What changed in this filing

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Item 1. Financial Statements

2024-05-08 compared with 2023-11-06 · 150 added, 337 removed, 572 unchanged (46% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts March 31, 2024 December 31, 2023

Mortgage-backed securities, at fair value (including pledged securities of $ 4,616,412 and $ 4,712,185 , respectively;

1 unchanged sentence

5,007,104 5,045,306

Treasury securities, at fair value — 11,214

Cash and cash equivalents 59,890 76,967

Restricted cash 140,615 121,670

Due from counterparties — 1,584

Investment related receivable 22,924 26,604

4 unchanged sentences

Repurchase agreements 4,393,908 4,458,695

Derivative liabilities, at fair value 7,637 2,079

Dividends payable 19,530 19,384

25 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

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

Three Months Ended March 31,

$ in thousands, except share data 2024 2023

Interest income 68,583 69,287

Mortgage-backed and other securities 75,132 49,058 215,847 134,689

Commercial loan — 670 — 1,768

Total interest income 75,132 49,728 215,847 136,457

Interest expense 61,580 49,726

Repurchase agreements 65,701 18,008 174,449 19,359

Total interest expense 65,701 18,008 174,449 19,359

Net interest income 7,003 19,561

21 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

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

Three Months Ended March 31,

$ in thousands 2024 2023

3 unchanged sentences

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 39 —

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense ( 1,810 ) ( 4,855 ) ( 9,505 ) ( 14,853 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense — ( 4,494 )

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

9 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2023;

June 30, 2023 and September 30, 2023

For the three months ended March 31, 2024 and 2023

Capital Accumulated

13 unchanged sentences

Stock awards — — — — ( 870 ) — — — — —

Common stock dividends — — — — — — — — ( 16,658 ) ( 16,658 )

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

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

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 ( 93,347 ) ( 2,256 ) ( 95,917 ) ( 2,320 ) — — — — 193 ( 4,383 )

Stock awards — — — — 43,980 — — — — —

Common stock dividends — — — — — — — — ( 19,530 ) ( 19,530 )

1 unchanged sentence

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

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.

INVESCO MORTGAGE CAPITAL INC.

AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2022;

June 30, 2022 and September 30, 2022

Balance as of March 31, 2024 4,292,650 103,758 7,449,522 180,154 48,825,594 488 4,014,580 535 ( 3,513,943 ) 785,572

Capital Accumulated

11 unchanged sentences

Other comprehensive income (loss) — — — — — — — ( 4,857 ) — ( 4,857 )

Proceeds from issuance of common stock, net of offering costs — — — — 2,930,069 29 35,763 — — 35,792

Stock awards — — — — 6,259 — — — — —

3 unchanged sentences

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) — — — — — — — — ( 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

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

Nine Months Ended September 30,

Three Months Ended March 31,

$ in thousands 2024 2023

2 unchanged sentences

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

Amortization of mortgage-backed and other securities premiums and (discounts), net ( 4,412 ) 835

Amortization of premiums and (discounts), net ( 3,163 ) 1,938

Realized and unrealized (gain) loss on derivative instruments, net ( 47,874 ) 99,359

10 unchanged sentences

Purchase of mortgage-backed securities ( 390,380 ) ( 1,449,957 )

Purchase of U.S.

Treasury securities ( 48,672 ) ( 502,290 )

Distributions from investments in unconsolidated ventures, net 307 40

1 unchanged sentence

Proceeds from sale of mortgage-backed securities 296,535 783,883

Proceeds from the sale of U.S.

Proceeds from sale of U.S.

Treasury securities 10,755 —

Settlement (termination) of forwards, swaps, and TBAs, net 19,611 487,538

Settlement (termination) of swaps and TBAs, net 48,682 ( 91,900 )

Net change in due from counterparties and collateral held payable on derivative instruments — ( 49 )

3 unchanged sentences

Repurchase of preferred stock ( 4,383 ) —

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

Proceeds from repurchase agreements 8,762,735 9,318,669

21 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 September 30, 2023, we were invested in:

As of March 31, 2024, we were invested in:

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

government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”);

• commercial mortgage-backed securities (“CMBS”) that are not guaranteed by a U.S.

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

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

• CMBS that are not guaranteed by a U.S.

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

1 unchanged sentence

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

• other real estate-related financing arrangements.

During the periods presented in these condensed consolidated financial statements, we also invested in:

• a commercial mortgage loan;

Treasury securities.

During the periods presented in these condensed consolidated financial statements, we also invested in U.S.

Treasury securities and real estate-related financing arrangements in the form of unconsolidated ventures.

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

24 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 September 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 March 31, 2024 is presented in the table below.

$ in thousands Carrying

2 unchanged sentences

Non-Agency RMBS 7,651 7,651

Investments in unconsolidated ventures 505 505

Total 17,839 17,839

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

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

Note 4 – Mortgage-Backed Securities

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

As of September 30, 2023

The following tables summarize our MBS portfolio by asset type as of March 31, 2024 and December 31, 2023.

As of March 31, 2024

$ in thousands Principal/ Notional

4 unchanged sentences

Value Period-

30 year fixed-rate Agency RMBS 5,719,581 ( 227,631 ) 5,491,950 — ( 159,981 ) 5,331,969 5.15 %

30 year fixed-rate pass-through 4,752,141 ( 144,348 ) 4,607,793 — 41,259 4,649,052 5.35 %

Agency-CMO (2)

564,173 ( 491,192 ) 72,981 — 1,720 74,701 9.64 %

Agency CMBS 270,623 ( 6,343 ) 264,280 — 1,232 265,512 4.94 %

Non-Agency CMBS 11,000 ( 245 ) 10,755 ( 359 ) ( 208 ) 10,188 9.58 %

2 unchanged sentences

Total 5,865,155 ( 902,262 ) 4,962,893 ( 359 ) 44,570 5,007,104 5.41 %

(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.

(1) Period-end weighted average yield is based on amortized cost as of March 31, 2024 and incorporates future prepayment and loss assumptions when appropriate.

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

7 unchanged sentences

(Discount) Amortized

Cost Unrealized

Cost Allowance for Credit Losses Unrealized

(Loss), net Fair

Value Period-

30 year fixed-rate Agency RMBS 4,722,768 ( 115,365 ) 4,607,403 54,334 4,661,737 5.26 %

30 year fixed-rate pass-through 5,005,512 ( 159,924 ) 4,845,588 — 106,886 4,952,474 5.33 %

Agency-CMO (2)

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(5) Non-Agency RMBS includes non-Agency IO which represent 96.9 % of principal/notional balance, 37.6 % of amortized cost and 31.7 % of fair value.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of September 30, 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 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

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, 2024 and December 31, 2023.

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

As of March 31, 2024 and December 31, 2023, approximately 99.7 % of our MBS were accounted for under the fair value option.

March 31, 2024 December 31, 2023

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

Fair Value Available-for-sale Securities Securities under Fair Value Option Total

30 year fixed-rate Agency RMBS — 5,331,969 5,331,969 — 4,661,737 4,661,737

30 year fixed-rate pass-through — 4,649,052 4,649,052 — 4,952,474 4,952,474

Agency-CMO — 74,701 74,701 — 74,758 74,758

Agency CMBS — 265,512 265,512 — — —

Non-Agency CMBS 10,188 — 10,188 9,935 — 9,935

1 unchanged sentence

Total 15,497 4,991,607 5,007,104 15,678 5,029,628 5,045,306

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:

The components of the carrying value of our MBS portfolio as of March 31, 2024 and December 31, 2023 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 22.3 million as of March 31, 2024 (December 31, 2023:

$ 22.3 million).

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

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

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Realization occurs upon sale or settlement of such securities.

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

Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2024 and 2023 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, 2024 and December 31, 2023 .

$ in thousands March 31, 2024 December 31, 2023

Less than one year — —

2 unchanged sentences

Total 5,007,104 5,045,306

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 September 30, 2023 and December 31, 2022.

As of September 30, 2023

As of March 31, 2024

Less than 12 Months 12 Months or More Total

8 unchanged sentences

Losses Number

30 year fixed-rate Agency RMBS (1)

30 year fixed-rate pass-through (1)

883,441 ( 3,898 ) 10 — — — 883,441 ( 3,898 ) 10

1 unchanged sentence

5,326 ( 253 ) 1 26,096 ( 2,218 ) 6 31,422 ( 2,471 ) 7

Agency CMBS (1)

73,416 ( 192 ) 9 — — — 73,416 ( 192 ) 9

Non-Agency CMBS (2)

19 unchanged sentences

Losses Number

30 year fixed-rate Agency RMBS (1)

929,292 ( 7,060 ) 7 — — — 929,292 ( 7,060 ) 7

Agency-CMO (1)

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Such securities have unrealized losses of $ 399,000 .

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.

We recorded a $ 39,000 provision for credit losses on a single non-Agency CMBS during the three months ended March 31, 2024.

We did no t record any provisions for credit losses during the three months ended March 31, 2023.

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

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

Three Months Ended March 31,

$ in thousands 2024

Beginning allowance for credit losses 320

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 39

Ending allowance for credit losses 359

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,

The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2024 and 2023.

Three Months Ended March 31,

$ in thousands 2024 2023

2 unchanged sentences

Net unrealized gains (losses) on MBS accounted for under the fair value option ( 62,473 ) 65,721

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

Net unrealized gains (losses) on U.S.

Treasury securities ( 372 ) —

Net realized gains (losses) on U.S.

1 unchanged sentence

Total gain (loss) on investments, net ( 66,153 ) 51,956

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

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 70,754 2,465 73,219

Non-Agency CMBS 437 301 738

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 September 30, 2022

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 48,075 ( 355 ) 47,720

Non-Agency CMBS 485 328 813

Non-Agency RMBS 288 ( 139 ) 149

Other 376 — 376

Total 49,224 ( 166 ) 49,058

For the nine months ended September 30, 2023

The following tables present components of interest income recognized for the three months ended March 31, 2024 and 2023.

For the three months ended March 31, 2024

$ in thousands Coupon

3 unchanged sentences

Agency RMBS 66,131 1,136 67,267

Agency CMBS 504 5 509

Non-Agency CMBS 125 127 252

1 unchanged sentence

Treasury securities 22 ( 1 ) 21

Other 2,362 — 2,362

Total 211,435 4,412 215,847

For the nine months ended September 30, 2022

Other (inclusive of interest earned on cash balances) 380 — 380

Total interest income 67,442 1,141 68,583

For the three months ended March 31, 2023

$ in thousands Coupon

5 unchanged sentences

Non-Agency RMBS 290 ( 134 ) 156

Other (inclusive of interest earned on cash balances) 868 — 868

Total interest income 69,116 171 69,287

Note 5 - U.S.

Treasury Securities

Other 482 — 482

Total 140,673 ( 5,984 ) 134,689

Note 5 – Other Assets

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

Prepaid expenses and other assets 1,557 1,179

Total 2,062 1,731

As of December 31, 2022, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager.

Our joint venture whose net assets were denominated in euros was dissolved during the first quarter of 2023.

Our remaining unconsolidated venture is in liquidation and plans to sell or settle its remaining investments as expeditiously as possible.

Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitment to this unconsolidated venture.

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

Treasury security as of December 31, 2023.

We sold the security during the first quarter of 2024.

We did not hold any U.S.

Treasury securities as of March 31, 2024.

$ in thousands December 31, 2023

Principal balance 10,000

Unamortized premium 842

Amortized cost 10,842

Unrealized gain (loss), net 372

Fair value 11,214

Note 6 – Borrowings

3 unchanged sentences

Our repurchase agreements are subject to certain financial covenants.

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.

We were in compliance with all of these covenants as of March 31, 2024.

The following tables summarize certain characteristics of our borrowings as of March 31, 2024 and December 31, 2023.

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

$ in thousands September 30, 2023 December 31, 2022

$ in thousands March 31, 2024 December 31, 2023

Weighted Weighted

4 unchanged sentences

Repurchase Agreements - Agency RMBS 4,189,856 5.47 % 21 4,458,695 5.53 % 20

Repurchase Agreements - Agency CMBS 204,052 5.47 % 16 — N/A N/A

Total Borrowings 4,393,908 5.47 % 20 4,458,695 5.53 % 20

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 September 30, 2023 and December 31, 2022.

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, and interest rate swaps as of March 31, 2024 and December 31, 2023.

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, 2023 for a description of how we determine fair value.

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

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

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

Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets.

Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable.

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

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

As of March 31, 2024 and December 31, 2023, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

$ in thousands As of

Collateral Pledged September 30, 2023 December 31, 2022

Collateral Pledged March 31, 2024 December 31, 2023

Repurchase Agreements:

Agency RMBS 4,400,266 4,712,185

Agency CMBS 216,146 —

Total repurchase agreements collateral pledged 4,616,412 4,712,185

3 unchanged sentences

Total Collateral Pledged:

Agency RMBS 5,226,133 4,439,583

Mortgage-backed securities 4,616,412 4,712,185

Restricted cash 140,615 121,670

Total Collateral Pledged 4,757,027 4,833,855

Collateral Held September 30, 2023 December 31, 2022

Collateral Held March 31, 2024 December 31, 2023

Repurchase Agreements:

Cash 412 2,475

Non-cash collateral 8,528 39,130

6 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 September 30, 2023 (December 31, 2022:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 105 % as of March 31, 2024 (December 31, 2023:

106 %) based on the fair value of the securities as reported in our condensed consolidated balance sheets.

Interest Rate Swaps

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.

As of March 31, 2024 and December 31, 2023, 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.

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

Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on

derivative instruments, net in our condensed consolidated statements of operations.

Certain of our FCM agreements include cross default provisions.

Our TBAs provide for bilateral collateral pledging based on market value as determined by our counterparties.

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

Our counterparties have the right to repledge the collateral posted and have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the contracts changes.

Note 8 – Derivatives and Hedging Activities

1 unchanged sentence

$ in thousands Notional Amount as of December 31, 2023 Additions Settlement,

or Exercise Notional Amount as of September 30, 2023

or Exercise Notional Amount as of March 31, 2024

Interest Rate Swaps 4,065,000 1,335,000 ( 1,135,000 ) 4,265,000

8,150,000 2,700,000 ( 4,000,000 ) 6,850,000

TBA Purchase Contracts 400,000 1,150,000 ( 1,550,000 ) —

TBA Sale Contracts ( 400,000 ) ( 1,150,000 ) 1,550,000 —

Total 4,065,000 1,335,000 ( 1,135,000 ) 4,265,000

(1) Does not include interest rate swaps with forward start dates until the date they begin to bear interest.

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

(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.

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

Interest Rate Swaps

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

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

3 unchanged sentences

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 $ 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:

$ 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 in the fourth quarter of 2023.

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

Amounts recorded in accumulated other comprehensive income before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on the condensed consolidated statements of operations as interest was 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 during the three months ended March 31, 2023.

As of March 31, 2024 and December 31, 2023, there were no gains or losses on discontinued cash flow hedges remaining in accumulated other comprehensive income.

As of March 31, 2024 and December 31, 2023, 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 .

$ in thousands As of March 31, 2024

Maturities Notional

12 unchanged sentences

5 to 7 years 1,150,000 0.55 % 5.38 % 6.6

7 to 10 years 1,425,000 0.55 % 4.30 % 7.8

Greater than 10 years 590,000 1.75 % 5.38 % 21.4

Total 4,065,000 1.10 % 5.38 % 6.6

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

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

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

Total 950,000 5.31 % 5.30 % 0.7

$ in thousands As of December 31, 2022

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

3 to 5 years 550,000 4.30 % 2.74 % 4.0

5 to 7 years 1,125,000 4.30 % 2.66 % 6.0

7 to 10 years 200,000 4.30 % 2.66 % 8.4

Greater than 10 years 375,000 4.30 % 2.67 % 29.5

Total 2,350,000 4.30 % 2.78 % 9.3

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

We have historically used currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies.

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 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 September 30, 2023.

$ in thousands As of December 31, 2022

Amount Implied

Cost Basis Implied

Market Value Net

Carrying Value

TBA Purchase Contracts (1)

400,000 404,144 402,237 ( 1,907 )

TBA Sale Contracts (2)

( 400,000 ) ( 402,707 ) ( 402,237 ) 470

Net TBA Derivatives — 1,437 — ( 1,437 )

(1) Net carrying value of TBA purchase contracts includes $ 1.9 million of derivative liabilities.

(2) Net carrying value of TBA sales contract includes $ 642,000 of derivative assets and $ 172,000 of derivative liabilities.

We did not have any TBAs outstanding as of March 31, 2024 and December 31, 2023.

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

The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of September 30, 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 March 31, 2024 and December 31, 2023.

$ in thousands

Derivative Assets Derivative Liabilities

September 30,

2024 December 31,

2022 September 30,

2023 March 31,

2024 December 31,

1 unchanged sentence

Interest Rate Swaps Asset 131 939 Interest Rate Swaps Liability — —

TBAs — 642 TBAs — 2,079

Total Derivative Assets 131 939 Total Derivative Liabilities — —

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 nine months ended September 30, 2023 and 2022.

$ in thousands

Three Months Ended September 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 84,565 72,126 ( 5,002 ) 151,689

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

$ in thousands

Three Months Ended September 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 71,862 30,145 36,930 138,937

Currency Forward Contracts 187 — 14 201

TBAs ( 9,172 ) — 3,583 ( 5,589 )

Total 62,877 30,145 40,527 133,549

The following tables summarize the effect of interest rate swaps and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2024 and 2023.

$ in thousands

Nine Months Ended September 30, 2023

Three Months Ended March 31, 2024

not designated as

1 unchanged sentence

Interest Rate Swaps 48,682 45,287 ( 808 ) 93,161

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 1,880 ) — 1,438 ( 442 )

Total 48,682 45,287 ( 808 ) 93,161

$ in thousands

Nine Months Ended September 30, 2022

Three Months Ended March 31, 2023

not designated as

1 unchanged sentence

Interest Rate Swaps ( 90,949 ) 54,464 ( 7,968 ) ( 44,453 )

Currency Forward Contracts 866 — ( 204 ) 662

TBAs ( 951 ) — 509 ( 442 )

3 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 September 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 $ 7.6 million as of September 30, 2023 (December 31, 2022:

Our derivative asset of $ 131,000 as of March 31, 2024 (December 31, 2023:

asset of $ 939,000 ) 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 September 30, 2023

As of March 31, 2024

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

9 unchanged sentences

Total Liabilities (2)

( 4,393,908 ) — ( 4,393,908 ) 4,393,908 — —

As of December 31, 2023

7 unchanged sentences

(Received) Pledged Net

Derivatives (2) (3)

642 — 642 ( 642 ) — —

Total Assets 642 — 642 ( 642 ) — —

Derivatives (2) (3)

( 2,079 ) — ( 2,079 ) 642 1,297 ( 140 )

Repurchase Agreements (1)

1 unchanged sentence

Total Liabilities (2)

(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:

( 4,458,695 ) — ( 4,458,695 ) 4,458,695 — —

(1) The fair value of securities pledged against our borrowings under repurchase agreements was $ 4.6 billion as of March 31, 2024 (December 31, 2023:

$ 4.7 billion).

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

We held $ 412,000 of cash collateral under repurchase agreements as of March 31, 2024 (December 31, 2023:

$ 2.5 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 $ 185.8 million as of September 30, 2023 (December 31, 2022:

(2) Cash collateral pledged by us on our derivatives was $ 140.6 million as of March 31, 2024 (December 31, 2023:

$ 121.7 million) of which $ 140.6 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2023:

$ 121.7 million).

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

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

Centrally cleared interest rate swaps are excluded from the tables above.

We held no cash collateral on our derivatives as of March 31, 2024 or December 31, 2023.

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 September 30, 2023

As of March 31, 2024

Fair Value Measurements Using:

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

$ in thousands Level 1 Level 2 Level 3 Total at

Mortgage-backed securities (1)

— 5,007,104 — 5,007,104

Other assets — — — 505 505

Derivative assets — 131 — 131

Total assets — 5,007,235 — 5,007,235

Derivative liabilities — 7,637 — — 7,637

Total liabilities — 7,637 — — 7,637

As of December 31, 2023

3 unchanged sentences

— 5,045,306 — — 5,045,306

Treasury securities (2)

— 11,214 — — 11,214

Derivative assets — 939 — — 939

1 unchanged sentence

Total assets — 5,057,459 — 500 5,057,959

Derivative liabilities — 2,079 — — 2,079

Total liabilities — 2,079 — — 2,079

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

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

As of December 31, 2022, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager.

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

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.

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 September 30, 2023 and December 31, 2022.

September 30, 2023 December 31, 2022

(2) For more information on U.S.

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

Treasury Securities”.

(3) Our investment in an unconsolidated venture was valued using the net asset value (“NAV”) as a practical expedient and was not subject to redemption, although investors could sell or transfer their interest at the approval of the general partner of the underlying funds.

The unconsolidated venture made its final distribution in the first quarter of 2024.

March 31, 2024 December 31, 2023

$ 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 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).

The costs of support personnel provided by our Manager for the three months ended March 31, 2024 reimbursed or reimbursable by us were $ 231,000 (March 31, 2023:

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 nine months ended September 30, 2023 and 2022.

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

The following table summarizes the costs incurred on our behalf by our Manager during the three months ended March 31, 2024 and 2023.

Three Months Ended March 31,

$ in thousands 2024 2023

Incurred costs, prepaid or expensed 1,478 1,394

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

Total incurred costs, originally paid by our Manager 1,478 1,394

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 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.

During the three months ended March 31, 2024, we repurchased and retired 93,347 shares of Series B Preferred Stock and 95,917 shares of 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, 2024, we had authority to repurchase 1,092,650 additional shares of our Series B Preferred Stock and 949,522 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.

6 unchanged sentences

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

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

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

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

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

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

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

As of 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.

As of March 31, 2024, we may sell up to 5,934,691 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 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.

During the three months ended March 31, 2024, we sold 365,838 shares of common stock under our equity distribution agreement for proceeds of $ 3.3 million, net of approximately $ 43,000 in commissions and fees.

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

During the three months ended March 31, 2024 and 2023, we did not repurchase any shares of our common stock.

As of March 31, 2024, we had authority to repurchase 1,816,359 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 nine months ended September 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 months ended March 31, 2024 and 2023.

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

Three Months Ended September 30, 2023

Three Months Ended March 31, 2024

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

2 unchanged sentences

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 39 — 39

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 1,810 ) ( 1,810 )

Total other comprehensive income (loss) — ( 163 ) — ( 163 )

2 unchanged sentences

AOCI balance at end of period — 535 — 535

Three Months Ended September 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 — ( 1,243 ) — ( 1,243 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 4,855 ) ( 4,855 )

Currency translation adjustments on investment in unconsolidated venture ( 141 ) — — ( 141 )

Total other comprehensive income (loss) ( 141 ) ( 1,243 ) ( 4,855 ) ( 6,239 )

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

Total other comprehensive income (loss) ( 141 ) ( 1,243 ) ( 4,855 ) ( 6,239 )

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

Nine Months Ended September 30, 2023

Three Months Ended March 31, 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 — ( 476 ) — ( 476 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 212 — 212

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 9,505 ) ( 9,505 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense — — ( 4,494 ) ( 4,494 )

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

4 unchanged sentences

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

Nine Months Ended September 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 — ( 5,489 ) — ( 5,489 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 14,853 ) ( 14,853 )

Currency translation adjustments on investment in unconsolidated venture ( 434 ) — — ( 434 )

Total other comprehensive income (loss) ( 434 ) ( 5,489 ) ( 14,853 ) ( 20,776 )

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

Total other comprehensive income (loss) ( 434 ) ( 5,489 ) ( 14,853 ) ( 20,776 )

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

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 nine months ended September 30, 2023 and 2022.

Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on the condensed consolidated statements of operations as interest was 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, 2024 and 2023.

$ 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 21, 2024 0.4844 2,086 March 27, 2024

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

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

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

1 unchanged sentence

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 21, 2024 0.46875 3,499 March 27, 2024

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

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

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

1 unchanged sentence

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 26, 2024 0.40 19,530 April 26, 2024

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

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

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

Note 13 – Earnings (Loss) per Common Share

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,

Earnings (loss) per share for the three months ended March 31, 2024 and 2023 is computed as shown in the table below.

Three Months Ended March 31,

In thousands, except per share amounts 2024 2023

5 unchanged sentences

Shares available to common stockholders 48,500 39,607

Effect of dilutive securities:

Restricted stock awards 1 1

Dilutive Shares 48,501 39,608

3 unchanged sentences

Diluted 0.49 0.39

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) .

No potential weighted average common shares were excluded from diluted earnings per share for the three months ended March 31, 2024 or 2023 because the effect would be antidilutive .

Note 14 – Commitments and Contingencies

Commitments and Contingencies

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

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.

The unconsolidated venture is structured as a partnership, and we invested in the partnership as a limited partner.

The unconsolidated venture is in liquidation and plans to sell or settle its remaining investments as expeditiously as possible.

Until the venture completes its liquidation, we are committed to fund $ 2.9 million in additional capital to cover future expenses should they occur.

Our material off-balance sheet commitments as of March 31, 2024 are discussed below.

In the first quarter of 2024, we received a final distribution from our sole remaining unconsolidated venture.

However, as of March 31, 2024, we had an outstanding commitment to fund $ 2.9 million in additional capital if necessary because the venture had not yet been dissolved.

In April 2024, the venture was dissolved and the balance of our outstanding uncalled capital commitments was canceled.

Note 15 – Subsequent Events

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.

We declared the following dividends on May 7, 2024:

a Series B Preferred Stock dividend of $ 0.4844 per share payable on June 27, 2024 to our stockholders of record as of June 5, 2024 and a Series C Preferred Stock dividend of $ 0.46875 per share payable on June 27, 2024 to our stockholders of record as of June 5, 2024.

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