What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-11-06 compared with 2023-08-03 · 139 added, 124 removed, 770 unchanged (25% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

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

Mortgage-backed securities, at fair value (including pledged securities of $ 5,226,133 and $ 4,439,583 , respectively;

38 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

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

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

$ in thousands, except share data 2023 2022 2023 2022

29 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

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

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

$ in thousands 2023 2022 2023 2022

15 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

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

For the three months ended March 31, 2023;

June 30, 2023 and September 30, 2023

Capital Accumulated

26 unchanged sentences

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

Net income (loss) — — — — — — — — ( 68,599 ) ( 68,599 )

Other comprehensive income (loss) — — — — — — — ( 1,858 ) — ( 1,858 )

Proceeds from issuance of common stock, net of offering costs 3,880,763 39 42,305 42,344

Repurchase and retirement of preferred stock ( 34,432 ) ( 832 ) ( 92,563 ) ( 2,238 ) — — — — 347 ( 2,723 )

Common stock dividends — — — — — — — — ( 19,384 ) ( 19,384 )

Preferred stock dividends — — — — — — — — ( 5,772 ) ( 5,772 )

Amortization of equity-based compensation — — — — — — 133 — — 133

Balance at September 30, 2023 4,465,414 107,934 7,681,211 185,757 48,460,626 484 4,011,005 883 ( 3,521,038 ) 785,025

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

2 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

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

For the three months ended March 31, 2022;

June 30, 2022 and September 30, 2022

Capital Accumulated

26 unchanged sentences

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

Net income (loss) — — — — — — — — ( 101,428 ) ( 101,428 )

Other comprehensive income (loss) — — — — — — — ( 6,239 ) — ( 6,239 )

Proceeds from issuance of common stock, net of offering costs — — — — 2,327,805 23 38,590 — — 38,613

Repurchase and retirement of preferred stock ( 1,618,546 ) ( 39,122 ) ( 3,063,389 ) ( 74,083 ) — — — — 12,688 ( 100,517 )

Common stock dividends — — — — — — — — ( 22,979 ) ( 22,979 )

Preferred stock dividends — — — — — — — — ( 5,862 ) ( 5,862 )

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

Balance at September 30, 2022 4,537,634 109,679 7,816,470 189,028 35,352,123 353 3,858,418 16,510 ( 3,412,779 ) 761,209

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

2 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Six Months Ended June 30,

Nine Months Ended September 30,

$ in thousands 2023 2022

52 unchanged sentences

(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 June 30, 2023, we were invested in:

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

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

34 unchanged sentences

Note 3 – Variable Interest Entities ("VIEs")

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.

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

$ in thousands Carrying

6 unchanged sentences

Note 4 – Mortgage-Backed Securities

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

As of June 30, 2023

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

As of September 30, 2023

$ in thousands Principal/ Notional

11 unchanged sentences

Total 6,615,074 ( 1,011,836 ) 5,603,238 ( 212 ) ( 159,098 ) 5,443,928 5.23 %

(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.

(1) Period-end weighted average yield is based on amortized cost as of September 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”).

23 unchanged sentences

(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 June 30, 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 September 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 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

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

September 30, 2023 December 31, 2022

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

5 unchanged sentences

Total 31,502 5,412,426 5,443,928 42,454 4,749,439 4,791,893

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:

The components of the carrying value of our MBS portfolio as of September 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 $ 24.2 million as of September 30, 2023 (December 31, 2022:

$ 21.3 million).

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

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

10 unchanged sentences

Realization occurs upon sale or settlement of such securities.

Further detail on the components of our total gains (losses) on investments, net for the three and 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

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

$ in thousands September 30, 2023 December 31, 2022

Less than one year 16,126 26,593

2 unchanged sentences

Total 5,443,928 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 as of June 30, 2023 and December 31, 2022.

As of June 30, 2023

As of September 30, 2023

Less than 12 Months 12 Months or More Total

47 unchanged sentences

Such securities have unrealized losses of $ 561,000 .

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.

We recorded a $ 43,000 and $ 212,000 provision for credit losses on a single non-Agency CMBS during the three and nine months ended September 30, 2023, respectively.

We did no t record any provisions for credit losses during the three and nine months ended September 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,

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

$ in thousands 2023 2023

1 unchanged sentence

Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — ( 212 )

Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period ( 43 ) —

Ending allowance for credit losses ( 212 ) ( 212 )

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,

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

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

$ in thousands 2023 2022 2023 2022

3 unchanged sentences

Net unrealized gains (losses) on commercial loan — 171 — 134

Net unrealized gains (losses) on U.S.

Treasury securities — 19,827 — —

Net realized gains (losses) on U.S.

1 unchanged sentence

Total gain (loss) on investments, net ( 224,897 ) ( 260,837 ) ( 272,620 ) ( 1,090,101 )

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

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and nine months ended September 30, 2023 and 2022.

For the three months ended September 30, 2023

$ in thousands Coupon

5 unchanged sentences

Non-Agency RMBS 285 ( 126 ) 159

Treasury securities — 292 292

Other 724 — 724

Total 72,200 2,932 75,132

For the three months ended June 30, 2022

For the three months ended September 30, 2022

$ in thousands Coupon

5 unchanged sentences

Non-Agency RMBS 288 ( 139 ) 149

Treasury Securities 1,213 ( 25 ) 1,188

Other 376 — 376

Total 49,224 ( 166 ) 49,058

For the six months ended June 30, 2023

For the nine months ended September 30, 2023

$ in thousands Coupon

5 unchanged sentences

Non-Agency RMBS 865 ( 384 ) 481

Treasury securities — 292 292

Other 2,362 — 2,362

Total 211,435 4,412 215,847

For the six months ended June 30, 2022

For the nine months ended September 30, 2022

$ in thousands Coupon

9 unchanged sentences

Note 5 – Other Assets

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

$ in thousands June 30, 2023 December 31, 2022

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

$ in thousands September 30, 2023 December 31, 2022

Investments in unconsolidated ventures 505 552

10 unchanged sentences

Our repurchase agreements are subject to certain financial covenants.

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.

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

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

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

$ in thousands June 30, 2023 December 31, 2022

$ in thousands September 30, 2023 December 31, 2022

Weighted Weighted

6 unchanged sentences

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 June 30, 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 September 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.

4 unchanged sentences

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

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

As of September 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 June 30, 2023 December 31, 2022

Collateral Pledged September 30, 2023 December 31, 2022

Repurchase Agreements:

8 unchanged sentences

Total collateral pledged 5,411,957 4,544,413

Collateral Held June 30, 2023 December 31, 2022

Collateral Held September 30, 2023 December 31, 2022

Repurchase Agreements:

7 unchanged sentences

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 105 % as of June 30, 2023 (December 31, 2022:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 105 % as of September 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 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.

As of September 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.

7 unchanged sentences

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

or Exercise Notional Amount as of June 30, 2023

or Exercise Notional Amount as of September 30, 2023

Interest Rate Swaps (1) (2)

5 unchanged sentences

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

(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.

(2) Notional amount as of September 30, 2023 includes $ 5.9 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $ 950.0 million 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.

8 unchanged sentences

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 $ 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 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

We reclassified $ 1.8 million and $ 9.5 million as a decrease (September 30, 2022:

$ 4.9 million and $ 14.9 million as a decrease) to interest expense for the three and nine months ended September 30, 2023, respectively.

As of September 30, 2023, $ 900,000 (December 31, 2022:

As of September 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 September 30, 2023

Maturities Notional

15 unchanged sentences

Total 5,800,000 0.45 % 4.30 % 6.3

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 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 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

As of December 31, 2022, we held $ 975.0 million notional amount of SOFR-based pay fixed and receive floating interest rate swaps with forward start dates that had a weighted average maturity of 16.5 years and a weighted average fixed pay rate of 0.89 %.

We did not hold any such interest rate swaps with forward start dates as of September 30, 2023.

As of September 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 September 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

5 to 7 years 825,000 5.09 % 2.68 % 6.0

Less than 3 years 900,000 5.31 % 5.44 % 0.5

3 to 5 years 50,000 5.31 % 2.78 % 3.6

Greater than 10 years 275,000 5.09 % 2.72 % 29.0

Total 950,000 5.31 % 5.30 % 0.7

8 unchanged sentences

Total 2,350,000 4.30 % 2.78 % 9.3

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 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:

As of December 31, 2022, we held $ 275.0 million notional amount of SOFR-based pay floating and receive fixed interest rate swaps with forward start dates that had a weighted average maturity of 16.0 years and a weighted average fixed receive rate of 2.63 %.

We did not hold any such interest rate swaps with forward start dates as of September 30, 2023.

Currency Forward Contracts

1 unchanged sentence

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 June 30, 2023 or December 31, 2022.

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

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

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

$ in thousands As of December 31, 2022

11 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 June 30, 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 September 30, 2023 and December 31, 2022.

$ in thousands

Derivative Assets Derivative Liabilities

September 30,

2023 December 31,

2022 June 30,

2022 September 30,

2023 December 31,

3 unchanged sentences

Total Derivative Assets — 662 Total Derivative Liabilities 7,637 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 and six months ended June 30, 2023 and 2022.

$ in thousands

Three Months Ended June 30, 2023

Three Months Ended September 30, 2023

not designated as

1 unchanged sentence

Interest Rate Swaps 84,565 72,126 ( 5,002 ) 151,689

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 929 ) — 929 —

Total 84,565 72,126 ( 5,002 ) 151,689

$ in thousands

Three Months Ended June 30, 2022

Three Months Ended September 30, 2022

not designated as

5 unchanged sentences

$ in thousands

Six Months Ended June 30, 2023

Nine Months Ended September 30, 2023

not designated as

5 unchanged sentences

$ in thousands

Six Months Ended June 30, 2022

Nine Months Ended September 30, 2022

not designated as

7 unchanged sentences

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

Our derivative liability of $ 7.6 million as of September 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 June 30, 2023

As of September 30, 2023

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

26 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:

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

$ 4.4 billion).

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

We held no cash collateral under repurchase agreements as of September 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.

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

(3) Cash collateral pledged by us on our derivatives was $ 185.8 million as of September 30, 2023 (December 31, 2022:

$ 104.8 million) of which $ 185.8 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 no cash collateral on our derivatives as of June 30, 2023 and December 31, 2022 .

We held no cash collateral on our derivatives as of September 30, 2023 or 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.

As of June 30, 2023

As of September 30, 2023

Fair Value Measurements Using:

20 unchanged sentences

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

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.

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

June 30, 2023 December 31, 2022

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

September 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.

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).

The costs of support personnel provided by our Manager for the three and nine months ended September 30, 2023 reimbursed or reimbursable by us were $ 397,000 and $ 1.3 million, respectively (September 30, 2022:

$ 375,000 and $ 1.1 million , 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 during the three and six months ended June 30, 2023 and 2022.

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

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

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

$ in thousands 2023 2022 2023 2022

5 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 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.

During the three and nine months ended September 30, 2023, we repurchased and retired 34,432 and 72,220 shares of Series B Preferred Stock, respectively.

During the three and nine months ended September 30, 2023, we repurchased and retired 92,563 and 135,259 shares of Series C Preferred Stock, respectively.

During the three and nine months ended September 30, 2022, we repurchased and retired 1,618,546 and 1,662,366 shares of Series B Preferred Stock, respectively.

During the three and nine months ended September 30, 2022 we repurchased and retired 3,063,389 and 3,683,530 shares of Series C Preferred Stock,

respectively.

As of September 30, 2023, we had authority to repurchase 1,265,414 additional shares of our Series B Preferred Stock and 1,181,211 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 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 %).

After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month CME Term SOFR and the applicable credit spread adjustment ( 0.26161 %) plus a spread of 5.18 % of the $ 25.00 liquidation preference per annum.

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 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 %).

After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month CME Term SOFR and the applicable credit spread adjustment ( 0.26161 %) plus a spread of 5.289 % of the $ 25.00 liquidation preference per annum.

Dividends are cumulative and payable quarterly in arrears.

7 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 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.

As of September 30, 2023, we may sell up to 6,300,529 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 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.

During the three months ended September 30, 2023, we sold 3,880,763 shares of common stock under our equity distribution agreement for proceeds of $ 42.3 million, net of approximately $ 575,000 in commissions and fees.

During the nine months ended September 30, 2023, we sold 9,699,471 shares of common stock under our equity distribution agreement for proceeds of $ 109.1 million, net of approximately $ 1.5 million in commissions and fees.

During the three and nine months ended September 30, 2022, we sold 2,327,805 shares of common stock under an equity distribution agreement for proceeds of $ 38.6 million, net of approximately $ 603,000 in commissions and fees.

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

As of September 30, 2023, we had authority to repurchase 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 and six months ended June 30, 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 nine months ended September 30, 2023 and 2022.

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

Three Months Ended June 30, 2023

Three Months Ended September 30, 2023

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

7 unchanged sentences

AOCI balance at end of period — ( 17 ) 900 883

Three Months Ended June 30, 2022

Three Months Ended September 30, 2022

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

7 unchanged sentences

AOCI balance at end of period ( 10 ) 1,260 15,260 16,510

Six Months Ended June 30, 2023

Nine Months Ended September 30, 2023

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

9 unchanged sentences

AOCI balance at end of period — ( 17 ) 900 883

Six Months Ended June 30, 2022

Nine Months Ended September 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 six months ended June 30, 2023 and 2022.

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

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

August 2, 2023 0.4844 2,167 September 27, 2023

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

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

August 2, 2022 0.4844 2,198 September 27, 2022

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

2 unchanged sentences

Series C Preferred Stock Per Share In Aggregate Date of Payment

August 2, 2023 0.46875 3,605 September 27, 2023

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

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

August 2, 2022 0.46875 3,664 September 27, 2022

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

2 unchanged sentences

Common Stock Per Share In Aggregate Date of Payment

September 26, 2023 0.40 19,384 October 27, 2023

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

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

September 26, 2022 0.65 22,979 October 27, 2022

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

1 unchanged sentence

Note 13 – Earnings (Loss) per Common Share

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,

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

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

In thousands, except per share amounts 2023 2022 2023 2022

5 unchanged sentences

Shares available to common stockholders 45,747 34,051 42,604 33,346

Effect of dilutive securities:

Restricted stock awards — — 1 —

Dilutive Shares 45,747 34,051 42,604 33,346

3 unchanged sentences

Diluted ( 1.62 ) ( 2.78 ) ( 1.40 ) ( 13.42 )

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:

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

1,383 and 1,077 , respectively (three and nine months ended September 30, 2022:

1,127 and 1,248 for restricted stock awards, respectively) .

2 unchanged sentences

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

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

Our material off-balance sheet commitments as of September 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 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.

We declared the following dividends on November 2, 2023:

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