What changed in this filing

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Item 1. Financial Statements

2022-05-04 compared with 2021-11-03 · 258 added, 402 removed, 637 unchanged (51% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts March 31, 2022 December 31, 2021

Mortgage-backed securities, at fair value (including pledged securities of $ 5,607,777 and $ 7,326,175 , respectively)

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

5,992,494 7,804,259

Treasury securities, at fair value (including pledged securities of $ 482,445 as of March 31, 2022)

Cash and cash equivalents 251,724 357,134

19 unchanged sentences

50,000,000 shares authorized:

7.75 % Series A Cumulative Redeemable Preferred Stock:

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:

16 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

Three Months Ended September 30, Nine Months Ended September 30,

$ in thousands, except share amounts 2021 2020 2021 2020

Three Months Ended March 31,

$ in thousands, except share data 2022 2021

Interest income

Mortgage-backed and credit risk transfer securities 42,657 26,907 124,725 242,071

Commercial and other loans 525 529 1,621 2,237

Mortgage-backed and other securities 41,637 39,434

Commercial loan 537 576

Total interest income 42,174 40,010

2 unchanged sentences

( 2,104 ) ( 1,660 )

Secured loans — 297 — 8,655

Total interest expense ( 2,104 ) ( 1,660 )

5 unchanged sentences

Gain (loss) on derivative instruments, net 238,860 286,961

Realized and unrealized credit derivative income (loss), net — 478 — ( 35,312 )

Net gain (loss) on extinguishment of debt — 15,849 — 14,742

Other investment income (loss), net 55 ( 16 )

3 unchanged sentences

Total expenses 7,298 6,877

Net income (loss) attributable to Invesco Mortgage Capital Inc.

57,680 107,966 ( 25,353 ) ( 1,797,065 )

Net income (loss) ( 228,422 ) ( 9,275 )

Dividends to preferred stockholders 8,394 11,107

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

Net income (loss) attributable to common stockholders ( 236,816 ) ( 20,382 )

Net income (loss) per share:

Earnings (loss) per share:

Net income (loss) attributable to common stockholders

1 unchanged sentence

Diluted ( 0.72 ) ( 0.09 )

(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.

(1) Negative interest expense on repurchase agreements is 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 9 - "Derivatives and Hedging Activities" and Note 13 - "Stockholders' Equity".

3 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

Three Months Ended September 30, Nine Months Ended September 30,

Three Months Ended March 31,

$ in thousands 2022 2021

1 unchanged sentence

Other comprehensive income (loss):

Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net ( 473 ) 22,812 1,663 ( 217,064 )

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — ( 54,615 ) — 17,124

Unrealized gain (loss) on mortgage-backed securities, net ( 2,421 ) 981

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense ( 5,196 ) ( 5,368 )

3 unchanged sentences

Dividends to preferred stockholders ( 8,394 ) ( 11,107 )

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

Comprehensive income (loss) attributable to common stockholders ( 244,633 ) ( 24,160 )

3 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2021;

June 30, 2021 and September 30, 2021

For the three months ended March 31, 2022 and 2021

Capital Accumulated

4 unchanged sentences

Stockholders’

Preferred Stock Series B

Preferred Stock Series C

1 unchanged sentence

$ in thousands, except share amounts Common Stock

Shares Amount Shares Amount Shares Amount Shares Amount

Shares Amount Shares Amount Shares Amount

Balance at December 31, 2021 6,200,000 149,860 11,500,000 278,108 329,874,780 3,299 3,816,406 37,286 ( 2,882,824 ) 1,402,135

1 unchanged sentence

Other comprehensive income (loss) — — — — — — — ( 7,817 ) — ( 7,817 )

Proceeds from issuance of common stock, net of offering costs — — — — — — 43,150,000 432 160,549 — — 160,981

Stock awards — — — — 43,147 — — — — —

3 unchanged sentences

Balance at March 31, 2022 6,200,000 149,860 11,500,000 278,108 329,917,927 3,299 3,816,544 29,469 ( 3,149,333 ) 1,127,947

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

Other comprehensive income (loss) — — — — — — — — — ( 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

Net income (loss) — — — — — — — — — — 57,680 57,680

Other comprehensive income (loss) — — — — — — — — — ( 5,887 ) — ( 5,887 )

Proceeds from issuance of common stock, net of offering costs — — — — — — 22,060,000 220 67,308 — — 67,528

Common stock dividends — — — — — — — — — — ( 28,057 ) ( 28,057 )

Preferred stock dividends — — — — — — — — — — ( 8,394 ) ( 8,394 )

Amortization of equity-based compensation — — — — — — — — 122 — — 122

Balance at September 30, 2021 — — 6,200,000 149,860 11,500,000 278,108 311,740,760 3,117 3,761,347 44,034 ( 2,780,095 ) 1,456,371

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;

June 30, 2020 and September 30, 2020

Capital Accumulated

10 unchanged sentences

Balance at December 31, 2020 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 203,222,108 2,032 3,387,552 58,605 ( 2,644,355 ) 1,367,158

Cumulative effect of adoption of new accounting principle — — — — — — — — — — 342 342

Net income (loss) — — — — — — — — — — ( 9,275 ) ( 9,275 )

6 unchanged sentences

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) — — — — — — — — — — ( 288,839 ) ( 288,839 )

Other comprehensive income (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

Net income (loss) — — — — — — — — — — 107,966 107,966

Other comprehensive income (loss) — — — — — — — — — ( 34,649 ) — ( 34,649 )

Proceeds from issuance of common stock, net of offering costs — — — — — — 25,431 — 78 — — 78

Stock awards — — — — — — 22,500 1 — — — 1

Common stock dividends — — — — — — — — — — ( 9,070 ) ( 9,070 )

Preferred stock dividends — — — — — — — — — — ( 11,107 ) ( 11,107 )

Amortization of equity-based compensation — — — — — — — — 129 — — 129

Balance at September 30, 2020 5,600,000 135,356 6,200,000 149,860 11,500,000 278,108 181,375,299 1,814 3,314,008 71,699 ( 2,739,705 ) 1,211,140

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

2 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Nine Months Ended September 30,

Three Months Ended March 31,

$ in thousands 2022 2021

1 unchanged sentence

Net income (loss) ( 228,422 ) ( 9,275 )

Adjustments to reconcile net income (loss) to net cash provided by operating activities:

Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 28,436 9,821

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Amortization of mortgage-backed and other securities premiums and (discounts), net 4,813 11,625

Realized and unrealized (gain) loss on derivative instruments, net ( 237,576 ) ( 291,510 )

Realized and unrealized (gain) loss on credit derivatives, net — 41,635

(Gain) loss on investments, net 504,388 331,857

2 unchanged sentences

Other amortization ( 5,058 ) ( 5,239 )

Net (gain) loss on extinguishment of debt — ( 14,742 )

Changes in operating assets and liabilities:

1 unchanged sentence

Increase (decrease) in operating liabilities 82 ( 43 )

Net cash provided by operating activities 110,455 143,712

Net cash provided by (used in) operating activities 40,136 34,505

Cash Flows from Investing Activities

Purchase of mortgage-backed and credit risk transfer securities ( 13,387,052 ) ( 10,515,245 )

Purchase of mortgage-backed securities ( 7,602,660 ) ( 7,012,452 )

Purchase of U.S.

Treasury securities ( 502,288 ) —

Distributions from investments in unconsolidated ventures, net 7,388 1,233

Change in other assets — 40,846

Principal payments from mortgage-backed and credit risk transfer securities 615,203 730,330

Proceeds from sale of mortgage-backed and credit risk transfer securities 11,815,848 24,265,520

Payment on the sale of credit derivatives — ( 31,353 )

Principal payments from mortgage-backed securities 168,316 200,590

Proceeds from sale of mortgage-backed securities 8,754,469 5,545,566

Settlement (termination) of forwards, swaps, swaptions and TBAs, net 283,429 282,250

Redemption of Federal Home Loan Bank of Indianapolis stock — 74,250

Net change in due from counterparties and collateral held payable on derivative instruments ( 38,829 ) ( 3,438 )

Principal payments from commercial loans held-for-investment — 136

Net cash provided by (used in) investing activities 1,069,825 ( 986,251 )

1 unchanged sentence

Proceeds from issuance of common stock — 161,413

Redemption of preferred stock ( 140,038 ) —

Principal repayments of secured loans — ( 1,650,000 )

Proceeds from repurchase agreements 23,329,788 28,514,983

Principal repayments of repurchase agreements and related fees ( 70,421,571 ) ( 67,898,255 )

Principal repayments of repurchase agreements ( 24,480,202 ) ( 27,502,795 )

Net change in due from counterparties and collateral held payable on repurchase agreements ( 979 ) ( 7,953 )

Payments of deferred offering costs ( 575 ) ( 29 )

Payments of deferred costs ( 4 ) ( 86 )

Payments of dividends ( 38,083 ) ( 27,365 )

6 unchanged sentences

Non-cash Investing and Financing Activities Information

Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities 1,663 ( 199,940 )

Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale ( 2,421 ) 981

Dividends declared not paid 29,693 24,888

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

Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments 61 328

Dividend paid in common stock — 74,234

Net change in investment related receivable (payable) 15 ( 271 )

Offering costs not paid 562 334

14 unchanged sentences

government agency or a federally chartered corporation (“non-Agency RMBS”);

• Commercial mortgage loans;

• A commercial mortgage loan;

• Other real estate-related financing agreements;

We have also historically invested in:

• CMBS that are guaranteed by a U.S.

government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS");

• Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");

• Residential mortgage loans.

• U.S Treasury securities.

We conduct our business through IAS Operating Partnership L.P.

4 unchanged sentences

We elected to be taxed as a real estate investment trust (“REIT”) for U.S.

federal income tax purposes under the provisions of the Internal Revenue Code o f 1986.

federal income tax purposes under the provisions of the Internal Revenue Code of 1986.

To maintain our REIT qualification, we are generally required to distribute at least 90 % of our REIT taxable income to our stockholders annually.

12 unchanged sentences

GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes.

Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses.

Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses.

Actual results may differ from those estimates.

Significant Accounting Policies

There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2020.

Accounting Pronouncements Recently Issued

In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting.

The new guidance expands the temporary optional expedients and exceptions to U.S.

GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition).

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

Beginning in the fourth quarter of 2021, we intend to transition our interest rate swaps that are currently indexed to LIBOR to interest rate swaps that are indexed to the Secured Overnight Financing Rate ("SOFR") in a manner that will allow us to qualify for contract modification relief and maintain the same accounting for and presentation of interest rate swaps that was in place prior to modification.

The modifications are not expected to have a material effect on our financial statements.

Our 7.75 % Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock and our 7.50 % Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock each become callable at the time the stock begins to pay a LIBOR-based rate.

We do not currently intend to amend our Series B or Series C Preferred Stock to change the existing LIBOR cessation fallback language.

However, we may seek to apply the guidance if an amendment occurs prior to December 31, 2022.

There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2021 other than as detailed below.

Treasury Securities

Treasury securities are classified as trading securities and reported at fair value on our condensed consolidated balance sheets.

Purchases of U.S.

Treasury Securities are recorded on the trade date.

Changes in the fair value of U.S.

Treasury securities are recognized within gain (loss) on investments, net in our condensed consolidated statements of operations.

Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms.

Interest income on U.S.

Treasury securities is recognized within mortgage-backed and other securities interest income on our condensed consolidated statements of operations.

Similar to the Company's MBS, U.S.

Treasury securities are valued based upon prices obtained from third party pricing vendors and classified as Level 2 assets within the fair value hierarchy.

Note 3 – Variable Interest Entities ("VIEs")

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

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2022 is presented in the table below.

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

3 unchanged sentences

Total 74,551 74,551

Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments.

Note 4 – Mortgage-Backed and Credit Risk Transfer Securities

During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage.

We resumed investing in Agency RMBS in July 2020.

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

September 30, 2021

Refer to Note 4 - "Mortgage-Backed Securities" and Note 6 - "Other Assets" for additional details regarding these investments.

Note 4 – Mortgage-Backed Securities

The following tables summarize our MBS portfolio by asset type as of March 31, 2022 and December 31, 2021.

March 31, 2022

$ in thousands Principal/ Notional

12 unchanged sentences

Total 6,989,756 ( 773,903 ) 6,215,853 ( 223,359 ) 5,992,494 2.64 %

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

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

(1) Period-end weighted average yield is based on amortized cost as of March 31, 2022 and incorporates future prepayment and loss assumptions.

(2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”).

(3) Non-Agency RMBS is 62.6 % fixed rate, 36.4 % variable rate, and 1.0 % floating rate based on fair value.

Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4) Of the total discount in non-Agency RMBS, $ 2.0 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities.

(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.5 % of principal/notional balance, 44.1 % of amortized cost and 18.3 % of fair value.

3 unchanged sentences

(Discount) Amortized

Cost Allowance for Credit Losses Unrealized

Cost Unrealized

(Loss), net Fair

11 unchanged sentences

(3) Non-Agency RMBS is 63.5 % fixed rate, 35.6 % variable rate and 0.9 % floating rate based on fair value.

Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance based on estimated future cash flows of the securities.

(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(5) Non-Agency RMBS includes non-Agency IO which represent 97.7 % of principal/notional balance, 44.8 % of amortized cost and 19.9 % 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 September 30, 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 March 31, 2022 and December 31, 2021.

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

September 30, 2021 December 31, 2020

As of March 31, 2022 and December 31, 2021, approximately 99 % of our MBS are accounted for under the fair value option.

March 31, 2022 December 31, 2021

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

1 unchanged sentence

30 year fixed-rate — 5,861,979 5,861,979 — 7,701,523 7,701,523

Total RMBS Agency pass-through — 8,725,908 8,725,908 — 8,050,866 8,050,866

Total Agency RMBS pass-through — 5,861,979 5,861,979 — 7,701,523 7,701,523

Agency-CMO — 60,818 60,818 — 30,757 30,757

2 unchanged sentences

Total 68,164 5,924,330 5,992,494 70,197 7,734,062 7,804,259

The components of the carrying value of our MBS portfolio at September 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 $ 18.0 million at September 30, 2021 (December 31, 2020:

The components of the carrying value of our MBS portfolio at March 31, 2022 and December 31, 2021 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 14.1 million at March 31, 2022 (December 31, 2021:

$ 16.6 million).

September 30, 2021

March 31, 2022

$ in thousands MBS Interest-Only Securities Total

12 unchanged sentences

Unamortized discount ( 11,902 ) ( 582,553 ) ( 594,455 )

Allowance for credit losses ( 1,768 ) — ( 1,768 )

Gross unrealized gains (1)

5 unchanged sentences

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 and nine months ended September 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 September 30, 2021 and December 31, 2020 .

$ in thousands September 30, 2021 December 31, 2020

Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2022 and 2021 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, 2022 and December 31, 2021 .

$ in thousands March 31, 2022 December 31, 2021

Less than one year 22,792 23,150

2 unchanged sentences

Total 5,992,494 7,804,259

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 September 30, 2021 and December 31, 2020.

September 30, 2021

March 31, 2022

Less than 12 Months 12 Months or More Total

9 unchanged sentences

30 year fixed-rate 5,861,979 ( 227,561 ) 36 — — — 5,861,979 ( 227,561 ) 36

5,382,665 ( 27,856 ) 47 — — — 5,382,665 ( 27,856 ) 47

Total Agency RMBS pass-through (1)

5,861,979 ( 227,561 ) 36 — — — 5,861,979 ( 227,561 ) 36

Agency-CMO (1)

6 unchanged sentences

Such securities have unrealized losses of $ 2.1 million.

The remaining $ 142,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income.

These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.

December 31, 2021

12 unchanged sentences

6,838,999 ( 60,741 ) 54 — — — 6,838,999 ( 60,741 ) 54

Non-Agency CMBS (2)

Agency-CMO (1)

21,810 ( 1,389 ) 5 — — — 21,810 ( 1,389 ) 5

2 unchanged sentences

Total 6,861,576 ( 63,262 ) 64 1,042 ( 1,073 ) 9 6,862,618 ( 64,335 ) 73

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

(2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income.

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

(2) Includes non-Agency IO with fair value of $ 1.7 million for which the fair value option has been elected.

Such securities have unrealized losses of $ 2.1 million.

The remaining $ 136,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income.

These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.

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

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 a $ 1.8 million decrease in the provision for credit losses on our condensed consolidated statement of operations during the nine months ended September 30, 2021.

As of September 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 nine months ended September 30, 2020.

During the three and nine months ended September 30, 2020, we recorded impairments of $ 9.0 million and $ 94.1 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.

As of March 31, 2022 and December 31, 2021, we did no t have an allowance for credit losses recorded on our condensed consolidated balance sheets.

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

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

Nine Months Ended September 30,

Three Months Ended March 31,

$ in thousands 2021

2 unchanged sentences

Ending allowance for credit losses ( 830 )

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

Three Months Ended September 30, Nine Months Ended September 30,

The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2022 and 2021.

Three Months Ended March 31,

$ in thousands 2022 2021

Gross realized gains on sale of investments 3,096 68,994 3,297 650,859

Gross realized losses on sale of investments ( 7,547 ) ( 18,884 ) ( 242,601 ) ( 1,009,773 )

Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — ( 8,983 ) — ( 94,104 )

Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option ( 13,825 ) 23,994 ( 35,933 ) ( 537,433 )

Net unrealized gains and losses on commercial loan and loan participation interest 1,446 ( 15 ) ( 830 ) ( 2,484 )

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

Gross realized gains on sale of MBS — 201

Gross realized losses on sale of MBS ( 318,970 ) ( 117,048 )

Net unrealized gains (losses) on MBS accounted for under the fair value option ( 165,467 ) ( 211,912 )

Net unrealized gains (losses) on commercial loan ( 124 ) ( 3,098 )

Net unrealized gains (losses) on U.S.

Treasury securities ( 19,827 ) —

Total gain (loss) on investments, net ( 504,388 ) ( 331,857 )

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

GSE CRT interest income excludes coupon interest associated with embedded derivatives of $ 478,000 and $ 6.3 million for the three and nine months ended September 30, 2020, respectively, that was recorded as realized and unrealized credit derivative income (loss), net.

For the three months ended September 30, 2021

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 50,748 ( 9,548 ) 41,200

Non-Agency CMBS 761 480 1,241

Non-Agency RMBS 483 ( 273 ) 210

Total 51,998 ( 9,341 ) 42,657

For the three months ended September 30, 2020

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 16,098 ( 2,520 ) 13,578

Agency CMBS — — —

Non-Agency CMBS 10,259 3,109 13,368

Non-Agency RMBS 879 ( 874 ) 5

GSE CRT 223 ( 274 ) ( 51 )

Total 27,466 ( 559 ) 26,907

For the nine months ended September 30, 2021

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three months ended March 31, 2022 and 2021.

For the three months ended March 31, 2022

$ in thousands Coupon

5 unchanged sentences

Non-Agency RMBS 330 ( 151 ) 179

Other 19 — 19

Treasury securities 560 ( 16 ) 544

Total 48,229 ( 6,592 ) 41,637

For the nine months ended September 30, 2020

For the three months ended March 31, 2021

$ in thousands Coupon

3 unchanged sentences

Agency RMBS 49,555 ( 12,484 ) 37,071

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

Non-Agency CMBS 1,305 878 2,183

Non-Agency RMBS 624 ( 450 ) 174

GSE CRT 10,230 ( 2,560 ) 7,670

Other 743 — 743

Total 51,490 ( 12,056 ) 39,434

Note 5 - U.S.

Treasury Securities

The following table presents the components of the carrying value of our U.S.

Treasury securities, which are classified as trading securities, as of March 31, 2022.

We did not hold any U.S.

Treasury securities as of December 31, 2021.

$ in thousands March 31, 2022

Principal balance 500,000

Unamortized premium 2,272

Amortized cost 502,272

Unrealized gains (losses), net ( 19,827 )

Fair value (1)

(1) Fair value includes $ 97.3 million maturing in 2027, $ 193.1 million maturing in 2029 and $ 192.1 million maturing in 2032.

Note 6 – Other Assets

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

$ in thousands September 30, 2021 December 31, 2020

The following table summarizes our other assets as of March 31, 2022 and December 31, 2021.

$ in thousands March 31, 2022 December 31, 2021

Commercial loan, held-for-investment 23,391 23,515

2 unchanged sentences

Total 29,465 37,509

In March 2021, we agreed to extend the contractual maturity of our commercial loan investment from February 2021 to February 2022 at the request of the borrower.

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 September 30, 2021 and December 31, 2020 and a weighted average coupon rate of 8.59 % as of September 30, 2021 and 8.65 % as of December 31, 2020.

In February 2022, we agreed to extend the contractual maturity of our commercial loan investment from February 2022 to June 2022.

The borrower continues to make current interest payments on the loan.

The loan had a principal balance of $ 23.9 million as of March 31, 2022 and December 31, 2021 and a weighted average coupon rate of 8.73 % as of March 31, 2022 and 8.60 % as of December 31, 2021.

We account for this investment using the fair value option.

We recorded unrealized losses of $ 124,000 and $ 3.1 million on this loan in our condensed consolidated statements of operations during the three months ended March 31, 2022 and 2021, respectively.

We have invested in unconsolidated ventures that are managed by an affiliate of our Manager.

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Note 7 – Borrowings

We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans.

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

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

We finance the majority of our investment portfolio through repurchase agreements.

The following tables summarize certain characteristics of our borrowings at March 31, 2022 and December 31, 2021.

Refer to Note 8 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.

$ in thousands September 30, 2021

$ in thousands March 31, 2022

Weighted Average

3 unchanged sentences

Repurchase Agreements - Agency RMBS 5,349,388 0.38 % 31

Repurchase Agreements - U.S.

Treasury securities 488,032 0.19 % 1

Total Borrowings 5,837,420 0.37 % 28

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Repurchase Agreements

In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic.

We received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities.

As a result, we were unable to meet margin calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020.

While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements.

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 and nine months ended September 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 six months.

Our repurchase agreements generally bear interest at a contractually agreed upon rate.

Agency RMBS repurchase agreements generally have maturities ranging from one to six months.

Treasury securities repurchase agreements generally have maturities ranging from one day to one month.

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 September 30, 2021.

Secured Loans

During the year ended December 31, 2020, IAS Services LLC, our former wholly-owned captive insurance subsidiary, fully repaid its outstanding secured loans from the Federal Home Loan Bank of Indianapolis ("FHLBI").

We were in compliance with all of these covenants as of March 31, 2022.

Note 8 - 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 September 30, 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.

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 TBAs as of March 31, 2022 and December 31, 2021.

Refer to Note 2 - "Summary of Significant Accounting Policies" in this Form 10-Q and 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, 2021 for a description of how we determine fair value.

Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets.

Treasury securities collateral pledged is included in U.S.

Treasury securities on our condensed consolidated balance sheets.

Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets.

2 unchanged sentences

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

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

As of March 31, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

$ in thousands As of

Collateral Pledged September 30, 2021 December 31, 2020

Collateral Pledged March 31, 2022 December 31, 2021

Repurchase Agreements:

Agency RMBS 5,607,777 7,326,175

Treasury securities 482,445 —

Cash 4,506 3,527

Total repurchase agreements collateral pledged 6,094,728 7,329,702

Interest Rate Swaps, Currency Forward Contracts and TBAs:

Derivative Instruments:

Cash 43,287 4,458

Restricted cash 245,809 219,918

Total interest rate swaps, currency forward contracts and TBAs collateral pledged 305,636 244,951

Total derivative instruments collateral pledged 289,096 224,376

Total collateral pledged:

Agency RMBS 5,607,777 7,326,175

Treasury securities 482,445 —

Cash 47,793 7,985

1 unchanged sentence

Total collateral pledged 6,383,824 7,554,078

Collateral Held September 30, 2021 December 31, 2020

Collateral Held March 31, 2022 December 31, 2021

Repurchase Agreements:

1 unchanged sentence

Total repurchase agreements collateral held — 248

Interest Rate Swaps, Currency Forward Contracts and TBAs:

Total interest rate swaps, currency forward contracts and TBAs collateral held — 1,630

Derivative instruments:

Total derivative instruments collateral held 280 280

Total collateral held:

7 unchanged sentences

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 September 30, 2021 (December 31, 2020:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104 % as of March 31, 2022 (December 31, 2021:

Interest Rate Swaps

As of September 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").

As of March 31, 2022 and December 31, 2021, 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.

9 unchanged sentences

$ in thousands Notional Amount as of December 31, 2021 Additions Settlement,

or Exercise Notional amount as of September 30, 2021

or Exercise Notional Amount as of March 31, 2022

Interest Rate Swaps (1) (2)

8,050,000 5,050,000 ( 4,000,000 ) 9,100,000

Interest Rate Swaptions — 1,000,000 ( 1,000,000 ) —

Currency Forward Contracts 13,596 14,187 ( 20,391 ) 7,392

2 unchanged sentences

Total 9,663,596 4,964,187 ( 4,020,391 ) 10,607,392

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

(1) Does not include interest rate swaps with forward start dates with a notional amount of $ 1.3 billion as of March 31, 2022 and December 31, 2021.

(2) Notional amount as of March 31, 2022 includes $ 6.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $ 2.3 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate.

Notional amount as of December 31, 2021 includes $ 6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $ 1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate.

Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties.

Interest Rate Swaps

Our repurchase agreements are usually settled on a short-term basis ranging from one to six months .

Our repurchase agreements are usually settled on a short-term basis ranging from one day to six months .

At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time.

1 unchanged sentence

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

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.

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 $ 5.6 million and $ 16.4 million as a decrease (September 30, 2020:

$ 3.2 million and $ 17.8 million as a decrease) to interest expense for the three and nine months ended September 30, 2021, respectively.

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

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.

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 life of the interest rate swap agreements.

We reclassified $ 5.2 million as a decrease (March 31, 2021:

$ 5.4 million as a decrease) to interest expense for the three months ended March 31, 2022.

During the next 12 months, we estimate that $ 19.0 million will be reclas sified as a decrease to interest expense, repurchase agreements.

As of September 30, 2021, $ 35.7 million (December 31, 2020:

As of March 31, 2022, $ 24.9 million (December 31, 2021:

$ 30.1 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 September 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 September 30, 2021

As of March 31, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstand ing, excluding interest rate swaps with forward start dates.

$ in thousands As of March 31, 2022

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

3 unchanged sentences

7 to 10 years 1,825,000 0.52 % 0.30 % 8.3

Greater than 10 years 500,000 1.92 % 0.30 % 20.0

Total 6,800,000 0.42 % 0.30 % 6.5

1 unchanged sentence

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

Less than 3 years 1,000,000 0.06 % 0.05 % 2.6

3 to 5 years 1,250,000 0.12 % 0.05 % 3.6

2 unchanged sentences

Total 6,300,000 0.30 % 0.05 % 5.7

As of September 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 21.0 years and a weighted average fixed pay rate of 1.13 %.

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

As of September 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 September 30, 2021

As of March 31, 2022 and December 31, 2021, we held $ 1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR.

As of March 31, 2022, these interest rate swaps had a weighted average maturity of 20.5 years (December 31, 2021:

20.8 years) and a weighted average fixed pay rate of 0.99 % (December 31, 2021:

As of March 31, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding.

$ in thousands As of March 31, 2022

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

Less than 3 years 1,400,000 0.30 % 1.43 % 2.0

3 to 5 years 100,000 0.30 % 1.75 % 5.0

5 to 7 years 500,000 0.30 % 1.57 % 7.7

Greater than 10 years 300,000 0.30 % 1.83 % 30.0

Total 2,300,000 0.30 % 1.53 % 7.0

$ in thousands As of December 31, 2021

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

Less than 3 years 1,000,000 0.05 % 0.77 % 2.6

5 to 7 years 500,000 0.05 % 1.26 % 6.9

7 to 10 years 250,000 0.05 % 1.27 % 10.0

Total 1,750,000 0.05 % 0.98 % 4.9

Swaptions and Currency Forward Contracts

8 unchanged sentences

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 September 30, 2021, we had $ 16.8 million (December 31, 2020:

As of March 31, 2022, we had $ 7.4 million (December 31, 2021:

$ 13.6 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro.

Credit Derivatives

Our GSE CRTs purchased prior to August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative.

Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets.

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 September 30, 2021 and December 31, 2020.

$ in thousands As of September 30, 2021

The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2022 and December 31, 2021.

$ in thousands As of March 31, 2022

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

TBA Purchase Contracts (1)

3,300,000 3,317,340 3,265,344 ( 51,996 )

TBA Sale Contracts (2)

( 1,800,000 ) ( 1,767,945 ) ( 1,753,313 ) 14,632

Net TBA Derivatives 1,500,000 1,549,395 1,512,031 ( 37,364 )

(1) Net carrying value of TBA purchase contracts includes $ 1.2 million of derivative assets and $ 53.2 million of derivative liabilities.

(2) Net carrying value of TBA sale contracts includes $ 16.2 million of derivative assets and $ 1.6 million of derivative liabilities.

$ in thousands As of December 31, 2021

2 unchanged sentences

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 September 30, 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 March 31, 2022 and December 31, 2021.

$ in thousands

Derivative Assets Derivative Liabilities

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

As of March 31, 2022 As of December 31, 2021 As of March 31, 2022 As of December 31, 2021

Sheet Fair Value Fair Value Balance

4 unchanged sentences

Total Derivative Assets 17,674 270 Total Derivative Liabilities 77,613 14,356

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 and nine months ended September 30, 2020.

$ in thousands

Three months ended September 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 ( 17,223 ) 478 17,223 478

$ in thousands

Nine months ended September 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 ( 31,354 ) 6,323 ( 10,281 ) ( 35,312 )

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 and nine months ended September 30, 2021 and 2020:

$ in thousands

Three Months Ended September 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 22,663 ( 4,175 ) 11,997 30,485

Currency Forward Contracts 610 — ( 266 ) 344

TBAs 14,820 — ( 10,367 ) 4,453

Total 38,093 ( 4,175 ) 1,364 35,282

The following tables summarize 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, 2022 and 2021.

$ in thousands

Three Months Ended September 30, 2020

Three Months Ended March 31, 2022

not designated as

5 unchanged sentences

$ in thousands

Nine Months Ended September 30, 2021

Three Months Ended March 31, 2021

not designated as

5 unchanged sentences

Total 282,250 ( 4,549 ) 9,260 286,961

$ in thousands

Nine Months Ended September 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

Interest Rate Swaps ( 909,366 ) 11,369 ( 13,266 ) ( 911,263 )

Currency Forward Contracts ( 1,297 ) — 519 ( 778 )

TBAs 1,227 — 2,578 3,805

Total ( 909,436 ) 11,369 ( 10,169 ) ( 908,236 )

Note 10 – Offsetting Assets and Liabilities

1 unchanged sentence

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 September 30, 2021 and December 31, 2020.

The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2022 and December 31, 2021.

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

As of September 30, 2021, our derivative liability of $ 5.2 million (December 31,

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 September 30, 2021

Our derivative liability of $ 22.8 million at March 31, 2022 (December 31, 2021:

liability of $ 11.4 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, 2022

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 $ 305.6 million and $ 245.0 million as of September 30, 2021 and December 31, 2020, respectively.

(2) Cash collateral pledged by us on our derivatives was $ 289.1 million and $ 224.4 million as of March 31, 2022 and December 31, 2021, 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 $ 1.6 million at December 31, 2020.

We did no t hold cash collateral on our derivatives as of September 30, 2021.

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 8.3 billion and $ 7.6 billion at September 30, 2021 and December 31, 2020, respectively.

We pledged cash collateral of $ 1.1 million and $ 700,000 under repurchase agreements as of September 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 September 30, 2021.

We held cash collateral on our derivatives of $ 280,000 as of March 31, 2022 and December 31, 2021.

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 6.1 billion and $ 7.3 billion at March 31, 2022 and December 31, 2021, respectively.

We pledged cash collateral of $ 4.5 million and $ 3.5 million under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively.

We held no cash collateral under repurchase agreements as of March 31, 2022 or December 31, 2021 .

Note 11 – Fair Value of Financial Instruments

8 unchanged sentences

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

September 30, 2021

March 31, 2022

Fair Value Measurements Using:

2 unchanged sentences

— 5,992,494 — — 5,992,494

Treasury securities (2)

— 482,445 — — 482,445

Derivative assets — 17,674 — — 17,674

15 unchanged sentences

Total liabilities — 14,356 — — 14,356

(1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."

(1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities."

(2) For more detail about the fair value of our U.S.

Treasury securities, refer to Note 5 - "U.S.

Treasury Securities".

(3) Includes $ 23.4 million and $ 23.5 million of a commercial loan as of March 31, 2022 and December 31, 2021, respectively.

We elected the fair value option for our commercial loan investment as of January 1, 2020 and valued the loan based on a third party appraisal as of March 31, 2022 and December 31, 2021.

(4) 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 September 30, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.1 years and 1.5 years, respectively.

(3) Includes $ 22.3 million and $ 23.1 million of a commercial loan as of September 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 September 30, Nine Months Ended September 30,

$ in thousands 2020 2020

Beginning balance ( 17,223 ) 10,281

Sales and settlements 17,223 31,354

Total net credit derivative gains (losses) included in net income:

Realized credit derivative gains (losses), net ( 17,223 ) ( 31,354 )

Unrealized credit derivative gains (losses), net 17,223 ( 10,281 )

Ending balance — —

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:

Nine Months Ended September 30,

$ in thousands 2020

Beginning balance 44,654

Repayments ( 19,269 )

Sales ( 21,577 )

Total net gains and losses included in net income:

Realized losses ( 3,808 )

Net unrealized gains (losses) —

Ending balance —

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 September 30, Nine Months Ended September 30,

As of March 31, 2022 and December 31, 2021, both of the unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible.

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

Three Months Ended March 31,

$ in thousands 2022 2021

Beginning balance 23,515 23,098

Cumulative effect of adoption of new accounting principle — — — 342

Repayments — — — ( 136 )

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

Unrealized gains (losses) ( 124 ) ( 3,098 )

Ending balance 23,391 20,000

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.

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

The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan.

Fair Value at Valuation Unobservable

$ in thousands September 30, 2021 Technique Input Rate

$ in thousands March 31, 2022 Technique Input Rate

Commercial Loan 23,391 Discounted Cash Flow Discount rate 18.5 %

2 unchanged sentences

Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 %

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 September 30, 2021 and December 31, 2020:

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

$ in thousands Carrying

14 unchanged sentences

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 and nine months ended September 30, 2021, we reimbursed our Manager $ 287,000 and $ 846,000 (September 30, 2020:

$ 281,000 and $ 839,000 ) 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 September 30, 2021.

During the three and nine months ended September 30, 2020, we sold non-Agency CMBS to affiliates of our Manager for cash proceeds of $ 40.0 million and recognized a realized gain of $ 4.1 million.

During the three months ended March 31, 2022, we reimbursed our Manager $ 413,000 (March 31, 2021:

$ 298,000 ) for costs of support personnel.

Management Fee

Our management fee is equal to 1.50 % of our stockholders' equity per annum.

We pay our Manager a fee equal to 1.50 % of our stockholders' equity per annum.

For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S.

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Expense Reimbursement

We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs.

We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, legal services, filing fees, and miscellaneous general and administrative costs.

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 and nine months ended September 30, 2021 and 2020.

Three Months Ended September 30, Nine Months Ended September 30,

The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2022 and 2021.

Three Months Ended March 31,

$ in thousands 2022 2021

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Preferred Stock

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 was 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 nine months ended September 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.

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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.

As of September 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.

As of March 31, 2022, 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.

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.

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 September 30, 2021, we sold all of the shares of common stock that we registered with the SEC under our shelf registration statement in at-the-market or privately negotiated transactions through our equity distribution agreement with a placement agent.

During the three months ended September 30, 2021, we sold 22,060,000 shares of common stock under our equity distribution agreement for proceeds of $ 67.5 million, net of approximately $ 1.0 million in commissions and fees.

During the nine months ended September 30, 2021, we sold 37,610,000 shares of common stock under our equity distribution agreement for proceeds of $ 125.4 million, net of approximately $ 1.8 million in commissions and fees.

During three and nine months ended September 30, 2020, we sold 25,431 shares of common stock under our equity distribution agreement for proceeds of $ 80,000 , net of approximately $ 2,000 in commissions and fees.

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.

As of March 31, 2022, we may sell up to 56,865,980 shares of our common stock from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents.

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

We did no t sell any shares of common stock under our equity distribution agreement during the three months ended March 31, 2022.

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

Share Repurchase Program

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

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

During the three months ended March 31, 2022 and 2021, we did no t repurchase any shares of our common stock.

As of March 31, 2022, 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 and nine months ended September 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 September 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 — ( 473 ) — ( 473 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 5,601 ) ( 5,601 )

Currency translation adjustments on investment in unconsolidated venture 187 — — 187

Total other comprehensive income (loss) 187 ( 473 ) ( 5,601 ) ( 5,887 )

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

Total other comprehensive income (loss) 187 ( 473 ) ( 5,601 ) ( 5,887 )

AOCI balance at end of period 663 7,656 35,715 44,034

Three Months Ended September 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 — 22,812 — 22,812

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — ( 54,615 ) — ( 54,615 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 3,243 ) ( 3,243 )

Currency translation adjustments on investment in unconsolidated venture 397 — — 397

Total other comprehensive income (loss) 397 ( 31,803 ) ( 3,243 ) ( 34,649 )

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

Total other comprehensive income (loss) 397 ( 31,803 ) ( 3,243 ) ( 34,649 )

AOCI balance at end of period ( 156 ) 13,761 58,094 71,699

Nine Months Ended September 30, 2021

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, 2022 and 2021.

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

Three Months Ended March 31, 2022

$ 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 — 1,663 — 1,663

Unrealized gain (loss) on mortgage-backed securities, net — ( 2,421 ) — ( 2,421 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 5,196 ) ( 5,196 )

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AOCI balance at end of period 224 4,328 24,917 29,469

Nine Months Ended September 30, 2020

Three Months Ended March 31, 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 — ( 217,064 ) — ( 217,064 )

Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 17,124 — 17,124

Unrealized gain (loss) on mortgage-backed securities, net — 981 — 981

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 5,368 ) ( 5,368 )

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

The table below summarizes the dividends we declared during the three months ended March 31, 2022 and 2021.

$ in thousands, except per share amounts Dividends Declared

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

September 10, 2020 0.4844 2,713 October 26, 2020

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

August 3, 2021 0.4844 3,003 September 27, 2021

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

February 16, 2022 0.4844 3,003 March 28, 2022

August 5, 2020 0.4844 3,003 September 28, 2020

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

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

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

$ in thousands, except per share amounts Dividends Declared

Series C Preferred Stock Per Share In Aggregate Date of Payment

August 3, 2021 0.46875 5,391 September 27, 2021

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

February 16, 2022 0.46875 5,391 March 28, 2022

August 5, 2020 0.46875 5,391 September 28, 2020

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

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

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

$ in thousands, except per share amounts Dividends Declared

Common Stock Per Share In Aggregate Date of Payment

September 28, 2021 0.09 28,057 October 26, 2021

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

March 28, 2022 0.09 29,693 April 27, 2022

September 30, 2020 0.05 9,070 October 27, 2020

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

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

On May 9, 2020, our Board of Directors approved payment of our common stock dividend that was declared on March 17, 2020 in a combination of cash and shares of our common stock.

Stockholders had the opportunity to elect payment of the dividend all in cash or all in common shares, subject to a limit of 10 % or approximately $ 8.2 million of cash in the aggregate (excluding any cash paid in lieu of issuing fractional shares).

On June 30, 2020, we paid the dividend through the issuance of 16,338,511 shares of common stock and the payment of approximately $ 8.2 million in cash.

The number of shares included in the dividend was calculated based on the $ 4.5435 volume weighted average trading price of our common stock on the New York Stock Exchange on June 17, 18 and 19, 2020.

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

Note 14 – Earnings (Loss) per Common Share

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

Three Months Ended September 30, Nine Months Ended September 30,

Earnings (loss) per share for the three months ended March 31, 2022 and 2021 is computed as follows.

Three Months Ended March 31,

In thousands, except per share amounts 2022 2021

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Shares available to common stockholders 329,850 223,955

Effect of dilutive securities:

Restricted stock awards 17 11 — —

Dilutive Shares 329,850 223,955

Net income (loss) per share:

Earnings (loss) per share:

Net income (loss) attributable to common stockholders

1 unchanged sentence

Diluted ( 0.72 ) ( 0.09 )

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

15,822 for restricted stock awards ( 11,131 for restricted stock awards for nine months ended September 30, 2020).

The following potential weighted average common shares were excluded from diluted earnings per share for three months ended March 31, 2022 as the effect would be antidilutive:

15,004 for restricted stock awards ( 12,385 for restricted stock awards for three months ended March 31, 2021).

Note 15 – Commitments and Contingencies

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

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

Our material off-balance sheet commitments as of March 31, 2022 are discussed below.

As discussed in Note 6 - “Other Assets”, we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager.

The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner.

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 September 30, 2021 and December 31, 2020, our undrawn capital and purchase commitments were $ 6.6 million and $ 6.8 million, respectively.

The unconsolidated ventures are structured as partnerships, and we invested in the partnerships as a limited partner.

Both of the unconsolidated ventures are in liquidation and plan to sell or settle their remaining investments as

expeditiously as possible.

Until the ventures complete their liquidation, we are committed to fund $ 6.5 million, in additional capital to cover future expenses should they occur.

Note 16 – Subsequent Events

We declared the following dividends on November 2, 2021:

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

We declared the following dividends on May 3, 2022:

a Series B Preferred Stock dividend of $ 0.4844 per share payable on June 27, 2022 to our stockholders of record as of June 5, 2022 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on June 27, 2022 to our stockholders of record as of June 5, 2022.

Preferred Stock Repurchase Plan

On May 3, 2022, our Board of Directors approved a repurchase plan for our preferred stock.

Under the terms of the plan, we are authorized to repurchase up to 3,000,000 shares of our Series B Preferred Stock and 5,000,000 shares of our Series C Preferred Stock.

Reverse Stock Split

On May 3, 2022, our Board of Directors approved a one-for-ten reverse stock split of outstanding shares of our common stock.

We expect the reverse stock split will be effective following the close of business on June 3, 2022 at which time every ten issued and outstanding shares of our common stock will convert into one share of common stock.

Cash will be paid in lieu of fractional shares.

The following table presents pro forma earnings (loss) per common share as if the one-for-ten reverse stock split had been given retroactive recognition in our financial statements for the three months ended March 31, 2022 and 2021.

Pro Forma Computation of Earnings (Loss) Per Common Share Assuming a One-for-Ten Reverse Stock Split

Three Months Ended March 31,

In thousands, except per share amounts 2022 2021

Numerator (Income)

Basic Earnings:

Net income (loss) available to common stockholders ( 236,816 ) ( 20,382 )

Denominator (Weighted Average Shares)

Basic Earnings:

Shares available to common stockholders 32,985 22,396

Dilutive Shares 32,985 22,396

Pro forma earnings (loss) per share:

Net income (loss) attributable to common stockholders

Basic ( 7.18 ) ( 0.91 )

Diluted ( 7.18 ) ( 0.91 )

The following potential weighted average common shares were excluded from pro forma diluted earnings per share for three months ended March 31, 2022 as the effect would be antidilutive:

1,500 for restricted stock awards ( 1,238 for restricted stock awards for three months ended March 31, 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