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Item 1. Financial Statements

2023-08-03 compared with 2023-05-09 · 247 added, 153 removed, 647 unchanged (38% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

$ in thousands, except share amounts March 31, 2023 December 31, 2022

$ in thousands, except share amounts June 30, 2023 December 31, 2022

Mortgage-backed securities, at fair value (including pledged securities of $ 5,224,675 and $ 4,439,583 , respectively;

net of allowance for credit losses of $ 169 and $ 0 , respectively)

5,507,460 4,791,893

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

4,537,634 shares issued and outstanding ($ 113,441 aggregate liquidation preference)

4,499,846 and 4,537,634 shares issued and outstanding, respectively ($ 112,496 and $ 113,441 aggregate liquidation preference, respectively)

108,766 109,679

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

7,816,470 shares issued and outstanding ($ 195,412 aggregate liquidation preference)

7,773,774 and 7,816,470 shares issued and outstanding, respectively ($ 194,344 and $ 195,412 aggregate liquidation preference, respectively)

187,995 189,028

Common Stock, par value $ 0.01 per share;

67,000,000 shares authorized;

41,647,244 and 38,710,916 shares issued and outstanding, respectively

67,000,000 shares authorized, 44,579,863 and 38,710,916 shares issued and outstanding, respectively

Additional paid in capital 3,968,567 3,901,562

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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 2023 2022 2023 2022

5 unchanged sentences

Repurchase agreements 59,022 3,455 108,748 1,351

49,726 ( 2,104 )

Total interest expense 59,022 3,455 108,748 1,351

2 unchanged sentences

Gain (loss) on investments, net ( 99,679 ) ( 324,876 ) ( 47,723 ) ( 829,264 )

(Increase) decrease in provision for credit losses ( 169 ) — ( 169 ) —

Equity in earnings (losses) of unconsolidated ventures — ( 352 ) 2 ( 281 )

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Dividends to preferred stockholders ( 5,840 ) ( 8,100 ) ( 11,702 ) ( 16,494 )

Gain on repurchase and retirement of preferred stock 364 1,491 364 1,491

Net income (loss) attributable to common stockholders ( 1,398 ) ( 116,144 ) 14,203 ( 352,960 )

3 unchanged sentences

Diluted ( 0.03 ) ( 3.52 ) 0.35 ( 10.70 )

(1) Negative interest expense on repurchase agreements in 2022 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".

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

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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 2023 2022 2023 2022

2 unchanged sentences

Unrealized gain (loss) on mortgage-backed securities, net ( 131 ) ( 1,825 ) ( 607 ) ( 4,246 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 169 — 169 —

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense ( 3,201 ) ( 4,802 ) ( 7,695 ) ( 9,998 )

4 unchanged sentences

Dividends to preferred stockholders ( 5,840 ) ( 8,100 ) ( 11,702 ) ( 16,494 )

Gain on repurchase and retirement of preferred stock 364 1,491 364 1,491

Comprehensive income (loss) attributable to common stockholders ( 4,561 ) ( 122,864 ) 6,183 ( 367,497 )

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CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2023 and 2022

For the three months ended March 31, 2023 and June 30, 2023

Capital Accumulated

8 unchanged sentences

Shares Amount Shares Amount Shares Amount

Balance at December 31, 2022 4,537,634 109,679 7,816,470 189,028 38,710,916 387 3,901,562 10,761 ( 3,407,342 ) 804,075

Balance as of December 31, 2022 4,537,634 109,679 7,816,470 189,028 38,710,916 387 3,901,562 10,761 ( 3,407,342 ) 804,075

Net income (loss) — — — — — — — — 21,463 21,463

5 unchanged sentences

Amortization of equity-based compensation — — — — — — 162 — — 162

Balance at March 31, 2023 4,537,634 109,679 7,816,470 189,028 41,647,244 416 3,937,487 5,904 ( 3,408,399 ) 834,115

Balance as of March 31, 2023 4,537,634 109,679 7,816,470 189,028 41,647,244 416 3,937,487 5,904 ( 3,408,399 ) 834,115

Net income (loss) — — — — — — — — 4,078 4,078

Other comprehensive income (loss) — — — — — — — ( 3,163 ) — ( 3,163 )

Proceeds from issuance of common stock, net of offering costs — — — — 2,888,639 29 30,939 — — 30,968

Repurchase and retirement of preferred stock ( 37,788 ) ( 913 ) ( 42,696 ) ( 1,033 ) — — — — 364 ( 1,582 )

Stock awards — — — — 43,980 — — — — —

Common stock dividends — — — — — — — — ( 17,833 ) ( 17,833 )

Preferred stock dividends — — — — — — — — ( 5,840 ) ( 5,840 )

Amortization of equity-based compensation — — — — — — 141 — — 141

Balance as of June 30, 2023 4,499,846 108,766 7,773,774 187,995 44,579,863 445 3,968,567 2,741 ( 3,427,630 ) 840,884

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, 2022 and June 30, 2022

Capital Accumulated

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Shares Amount Shares Amount Shares Amount

Balance at December 31, 2021 6,200,000 149,860 11,500,000 278,108 32,987,478 330 3,819,375 37,286 ( 2,882,824 ) 1,402,135

Balance as of December 31, 2021 6,200,000 149,860 11,500,000 278,108 32,987,478 330 3,819,375 37,286 ( 2,882,824 ) 1,402,135

Net income (loss) — — — — — — — — ( 228,422 ) ( 228,422 )

4 unchanged sentences

Amortization of equity-based compensation — — — — — — 138 — — 138

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

Balance as of 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 — — — — — — — — — —

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

Redemption of preferred stock — — — — — — — — ( 8,100 ) ( 8,100 )

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

Balance as of 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.

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CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Three Months Ended March 31,

Six Months Ended June 30,

$ in thousands 2023 2022

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(Gain) loss on investments, net 47,723 829,264

Increase (decrease) in provision for credit losses 169 —

(Gain) loss from investments in unconsolidated ventures in excess of distributions received ( 2 ) 37

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Proceeds from sale of mortgage-backed securities 1,482,034 17,264,232

Proceeds from the sale of U.S.

Treasury securities — 468,051

Settlement (termination) of forwards, swaps, and TBAs, net ( 64,954 ) 424,661

3 unchanged sentences

Proceeds from issuance of common stock 66,760 —

Repurchase of preferred stock ( 1,582 ) ( 14,565 )

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

Proceeds from repurchase agreements 17,156,436 35,949,170

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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.

As of March 31, 2023, we were invested in:

As of June 30, 2023, we were invested in:

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

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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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Note 3 – Variable Interest Entities ("VIEs")

Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2023 is presented in the table below.

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

Our maximum risk of loss in VIEs in which we are not the primary beneficiary as of June 30, 2023 is presented in the table below.

$ in thousands Carrying

Amount Company's Maximum Risk of Loss

Non-Agency CMBS 36,730 36,730

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Note 4 – Mortgage-Backed Securities

The following tables summarize our MBS portfolio by asset type as of March 31, 2023 and December 31, 2022.

March 31, 2023

The following tables summarize our MBS portfolio by asset type as of June 30, 2023 and December 31, 2022.

As of June 30, 2023

$ in thousands Principal/ Notional

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(Discount) Amortized

Cost Unrealized

Cost Allowance for Credit Losses Unrealized

(Loss), net Fair

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Total 6,448,649 ( 973,721 ) 5,474,928 ( 169 ) 32,701 5,507,460 5.24 %

(1) Period-end weighted average yield is based on amortized cost as of March 31, 2023 and incorporates future prepayment and loss assumptions when appropriate.

(1) Period-end weighted average yield is based on amortized cost as of June 30, 2023 and incorporates future prepayment and loss assumptions when appropriate.

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

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(5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.0 % of principal/notional balance, 39.3 % of amortized cost and 33.4 % of fair value.

December 31, 2022

As of December 31, 2022

$ in thousands Principal/Notional

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(5) Non-Agency RMBS includes non-Agency IO which represent 97.1 % of principal/notional balance, 41.6 % of amortized cost and 35.3 % 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, 2023 and December 31, 2022.

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, 2023 and December 31, 2022.

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, 2023 and December 31, 2022, approximately 99 % of our MBS was accounted for under the fair value option.

March 31, 2023 December 31, 2022

As of June 30, 2023 and December 31, 2022, approximately 99 % of our MBS was accounted for under the fair value option.

June 30, 2023 December 31, 2022

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

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Total 42,433 5,465,027 5,507,460 42,454 4,749,439 4,791,893

The components of the carrying value of our MBS portfolio at March 31, 2023 and December 31, 2022 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 23.2 million as of March 31, 2023 (December 31, 2022:

The components of the carrying value of our MBS portfolio as of June 30, 2023 and December 31, 2022 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 23.8 million as of June 30, 2023 (December 31, 2022:

$ 21.3 million).

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

$ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total

2 unchanged sentences

Unamortized discount ( 178,489 ) ( 797,906 ) ( 976,395 ) ( 126,112 ) ( 831,308 ) ( 957,420 )

Allowance for credit losses ( 169 ) — ( 169 ) — — —

Gross unrealized gains (1)

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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, 2023 and 2022 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, 2023 and December 31, 2022 .

$ in thousands March 31, 2023 December 31, 2022

Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2023 and 2022 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, 2023 and December 31, 2022 .

$ in thousands June 30, 2023 December 31, 2022

Less than one year 26,717 26,593

2 unchanged sentences

Total 5,507,460 4,791,893

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, 2023 and December 31, 2022.

March 31, 2023

As of June 30, 2023

Less than 12 Months 12 Months or More Total

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Such securities have unrealized losses of $ 466,000 .

December 31, 2022

As of December 31, 2022

Less than 12 Months 12 Months or More Total

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Such securities have unrealized losses of $ 561,000 .

The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2023 and 2022.

Three Months Ended March 31,

We recorded a $ 169,000 provision for credit losses on a single non-Agency CMBS during the three and six months ended June 30, 2023.

We did no t record any provisions for credit losses during the three and six months ended June 30, 2022.

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

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

$ in thousands 2023 2023

Beginning allowance for credit losses — —

Additions to the allowance for credit losses on securities for which credit losses were not previously recorded ( 169 ) ( 169 )

Ending allowance for credit losses ( 169 ) ( 169 )

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2023 and 2022.

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

$ in thousands 2023 2022 2023 2022

Gross realized gains on sale of MBS — 5,348 5,363 5,348

4 unchanged sentences

Treasury securities — 19,827 — —

Net realized gains (losses) on U.S.

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

Total gain (loss) on investments, net ( 99,679 ) ( 324,876 ) ( 47,723 ) ( 829,264 )

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023

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, 2023 and 2022.

For the three months ended June 30, 2023

$ in thousands Coupon

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Total 70,119 1,309 71,428

For the three months ended March 31, 2022

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 six months ended June 30, 2023

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 136,053 1,152 137,205

Non-Agency CMBS 966 587 1,553

Non-Agency RMBS 578 ( 259 ) 319

Other 1,638 — 1,638

Total 139,235 1,480 140,715

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

Other 106 — 106

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

Note 5 – Other Assets

The following table summarizes our other assets as of March 31, 2023 and December 31, 2022.

$ in thousands March 31, 2023 December 31, 2022

The following table summarizes our other assets as of June 30, 2023 and December 31, 2022.

$ in thousands June 30, 2023 December 31, 2022

Investments in unconsolidated ventures 503 552

7 unchanged sentences

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

Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from one to six m onths.

Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from one to six months .

We account for our repurchase agreements as secured borrowings since we maintain effective control of the financed assets.

Our repurchase agreements are subject to certain financial covenants.

We were in compliance with all of these covenants as of March 31, 2023.

The following tables summarize certain characteristics of our borrowings at March 31, 2023 and December 31, 2022.

We were in compliance with all of these covenants as of June 30, 2023.

The following tables summarize certain characteristics of our borrowings as of June 30, 2023 and December 31, 2022.

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

$ in thousands March 31, 2023 December 31, 2022

$ in thousands June 30, 2023 December 31, 2022

Weighted Weighted

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Note 7 - Collateral Positions

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps and TBAs as of March 31, 2023 and December 31, 2022.

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps and TBAs as of June 30, 2023 and December 31, 2022.

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, 2022 for a description of how we determine fair value.

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

As of March 31, 2023 and December 31, 2022, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

As of June 30, 2023 and December 31, 2022, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

$ in thousands As of

Collateral Pledged March 31, 2023 December 31, 2022

Collateral Pledged June 30, 2023 December 31, 2022

Repurchase Agreements:

2 unchanged sentences

Derivative Instruments:

Cash 2,983 1,584

Restricted cash 124,669 103,246

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Agency RMBS 5,224,675 4,439,583

Cash 2,983 1,584

Restricted cash 124,669 103,246

Total collateral pledged 5,349,344 4,544,413

Collateral Held March 31, 2023 December 31, 2022

Collateral Held June 30, 2023 December 31, 2022

Repurchase Agreements:

Cash 221 4,892

Non-cash collateral — 7,216

Total repurchase agreements collateral held — 12,108

Derivative instruments:

Total derivative instruments collateral held 1,350 —

Total collateral held:

Cash 1,571 4,892

Non-cash collateral 17,692 7,216

Total collateral held 19,263 12,108

Repurchase Agreements

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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 106 % as of March 31, 2023 (December 31, 2022:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 105 % as of June 30, 2023 (December 31, 2022:

105 %) based on the fair value of the securities as reported in our condensed consolidated balance sheets.

Interest Rate Swaps

As of March 31, 2023 and December 31, 2022, 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.

As of June 30, 2023 and December 31, 2022, 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.

Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities.

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$ in thousands Notional Amount as of December 31, 2022 Additions Settlement,

or Exercise Notional Amount as of March 31, 2023

or Exercise Notional Amount as of June 30, 2023

Interest Rate Swaps (1) (2)

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See below for additional detail on our interest rate swaps with forward start dates.

(2) Notional amount as of March 31, 2023 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.

(2) Notional amount as of June 30, 2023 includes $ 6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $ 1.6 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, 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 $ 2.4 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate.

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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.

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 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 $ 4.5 million as a decrease to interest expense for the three months ended March 31, 2023 (March 31, 2022:

$ 5.2 million as a decrease).

As of March 31, 2023, $ 5.9 million (December 31, 2022:

We reclassified $ 3.2 million and $ 7.7 million as a decrease (June 30, 2022:

$ 4.8 million and $ 10.0 million as a decrease) to interest expense for the three and six months ended June 30, 2023, respectively.

As of June 30, 2023, $ 2.7 million (December 31, 2022:

$ 10.4 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and are expected to be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023.

As of March 31, 2023 and December 31, 2022, 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, 2023

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

As of June 30, 2023 and December 31, 2022, 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, 2023

Maturities Notional

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

Less than 3 years 2,050,000 0.18 % 5.09 % 1.9

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$ in thousands As of December 31, 2022

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

Maturities Notional

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

Less than 3 years 1,550,000 0.09 % 4.30 % 2.2

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Total 5,800,000 0.45 % 4.30 % 6.3

As of March 31, 2023, we held $ 475.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2022:

As of June 30, 2023, we held $ 475.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2022:

$ 975.0 million).

As of March 31, 2023, these interest rate swaps had a weighted average maturity of 30.3 years (December 31, 2022:

As of June 30, 2023, these interest rate swaps had a weighted average maturity of 30.1 years (December 31, 2022:

16.5 years) and a weighted average fixed pay rate of 1.33 % (December 31, 2022:

As of March 31, 2023 and December 31, 2022, 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, excluding interest rate swaps with forward start dates.

$ in thousands As of March 31, 2023

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

As of June 30, 2023 and December 31, 2022, 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, excluding interest rate swaps with forward start dates.

$ in thousands As of June 30, 2023

Maturities Notional

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

3 to 5 years 375,000 5.09 % 2.66 % 4.6

4 unchanged sentences

$ in thousands As of December 31, 2022

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

Maturities Notional

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

Less than 3 years 100,000 4.30 % 4.90 % 0.9

4 unchanged sentences

Total 2,350,000 4.30 % 2.78 % 9.3

As of March 31, 2023, we held $ 275.0 million notional amount of interest rate swaps with forward start dates that will pay floating interest based on SOFR (December 31, 2022:

As of June 30, 2023, we held $ 275.0 million notional amount of interest rate swaps with forward start dates that will pay floating interest based on SOFR (December 31, 2022:

$ 275.0 million).

As of March 31, 2023, these interest rate swaps had a weighted average maturity of 15.8 years (December 31, 2022:

As of June 30, 2023, these interest rate swaps had a weighted average maturity of 15.5 years (December 31, 2022:

16.0 years) and a weighted average fixed receive rate of 2.63 % (December 31, 2022:

2 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.

We did not have any currency forward contracts outstanding as of March 31, 2023 or December 31, 2022.

We did not have any currency forward contracts outstanding as of June 30, 2023 or December 31, 2022.

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, 2023 and December 31, 2022.

$ in thousands As of March 31, 2023

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

TBA Purchase Contracts (1)

300,000 299,977 303,393 3,416

TBA Sale Contracts (2)

( 300,000 ) ( 299,048 ) ( 303,393 ) ( 4,345 )

Net TBA Derivatives — 929 — ( 929 )

(1) Net carrying value of TBA purchase contracts includes $ 3.4 million of derivative assets.

(2) Net carrying value of TBA sales contract includes $ 4.3 million of derivative liabilities.

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

We did not have any TBAs outstanding as of June 30, 2023.

$ in thousands As of December 31, 2022

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

Amount Implied

Cost Basis Implied

Market Value Net

Carrying Value

TBA Purchase Contracts (1)

6 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 March 31, 2023 and December 31, 2022.

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, 2023 and December 31, 2022.

$ in thousands

Derivative Assets Derivative Liabilities

As of March 31, 2023 As of December 31, 2022 As of March 31, 2023 As of December 31, 2022

Sheet Fair Value Fair Value Balance

Sheet Fair Value Fair Value

2023 December 31,

2022 June 30,

2023 December 31,

Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value

Interest Rate Swaps Asset — 20 Interest Rate Swaps Liability 2,635 —

1 unchanged sentence

Total Derivative Assets — 662 Total Derivative Liabilities 2,635 2,079

The following tables summarize the effect of interest rate swaps, 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, 2023 and 2022.

$ in thousands

Three Months Ended March 31, 2023

Three Months Ended June 30, 2023

not designated as

1 unchanged sentence

Interest Rate Swaps 27,893 63,437 5,312 96,642

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 929 ) — 929 —

1 unchanged sentence

$ in thousands

Three Months Ended March 31, 2022

Three Months Ended June 30, 2022

not designated as

4 unchanged sentences

Total 141,232 13,566 26,944 181,742

$ in thousands

Six Months Ended June 30, 2023

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 ( 63,056 ) 117,901 ( 2,656 ) 52,189

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 1,880 ) — 1,438 ( 442 )

Total ( 64,954 ) 117,901 ( 1,218 ) 51,729

$ 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

Note 9 – 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 arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2023 and December 31, 2022.

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 $ 7.9 million at March 31, 2023 (December 31, 2022:

Our derivative liability of $ 2.6 million as of June 30, 2023 (December 31, 2022:

asset of $ 20,000 ) 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, 2023

As of June 30, 2023

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

5 unchanged sentences

Cash Collateral

(Received) Pledged Net Amount

Derivatives (1) (2)

3,416 — 3,416 ( 1,450 ) ( 1,350 ) 616

Total Assets 3,416 — 3,416 ( 1,450 ) ( 1,350 ) 616

Derivatives (1) (2)

( 4,345 ) — ( 4,345 ) 1,450 2,895 —

(Received) Pledged Net

Repurchase Agreements (1)

9 unchanged sentences

Instruments Cash Collateral

(Received) Pledged Net Amount

(Received) Pledged Net

Derivatives (2) (3)

6 unchanged sentences

Total Liabilities ( 4,236,902 ) — ( 4,236,902 ) 4,235,465 1,297 ( 140 )

(1) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.2 billion as of June 30, 2023 (December 31, 2022:

$ 4.4 billion).

We held no cash collateral under repurchase agreements as of June 30, 2023 (December 31, 2022:

$ 4.9 million).

(2) 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 $ 130.0 million as of March 31, 2023 (December 31, 2022:

(3) Cash collateral pledged by us on our derivatives was $ 124.7 million as of June 30, 2023 (December 31, 2022:

$ 104.8 million) of which $ 124.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022:

1 unchanged sentence

C entrally cleared interest rate swaps are excluded from the tables above.

We held $ 1.4 million of cash collateral on our derivatives as of March 31, 2023 (December 31, 2022:

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.1 billion as of March 31, 2023 (December 31, 2022:

$ 4.4 billion).

We held cash collateral of $ 221,000 under repurchase agreements as of March 31, 2023 (December 31, 2022:

$ 4.9 million) .

We held no cash collateral on our derivatives as of June 30, 2023 and December 31, 2022 .

Note 10 – Fair Value of Financial Instruments

8 unchanged sentences

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

March 31, 2023

As of June 30, 2023

Fair Value Measurements Using:

2 unchanged sentences

— 5,507,460 — — 5,507,460

Derivative assets — 3,416 — — 3,416

Other assets — — — 503 503

2 unchanged sentences

Total liabilities — 2,635 — — 2,635

December 31, 2022

As of December 31, 2022

Fair Value Measurements Using:

11 unchanged sentences

One of the unconsolidated ventures was dissolved during the first quarter of 2023.

As of March 31, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible.

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, 2023 and December 31, 2022.

March 31, 2023 December 31, 2022

As of June 30, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible.

June 30, 2023 December 31, 2022

$ in thousands Carrying

13 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 months ended March 31, 2023, we reimbursed our Manager $ 409,000 (March 31, 2022:

$ 413,000 ) for costs of support personnel.

The costs of support personnel provided by our Manager for the three and six months ended June 30, 2023 reimbursed or reimbursable by us were $ 461,000 and $ 870,000 , respectively (June 30, 2022:

$ 337,000 and $ 750,000 , respectively).

Management Fee

7 unchanged sentences

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, 2023 and 2022.

Three Months Ended March 31,

The following table summarizes the costs incurred on our behalf by our Manager during the three and six months ended June 30, 2023 and 2022.

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

$ in thousands 2023 2022 2023 2022

Incurred costs, prepaid or expensed 1,294 2,020 2,688 3,357

Incurred costs, charged against equity as a cost of raising capital — 58

Incurred costs, charged or expected to be charged against equity as a cost of raising capital 257 159 257 217

Total incurred costs, originally paid by our Manager 1,551 2,179 2,945 3,574

2 unchanged sentences

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

During the three months ended March 31, 2023, we did not repurchase any shares of preferred stock.

As of March 31, 2023, we had authority to purchase 1,337,634 additional shares of our Series B Preferred Stock and 1,316,470 additional shares of our Series C Preferred Stock under the current share repurchase program.

During the three and six months ended June 30, 2023, we repurchased and retired 37,788 shares of Series B Preferred Stock and 42,696 shares of 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, 2023, we had authority to purchase 1,299,846 additional shares of our Series B Preferred Stock and 1,273,774 additional shares of our Series C Preferred Stock under the current share repurchase program.

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.

After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month London Interbank Offered Rate (“LIBOR”) plus a spread of 5.18 % of the $ 25.00 liquidation preference per annum.

After December 27, 2024, holders are entitled to receive dividends at a floating rate originally equal to three-month London Interbank Offered Rate (“LIBOR”) plus a spread of 5.18 % of the $ 25.00 liquidation preference per annum.

On June 30, 2023, LIBOR ceased being published.

Under the Adjustable Interest Rate (LIBOR) Act ( “LIBOR Act”), the floating rate will be three-month CME Term SOFR plus the applicable credit spread adjustment ( 0.26161 %).

Dividends are cumulative and payable quarterly in arrears.

Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50 % of the liquidation preference of $ 25.00 per share or $ 1.875 per share per annum until September 27, 2027.

After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289 % of the $ 25.00 liquidation preference per annum.

After September 27, 2027, holders are entitled to receive dividends at a floating rate originally equal to three-month LIBOR plus a spread of 5.289 % of the $ 25.00 liquidation preference per annum.

Under the LIBOR Act, the floating rate will be three-month CME Term SOFR plus the applicable credit spread adjustment ( 0.26161 %).

Dividends are cumulative and payable quarterly in arrears.

The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that it will cease to publish three-month USD LIBOR settings on July 1, 2023.

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

We expect our Series B and Series C Preferred Stock to pay floating rate dividends using a SOFR-based rate in place of three-month LIBOR.

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

6 unchanged sentences

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 March 31, 2023, we may sell up to 13,069,931 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.

As of June 30, 2023, we may sell up to 10,181,292 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).

During the three months ended March 31, 2023, we sold 2,930,069 shares of common stock under our equity distribution agreement for proceeds of $ 35.8 million, net of approximately $ 482,000 in commissions and fees.

We did not sell any shares of common stock under equity distribution agreements during the three months ended March 31, 2022.

During the three months ended March 31, 2023 and 2022, we did not repurchase any shares of our common stock.

As of March 31, 2023, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program.

During the three months ended June 30, 2023, we sold 2,888,639 shares of common stock under our equity distribution agreement for proceeds of $ 31.0 million, net of approximately $ 421,000 in commissions and fees.

During the six months ended June 30, 2023, we sold 5,818,708 shares of common stock under our equity distribution agreement for proceeds of $ 66.8 million, net of approximately $ 903,000 in commissions and fees.

We did not sell any shares of common stock under equity distribution agreements during the three and six months ended June 30, 2022.

During the three and six months ended June 30, 2023 and 2022, we did not repurchase any shares of our common stock.

As of June 30, 2023, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program.

Accumulated Other Comprehensive Income

The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) for the three months ended March 31, 2023 and 2022.

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, 2023 and 2022.

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

Three Months Ended March 31, 2023

Three Months Ended June 30, 2023

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

1 unchanged sentence

Unrealized gain (loss) on mortgage-backed securities, net — ( 131 ) — ( 131 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 169 — 169

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 3,201 ) ( 3,201 )

Total other comprehensive income (loss) — 38 ( 3,201 ) ( 3,163 )

AOCI balance at beginning of period — ( 7 ) 5,911 5,904

Total other comprehensive income (loss) — 38 ( 3,201 ) ( 3,163 )

AOCI balance at end of period — 31 2,710 2,741

Three 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 — ( 1,825 ) — ( 1,825 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 4,802 ) ( 4,802 )

Currency translation adjustments on investment in unconsolidated venture ( 93 ) — — ( 93 )

Total other comprehensive income (loss) ( 93 ) ( 1,825 ) ( 4,802 ) ( 6,720 )

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

Total other comprehensive income (loss) ( 93 ) ( 1,825 ) ( 4,802 ) ( 6,720 )

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

Six Months Ended June 30, 2023

$ 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 — ( 607 ) — ( 607 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 169 — 169

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 7,695 ) ( 7,695 )

Currency translation adjustments on investment in unconsolidated venture ( 10 ) — — ( 10 )

Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net 123 — — 123

3 unchanged sentences

AOCI balance at end of period — 31 2,710 2,741

Three Months Ended March 31, 2022

Six Months Ended June 30, 2022

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

8 unchanged sentences

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

The table below summarizes the dividends we declared during the three months ended March 31, 2023 and 2022.

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.

The table below summarizes the dividends we declared during the six months ended June 30, 2023 and 2022.

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

May 8, 2023 0.4844 2,186 June 27, 2023

February 17, 2023 0.4844 2,198 March 27, 2023

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

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

1 unchanged sentence

Series C Preferred Stock Per Share In Aggregate Date of Payment

May 8, 2023 0.46875 3,654 June 27, 2023

February 17, 2023 0.46875 3,664 March 27, 2023

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

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

1 unchanged sentence

Common Stock Per Share In Aggregate Date of Payment

June 21, 2023 0.40 17,833 July 27, 2023

March 27, 2023 0.40 16,658 April 27, 2023

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

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

Note 13 – Earnings (Loss) per Common Share

Earnings (loss) per share for the three months ended March 31, 2023 and 2022 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 March 31,

Earnings (loss) per share for the three and six months ended June 30, 2023 and 2022 is computed as shown in the table below.

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

In thousands, except per share amounts 2023 2022 2023 2022

12 unchanged sentences

Diluted ( 0.03 ) ( 3.52 ) 0.35 ( 10.70 )

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

1,500 for restricted stock awards .

The following potential weighted average common shares were excluded from diluted earnings per share for the three months ended June 30, 2023 as the effect would be antidilutive:

654 (three and six months ended June 30, 2022:

1,127 and 1,314 for restricted stock awards, respectively) .

Note 14 – Commitments and Contingencies

1 unchanged sentence

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

Our material off-balance sheet commitments as of March 31, 2023 are discussed below.

Our material off-balance sheet commitments as of June 30, 2023 are discussed below.

As discussed in Note 5 - “Other Assets”, we have invested in an unconsolidated venture that is sponsored by an affiliate of our Manager.

3 unchanged sentences

Note 15 – Subsequent Events

We declared the following dividends on May 8, 2023:

a Series B Preferred Stock dividend of $ 0.4844 per share payable on June 27, 2023 to our stockholders of record as of June 5, 2023 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on June 27, 2023 to our stockholders of record as of June 5, 2023.

We declared the following dividends on August 2, 2023:

a Series B Preferred Stock dividend of $ 0.4844 per share payable on September 27, 2023 to our stockholders of record as of September 5, 2023 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on September 27, 2023 to our stockholders of record as of September 5, 2023.

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