Plan may have the effect of inhibitingpreventing or impeding a change in control not approved by our Board of Directors and, notwithstanding its purpose, could adversely affect our shareholders’stockholders’ ability to realize a premium over the then-prevailing market price for our common stock in connection with such a transaction. In addition, because our Board of Directors may consent to certain transactions, the Rights Plan gives our Board of Directors significant discretion over whether a potential acquirer’s efforts to acquire a large interest in us will be successful. There can be no assurance that the Rights Plan will prevent an “ownership change” within the meaning of Sections 382 and 383 of the Code, in which case we may lose all or most of the anticipated tax benefits associated with our prior losses.

This summary is limited to the U.S. federal income tax risks addressed below. Additional risks or issues may exist that are not addressed in this Form 10-K and that could affect the U.S. federal and state income tax treatment of us or our stockholders. This summary is not intended to be used and cannot be used by any stockholder to avoid penalties that may be imposed on stockholders under the Code. Management strongly urges shareholdersstockholders to seek advice based on their particular circumstances from their tax advisor concerning the effects of federal, state and local income tax law on an investment in our common stock.

Our ability to use NOL carryoversNOLs and NCL carryoversNCLs to reduce our taxable income may be limited.

We must have taxable income or net capital gains to benefit from our NOLNOLs and NCL carryovers,NCLs, as well as certain other tax attributes. Although we believe that a significant portion of our NOLs will be available to use to offset the future taxable income of Bimini Capital and Royal Palm, no assurance can be provided that we will have taxable income or gains in the future to apply against our remaining NOLs and NCLs.

In addition, our NOLNOLs and NCL carryoversNCLs may be limited by Sections 382 and 383 of the Code if we undergo an “ownership change.” Generally, an “ownership change” occurs if certain persons or groups increase their aggregate ownership in our company by more than 50 percentage points looking back over the relevant testing period. If an ownership change occurs, our ability to use our NOLs and NCLs to reduce our taxable income in a future year would be limited to a Section 382 limitation equal to the fair market value of our stock immediately prior to the ownership change multiplied by the long-term tax-exempt interest rate in effect for the month of the ownership change. In the event of an ownership change, NOLs and NCLs that exceed the Section 382 limitation in any year will continue to be allowed as carryforwards for the remainder of the carryforward period and such losses can be used to offset taxable income for years within the carryforward period subject to the Section 382 limitation in each year. However, if the carryforward period for any NOL or NCL were to expire before that loss had been fully utilized, the unused portion of that loss would be lost. The carryforward period for NOLs incurred through 2017 is 20 years from the year in which the losses giving rise to the NOLs were incurred, and the carryforward period for NCL is five years from the year in which the losses giving rise to the NCL were incurred. Our use of new NOLs or NCLs arising after the date of an ownership change would not be affected by the Section 382 limitation (unless there were another ownership change after those new losses arose).

Based on our knowledge of our stock ownership, we do not believe that an ownership change has occurred since our losses were generated. Accordingly, we believe that at the current time there is no limitation imposed by the application of Section 382 on our use of NOLs or NCLs. However, for post-2017 losses, the Jobs and Tax Cuts Act of 2017 modified the general rule such that ana NOLnet carryoveroperating loss can only offset 80 percent of taxable income in the year it is utilized, so our post-2017 NOLs are limited by this tax law change. The rules for pre-2017 NOLs remain unchanged, and are 100% available to offset taxable income. In addition, post-2017 NOLs can now be carried forward indefinitely instead of being limited to 20 years for pre-2017 NOLs. The determination of whether an ownership change has occurred or will occur is complicated and depends on changes in percentage stock ownership among stockholders. We adopted the Rights Plan described above in order to discourage or prevent an ownership change. However, there can be no assurance that the Rights Plan will prevent an ownership change. In addition, we have not obtained, and currently do not plan to obtain, a ruling from the Internal Revenue Service, or IRS, regarding our conclusion as to whether our losses are subject to any such limitations. Furthermore, we may decide in the future that it is necessary or in our interest to take certain actions that could result in an ownership change. Therefore, no assurance can be provided as to whether an ownership change has occurred or will occur in the future.

Mr. Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of.of Orchid. Mr. Haas, our Chief Financial Officer, Chief Investment Officer and President, is a member of the Board of Directors of Orchid, and serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Orchid. Messrs. Cauley and Haus,Haas, as well as Mr. Robert DwyerDwyer, and Mr. Frank Jaumot, the twoan independent membersmember of our Board of Directors, own shares of common stock of Orchid at the time of this filing and may continue to own shares in the future. Accordingly, Messrs. Cauley, Haas, Dwyer and JaumotDwyer have a conflict of interest with respect to actions by Bimini Capital or Bimini Advisors that relate to Orchid as its Manager.

Our Class A Common Stock trades on the OTCQBOTCQX under the symbol “BMNM”. We may apply to list our Class A Common Stock on a national securities market if, in the future, we qualify for such a listing. However, even if listed on a national securities market, the ability to buy and sell our Class A Common Stock may be limited due to our small public float, and significant sales may depress or result in a decline in the market price of our Class A Common Stock. Additionally, until such time that our Class A Common Stock is approved for listing on a national securities market, our ability to raise capital through the sale of additional securities may be limited. Accordingly, no assurance can be given as to:

Net Income (Loss) Summary

Consolidated net lossincome for the year ended December 31, 20242025 was $1.3$5.8 million, or $0.13$0.58 basic and diluted lossincome per share of Class A Common Stock, as compared to consolidated net loss of $4.0$1.3 million, or $0.40$0.13 basic and diluted loss per share of Class A Common Stock, for the year ended December 31, 2023.2024.

The components of net income (loss) for the years ended December 31, 20242025 and 2023,2024, along with the changes in those components are presented in the table below:

Net Portfolio Interest Income (Expense)

We define net portfolio interest income as interest income on MBS less interest expense on repurchase agreement funding. During the year ended December 31, 2025, we generated $1.6 million of net portfolio interest income, consisting of $6.3 million of interest income from MBS assets offset by $4.7 million of interest expense on repurchase liabilities. For the year ended December 31, 2024, we generated $0.7 million of net portfolio interest income, consisting of $5.8 million of interest income from MBS assets offset by $5.1 million of interest expense on repurchase liabilities. For the year ended December 31, 2023, we generated $0.2 million of net portfolio interest income, consisting of $3.3 million of interest income from MBS assets offset by $3.1 million of interest expense on repurchase liabilities. The $2.5$0.5 million increase in interest income for the year ended December 31, 20242025 was primarily due to a $34.4$9.4 million increase in average MBS balances, combinedoffset withby a 797 basis point ("bp") increasedecrease in yields earned on the portfolio. The $2.1$0.5 million increasedecrease in interest expense for the year ended December 31, 20242025 was primarily due to a 4590 bp increasedecrease in cost of funds, combinedoffset withby a $33.0$9.0 million increase in average repurchase liabilities.

Our economic interest expense on repurchase liabilities for the years ended December 31, 20242025 and 20232024 was $5.1$4.2 million and $3.2$5.1 million, respectively, resulting in $0.7$2.1 million and $0.1$0.7 million of economic net portfolio interest income (expense),income, respectively.

Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense. Our average cost of funds calculated on a GAAP basis was 28 bps above the one-month average SOFR and 710 bps above the six-month average SOFR for the year ended December 31, 2024.2025. Our average economic cost of funds was 2513 bps abovebelow the one-month average SOFR and 431 bps abovebelow the six-month average SOFR for the year ended December 31, 2024.2025. The average term to maturity of the outstanding repurchase agreements increaseddecreased to 31 days as of December 31, 2025 from 49 days atas of December 31, 2024 from 29 days at December 31, 2023.2024.

The tablestable below present the average outstanding balance under all repurchase agreements, interest expense and average economic cost of funds, andpresents one-month average and six-month average SOFR rates for each quarter in 20242025 and 20232024 and for the years ended December 31, 20242025 and 20232024 on both a GAAP and economic basis.

We owned 569,071 shares of Orchid common stock asthroughout each of boththe years ended December 31, 20242025 and 2023.2024. Orchid paid total dividends of $1.44 per share during 20242025 and $1.80$1.44 per share during 2023.2024. During the years ended December 31, 20242025 and 2023,2024, we received dividends on our Orchid common stock of approximately $0.8 million and $1.0$0.8 million, respectively.

Prior to June 30, 2023, ourThe junior subordinated debt securities paidpay interest at a floating rate, adjusted quarterly and set at a spread of 3.50% over the prevailing three-month LIBOR rate on the determination date. Starting June 30, 2023, the underlying index converted from three-month LIBOR to CME Term SOFR plus a tenor spread adjustment of 0.26161%.rate. The interest rate foris subsequent accrual periods will bethe CME Term SOFR on the applicable reset date plus the tenor spread adjustment of 0.26161% plus the coupon spread of 3.50%. The LIBOR and CME Term SOFR rate increases since January 2022 have increased our interest expense. Interest expense on our junior subordinated debt securities was approximately $2.4$2.1 million and $2.3$2.4 million for the years ended December 31, 20242025 and 2023,2024, respectively. The average rate of interest paid for the year ended December 31, 20242025 was 8.97%7.94% compared to 8.76%8.97% for the year ended December 31, 2023.2024. As of December 31, 2024,2025, the interest rate was 8.12%.7.48%.

On October 30, 2019, the Company borrowed $680,000 from a bank. The related note is secured by a mortgage on the Company’s office building and has a final maturity of October 30, 2039. Through October 30, 2024, interest accrued on the note at 4.89%. Thereafter, interest accrues based on the weekly average yield to the United States Treasury securities adjusted to a constant maturity of 5 years, plus 3.25%. As of December 31, 2024, theThe interest rate wasreset 7.37%.to The note is secured by a mortgage7.37% on theOctober Company’s30, office2024 building.and will reset again on October 30, 2029.

We invest in MBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for the purpose of making short term gains from trading in these securities. However, we have sold, and may continuesell toin sell,the future, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy. During the year ended December 31, 2024,2025, we received proceeds of $46.3$19.5 million from the sales of MBS compared to $18.2$46.3 million for the year ended December 31, 2023.2024.

For the year ended December 31, 2024,2025, our total operating expenses were approximately $11.3$12.6 million compared to approximately $10.5$11.3 million for the year ended December 31, 2023.2024 Theas detailed in the table below presents a breakdown of operating expenses for the years ended December 31, 2024 and 2023.below.

In 2025, we recorded an income tax benefit of $1.3 million, including a $3.7 million decrease in the deferred tax asset valuation allowance as a result of management’s reassessment, as of December 31, 2025, of the Company’s ability to utilize tax NOLs to offset future taxable income. During 2025, Orchid raised approximately $741.4 million in new capital. This increase in Orchid's equity should increase Bimini's future management fee revenues, allowing the Company to utilize more of its tax NOLs. In 2024, we recorded an income tax provision of $3.1 million, including a $1.3 million increase in the deferred tax asset valuation allowance as a result of management’s reassessment, as of December 31, 2024, of the Company’s ability to utilize tax NOLs to offset future taxable income. In 2023, we recorded an income tax provision of $4.1 million, including a $2.7 million increase in the deferred tax asset valuation allowance as a result of management’s reassessment, as of December 31, 2023, of the Company’s ability to utilize NOLs to offset future taxable income. The Company uses the discrete-period computation method for determining its income tax (benefit) provision. Our income tax provision is affected by numerous factors, including non-deductible expenses, the projected utilization of net operating loss carryovers and changes in our deferred tax assets and liabilities and their valuations, and can result in significant variations in the customary relationship between pretax income and income tax expense. Non-deductible expenses, including executive compensation in excess of Section 162(m) limitations increased the income tax provision by $0.9$0.8 million and $1.4$0.9 million for the years ended December 31, 20242025 and 2023,2024, respectively.

The following table presents the three-month constant prepayment rate (“CPR”) experienced on our structured and PT MBS sub-portfolios,portfolio, on an annualized basis, for the quarterly periods presented. CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR in the chart below represents the three month prepayment rate of the securities in the respective asset category.securities.

The duration of our IO and IIO portfolioportfolios will vary greatly depending on the structural features of the securities. While prepayment activity will always affect the cash flows associated with the securities, the interest only nature of IO’s may cause their durations to become extremely negative when prepayments are high, and less negative when prepayments are low. Prepayments affect the durations of IIO’s similarly, but the floating rate nature of the coupon of IIOs (which has an inverse relationship to their reference index) cause their price movements - and model duration - to be affected by changes in both prepayments and their reference index - both current and anticipated levels. As a result, the duration of IIO securities will also vary greatly.

We face the risk that the market value of our PT MBS assets will increase or decrease at different rates than thatthose of our structured MBS or liabilities, including our hedging instruments. Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our liabilities.hedge instruments. We generally calculate duration and effective duration using various third-party models or obtain these quotes from third-parties. However, empirical results and various third-party models may produce different duration numbers for the same securities.

The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of December 31, 2024,2025, assuming rates instantaneously fall 100200 bps, risefall 100 bps and rise 200100 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency MBS’ effective duration to movements in interest rates.

As of December 31, 2024,2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with sixseven of these counterparties. We believe these facilities provide borrowing capacity in excess of our needs. None of these lenders are affiliated with the Company. These borrowings are secured by our MBS and cash.

As of December 31, 2024,2025, we had obligations outstanding under the repurchase agreements of approximately $117.2$85.3 million with a net weighted average borrowing cost of 4.68%.3.98%. The remaining maturity of our outstanding repurchase agreement obligations ranged from 1321 to 13958 days, with a weighted average maturity of 4931 days. Securing the repurchase agreement obligation as of December 31, 20242025 are MBS with an estimated fair value, including accrued interest, of $122.7$89.2 million. Through March 7,13, 2025,2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed atas of December 31, 20242025 with maturities through JuneMarch 30,24, 2025.2026.

We invest a portion of our capital in structured MBS. We generally do not apply leverage to this portion of our portfolio. The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repo market. This structured MBS strategy has been a core element of the Company’s overall investment strategy since 2008. However, we have and may continue to pledge a portion of our structured MBS in order to raise our cash levels, but generally will not pledge these securities in order to acquire additional assets.

AtAs of December 31, 2024,2025, we had no material commitments for capital expenditures.

Orchid reported net income for the fourth quarter 20242025 of $5.6$103.4 millionmillion, or $0.62 per share and its shareholdersstockholders' equity increased from $656.0$1.086 billion to $1.372 billion. Orchid’s stockholders’ equity at the end of 2024 was $668.5 million so the increase to $668.5$1.372 million.billion Therepresents an increase of approximately 105%. During the fourth quarter market conditions describedwere belowfavorable ledfor tolevered theseMBS resultsinvestors as Orchid reported gains on hedge instruments of $14.0 million and realized and unrealized gains on hedge instruments of $160.4 million, exceeding realized and unrealized losses on its MBS portfolio of $158.7$56.7 million, which together equaled $70.7 million. Net income for the full year of 2025 was $159.0 million, or $1.24 per share. Orchid is obligated to reimburse usBimini for direct expenses paid on its behalf andas towell pay to usas Orchid’s pro ratapro-rate share of overhead expenses as defined in the management agreement. As a stockholder of Orchid, we will also continue to share in distributions, if any, paid by Orchid to its stockholders. Our operating results are also impacted by changes in the market value of our holdings of Orchid common shares, although these market value changes do not impact our cash flows from Orchid.

Within Agency MBSRMBS for the fourth quarter of 2024,2025, conventional 30-year mortgages generated a negative total return of -3.5%,1.7%, 15-year mortgages generated a negative total return of -2.2%1.5% and Ginnie Mae 30-year mortgages generated a negative total return of -2.7%.1.5%. Versus comparable duration swapsswaps, the returns were -0.8%,1.4%, -0.5%0.8% and -0.3%1.1% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively. The Company invests predominantly in 30-year conventional mortgages. Returns with the 30-year stack of coupons were negativelyvery correlatedconsistent withacross the durationvarious of the respective securities, as lower coupon, longer durations bonds generated the most negative total returns and the highest coupon – 7.0% - generated positive total returns. The range for the coupon stack was -4.8% forcoupons: the 2.0% coupon togenerated +0.9%a forreturn of 1.3%, the 7.0%3.5% coupon duringgenerated thea fourth quarterreturn of 2024.2.2% and all other coupons were between 1.6% and 1.8%. Excess returns versus comparable duration swaps were in the range of -0.6%-0.5% to -0.9%2.1%, forwith the 3.5% coupon again being the outlier to the upside. The highest coupons – 6.0% and higher – all coupons between 2.0% and 6.0% during the fourth quarter of 2024. Conversely, thegenerated excess returnreturns below 1.0%. Excess returns for the 6.5%balance couponof wasthe -0.2%coupons were between 1.1% and +0.3%1.7%, forsimilar theto 7.0%absolute coupon during the fourth quarter of 2024.returns.

In response to the deterioration in the markets for U.S. Treasuries, Agency MBS and other mortgage and fixed income markets resulting from the impacts of the COVID-19 pandemic, the Fed implemented a program of quantitative easing. Through November of 2021, the Fed was committed to purchasing $80 billion of U.S. Treasuries and $40 billion of Agency MBS each month. In November of 2021, it began tapering its net asset purchases each month, ended net asset purchases by early March of 2022, and ended asset purchases entirely in September of 2022. On May 4, 2022, the FOMC announced a plan for reducing the Fed’s balance sheet. In June of 2022, in accordance with this plan, the Fed began reducing its balance sheet by a maximum of $30 billion of U.S. Treasuries and $17.5 billion of Agency MBS each month. On September 21, 2022, the FOMC announced the Fed’s decision to continue reducing its balance sheet by a maximum of $60 billion of U.S. Treasuries and $35 billion of Agency MBS per month. On May 1, 2024, the FOMC announced the Fed’s decision to reduce its balance sheet by a maximum of $25 billion of U.S. TreasuriesTreasury securities and remove the cap on Agency MBS reduction, with any amounts in excess of $35 billion per month being reinvested in U.S. Treasury securities. On March 19, 2025, the FOMC announced the Fed's decision to reduce its balance sheet by a maximum of $5 billion of U.S. Treasury securities beginning April 1, 2025. Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency MBS below $20 billion per month throughout 2024.2024 and 2025. As of December 31, 2024,2025, the Fed had reduced its balance sheet for Agency MBS by approximately $507$741 billion from the peak to $2.2$2.0 trillion, shedding approximately 37%54% of the Agency MBS added during thepandemic quantitative easing related to the pandemic and representing the lowest level since MayDecember 2021.2020. On December 1, 2025, the Fed ended quantitative tightening and began reinvesting all proceeds from maturing Agency MBS up to a $35 billion per month cap in U.S. Treasuries and announced that it would begin buying an additional $40 billion per month of U.S. Treasuries via RMPs in order to maintain an ample level of reserves on an ongoing basis.

On September 14, 2021, the U.S. Treasury and the FHFA suspended certain policy provisions in the Enterprise capital framework established in December 2020, including limits on loans acquired for cash consideration, multifamily loans, loans with higher risk characteristics and second homes and investment properties (the "September 2021 Provisions"). Effective April 26, 2022, the FHFA further amended this framework by, among other things, replacing the fixed leverage buffer equal to 1.5% of an Enterprise’s adjusted total assets with a dynamic leverage buffer equal to 50% of an Enterprise’s stability capital buffer, reducing the risk weight floor from 10% to 5%, and removing the requirement that the Enterprises must apply an overall effectiveness adjustment to their credit risk transfer exposures. On June 14, 2022, the Enterprises announced that they would each charge a 50 bps fee for commingled securities issued on or after July 1, 2022 to cover the additional capital required for such securities under the Enterprise capital framework, which was subsequently reduced on January 19, 2023 to 9.375 bps for commingled securities issued on or after April 1, 2023 to address industry concern that the fee posed a risk to the fungibility of the Uniform Mortgage-Backed Security and negatively impacted liquidity and pricing in the market for TBA securities. On November 30, 2023, the FHFA published a final rule, which became effective April 1, 2024, which reduced the risk weight and credit conversion factor for guarantees on commingled securities to 5% and 50%, respectively; replaced the current exposure methodology with the standardized approach for counterparty credit risk as the method for computing exposure and risk-weighted asset amounts for derivatives and cleared transactions; updated the credit score assumption to 680 for single-family mortgage exposures originated without a representative credit score; and introduced a risk weight of 20% for guarantee assets. On January 2, 2025, the U.S. Treasury and FHFA entered into a letter agreement deleting the September 2021 Provisions entirely, as well as providing additional guidance on the process for a potential end to the conservatorship of the Enterprises. Throughout 2025, there was some speculation in the market regarding progress towards an end to the conservatorship, including through an initial public offering, but a directive by the Trump administration in January 2026 that the Enterprises purchase up to $200 billion of Agency MBS from their accumulated cash reserves will increase the Enterprises’ balance sheets and exposure to mortgage risk and could make a near-term end to the conservatorship unlikely. The announcement of the directive, designed to increase liquidity and compress the spread between mortgage interest rates and the 10-year U.S. Treasury, had the intended effect immediately and significantly increased mortgage application volumes. The longer-term implications of this directive remain to be seen, with some analysts fearing a demand surge in home prices negating any affordability gains, systemic instability due to increased exposure to mortgage risk by the Enterprises, and volatility in the 10-year U.S. Treasury and mortgage interest spreads if the Fed decides to tighten monetary policy while the Trump administration is loosening it through the Enterprises. Further, the Enterprises are quickly approaching their regulatory asset caps, and it is unclear whether the FHFA will raise these caps to signal a long-term commitment to this directive or whether this is a limited intervention.

On July 27, 2023, the federal banking regulators, including the Office of the Comptroller of the Currency, (the "OCC") the Federal Deposit Insurance Corporation (the "FDIC") and the Fed, jointly issued a proposed rule that would revise large bank capital requirements (the "Basel III Endgame"). The Basel III Endgame, if implemented as originally proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency MBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency MBS markets. The comment period for the Basel III Endgame closed on January 16, 2024, and the proposed rule was met with strong objections from the banking industry. InWhile testimonyimplementation before the United States Senate Committee on Banking, Housing and Urban Affairs in July 2024, Fed chairman Jerome Powell stated that the OCC, the FDIC and the Fed were in discussions to materially revise the proposed rule, and that there was consensus at the Fed to undergo another comment period. In remarks given on September 10, 2024, Michael Barr, the Fed's Vice Chair for Supervision, confirmed thatof the Basel III Endgame washas beingsince rewrittenstalled, to,Fed amongVice otherChair things,for reduceSupervision Michelle Bowman commented in August 2025 that a revised Basel III Endgame is expected to be issued for public comment in early 2026, which the riskmarket weightsexpects to be more capital-neutral than the original proposal. On November 25, 2025, the Fed, OCC and FDIC jointly adopted a final rule to revise the enhanced supplementary leverage ratio for residentialglobally realsystemically estateimportant bank holding companies (“GSIBs”). The rule, which becomes effective April 1, 2026 and retailmay exposures,be extendadopted by banks subject to the scoperule ofas early as January 1, 2026, seeks to promote effective GSIB capital management and remove disincentives for banks to engage in low-risk activities, particularly in the reducedU.S. riskTreasury weightmarket. forThis certainshift low-riskis corporateexpected debt,to free up significant capital, allowing GSIBs greater discretion in asset allocation and eliminatepotentially thefostering minimumincreased haircutlending forand securitieseconomic financing transactions.activity.

A change in or elimination of the guarantee structure of Agency MBSRMBS may increase our costs (if, for example, guarantee fees increase) or require us to change our investment strategy altogether. For example, the elimination of the guarantee structure of Agency MBSRMBS may cause us to change our investment strategy to focus on non-Agency MBS,RMBS, which in turn would require us to significantly increase our monitoring of the credit risks of our investments in addition to interest rate and prepayment risks.

If prepayment rates are relatively low (due, in part, to the refinancing problems described above), lower long-term interest rates can increase the value of our Agency MBS.RMBS. This is because investors typically place a premium on assets with coupon/yields that are higher than coupon/yields available in the market. To the extent such securities pre-pay slower than would otherwise be the case, we benefit from an above market coupon/yield for longer, enhancing the return from the security. Although lower long-term interest rates may increase asset values in our portfolio, we may not be able to invest new funds in similarly yielding assets.

If prepayment levels increase, the value of any of our Agency MBSRMBS that are carried at a premium to par that are affected by such prepayments may decline. This is because a principal prepayment accelerates the effective term of an Agency MBS,RMBS, which would shorten the period during which an investor would receive above-market returns (assuming the yield on the prepaid asset is higher than market yields). Also, prepayment proceeds may not be able to be reinvested in similar-yielding assets. Agency MBSRMBS backed by mortgages with high interest rates are more susceptible to prepayment risk because holders of those mortgages are most likely to refinance to a lower rate. If prepayment levels decrease, the value of any of our Agency MBSRMBS that are carried at a discount to par that are affected by such prepayments may increase. This is because a principal prepayment accelerates the effective term of an Agency MBS,RMBS, which would shorten the timeframe over which an investor would receive the principal of the underlying loans. Agency MBSRMBS backed by mortgages with low interest rates are less susceptible to prepayment risk because holders of those mortgages are less likely to refinance to a higher rate. IOs and IIOs, however, may be the types of Agency MBSRMBS most sensitive to increased prepayment rates. Because the holder of an IO or IIO receives no principal payments, the values of IOs and IIOs are entirely dependent on the existence of a principal balance on the underlying mortgages. If the principal balance is eliminated due to prepayment, IOs and IIOs essentially become worthless. Although increased prepayment rates can negatively affect the value of our IOs and IIOs, they have the opposite effect on POs. Because POs act like zero-coupon bonds, meaning they are purchased at a discount to their par value and have an effective interest rate based on the discount and the term of the underlying loan, an increase in prepayment rates would reduce the effective term of our POs and accelerate the yields earned on those assets, which would increase our net income.

Higher long-term rates can also affect the value of our Agency MBS.RMBS. As long-term rates rise, rates available to borrowers also rise. This tends to cause prepayment activity to slow and extend the expected average life of mortgage cash flows. As the expected average life of the mortgage cash flows increases, coupled with higher discount rates, the value of Agency MBSRMBS declines. Some of the instruments we use to hedge our Agency MBSRMBS assets, such as interest rate futures, swaps and swaptions, are stable average life instruments. This means that to the extent we use such instruments to hedge our Agency MBSRMBS assets, our hedges may not adequately protect us from price declines,declines and therefore may negatively impact our book value. It is for this reason we use interest only securities in our portfolio. As interest rates rise, the expected average life of these securities increases, causing generally positive price movements as the number and size of the cash flows increase the longer the underlying mortgages remain outstanding. This makes interest only securities desirable hedge instruments for pass-throughPT Agency MBS.RMBS.

Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency MBSRMBS with shorter durations. We believe these securities have a lower sensitivity to changes in long-term interest rates than other asset classes. We may attempt to mitigate our exposure to changes in long-term interest rates by investing in IOs and IIOs, which typically have different sensitivities to changes in long-term interest rates than PT MBS,RMBS, particularly PT MBSRMBS backed by fixed-rate mortgages.

We leverage our PT MBSRMBS portfolio and a portion of our structured Agency MBSRMBS with principal balances through the use of short-term repurchase agreement transactions. The interest rates on our debt are determined by the short termshort-term interest rate markets. Increases in the Fed Funds rate or SOFR typically increase our borrowing costs, which could affect our interest rate spread if there is no corresponding increase in the interest we earn on our assets. The impact of these increases would be most prevalent with respect to our Agency MBSRMBS backed by fixed rate mortgage loans because the interest rate on a fixed-rate mortgage loan does not change even though market rates may change.

In order to protect our net interest margin against increases in short-term interest rates, we may enter into interest rate swaps, which economically convert our floating-rate repurchase agreement debt to fixed-rate debt or utilize other hedging instruments such as Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures contracts, dual digital options or interest rate swaptions.

The following discussion of our consolidated financial condition, cash flows, and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Form 10-Q. The discussion may contain certain forward-looking statements that involve risks and uncertainties. As a result of many factors, such as those set forth under “Risk Factors” in our most recent Annual Report on Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements. In addition, please see the section "Special Note Regarding Forward-Looking Statements" included at the beginning of this Form 10-Q.

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital” and, collectively with its subsidiaries, the “Company,” “we”, “us” or “our”) is a specialty finance company that operates in twothree business segments: (i) the asset management segment of Bimini Advisors, LLC (together with Bimini Advisors Holdings, LLC, “Bimini Advisors”) (serving as the external manager of Orchid Island Capital, Inc. (“Orchid”)), (ii) the asset management segment of Tom Johnson Investment Management, LLC (“TJIM”) (providing investment advisory and wealth management services to individuals, high-net-worth families, retirement plans, foundations, and institutions), and (iii) the investment portfolio segment (investing through our wholly owned subsidiary, Royal Palm Capital, LLC (collectively with its wholly owned subsidiaries, “Royal Palm”), in mortgage-backed securities (“MBS”) and Orchid Island Capital, Inc. (“Orchid”) common stock in our own portfolio,portfolio). (ii)See andNote serving14. asIn the externaltwo managersegments ofwhere Orchidwe which also investsinvest in MBS.MBS, Inin both cases, the principal and interest payments of these MBS are guaranteed by Fannie Mae, Freddie Mac or the Government National Mortgage Association (“Ginnie Mae” and, collectively with Fannie Mae and Freddie Mac, “GSEs”) and are backed primarily by single-family residential mortgage loans. We refer to these types of MBS as “Agency MBS.” Our portfolioinvestment strategy focuses on, and our portfolios primarily consistsconsist of traditional pass throughpass-through ("“PT"”) Agency MBS, such as mortgage pass-through certificates and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT MBS”); and structured Agency MBS, such as interest only securities (“IOs”), inverse interest only securities (“IIOs”) and principal only securities (“POs”).

Described below are the Company’s results of operations for the six and three months ended MarchJune 31,30, 2026, as compared to the six and three months ended MarchJune 31,30, 2025.

Consolidated net income attributable to Bimini stockholders for the threesix months ended MarchJune 31,30, 2026 was $0.8$1.2 million, or $0.08$0.12 basic and diluted income per share of Class A Common Stock, as compared to consolidated net income of $0.6 million, or $0.06 basic and diluted income per share of Class A Common Stock, for the threesix months ended MarchJune 31,30, 2025. The components of net income for the six and three months ended MarchJune 31,30, 2026 and 2025, along with the changes in those components are presented in the table below.

Segment information for the six and three months ended MarchJune 31,30, 2026 and 2025 is as follows:

Asset Management Segment - Bimini Advisors/Orchid Island

During the threesix months ended MarchJune 31,30, 2026, we generated $0.5$0.6 million of net portfolio interest income, consisting of $1.2$1.4 million of interest income from MBS assets offset by $0.7$0.8 million of interest expense on repurchase liabilities. For the comparable period ended MarchJune 31,30, 2025, we generated $0.4$0.8 million of net portfolio interest income, consisting of $1.7$3.3 million of interest income from MBS assets offset by $1.3$2.5 million of interest expense on repurchase liabilities. The $0.58$1.9 million decrease in interest income was due to a $69.2$83.7 million decrease in average MBS holdings, offset by a 314263 basis point ("bp") increase in yields. There was a $0.6$1.7 million decrease in interest expense for the threesix months ended MarchJune 31,30, 2026 that was due to a $66.1$79.8 million decrease in average repurchase liabilities, offset by a 10671 bp increase in cost of funds.

Our economic interest expense on repurchase liabilities for the six months ended June 30, 2026 and 2025 was $0.7 million and $2.3 million, respectively, resulting in $0.7 million and $1.0 million of economic net portfolio interest income, respectively. Our economic interest expense on repurchase liabilities for the three months ended MarchJune 31,30, 2026 and 2025 was $0.6$0.1 million and $1.2$1.1 million, respectively, resulting in $0.5$0.2 million and $0.5 million of economic net portfolio interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average repurchase agreement balances, interest expense, cost of funds, net interest income and net interest rate spread for the threesix months ended MarchJune 31,30, 2026 and 2025 and each quarter in 2026 and 2025 on both a GAAP and economic basis.

Since all of our repurchase agreements are short-term, changes in market rates have a more immediate impact on our interest expense. Our average cost of funds calculated on a GAAP basis was 19020 bps above the average one-month SOFR and 16916 bps above the average six-month SOFR for the quarter ended MarchJune 31,30, 2026. Our average economic cost of funds was 129195 bps abovebelow the average one-month SOFR and 108199 bps abovebelow the average six-month SOFR for the quarter ended MarchJune 31,30, 2026. The average term to maturity of the outstanding repurchase agreements was 1722 days at MarchJune 31,30, 2026, compared to 31 days at December 31, 2025. The tables below present the average outstanding balances under our repurchase agreements, interest expense and average economic cost of funds, and average one-month and six-month SOFR rates for each quarter in 2026 and 2025, on both a GAAP and economic basis.

We owned 569,071 shares of Orchid common stock throughout each of the six months ended June 30, 2026 and 2025. Orchid paid total dividends of $0.66 per share and $0.72 per share during the six months ended June 30, 2026 and 2025, respectively, resulting in dividend income of approximately $0.4 million in each period. We owned 569,071 shares of Orchid common stock throughout each of the three months ended MarchJune 31,30, 2026 and 2025. Orchid paid total dividends of $0.30 per share and $0.36 per share during both the three months ended MarchJune 31,30, 2026 and 2025, resulting in dividend income of approximately $0.2 million in each period.

The junior subordinated debt securities paid interest at a floating rate. The interest rate is the CME Term SOFR on the applicable reset date plus the tenor spread adjustment of 0.26161% plus the coupon spread of 3.50%. Interest expense on our junior subordinated debt securities was $1.0 million and $1.1 million for the six months ended June 30, 2026 and 2025, respectively. The average rate of interest paid for the six months ended June 30, 2026 was 7.45% compared to 8.09% for the comparable period in 2025. Interest expense on our junior subordinated debt securities was $0.5 million and $0.5 million for the three months ended MarchJune 31,30, 2026 and 2025, respectively. The average rate of interest paid for the three months ended MarchJune 31,30, 2026 was 7.48%7.43% compared to 8.11%8.06% for the comparable period in 2025.

Gains or Losses and Other Income - Investment Portfolio Segment

The table below presents our gains or losses and other income for the six and three months ended MarchJune 31,30, 2026 and 2025.

We invest in MBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for the purpose of making short term gains from trading in these securities. However, we have sold, and may sell in the future, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy. During the threesix months ended MarchJune 31,30, 2026,2026 and 2025, we received proceeds totaling $68.6 million and $9.8 million, respectively, from the sales of MBS. We did not sell any MBS during the three months ended March 31, 2025.

For the six and three months ended MarchJune 31,30, 2026, our total operating expenses were approximately $3.7$8.6 million and $4.9 million, respectively, compared to $2.9$5.7 million and $2.8 million for the six and three months ended MarchJune 31,30, 2025, respectively, as detailed in the table below.

We recorded income tax provisions for the threesix months ended MarchJune 31,30, 2026 and 2025 of approximately $0.2$1.5 million and $0.2 million, respectively, on consolidated pre-tax book income of $1.0$2.8 million and $0.7$0.8 million, respectively. We recorded income tax provisions for the three months ended June 30, 2026 and 2025 of approximately $1.3 million and $0.01 million, respectively, on consolidated pre-tax book income of $1.8 million and $0.05 million, respectively. The Company uses the discrete-period computation method for determining its income tax provision. Our income tax provision could beis affected by numerous factors, including non-deductible expenses, the projected utilization of net operating loss carryovers and changes in our deferred tax assets and liabilities and their valuations, and can result in significant variations in the customary relationship between pretax income and income tax expense. During the three months ended June 30, 2026, the Company reassessed the realizability of its deferred tax assets in connection with the acquisition of TJIM. As a result of this reassessment, the Company recorded an increase in its valuation allowance and a corresponding increase in income tax expense of approximately $1.1 million.

Mortgage-Backed Securities - Investment Portfolio Segment

As of MarchJune 31,30, 2026, our MBS portfolio consisted of $16.1$16.0 million of agency or government MBS at fair value and had a weighted average coupon of 5.35%. During the threesix months ended MarchJune 31,30, 2026, we received principal repayments of $3.6$3.7 million compared to $2.9$6.2 million for the comparable period ended MarchJune 31,30, 2025. The average prepayment speeds for the quarters ended MarchJune 31,30, 2026 and 2025 were 2.9%8.1% and 7.3%,9.9%, respectively.

The following tables summarize certain characteristics of our PT MBS and structured MBS as of MarchJune 31,30, 2026 and December 31, 2025:

As of MarchJune 31,30, 2026, the Company's portfolio had an effective duration of 3.483,3.495, indicating that an interest rate increase of 1.0% would be expected to cause a 3.483%3.495% decrease in the value of the MBS in our investment portfolio. As of December 31, 2025, the Company's portfolio had an effective duration of 2.229, indicating that an interest rate increase of 1.0% would be expected to cause a 2.229% decrease in the value of the MBS in our investment portfolio. These figures do not include the effect of our funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of MarchJune 31,30, 2026, assuming rates instantaneously fall 200 bps, fall 100 bps and rise 100 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency MBS’ effective duration to movements in interest rates.

As of MarchJune 31,30, 2026, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with three of these counterparties. We believe these facilities provide borrowing capacity in excess of our needs. None of these lenders are affiliated with us. These borrowings are secured by our MBS.

As of MarchJune 31,30, 2026, we had obligations outstanding under the repurchase agreements of approximately $15.2$15.0 million with a net weighted average borrowing cost of 3.79%.3.76%. The remaining maturity of our outstanding repurchase agreement obligations ranged from 13 to 2342 days, with a weighted average maturity of 1722 days. Securing the repurchase agreement obligation as of MarchJune 31,30, 2026 are MBS with an estimated fair value, including accrued interest, of $16.0$15.9 million. Through MayAugust 7,6, 2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed at MarchJune 31,30, 2026 with maturities through MayAugust 26,31, 2026.

Liquidity is our ability to turn non-cash assets into cash to fund our operations and to meet our obligations in both the short-term (one year or less) and long-term (greater than one year). Our material cash requirements include theour purchaseoperating ofexpenses, additionalsuch investments,as repaypayroll principalfor our employees, our professional fees such as legal and interestaccounting, onservicing repurchaseour agreementsdebt andobligations, long-termsuch as our trust preferred debt (see Note 78 to the consolidated financial statements for more information related to the timing of principal payments and maturities of our long-term debt.), fundthe overheadpurchase of additional investments, the repayment of principal and fulfillinterest on repurchase agreements, and the fulfillment of margin calls. We have both internal and external sources of liquidity. However, ourOur material unused sources of liquidity include cash balances, unencumbered assets and our ability to sell encumbered assets to raise cash. Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our MBS portfolio and dividends we receive on our investment in Orchid common stock.

Our internal sources of liquidity include our cash balances, unencumberedas assetswell as the collection of management fees and ourother abilityfees related to liquidate our encumberedadvisory securityservices holdings. Our balance sheet also generates liquidity on an ongoing basis throughsegments. payments of principal and interest we receive on our MBS portfolio and dividends we receive on our investment in Orchid common stock. We also possess unencumbered RMBS assets and the ability to liquidate our encumbered security holdings.

WeWhile employour investment portfolio employs a much lower portion of our capital, the management of the portfolio relies on a hedging strategy that typically involves taking short positions in T-Note and SOFR futures, TBAs"to-be-announced" ("TBA") securities or other instruments. When the market causes these short positions to decline in value we are required to meet margin calls with cash. This can reduce our liquidity position to the extent other securities in our portfolio move in price in such a way that we do not receive enough cash through margin calls to offset the futures or TBA short positions related margin calls. If this were to occur in sufficient magnitude, the loss of liquidity might force us to reduce the size of the levered portfolio, pledge additional structured securities to raise funds or risk operating the portfolio with less liquidity.

In future periods, we expect to continue to finance our activities through repurchase agreements and through revenues from our advisory services business. As of MarchJune 31,30, 2026, we had cash and cash equivalents of $16.4$6.5 million. We generated cash flows of $5.0$5.3 million from principal and interest payments on our MBS portfolio and had average repurchase agreements outstanding of $50.3$32.7 million during the threesix months ended MarchJune 31,30, 2026. In addition, during the threesix months ended MarchJune 31,30, 2026, we received approximately $5.1$10.2 million in management fees and expense reimbursements as manager of Orchid and approximately $0.2$0.4 million in dividends from our investment in Orchid common stock.

At MarchJune 31,30, 2026, we had no material commitments for capital expenditures.

Orchid reported a net lossincome for the firstsecond quarter of 2026 of $20.2$89.2 million, or $0.11$0.44 per share and its shareholders equity increased from $1.372$1.392 billion to $1.392$1.441 billion. During the firstsecond quarter, market conditions were not asgenerally favorable for levered MBS investors as the fourth quarter of 2025 or most of 2025.investors. Orchid reported gains on hedge instruments of $46.3$62.4 million and realized and unrealized losses on its MBS portfolio of $115.9$26.4 million, which together resulted in lossesgains of $69.6$36.0 million. Orchid is obligated to reimburse Bimini for direct expenses paid on its behalf as well as Orchid’s pro-rata share of overhead expenses as defined in the management agreement. As a stockholder of Orchid, we will also continue to share in distributions, if any, paid by Orchid to its stockholders. Our operating results are also impacted by changes in the market value of our holdings of Orchid common shares, although these market value changes do not impact our cash flowsflow from Orchid.