What changed in this filing

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Item 1. Financial Statements

2022-08-04 compared with 2022-05-04 · 246 added, 175 removed, 720 unchanged (37% of the section changed)

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CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts June 30, 2022 December 31, 2021

Mortgage-backed securities, at fair value (including pledged securities of $ 3,467,386 and $ 7,326,175 , respectively)

3,915,165 7,804,259

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

Cash and cash equivalents 202,182 357,134

9 unchanged sentences

Dividends payable 29,722 29,689

Investment related payable 1 —

Accrued interest payable 1,807 1,171

8 unchanged sentences

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

6,200,000 shares issued and outstanding ($ 155,000 aggregate liquidation preference)

6,156,180 and 6,200,000 shares issued and outstanding, respectively ($ 153,905 and $ 155,000 aggregate liquidation preference, respectively)

148,801 149,860

7.50 % Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock:

11,500,000 shares issued and outstanding ($ 287,500 aggregate liquidation preference)

10,879,859 and 11,500,000 shares issued and outstanding, respectively ($ 271,996 and $ 287,500 aggregate liquidation preference, respectively)

263,111 278,108

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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 data 2022 2021 2022 2021

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Dividends to preferred stockholders ( 8,100 ) ( 9,900 ) ( 16,494 ) ( 21,007 )

Gain on repurchase and retirement of preferred stock 1,491 — 1,491 —

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

Net income (loss) attributable to common stockholders ( 116,144 ) ( 88,340 ) ( 352,960 ) ( 108,722 )

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Diluted ( 3.52 ) ( 3.40 ) ( 10.70 ) ( 4.49 )

(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.

(1) Negative interest expense on repurchase agreements in 2021 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 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 2022 2021 2022 2021

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Dividends to preferred stockholders ( 8,100 ) ( 9,900 ) ( 16,494 ) ( 21,007 )

Gain on repurchase and retirement of preferred stock 1,491 — 1,491 —

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

Comprehensive income (loss) attributable to common stockholders ( 122,864 ) ( 93,246 ) ( 367,497 ) ( 117,406 )

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CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2022 and 2021

For the three months ended March 31, 2022 and June 30, 2022

Capital Accumulated

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Balance at March 31, 2022 6,200,000 149,860 11,500,000 278,108 32,991,793 330 3,819,513 29,469 ( 3,149,333 ) 1,127,947

Net income (loss) — — — — — — — — ( 109,535 ) ( 109,535 )

Other comprehensive income (loss) — — — — — — — ( 6,720 ) — ( 6,720 )

Repurchase and retirement of preferred stock ( 43,820 ) ( 1,059 ) ( 620,141 ) ( 14,997 ) — — — 1,491 ( 14,565 )

Stock awards — — — 32,571 — — —

Payments in lieu of fractional shares in connection with one-for-ten reverse stock split — — — — ( 46 ) — ( 1 ) — — ( 1 )

Common stock dividends — — — — — — ( 29,721 ) ( 29,721 )

Preferred stock dividends — — — — — — — ( 8,100 ) ( 8,100 )

Amortization of equity-based compensation — — — — — — 158 — — 158

Balance at June 30, 2022 6,156,180 148,801 10,879,859 263,111 33,024,318 330 3,819,670 22,749 ( 3,295,198 ) 959,463

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

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 24,639,771 246 3,550,448 54,827 ( 2,686,913 ) 1,481,932

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 — — — — — 4,312,500 43 145,836 — — 145,879

Stock awards — — — — — 15,805 1 — — — 1

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 — — — — — — — — 240 — — 240

Balance at June 30, 2021 — — 6,200,000 149,860 11,500,000 278,108 28,968,076 290 3,696,524 49,921 ( 2,801,324 ) 1,373,379

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 2022 2021

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Proceeds from sale of mortgage-backed securities 17,264,232 9,755,377

Proceeds from the sale of U.S.

Treasury securities 468,051 —

Settlement (termination) of forwards, swaps, swaptions and TBAs, net 424,661 126,303

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Proceeds from issuance of common stock — 307,618

Redemption of preferred stock — ( 140,038 )

Repurchase of preferred stock ( 14,565 ) —

Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split ( 1 ) —

Proceeds from repurchase agreements 35,949,170 54,825,005

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(the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS”) and other mortgage-related assets.

We currently invest in:

We invest in:

• Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S.

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

• A commercial mortgage loan;

• Commercial mortgage loans,

Treasury securities;

• Other real estate-related financing agreements.

• U.S Treasury securities.

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

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Basis of Presentation and Consolidation

For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022.

Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q.

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Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S.

GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries.

GAAP") and consolidate the financial statements of the Company and its controlled subsidiaries.

All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation.

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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 March 31, 2022 is presented in the table below.

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2022 is presented in the table below.

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

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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

The following tables summarize our MBS portfolio by asset type as of June 30, 2022 and December 31, 2021.

June 30, 2022

$ in thousands Principal/ Notional

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Total 4,672,399 ( 756,514 ) 3,915,885 ( 720 ) 3,915,165 4.21 %

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

(1) Period-end weighted average yield is based on amortized cost as of June 30, 2022 and incorporates future prepayment and loss assumptions.

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

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(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 March 31, 2022 and December 31, 2021.

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, 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 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

As of June 30, 2022 and December 31, 2021, approximately 99 % of our MBS are accounted for under the fair value option.

June 30, 2022 December 31, 2021

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

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Total 49,919 3,865,246 3,915,165 70,197 7,734,062 7,804,259

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:

The components of the carrying value of our MBS portfolio at June 30, 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 $ 13.8 million at June 30, 2022 (December 31, 2021:

$ 16.6 million).

March 31, 2022

June 30, 2022

$ in thousands MBS Interest-Only Securities Total

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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, 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

Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 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 June 30, 2022 and December 31, 2021 .

$ in thousands June 30, 2022 December 31, 2021

Less than one year 5,994 23,150

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Total 3,915,165 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 March 31, 2022 and December 31, 2021.

March 31, 2022

June 30, 2022

Less than 12 Months 12 Months or More Total

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(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 $ 1.4 million for which the fair value option has been elected.

(2) Includes non-Agency IO with a fair value of $ 1.9 million for which the fair value option has been elected.

Such securities have unrealized losses of $ 1.5 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

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(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.

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

Such securities have unrealized losses of $ 2.1 million.

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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.

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.

As of June 30, 2022 and December 31, 2021, we did no t have an allowance for credit losses recorded on our condensed consolidated balance sheets.

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.

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, 2022 and 2021.

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, 2022 and 2021.

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

$ in thousands 2022 2021 2022 2021

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Treasury securities 19,827 — — —

Net realized gains (losses) on U.S.

Treasury securities ( 34,198 ) — ( 34,198 ) —

Total gain (loss) on investments, net ( 324,876 ) 72,620 ( 829,264 ) ( 259,237 )

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

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and six months ended June 30, 2022 and 2021.

For the three months ended June 30, 2022

$ in thousands Coupon

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Treasury securities 1,213 ( 25 ) 1,188

Other 102 — 102

Total 43,220 774 43,994

For the three months ended March 31, 2021

For the three months ended June 30, 2021

$ in thousands Coupon

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

Note 5 - U.S.

For the six months ended June 30, 2022

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 87,525 ( 6,506 ) 81,019

Non-Agency CMBS 1,405 1,012 2,417

Non-Agency RMBS 640 ( 283 ) 357

Treasury securities 1,773 ( 41 ) 1,732

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.

Other 106 — 106

Total 91,449 ( 5,818 ) 85,631

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

Note 5 – Other Assets

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

$ in thousands March 31, 2022 December 31, 2021

The following table summarizes our other assets as of June 30, 2022 and December 31, 2021.

$ in thousands June 30, 2022 December 31, 2021

Commercial loan, held-for-investment 23,478 23,515

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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.

In June 2022, we agreed to further extend the contractual maturity to September 2022.

The loan had a principal balance of $ 23.9 million as of June 30, 2022 and December 31, 2021 and a weighted average coupon rate of 9.56 % as of June 30, 2022 and 8.60 % as of December 31, 2021.

We account for this loan under the fair value option and, accordingly, there are no capitalized origination costs or fees associated with the loan.

We recorded an unrealized gain of $ 87,000 and an unrealized loss of $ 37,000 on this loan in our condensed consolidated statements of operations during the three and six months ended June 30, 2022, respectively (June 30, 2021:

unrealized gain $ 822,000 and unrealized loss $ 2.3 million, respectively).

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

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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.

The following tables summarize certain characteristics of our borrowings at June 30, 2022 and December 31, 2021.

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

$ in thousands March 31, 2022

$ in thousands June 30, 2022

Weighted Average

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Repurchase Agreements - Agency RMBS 3,262,530 1.38 % 22

Repurchase Agreements - U.S.

Treasury securities 488,032 0.19 % 1

Total Borrowings 3,262,530 1.38 % 22

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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 March 31, 2022.

We were in compliance with all of these covenants as of June 30, 2022.

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 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.

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, 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.

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

As of June 30, 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 March 31, 2022 December 31, 2021

Collateral Pledged June 30, 2022 December 31, 2021

Repurchase Agreements:

Agency RMBS 3,467,386 7,326,175

Treasury securities 482,445 —

Cash 4,506 3,527

Total repurchase agreements collateral pledged 3,467,386 7,329,702

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Agency RMBS 3,467,386 7,326,175

Treasury securities 482,445 —

Cash 10,231 7,985

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Total collateral pledged 3,606,221 7,554,078

Collateral Held March 31, 2022 December 31, 2021

Collateral Held June 30, 2022 December 31, 2021

Repurchase Agreements:

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Derivative instruments:

Cash 2,155 280

Total derivative instruments collateral held 2,155 280

Total collateral held:

Cash 5,728 280

Non-cash collateral 12,544 248

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

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:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 106 % as of June 30, 2022 (December 31, 2021:

Interest Rate Swaps

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").

As of June 30, 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.

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

or Exercise Notional Amount as of March 31, 2022

or Exercise Notional Amount as of June 30, 2022

Interest Rate Swaps (1) (2)

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Total 9,663,596 7,595,359 ( 7,427,783 ) 9,831,172

(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.

(1) Does not include interest rate swaps with forward start dates with a notional amount of $ 1.0 billion and $ 1.3 billion as of June 30, 2022 and December 31, 2021, respectively.

(2) Notional amount as of June 30, 2022 includes $ 5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $ 3.6 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.

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Interest Rate Swaps

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

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

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

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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.

We reclassified $ 4.8 million and $ 10.0 million as a decrease (June 30, 2021:

$ 5.4 million and $ 10.8 million as a decrease) to interest expense for the three and six months ended June 30, 2022, respectively.

During the next 12 months, we estimate that $ 17.4 million will be reclas sified as a decrease to interest expense, repurchase agreements.

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

As of June 30, 2022, $ 20.1 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 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

As of June 30, 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 June 30, 2022

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

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Total 6,300,000 0.30 % 0.05 % 5.7

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:

As of June 30, 2022, we held $ 1.0 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021:

$ 1.3 billion).

As of June 30, 2022, these interest rate swaps had a weighted average maturity of 17.0 years (December 31, 2021:

20.8 years) and a weighted average fixed pay rate of 0.89 % (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

As of June 30, 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 June 30, 2022

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

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5 to 7 years 1,175,000 1.50 % 2.67 % 6.3

7 to 10 years 325,000 1.50 % 2.61 % 9.3

Greater than 10 years 275,000 1.50 % 2.72 % 30.0

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

As of June 30, 2022, we had $ 6.2 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.

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, 2022 and December 31, 2021.

$ in thousands As of March 31, 2022

The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2022 and December 31, 2021.

$ in thousands As of June 30, 2022

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

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(1) Net carrying value of TBA purchase contracts includes $ 4.2 million of derivative assets and $ 4.3 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.

(2) Net carrying value of TBA sale contracts includes $ 7.2 million of derivative liabilities.

$ in thousands As of December 31, 2021

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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, 2022 and December 31, 2021.

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, 2022 and December 31, 2021.

$ in thousands

Derivative Assets Derivative Liabilities

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

As of June 30, 2022 As of December 31, 2021 As of June 30, 2022 As of December 31, 2021

Sheet Fair Value Fair Value Balance

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Total Derivative Assets 4,289 270 Total Derivative Liabilities 37,284 14,356

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 March 31, 2022

Three Months Ended June 30, 2022

not designated as

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$ in thousands

Three Months Ended March 31, 2021

Three Months Ended June 30, 2021

not designated as

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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

Six Months Ended June 30, 2022

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 553,222 14,850 ( 14,365 ) 553,707

Currency Forward Contracts 679 — ( 218 ) 461

TBAs ( 129,240 ) — ( 4,326 ) ( 133,566 )

Total 424,661 14,850 ( 18,909 ) 420,602

$ 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 )

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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 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.

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

Our derivative liability of $ 25.8 million at June 30, 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

As of June 30, 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 derivatives was $ 289.1 million and $ 224.4 million as of March 31, 2022 and December 31, 2021, respectively.

(2) Cash collateral pledged by us on our derivatives was $ 138.8 million and $ 224.4 million as of June 30, 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 $ 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 .

We held cash collateral on our derivatives of $ 2.2 million and $ 280,000 as of June 30, 2022 and December 31, 2021, respectively.

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 3.5 billion and $ 7.3 billion at June 30, 2022 and December 31, 2021, respectively.

We pledged no cash collateral and $ 3.5 million of cash collateral under repurchase agreements as of June 30, 2022 and December 31, 2021, respectively.

We held $ 3.6 million of cash collateral under repurchase agreements as of June 30, 2022.

We did not hold cash collateral under repurchase agreements as of December 31, 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, 2022

June 30, 2022

Fair Value Measurements Using:

$ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (4)

$ in thousands Level 1 Level 2 Level 3 (2)

NAV as a practical expedient (3)

Mortgage-backed securities (1)

— 3,915,165 — — 3,915,165

Treasury securities (2)

— 482,445 — — 482,445

Derivative assets — 4,289 — — 4,289

Other assets — — 23,478 3,622 27,100

— — 23,391 4,854 28,245

Total assets — 3,919,454 23,478 3,622 3,946,554

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Fair Value Measurements Using:

$ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (4)

$ in thousands Level 1 Level 2 Level 3 (2)

NAV as a practical expedient (3)

Mortgage-backed securities (1)

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Other assets — — 23,515 12,476 35,991

— — 23,515 12,476 35,991

Total assets — 7,804,529 23,515 12,476 7,840,520

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(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.

(2) Amounts reflect our commercial loan investment for which we have elected the fair value option and valued using a third party appraisal.

(3) 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, 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.

As of June 30, 2022 and December 31, 2021, our 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,

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

$ in thousands 2022 2021 2022 2021

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Fair Value at Valuation Unobservable

$ in thousands March 31, 2022 Technique Input Rate

$ in thousands June 30, 2022 Technique Input Rate

Commercial Loan 23,478 Discounted Cash Flow Discount rate 18.5 %

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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 March 31, 2022 and December 31, 2021.

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

$ 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, 2022, we reimbursed our Manager $ 413,000 (March 31, 2021:

$ 298,000 ) for costs of support personnel.

During the three and six months ended June 30, 2022, we reimbursed our Manager $ 337,000 and $ 750,000 , respectively (June 30, 2021:

$ 261,000 and $ 559,000 , respectively) for costs of support personnel.

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, 2022 and 2021.

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, 2022 and 2021.

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

$ in thousands 2022 2021 2022 2021

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Preferred Stock

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

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 three and six months ended June 30, 2021.

In May 2022, our board of directors approved a share repurchase program for our Series B and Series C Preferred Stock.

During the three and six months ended June 30, 2022, we repurchased and retired 43,820 shares of Series B Preferred Stock and 620,141 shares of Series C Preferred Stock.

As of June 30, 2022, we had authority to purchase 2,956,180 additional shares of our Series B Preferred Stock and 4,379,859 additional shares of our Series C Preferred Stock under the current share repurchase program.

Refer to Note 15 - “Subsequent Events” for details on repurchases subsequent to June 30, 2022.

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 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.

As of June 30, 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.

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.

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

In May 2022, our board of directors approved a one-for-ten reverse split of outstanding shares of our common stock.

The reverse stock split was effected following the close of business on June 3, 2022 (the "Effective Time").

At the Effective Time, every ten issued and outstanding shares of our common stock were converted into one share of our common stock.

No fractional shares were issued in connection with the reverse stock split.

Instead, each stockholder holding fractional shares received cash, in lieu of such fractional shares, in an amount determined based on the closing price of our common stock at the Effective Time.

The reverse stock split applied to all of our outstanding shares of common stock and did not affect any stockholder’s ownership percentage of our common stock, except for changes resulting from the payment of cash for fractional shares.

As of June 30, 2022, we may sell up to 5,686,598 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 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.

During the three and six months ended June 30, 2022, we did not sell any shares of common stock under the equity distribution agreement.

During the six months ended June 30, 2021, we sold 1,555,000 shares of common stock under an equity distribution agreement for proceeds of $ 57.8 million, net of approximately $ 831,000 in commissions and fees.

During the three and six months ended June 30, 2022 and 2021, we did no t repurchase any shares of our common stock.

As of June 30, 2022, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program.

In May 2022, we granted 32,571 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.

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, 2022 and 2021.

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, 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

Three Months Ended June 30, 2022

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

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AOCI balance at end of period 131 2,503 20,115 22,749

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

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

Six Months Ended June 30, 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 securities, net — ( 4,246 ) — ( 4,246 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 9,998 ) ( 9,998 )

Currency translation adjustments on investment in unconsolidated venture ( 293 ) — — ( 293 )

Total other comprehensive income (loss) ( 293 ) ( 4,246 ) ( 9,998 ) ( 14,537 )

AOCI balance at beginning of period 424 6,749 30,113 37,286

Total other comprehensive income (loss) ( 293 ) ( 4,246 ) ( 9,998 ) ( 14,537 )

AOCI balance at end of period 131 2,503 20,115 22,749

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 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

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

The table below summarizes the dividends we declared during the six months ended June 30, 2022 and 2021.

Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022.

$ in thousands, except per share amounts Dividends Declared

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

(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 3, 2022 0.4844 2,991 June 27, 2022

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

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

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

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Series C Preferred Stock Per Share In Aggregate Date of Payment

May 3, 2022 0.46875 5,109 June 27, 2022

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

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

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

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Common Stock Per Share In Aggregate Date of Payment

June 27, 2022 0.90 29,721 July 27, 2022

March 28, 2022 0.90 29,693 April 27, 2022

June 23, 2021 0.90 26,071 July 27, 2021

March 26, 2021 0.90 22,176 April 27, 2021

Note 13 – Earnings (Loss) per Common Share

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

Three Months Ended March 31,

Earnings (loss) per share for the three and six months ended June 30, 2022 and 2021 is computed as shown in the table below.

Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022.

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

In thousands, except per share amounts 2022 2021 2022 2021

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Diluted ( 3.52 ) ( 3.40 ) ( 10.70 ) ( 4.49 )

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).

The following potential weighted average common shares were excluded from diluted earnings per share for three and six months ended June 30, 2022 as the effect would be antidilutive:

1,127 and 1,314 for restricted stock awards, respectively (June 30, 2021:

2,082 and 1,722 for restricted stock awards, respectively).

Note 14 – 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 March 31, 2022 are discussed below.

Our material off-balance sheet commitments as of June 30, 2022 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.

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.

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 $ 6.2 million in additional capital to cover future expenses should they occur.

Note 15 – Subsequent Events

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).

We declared the following dividends on August 2, 2022:

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

Repurchase of Series B and Series C Preferred Stock

Between July 1, 2022 and August 4, 2022, we repurchased 1,618,546 shares of our Series B Preferred Stock for $ 35.0 million and 3,063,389 shares of our Series C Preferred Stock for $ 65.6 million.

We will record a gain on the repurchase and retirement of these shares during the three months ended September 30, 2022.

As of August 4, 2022, we had authority to repurchase 1,337,634 additional shares of Series B Preferred Stock and 1,316,470 additional shares of Series C Preferred Stock under our current preferred share repurchase program.

Change in Authorized Common Shares

On August 3, 2022, the Company filed an Articles of Amendment to reduce the number of shares of common stock, par value $ 0.01 per share, that the Company has authority to issue.

Effective upon filing, the Articles of Amendment amended the Charter of the Company to reduce the total authorized number of shares of common stock of the Company from 450,000,000 to 67,000,000 .

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