Item 2.02. Results of Operations and Financial Condition.

During the fourth quarter of 2020, the effects from large-scale RMBS purchases by both the Federal Reserve and bank portfolios continued to drive spreads tighter, particularly in current coupon RMBS where the buying is focused. Our Agency plus MSR portfolio construction is designed to deliver stable book value and attractive risk-adjusted returns to our investors over the long term. Adjusting for the $0.17 per share common dividend we announced on December 17, 2020, we estimate that our book value per diluted common share at December 31, 2020 was in the range of $7.59 to $7.63, reflecting an increase from our book value per common share of $7.37 at September 30, 2020. We further estimate that our Core Earnings for the fourth quarter of 2020 was in the range of $0.28 to $0.30 per share, and our economic debt-to-equity was approximately 6.8 times at December 31, 2020.

Our preliminary estimated results for the fourth quarter of 2020 are unaudited and subject to change as we complete the quarter end closing process, and prepare our financial statements for the quarter and the fiscal year end. Our preliminary estimated results have not yet been reviewed or in certain cases audited 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 year ended December 31, 2020, (ii) 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 December 31, 2020 and remain subject in certain cases to audit 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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