What changed in this filing

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Item 1. Financial Statements

2021-08-04 compared with 2021-05-05 · 252 added, 152 removed, 753 unchanged (35% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

$ in thousands, except share amounts March 31, 2021 December 31, 2020

$ in thousands, except share amounts June 30, 2021 December 31, 2020

Mortgage-backed securities, at fair value (including pledged securities of $ 8,248,952 and $ 7,614,935 , respectively;

net of allowance for credit losses of $ 830 and $ 1,768 , respectively)

net of allowance for credit losses of $ 1,768 as of December 31, 2020)

8,730,663 8,172,182

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7.75 % Series A Cumulative Redeemable Preferred Stock:

5,600,000 shares issued and outstanding ($ 140,000 aggregate liquidation preference)

135,356 135,356

no shares and 5,600,000 shares issued and outstanding, respectively ($ 140,000 aggregate liquidation preference as of December 31, 2020)

7.75 % Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock:

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CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands, except share amounts 2021 2020 2021 2020

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Dividends to preferred stockholders 9,900 11,106 21,007 22,213

Issuance and redemption costs of redeemed preferred stock 4,682 — 4,682 —

Net income (loss) attributable to common stockholders ( 88,340 ) ( 299,945 ) ( 108,722 ) ( 1,927,244 )

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Diluted ( 0.34 ) ( 1.80 ) ( 0.45 ) ( 11.91 )

(1) Negative interest expense on repurchase agreements for the three months ended March 31, 2021 consists of $ 3.7 million of current period interest expense on repurchase agreements and $ 5.4 million of amortization of net deferred gains on de-designated interest rate swaps.

(1) Periods with negative interest expense on repurchase agreements are due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements.

For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity".

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2021 2020 2021 2020

5 unchanged sentences

Currency translation adjustments on investment in unconsolidated venture ( 632 ) ( 388 ) ( 23 ) 92

Total other comprehensive loss ( 3,778 ) ( 159,235 )

Total other comprehensive income (loss) ( 4,906 ) ( 23,380 ) ( 8,684 ) ( 182,615 )

Comprehensive income (loss) ( 78,664 ) ( 312,219 ) ( 91,717 ) ( 2,087,646 )

Dividends to preferred stockholders ( 9,900 ) ( 11,106 ) ( 21,007 ) ( 22,213 )

Issuance and redemption costs of redeemed preferred stock ( 4,682 ) — ( 4,682 ) —

Comprehensive income (loss) attributable to common stockholders ( 93,246 ) ( 323,325 ) ( 117,406 ) ( 2,109,859 )

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CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2021 and 2020

For the three months ended March 31, 2021 and June 30, 2021

Capital Accumulated

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Balance at March 31, 2021 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 246,397,710 2,464 3,548,230 54,827 ( 2,686,913 ) 1,481,932

Net income (loss) — — — — — — — — — — ( 73,758 ) ( 73,758 )

Other comprehensive income — — — — — — — — — ( 4,906 ) — ( 4,906 )

Proceeds from issuance of common stock, net of offering costs — — — — — 43,125,000 431 145,448 — — 145,879

Stock awards — — — — — 158,050 2 — — — 2

Common stock dividends — — — — — — — — — — ( 26,071 ) ( 26,071 )

Preferred stock dividends — — — — — — — — — — ( 9,900 ) ( 9,900 )

Redemption of preferred stock ( 5,600,000 ) ( 135,356 ) — — — — — — — — ( 4,682 ) ( 140,038 )

Amortization of equity-based compensation — — — — — — — — 239 — — 239

Balance at June 30, 2021 — — 6,200,000 149,860 11,500,000 278,108 289,680,760 2,897 3,693,917 49,921 ( 2,801,324 ) 1,373,379

The accompanying notes are an integral part of these condensed consolidated financial statements.

INVESCO MORTGAGE CAPITAL INC.

AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Continued)

For the three months ended March 31, 2020 and June 30, 2020

Capital Accumulated

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Balance at March 31, 2020 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 164,966,357 1,650 3,239,602 129,728 ( 2,523,923 ) 1,410,381

Net income (loss) — — — — — — — — — — ( 288,839 ) ( 288,839 )

Other comprehensive loss — — — — — — — — — ( 23,380 ) — ( 23,380 )

Stock awards — — — — — — 22,500 — — — — —

Common stock dividends — — — — — — 16,338,511 163 74,071 — ( 3,626 ) 70,608

Preferred stock dividends — — — — — — — — — — ( 11,106 ) ( 11,106 )

Amortization of equity-based compensation — — — — — — — — 128 — — 128

Balance at June 30, 2020 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 181,327,368 1,813 3,313,801 106,348 ( 2,827,494 ) 1,157,792

The accompanying notes are an integral part of these condensed consolidated financial statements.

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CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Three Months Ended March 31,

Six Months Ended June 30,

$ in thousands 2021 2020

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(Gain) loss on investments, net 259,237 1,061,849

Decrease in provision for credit losses ( 938 ) —

Increase (decrease) in provision for credit losses ( 1,768 ) —

(Gain) loss from investments in unconsolidated ventures in excess of distributions received 24 243

Other amortization ( 10,427 ) ( 14,311 )

Net loss on extinguishment of debt — 4,806

Net (gain) loss on extinguishment of debt — 1,107

Changes in operating assets and liabilities:

(Increase) decrease in operating assets ( 1,108 ) 54,567

Decrease in operating liabilities ( 43 ) ( 33,431 )

Increase (decrease) in operating liabilities ( 39 ) ( 42,459 )

Net cash provided by operating activities 73,477 130,613

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Proceeds from sale of mortgage-backed and credit risk transfer securities 9,755,377 23,119,928

Proceeds from sale of credit derivatives — 2,283

Payment on the sale of credit derivatives — ( 14,131 )

Settlement (termination) of forwards, swaps, swaptions and TBAs, net 126,303 ( 904,358 )

Redemption of Federal Home Loan Bank of Indianapolis stock — 36,562

Net change in due from counterparties and collateral held payable on derivative instruments ( 942 ) ( 170 )

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Proceeds from issuance of common stock 307,618 347,127

Redemption of preferred stock ( 140,038 ) —

Principal repayments of secured loans — ( 910,000 )

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Dividends declared not paid 26,071 6,339

Increase in Agency CMBS purchase commitments — 410,654

Increase (decrease) in Agency CMBS purchase commitments — ( 99,557 )

Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments ( 5 ) 29,477

Dividend paid in common stock — 74,234

Offering costs not paid ( 647 ) ( 101 )

Net change in repurchase agreements, not settled — ( 625 )

Change in foreign currency translation adjustment on other investments 23 ( 92 )

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The guidance can be applied as of January 1, 2020.

We will evaluate our contracts that are eligible for modification relief and may apply the elections prospectively as needed.

We are evaluating our contracts that are eligible for modification relief and may apply the elections prospectively as needed.

We are currently evaluating what impact the guidance will have on our consolidated financial statements.

Note 3 – Variable Interest Entities ("VIEs")

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2021 is presented in the table below.

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2021 is presented in the table below.

$ in thousands Carrying Amount Company's Maximum Risk of Loss

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We resumed investing in Agency RMBS in July 2020.

The following tables summarize our MBS portfolio by asset type as of March 31, 2021 and December 31, 2020.

March 31, 2021

The following tables summarize our MBS portfolio by asset type as of June 30, 2021 and December 31, 2020.

June 30, 2021

$ in thousands Principal/ Notional

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(Discount) Amortized

Cost Allowance for Credit Losses Unrealized

Cost Unrealized

(Loss), net Fair

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Total 9,081,643 ( 360,482 ) 8,721,161 9,502 8,730,663 2.10 %

(1) Period-end weighted average yield is based on amortized cost as of March 31, 2021 and incorporates future prepayment and loss assumptions.

(1) Period-end weighted average yield is based on amortized cost as of June 30, 2021 and incorporates future prepayment and loss assumptions.

(2) Agency collateralized mortgage obligation ("Agency-CMO") are interest-only securities ("Agency IO").

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(5) Non-Agency RMBS includes non-Agency IO which represent 98.8 % of principal/notional balance, 49.3 % of amortized cost and 41.5 % of fair value.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2021 and December 31, 2020.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2021 and December 31, 2020.

We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016.

As of March 31, 2021 and December 31, 2020, approximately 99 % of our MBS are accounted for under the fair value option.

March 31, 2021 December 31, 2020

As of June 30, 2021 and December 31, 2020, approximately 99 % of our MBS are accounted for under the fair value option.

June 30, 2021 December 31, 2020

$ in thousands Available-for-sale Securities Securities under Fair Value Option Total

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Total RMBS Agency pass-through — 8,642,830 8,642,830 — 8,050,866 8,050,866

Agency-CMO — 14,201 14,201 — — —

Non-Agency CMBS 63,800 — 63,800 109,583 — 109,583

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Total 70,878 8,659,785 8,730,663 116,850 8,055,332 8,172,182

The components of the carrying value of our MBS portfolio at March 31, 2021 and December 31, 2020 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 17.5 million at March 31, 2021 (December 31, 2020:

The components of the carrying value of our MBS portfolio at June 30, 2021 and December 31, 2020 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 17.3 million at June 30, 2021 (December 31, 2020:

$ 15.4 million).

March 31, 2021

June 30, 2021

$ in thousands MBS Interest-Only Securities Total

2 unchanged sentences

Unamortized discount ( 10,176 ) ( 609,793 ) ( 619,969 )

Allowance for credit losses ( 830 ) — ( 830 )

Gross unrealized gains (1)

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Fair value 8,167,312 4,870 8,172,182

(1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income.

(1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income.

Realization occurs upon sale or settlement of such securities.

Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2021 and 2020 is provided below in this Note 4.

The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2021 and December 31, 2020 .

$ in thousands March 31, 2021 December 31, 2020

Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2021 and 2020 is provided below in this Note 4.

The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2021 and December 31, 2020 .

$ in thousands June 30, 2021 December 31, 2020

Less than one year 264 22,112

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Total 8,730,663 8,172,182

The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2021 and December 31, 2020.

March 31, 2021

June 30, 2021

Less than 12 Months 12 Months or More Total

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Total Agency RMBS pass-through 4,576,277 ( 21,868 ) 38 — — — 4,576,277 ( 21,868 ) 38

8,592,854 ( 188,816 ) 93 — — — 8,592,854 ( 188,816 ) 93

Agency-CMO 11,640 ( 335 ) 3 — — — 11,640 ( 335 ) 3

Non-Agency RMBS 2,620 ( 1,648 ) 10 14 ( 24 ) 4 2,634 ( 1,672 ) 14

4,590,537 ( 23,851 ) 51 14 ( 24 ) 4 4,590,551 ( 23,875 ) 55

Total 8,596,341 ( 189,830 ) 103 17 ( 24 ) 4 8,596,358 ( 189,854 ) 107

(1) Fair value option has been elected for all Agency RMBS in an unrealized loss position.

(2) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position.

(1) Fair value option has been elected for all securities in an unrealized loss position.

December 31, 2020

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(3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position.

As of March 31, 2021 and December 31, 2020, we have recorded an allowance for credit losses of $ 830,000 and $ 1.8 million, respectively, on a single non-Agency CMBS on our condensed consolidated balance sheets.

We recorded a $ 938,000 decrease in the provision for credit losses on our consolidated statement of operations during the three months ended March 31, 2021.

We did not record any provisions for credit losses during the three months ended March 31, 2020.

During the three months ended March 31, 2020, we recorded impairments of $ 78.8 million on our condensed consolidated statement of operations because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis.

As of December 31, 2020, we had recorded an allowance for credit losses of $ 1.8 million on a single non-Agency CMBS on our condensed consolidated balance sheet.

We recorded an $ 830,000 and a $ 1.8 million decrease in the provision for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2021, respectively.

As of June 30, 2021, we do no t have an allowance for credit losses recorded on our condensed consolidated balance sheet.

We did not record any provisions for credit losses during the three and six months ended June 30, 2020.

During the three and six months ended June 30, 2020, we recorded impairments of $ 6.3 million and $ 85.1 million, respectively, on our condensed consolidated statement of operations because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis.

The following table presents a roll-forward of our allowance for credit losses.

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2021 2021

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Ending allowance for credit losses — —

The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2021 and 2020.

Three Months Ended March 31,

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2021 and 2020.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2021 2020 2021 2020

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Net unrealized gains and losses on commercial loan and loan participation interest 822 3,023 ( 2,276 ) ( 2,469 )

Realized loss on loan participation interest — ( 3,808 ) — ( 3,808 )

Total gain (loss) on investments, net 72,620 ( 306,366 ) ( 259,237 ) ( 1,061,849 )

The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2021 and 2020.

GSE CRT interest income excludes coupon interest associated with embedded derivatives of $ 4.7 million for the three months ended March 31, 2020 that was recorded as realized and unrealized credit derivative income (loss), net.

For the three months ended March 31, 2021

The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2021 and 2020.

GSE CRT interest income excludes coupon interest associated with embedded derivatives of $ 1.1 million and $ 5.8 million for the three and six months ended June 30, 2020, respectively, that was recorded as realized and unrealized credit derivative income (loss), net.

For the three months ended June 30, 2021

$ in thousands Coupon

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Total 51,513 ( 8,879 ) 42,634

For the three months ended March 31, 2020

For the three months ended June 30, 2020

$ in thousands Coupon

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Total 26,841 2,787 29,628

For the six months ended June 30, 2021

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 99,558 ( 21,934 ) 77,624

Non-Agency CMBS 2,341 1,723 4,064

Non-Agency RMBS 1,091 ( 724 ) 367

Other 13 — 13

Total 103,003 ( 20,935 ) 82,068

For the six months ended June 30, 2020

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 107,439 ( 21,807 ) 85,632

Agency CMBS 35,822 ( 1,744 ) 34,078

Non-Agency CMBS 62,662 9,531 72,193

Non-Agency RMBS 12,284 2,520 14,804

GSE CRT 10,007 ( 2,286 ) 7,721

Other 736 — 736

Total 228,950 ( 13,786 ) 215,164

Note 5 – Other Assets

The following table summarizes our other assets as of March 31, 2021 and December 31, 2020:

$ in thousands March 31, 2021 December 31, 2020

The following table summarizes our other assets as of June 30, 2021 and December 31, 2020:

$ in thousands June 30, 2021 December 31, 2020

Commercial loan, held-for-investment 20,822 23,098

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The borrower continues to make current interest payments on the loan and posted additional cash reserves in connection with the loan modification.

The loan had a principal balance of $ 23.9 million as of March 31, 2021 and December 31, 2020 and a weighted average coupon rate of 8.62 % as of March 31, 2021 and 8.65 % as of December 31, 2020.

The loan had a principal balance of $ 23.9 million as of June 30, 2021 and December 31, 2020 and a weighted average coupon rate of 8.59 % as of June 30, 2021 and 8.65 % as of December 31, 2020.

We account for this investment using the fair value option.

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We fully repaid our secured loans during the year ended December 31, 2020.

The following tables summarize certain characteristics of our borrowings at March 31, 2021 and December 31, 2020.

The following tables summarize certain characteristics of our borrowings at June 30, 2021 and December 31, 2020.

Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.

$ in thousands March 31, 2021

$ in thousands June 30, 2021

Weighted Average

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As of May 7, 2020, we repaid all of our repurchase agreements that may have been in default.

Gains and losses associated with the termination of these repurchase agreements during the three months ended March 31, 2020 are reported as net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations.

Gains and losses associated with the termination of these repurchase agreements during the three and six months ended June 30, 2020 are reported as net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations.

We resumed financing the purchase of Agency RMBS with repurchase agreements in July 2020.

These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one to three months.

These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one to six months.

Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets.

The repurchase agreements are subject to certain financial covenants.

We were in compliance with all of these covenants as of March 31, 2021.

We were in compliance with all of these covenants as of June 30, 2021.

Secured Loans

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Note 7 - Collateral Positions

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of March 31, 2021 and December 31, 2020.

Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2020 for a description of how we determine fair value.

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Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral.

As of March 31, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

As of June 30, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

$ in thousands As of

Collateral Pledged March 31, 2021 December 31, 2020

Collateral Pledged June 30, 2021 December 31, 2020

Repurchase Agreements:

Agency RMBS 8,248,952 7,614,935

Cash 6,736 700

Total repurchase agreements collateral pledged 8,249,252 7,615,635

Interest Rate Swaps, Currency Forward Contracts and TBAs:

Cash 4,704 378

Restricted cash 353,386 244,573

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Total collateral pledged 8,602,638 7,860,586

Collateral Held March 31, 2021 December 31, 2020

Collateral Held June 30, 2021 December 31, 2020

Repurchase Agreements:

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We intend to maintain a level of liquidity that will enable us to meet margin calls.

Our repurchase agreement collateral pledged ratio (MBS pledged as collateral/amount outstanding) was 105 % as of March 31, 2021 (December 31, 2020:

Our repurchase agreement collateral pledged ratio (MBS pledged as collateral/amount outstanding) was 105 % as of June 30, 2021 (December 31, 2020:

Interest Rate Swaps

As of March 31, 2021 and December 31, 2020, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM").

As of June 30, 2021 and December 31, 2020, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM").

We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM.

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Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of operations.

Our FCM agreements include cross default provisions.

Certain of our FCM agreements include cross default provisions.

TBAs and Currency Forward Contracts

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The following table summarizes changes in the notional amount of our derivative instruments during 2021:

$ in thousands Notional Amount

of December 31,

2020 Additions Settlement,

or Exercise Notional Amount

$ in thousands Notional Amount as of December 31, 2020 Additions Settlement,

or Exercise Notional Amount as of June 30, 2021

Interest Rate Swaps (1)

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Total 8,033,084 2,334,870 ( 1,549,934 ) 8,818,020

(1) Notional amount as of March 31, 2021 excludes $ 1.3 billion of interest rate swaps with forward start dates.

(1) Notional amount as of June 30, 2021 excludes $ 1.3 billion of interest rate swaps with forward start dates.

Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties.

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To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy.

Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount.

Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements.

We reclassified $ 5.4 million as a decrease (March 31, 2020:

$ 10.1 million as a decrease) to interest expense for the three months ended March 31, 2021.

We increased the amount of gains and losses

reclassified as a decrease to interest expense during the three months ended March 31, 2020 by $ 4.2 million because it was probable that the original forecasted repurchase agreement transactions would not occur by the end of the originally specified time period .

Under the terms of the majority our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the agreed upon term without exchange of the underlying notional amount.

To a lesser extent, we also enter into interest rate swap contracts whereby we make floating-rate payments to a counterparty in exchange for the receipt of fixed-rate amounts as part of our overall risk management strategy.

consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements.

We reclassified $ 5.4 million and $ 10.8 million as a decrease (June 30, 2020:

$ 4.5 million and $ 14.6 million as a decrease) to interest expense for the three and six months ended June 30, 2021, respectively.

We increased the amount of gains and losses reclassified as a decrease to interest expense during the three and six months ended June 30, 2020 by $ 2.7 million because it was probable that the original forecasted repurchase agreement transactions would not occur by the end of the originally specified time period .

During the next 12 months, we estimate that $ 21.2 million will be reclas sified as a decrease to interest expense, repurchase agreements.

As of March 31, 2021, $ 46.7 million (December 31, 2020:

As of June 30, 2021, $ 41.3 million (December 31, 2020:

$ 52.1 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023.

As of March 31, 2021 and December 31, 2020, we had interest rate swaps with the following maturities outstand ing, excluding interest rate swaps with forward start dates:

$ in thousands As of March 31, 2021

Maturities Notional Amount (1)

Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity

As of June 30, 2021 and December 31, 2020, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on 1-month LIBOR with the following maturities outstand ing, excluding interest rate swaps with forward start dates.

$ in thousands As of June 30, 2021

Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity

3 to 5 years 2,250,000 0.20 % 0.09 % 3.7

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$ in thousands As of December 31, 2020

Maturities Notional Amount (2)

Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity

Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity

3 to 5 years 2,250,000 0.20 % 0.15 % 4.2

2 unchanged sentences

Total 6,300,000 0.41 % 0.15 % 6.7

(1) Notional amount includes $ 6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of March 31, 2021.

(2) Notional amount includes $ 6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of December 31, 2020.

As of March 31, 2021, we held $ 1.3 billion notional amount of interest rate swaps with forward start dates that will receive interest based on 1-month LIBOR with a weighted average maturity of 21.3 years and a weighted average fixed pay rate of 1.37 %.

As of June 30, 2021, we held $ 1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on 1-month LIBOR with a weighted average maturity of 21.2 years and a weighted average fixed pay rate of 1.29 %.

We did not hold any interest rate swaps with forward start dates as of December 31, 2020.

As of June 30, 2021, we had interest rate swaps whereby we pay floating interest based on 1-month LIBOR and receive interest at a fixed rate with the following maturities outstanding.

We did not hold any such interest rate swaps as of December 31, 2020.

$ in thousands As of June 30, 2021

Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity

Less than 3 years 1,000,000 0.10 % 0.37 % 2.9

Total 1,000,000 0.10 % 0.37 % 2.9

Swaptions and Currency Forward Contracts

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We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations.

As of March 31, 2021, we had $ 16.9 million (December 31, 2020:

As of June 30, 2021, we had $ 18.0 million (December 31, 2020:

$ 33.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro.

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We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS.

The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2021 and December 31, 2020.

$ in thousands As of March 31, 2021

The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2021 and December 31, 2020.

$ in thousands As of June 30, 2021

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

TBA Purchase Contracts 1,500,000 1,547,465 1,551,445 3,980

TBA sales contracts ( 500,000 ) ( 505,934 ) ( 504,844 ) 1,090

Net TBA derivatives 1,500,000 1,548,066 1,544,883 ( 3,183 )

$ in thousands As of December 31, 2020

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TBA Purchase Contracts 1,700,000 1,772,211 1,782,104 9,893

Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893

Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet

The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2021 and December 31, 2020.

The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2021 and December 31, 2020.

$ in thousands

Derivative Assets Derivative Liabilities

As of March 31, 2021 As of December 31, 2020 As of March 31, 2021 As of December 31, 2020

As of June 30, 2021 As of December 31, 2020 As of June 30, 2021 As of December 31, 2020

Sheet Fair Value Fair Value Balance

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Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement

The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2020.

The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2020.

$ in thousands

Three months ended March 31, 2020

Three months ended June 30, 2020

not designated as

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GSE CRT Embedded Derivatives ( 16,414 ) 1,127 12,549 ( 2,738 )

The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2021 and 2020:

$ in thousands

Three Months Ended March 31, 2021

Six months ended June 30, 2020

not designated as

hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net

GSE CRT Embedded Derivatives ( 14,131 ) 5,845 ( 27,504 ) ( 35,790 )

$ in thousands

Three Months Ended June 30, 2021

not designated as

hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net

Interest Rate Swaps ( 166,365 ) ( 4,572 ) ( 32,786 ) ( 203,723 )

Currency Forward Contracts ( 13 ) — ( 142 ) ( 155 )

TBAs 10,431 — 7,163 17,594

Total ( 155,947 ) ( 4,572 ) ( 25,765 ) ( 186,284 )

$ in thousands

Three Months Ended June 30, 2020

not designated as

hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net

Currency Forward Contracts ( 138 ) — ( 205 ) ( 343 )

Total ( 138 ) — ( 205 ) ( 343 )

$ in thousands

Six Months Ended June 30, 2021

not designated as

hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net

Interest Rate Swaps 161,162 ( 9,121 ) ( 11,705 ) 140,336

Interest Rate Swaptions ( 553 ) — — ( 553 )

3 unchanged sentences

$ in thousands

Three Months Ended March 31, 2020

Six Months Ended June 30, 2020

not designated as

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Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets.

The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2021 and December 31, 2020.

The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral.

As of March 31, 2021, our derivative asset of $ 15.5 million (December 31, 2020:

As of June 30, 2021, our derivative liability of $ 17.2 million (December 31, 2020:

derivative liability of $ 5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

As of March 31, 2021

As of June 30, 2021

Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets

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(1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.

(2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $ 385.4 million and $ 245.0 million as of March 31, 2021 and December 31, 2020, respectively.

(2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $ 353.4 million and $ 245.0 million as of June 30, 2021 and December 31, 2020, respectively.

Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above.

We held cash collateral on our derivatives of $ 1.3 million and $ 1.6 million at March 31, 2021 and December 31, 2020, respectively.

(3) The fair value of securities pledged against our borrowing under repurchase agreements was $ 8.6 billion and $ 7.6 billion at March 31, 2021 and December 31, 2020, respectively.

We pledged cash collateral of $ 6.7 million and $ 700,000 under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively.

We held cash collateral on our derivatives of $ 310,000 and $ 1.6 million at June 30, 2021 and December 31, 2020, respectively.

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 8.2 billion and $ 7.6 billion at June 30, 2021 and December 31, 2020, respectively.

We pledged cash collateral of $ 300,000 and $ 700,000 under repurchase agreements as of June 30, 2021 and December 31, 2020, respectively.

We held cash collateral of $ 1.9 million under repurchase agreements as of December 31, 2020.

We did no t hold cash collateral under repurchase agreements as of March 31, 2021.

We did no t hold cash collateral under repurchase agreements as of June 30, 2021.

Note 10 – Fair Value of Financial Instruments

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The following tables present our assets and liabilities measured at fair value on a recurring basis.

March 31, 2021

June 30, 2021

Fair Value Measurements Using:

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(2) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds.

As of March 31, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively.

(3) Includes $ 20.0 million and $ 23.1 million of a commercial loan as of March 31, 2021 and December 31, 2020, respectively.

As of June 30, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively.

(3) Includes $ 20.8 million and $ 23.1 million of a commercial loan as of June 30, 2021 and December 31, 2020, respectively.

We value the loan based on a third party appraisal.

The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs:

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2020 2020

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Unrealized credit derivative gains (losses), net (1)

12,549 ( 27,504 )

Ending balance ( 17,223 ) ( 17,223 )

(1) Includes $ 37.6 million of unrealized losses attributable to GSE CRT embedded derivatives still held as of March 31, 2020.

(1) Includes $ 4.8 million and $ 17.6 million for the three and six months ended June 30, 2020, respectively, of unrealized losses attributable to GSE CRT embedded derivatives that were still held as of June 30, 2020.

The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs:

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2020 2020

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Repayments — ( 19,269 )

Total net unrealized losses included in net income:

Unrealized losses ( 3,808 )

Sales ( 21,577 ) ( 21,577 )

Total net gains and losses included in net income:

Realized losses ( 3,808 ) ( 3,808 )

Net unrealized gains (losses) 3,808 —

Ending balance — —

Unrealized losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations.

Realized and unrealized gains and losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations.

The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs:

Three Months Ended March 31, Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2021 2020 2021 2020

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Repayments — — — ( 136 )

Total net unrealized losses included in net income:

Unrealized losses ( 3,098 ) ( 1,684 )

Total net unrealized gains (losses) included in net income:

Unrealized gains (losses) 822 ( 785 ) ( 2,276 ) ( 2,469 )

Ending balance 20,822 21,792 20,822 21,792

Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations.

Unrealized gains and losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations.

We elected the fair value option for our commercial loan on January 1, 2020 when we implemented the new accounting guidance for how entities report credit losses for assets measured at amortized cost.

1 unchanged sentence

Fair Value at Valuation Unobservable

$ in thousands March 31, 2021 Technique Input Rate

$ in thousands June 30, 2021 Technique Input Rate

Commercial Loan 20,822 Discounted Cash Flow Discount rate 30.4 %

2 unchanged sentences

Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 %

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2021 and December 31, 2020:

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

$ in thousands Carrying

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Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business.

During the three months ended March 31, 2021, we reimbursed our Manager $ 242,000 (March 31, 2020:

$ 242,000 ) for costs of support personnel.

We have invested $ 1.9 million in money market or mutual funds managed by affiliates of our Manager as of December 31, 2020.

During the three and six months ended June 30, 2021, we reimbursed our Manager $ 261,000 and $ 559,000 (June 30, 2020:

$ 286,000 and $ 558,000 ) for costs of support personnel, respectively.

We invested $ 1.9 million in money market or mutual funds managed by affiliates of our Manager as of December 31, 2020.

The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased.

We did not have any investments in money market of mutual funds managed by affiliates of our Manager as of March 31, 2021.

We did not have any investments in money market of mutual funds managed by affiliates of our Manager as of June 30, 2021.

Management Fee

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Our reimbursement obligation is not subject to any dollar limitation.

The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2021 and 2020.

Three Months Ended March 31,

The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2021 and 2020.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2021 2020 2021 2020

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Preferred Stock

Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75 % of the liquidation preference of $ 25.00 per share or $ 1.9375 per share per annum.

Dividends are cumulative and payable quarterly in arrears.

On June 16, 2021 we redeemed all issued and outstanding shares of our Series A Preferred Stock for $ 140.0 million plus accrued and unpaid dividends.

The cash redemption price for each share of Series A Preferred Stock was $ 25.00 .

The excess of the consideration transferred over carrying value is accounted for as a deemed dividend and resulted in a reduction of $ 4.7 million in net income (loss) attributable to common stockholders during the three and six months ended June 30, 2021.

Prior to redemption, holders of our Series A Preferred Stock were entitled to receive dividends at an annual rate of 7.75 % of the liquidation preference of $ 25.00 per share or $ 1.9375 per share per annum.

Dividends were cumulative and payable quarterly in arrears.

Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75 % of the liquidation preference of $ 25.00 per share or $ 1.9375 per share per annum until December 27, 2024.

4 unchanged sentences

Dividends are cumulative and payable quarterly in arrears.

As of July 2017, we have the option to redeem shares of our Series A Preferred Stock for $ 25.00 per share, plus any accumulated and unpaid dividends through the date of redemption.

We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $ 25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption.

Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.

We may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent.

As of June 30, 2021, we may sell up to 5,500,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent.

These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented).

We have not sold any shares of preferred stock under equity distribution agreements.

On February 4, 2021, we completed a public offering of 27,600,000 shares of common stock at the price of $ 3.75 per share.

In February 2021, we completed a public offering of 27,600,000 shares of common stock at the price of $ 3.75 per share.

Total net proceeds were approximately $ 103.1 million after deducting offering expenses.

As of March 31, 2021, we may sell up to 22,060,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent.

In June 2021, we completed a public offering of 43,125,000 shares of common stock at the price of $ 3.39 per share.

Total net proceeds were approximately $ 145.9 million after deducting offering expenses.

As of June 30, 2021, we may sell up to 22,060,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent.

These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented).

During the three months ended March 31, 2021, we sold 15,550,000 shares under our equity distribution agreement for proceeds of $ 57.8 million, net of approximately $ 831,000 in commissions and fees.

During the three months ended March 31, 2020 , we did not sell any shares of common stock under equity distribution agreements.

During the six months ended June 30, 2021, we sold 15,500,000 shares under our equity distribution agreement for proceeds of $ 57.8 million, net of approximately $ 831,000 in commissions and fees.

We did no t sell any shares of common stock under equity distribution agreements during the three months ended June 30, 2021 or the three and six months ended June 30, 2020.

In May 2021, we granted 127,115 restricted shares of common stock to our independent directors.

The restricted shares will become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting.

Share Repurchase Program

During the three months ended March 31, 2021 and 2020, we did no t repurchase any shares of our common stock.

As of March 31, 2021, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program.

During the three and six months ended June 30, 2021 and 2020, we did no t repurchase any shares of our common stock.

As of June 30, 2021, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program.

Accumulated Other Comprehensive Income

The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three months ended March 31, 2021 and 2020.

The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and six months ended June 30, 2021 and 2020.

The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option.

Three Months Ended March 31, 2021

Three Months Ended June 30, 2021

$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total

7 unchanged sentences

AOCI balance at end of period 476 8,129 41,316 49,921

Three Months Ended March 31, 2020

Three Months Ended June 30, 2020

$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total

8 unchanged sentences

AOCI balance at end of period ( 553 ) 45,564 61,337 106,348

Six Months Ended June 30, 2021

$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total

Total other comprehensive income/(loss)

Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 2,136 — 2,136

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 10,797 ) ( 10,797 )

Currency translation adjustments on investment in unconsolidated venture ( 23 ) — — ( 23 )

Total other comprehensive income/(loss) ( 23 ) 2,136 ( 10,797 ) ( 8,684 )

AOCI balance at beginning of period 499 5,993 52,113 58,605

Total other comprehensive income/(loss) ( 23 ) 2,136 ( 10,797 ) ( 8,684 )

AOCI balance at end of period 476 8,129 41,316 49,921

Six Months Ended June 30, 2020

$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total

Total other comprehensive income/(loss)

Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — ( 239,876 ) — ( 239,876 )

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 71,739 — 71,739

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 14,570 ) ( 14,570 )

Currency translation adjustments on investment in unconsolidated venture 92 — — 92

Total other comprehensive income/(loss) 92 ( 168,137 ) ( 14,570 ) ( 182,615 )

AOCI balance at beginning of period ( 645 ) 213,701 75,907 288,963

Total other comprehensive income/(loss) 92 ( 168,137 ) ( 14,570 ) ( 182,615 )

AOCI balance at end of period ( 553 ) 45,564 61,337 106,348

Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements.

The table below summarizes the dividends we declared during the three months ended March 31, 2021 and 2020:

The table below summarizes the dividends we declared during the six months ended June 30, 2021 and 2020:

$ in thousands, except per share amounts Dividends Declared

1 unchanged sentence

February 19, 2021 0.4844 2,713 April 26, 2021

June 17, 2020 0.4844 2,712 July 27, 2020

March 17, 2020 0.4844 2,713 May 22, 2020

(1) On June 16, 2021, we paid a final dividend of $ 0.2691 per share ($ 1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock.

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

May 4, 2021 0.4844 3,004 June 28, 2021

February 19, 2021 0.4844 3,003 March 29, 2021

May 9, 2020 0.4844 3,004 June 29, 2020

February 18, 2020 0.4844 3,003 May 22, 2020

1 unchanged sentence

Series C Preferred Stock Per Share In Aggregate Date of Payment

May 4, 2021 0.46875 5,390 June 28, 2021

February 19, 2021 0.46875 5,391 March 29, 2021

May 9, 2020 0.46875 5,390 June 29, 2020

February 18, 2020 0.46875 5,391 May 22, 2020

1 unchanged sentence

Common Stock Per Share In Aggregate Date of Payment

June 23, 2021 0.09 26,071 July 27, 2021

March 26, 2021 0.09 22,176 April 27, 2021

June 17, 2020 0.02 3,626 July 28, 2020

March 17, 2020 0.50 82,483 June 30, 2020

4 unchanged sentences

Note 13 – Earnings (Loss) per Common Share

Earnings (loss) per share for the three months ended March 31, 2021 and 2020 is computed as follows:

Three Months Ended March 31,

Earnings (loss) per share for the three and six months ended June 30, 2021 and 2020 is computed as follows:

Three Months Ended June 30, Six Months Ended June 30,

In thousands, except per share amounts 2021 2020 2021 2020

10 unchanged sentences

Diluted ( 0.34 ) ( 1.80 ) ( 0.45 ) ( 11.91 )

The following potential weighted average common shares were excluded from diluted earnings per share for the three months ended March 31, 2021 and 2020 as the effect would be antidilutive:

The following potential weighted average common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2021 as the effect would be antidilutive:

20,826 and 17,225 for restricted stock awards, respectively (June 30, 2020:

10,672 and 11,366 for restricted stock awards, respectively).

2 unchanged sentences

Commitments and contingencies may arise in the ordinary course of business.

Our material off-balance sheet commitments as of March 31, 2021 are discussed below.

Our material off-balance sheet commitments as of June 30, 2021 are discussed below.

As discussed in Note 5 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager.

1 unchanged sentence

The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified.

As of March 31, 2021 and December 31, 2020, our undrawn capital and purchase commitments were $ 6.7 million and $ 6.8 million, respectively.

As of June 30, 2021 and December 31, 2020, our undrawn capital and purchase commitments were $ 6.7 million and $ 6.8 million, respectively.

Note 15 – Subsequent Events

We declared the following dividends on May 4, 2021:

a Series A Preferred Stock dividend of $ 0.4844 per share payable on July 26, 2021 to our stockholders of record as of July 1, 2021, a Series B Preferred Stock dividend of $ 0.4844 per share payable on June 28, 2021 to our stockholders of record as of June 5, 2021 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on June 28, 2021 to our stockholders of record as of June 5, 2021.

We declared the following dividends on August 3, 2021:

a Series B Preferred Stock dividend of $ 0.4844 per share payable on September 27, 2021 to our stockholders of record as of September 5, 2021 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on September 27, 2021 to our stockholders of record as of September 5, 2021.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements