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Item 1. Financial Statements

2024-08-08 compared with 2024-05-08 · 209 added, 96 removed, 626 unchanged (33% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts June 30, 2024 December 31, 2023

Mortgage-backed securities, at fair value (including pledged securities of $ 4,450,061 and $ 4,712,185 , respectively;

4 unchanged sentences

Restricted cash 124,667 121,670

Due from counterparties 1,279 —

Investment related receivable 35,599 26,604

4 unchanged sentences

Repurchase agreements 4,260,475 4,458,695

Derivative liabilities, at fair value 1,525 —

Dividends payable 20,255 19,384

25 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

Three Months Ended March 31,

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

$ in thousands, except share data 2024 2023 2024 2023

24 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

Three Months Ended March 31,

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

$ in thousands 2024 2023 2024 2023

15 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2024 and 2023

For the three months ended March 31, 2024 and June 30, 2024

Capital Accumulated

18 unchanged sentences

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

Net income (loss) — — — — — — — — ( 13,466 ) ( 13,466 )

Other comprehensive income (loss) — — — — — — — 113 — 113

Proceeds from issuance of common stock, net of offering costs — — — — 1,761,155 18 16,034 — — 16,052

Stock awards — — — — 50,855 — — — — —

Repurchase and retirement of preferred stock ( 44,661 ) ( 1,080 ) ( 105,492 ) ( 2,551 ) — — — — 208 ( 3,423 )

Common stock dividends — — — — — — — — ( 20,255 ) ( 20,255 )

Preferred stock dividends — — — — — — — — ( 5,508 ) ( 5,508 )

Amortization of equity-based compensation — — — — — — 131 — — 131

Balance as of June 30, 2024 4,247,989 102,678 7,344,030 177,603 50,637,604 506 4,030,745 648 ( 3,552,964 ) 759,216

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, 2023 and June 30, 2023

Capital Accumulated

17 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) — — — — — — — — 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

Stock awards — — — — 43,980 — — — — —

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

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

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

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

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

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

2 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Three Months Ended March 31,

Six Months Ended June 30,

$ in thousands 2024 2023

20 unchanged sentences

Treasury securities 10,755 —

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

Settlement (termination) of swaps, TBAs and forwards, net 26,338 ( 64,954 )

Net change in due from counterparties and collateral held payable on derivative instruments ( 1,279 ) 1,584

26 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 March 31, 2024, we were invested in:

As of June 30, 2024, 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 March 31, 2024 is presented in the table below.

Our maximum risk of loss in VIEs in which we are not the primary beneficiary as of June 30, 2024 is presented in the table below.

$ in thousands Carrying

5 unchanged sentences

Note 4 – Mortgage-Backed Securities

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

As of March 31, 2024

The following tables summarize our MBS portfolio by asset type as of June 30, 2024 and December 31, 2023.

As of June 30, 2024

$ in thousands Principal/ Notional

12 unchanged sentences

Total 5,699,125 ( 867,675 ) 4,831,450 ( 622 ) 5,999 4,836,827 5.45 %

(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.

(1) Period-end weighted average yield is based on amortized cost as of June 30, 2024 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 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 March 31, 2024 and December 31, 2023.

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, 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

As of June 30, 2024 and December 31, 2023, approximately 99.7 % of our MBS were accounted for under the fair value option.

June 30, 2024 December 31, 2023

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

6 unchanged sentences

Total 15,480 4,821,347 4,836,827 15,678 5,029,628 5,045,306

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:

The components of the carrying value of our MBS portfolio as of June 30, 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 $ 21.9 million as of June 30, 2024 (December 31, 2023:

$ 22.3 million).

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

$ 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 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

Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 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 June 30, 2024 and December 31, 2023 .

$ in thousands June 30, 2024 December 31, 2023

Less than one year — —

2 unchanged sentences

Total 4,836,827 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 March 31, 2024 and December 31, 2023.

As of March 31, 2024

As of June 30, 2024

Less than 12 Months 12 Months or More Total

14 unchanged sentences

166,146 ( 806 ) 16 — — — 166,146 ( 806 ) 16

Non-Agency CMBS (2)

— — — 10,189 ( 207 ) 1 10,189 ( 207 ) 1

Non-Agency RMBS (2)

2 unchanged sentences

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

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

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

(2) Includes non-Agency IO with a fair value of $ 1.1 million for which the fair value option has been elected.

23 unchanged sentences

Such securities have unrealized losses of $ 399,000 .

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.

We recorded a $ 263,000 and $ 302,000 provision for credit losses during the three and six months ended June 30, 2024, respectively, and a $ 169,000 provision for credit losses during the three and six months ended June 30, 2023 on a single non-Agency CMBS.

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

Three Months Ended March 31,

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

$ in thousands 2024 2023 2024 2023

Beginning allowance for credit losses ( 359 ) — ( 320 ) —

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

Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period ( 263 ) — ( 302 ) —

Ending allowance for credit losses ( 622 ) ( 169 ) ( 622 ) ( 169 )

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,

The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2024 and 2023.

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

$ in thousands 2024 2023 2024 2023

7 unchanged sentences

Total gain (loss) on investments, net ( 45,212 ) ( 99,679 ) ( 111,365 ) ( 47,723 )

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

The following tables present components of interest income recognized for the three and six months ended June 30, 2024 and 2023.

For the three months ended June 30, 2024

$ in thousands Coupon

6 unchanged sentences

Non-Agency RMBS 274 ( 110 ) 164

Other (inclusive of interest earned on cash balances) 344 — 344

Total interest income 66,248 1,780 68,028

For the three months ended June 30, 2023

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 68,570 1,138 69,708

Non-Agency CMBS 491 296 787

Non-Agency RMBS 288 ( 125 ) 163

Other (inclusive of interest earned on cash balances) 770 — 770

Total interest income 70,119 1,309 71,428

For the six months ended June 30, 2024

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 127,377 2,732 130,109

Agency CMBS 4,760 170 4,930

Non-Agency CMBS 251 257 508

Non-Agency RMBS 554 ( 235 ) 319

Treasury securities 22 ( 1 ) 21

1 unchanged sentence

Total interest income 133,688 2,923 136,611

For the three months ended March 31, 2023

For the six months ended June 30, 2023

$ in thousands Coupon

13 unchanged sentences

We did not hold any U.S.

Treasury securities as of March 31, 2024.

Treasury securities as of June 30, 2024.

$ in thousands December 31, 2023

9 unchanged sentences

Our repurchase agreements are subject to certain financial covenants.

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.

We were in compliance with all of these covenants as of June 30, 2024.

The following tables summarize certain characteristics of our borrowings as of June 30, 2024 and December 31, 2023.

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

$ in thousands March 31, 2024 December 31, 2023

$ in thousands June 30, 2024 December 31, 2023

Weighted Weighted

7 unchanged sentences

Note 7 - Collateral Positions

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.

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps and to-be-announced securities forward contracts ("TBAs") as of June 30, 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.

1 unchanged sentence

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

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

As of June 30, 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 March 31, 2024 December 31, 2023

Collateral Pledged June 30, 2024 December 31, 2023

Repurchase Agreements:

9 unchanged sentences

Total Collateral Pledged 4,576,007 4,833,855

Collateral Held March 31, 2024 December 31, 2023

Collateral Held June 30, 2024 December 31, 2023

Repurchase Agreements:

Cash 412 2,475

Non-cash collateral 2,160 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 March 31, 2024 (December 31, 2023:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104 % as of June 30, 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 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”).

As of June 30, 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 March 31, 2024

or Exercise Notional Amount as of June 30, 2024

Interest Rate Swaps 4,065,000 1,890,000 ( 2,040,000 ) 3,915,000

TBA Purchase Contracts — 900,000 ( 700,000 ) 200,000

TBA Sale Contracts — ( 700,000 ) 700,000 —

Total 4,065,000 2,090,000 ( 2,040,000 ) 4,115,000

7 unchanged sentences

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

We reclassified $ 3.2 million and $ 7.7 million as a decrease to interest expense during the three and six months ended June 30, 2023, respectively.

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

As of June 30, 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 June 30, 2024

Maturities Notional

15 unchanged sentences

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.

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

The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2024.

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

$ in thousands As of June 30, 2024

Amount Implied

Cost Basis Implied

Market Value Net

Carrying Value

TBA Purchase Contracts 200,000 199,945 198,420 ( 1,525 )

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

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

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, 2024 and December 31, 2023.

$ in thousands

1 unchanged sentence

2024 December 31,

2023 March 31,

2023 June 30,

2024 December 31,

1 unchanged sentence

Interest Rate Swaps Asset 8,991 939 Interest Rate Swaps Liability — —

TBAs — — TBAs 1,525 —

Total Derivative Assets 8,991 939 Total Derivative Liabilities 1,525 —

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.

The following tables summarize the effect of interest rate swaps, TBAs and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2024 and 2023.

$ in thousands

Three Months Ended March 31, 2024

Three Months Ended June 30, 2024

not designated as

1 unchanged sentence

Interest Rate Swaps ( 22,871 ) 43,271 8,860 29,260

TBAs 527 — ( 1,525 ) ( 998 )

Total ( 22,344 ) 43,271 7,335 28,262

$ in thousands

Three Months Ended March 31, 2023

Three Months Ended June 30, 2023

not designated as

1 unchanged sentence

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

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 929 ) — 929 —

Total 26,946 63,437 6,241 96,624

$ in thousands

Six Months Ended June 30, 2024

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 25,811 88,558 8,052 122,421

TBAs 527 — ( 1,525 ) ( 998 )

Total 26,338 88,558 6,527 121,423

$ in thousands

Six Months Ended June 30, 2023

not designated as

hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net

Interest Rate Swaps ( 63,056 ) 117,901 ( 2,656 ) 52,189

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 1,880 ) — 1,438 ( 442 )

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

Note 9 – Offsetting Assets and Liabilities

1 unchanged sentence

Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets.

The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023.

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

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

Our derivative asset of $ 9.0 million as of June 30, 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 March 31, 2024

As of June 30, 2024

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

6 unchanged sentences

(Received) Pledged Net

Derivatives (1)

( 1,525 ) — ( 1,525 ) — 1,279 ( 246 )

Repurchase Agreements (2)

1 unchanged sentence

Total Liabilities ( 4,262,000 ) — ( 4,262,000 ) 4,260,475 1,279 ( 246 )

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

As of December 31, 2023

11 unchanged sentences

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

$ 2.5 million).

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

(1) Cash collateral pledged by us on our derivatives was $ 125.9 million as of June 30, 2024 (December 31, 2023:

$ 121.7 million) of which $ 124.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2023:

1 unchanged sentence

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.

We held no cash collateral on our derivatives as of June 30, 2024 or December 31, 2023.

(2) The fair value of securities pledged against our borrowings under repurchase agreements was $ 4.5 billion as of June 30, 2024 (December 31, 2023:

$ 4.7 billion).

We held no cash collateral under repurchase agreements as of June 30, 2024 (December 31, 2023:

$ 2.5 million).

Gross amounts not offset are limited to the net amount of repurchase agreement liabilities presented sufficient to reduce the net amount to zero for each counterparty.

Accordingly, cash collateral held under repurchase agreements is not shown in the table above, but the obligation to return the cash collateral is separately reported within collateral held payable on the condensed consolidated balance sheets.

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 March 31, 2024

As of June 30, 2024

Fair Value Measurements Using:

4 unchanged sentences

Total assets — 4,845,818 — 4,845,818

Derivative liabilities — 1,525 — 1,525

Total liabilities — 1,525 — 1,525

As of December 31, 2023

14 unchanged sentences

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

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 March 31, 2024 and December 31, 2023.

March 31, 2024 December 31, 2023

June 30, 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 months ended March 31, 2024 reimbursed or reimbursable by us were $ 231,000 (March 31, 2023:

The costs of support personnel provided by our Manager for the three and six months ended June 30, 2024 reimbursed or reimbursable by us were $ 339,000 and $ 570,000 , respectively (June 30, 2023:

$ 461,000 and $ 870,000 , respectively).

Management Fee

7 unchanged sentences

Our reimbursement obligation is not subject to any dollar limitation.

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

Three Months Ended March 31,

The following table summarizes the costs incurred on our behalf by our Manager during the three and six months ended June 30, 2024 and 2023.

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

$ in thousands 2024 2023 2024 2023

Incurred costs, prepaid or expensed 1,409 1,294 2,888 2,688

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

Total incurred costs, originally paid by our Manager 1,409 1,551 2,888 2,945

2 unchanged sentences

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

During the three months ended March 31, 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.

During the three and six months ended June 30, 2024, we repurchased and retired 44,661 and 138,008 shares of Series B Preferred Stock, respectively, and 105,492 and 201,409 shares of Series C Preferred Stock, respectively.

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.

As of June 30, 2024, we had authority to repurchase 1,047,989 additional shares of our Series B Preferred Stock and 844,030 additional shares of our Series C Preferred Stock under the current preferred stock 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.

4 unchanged sentences

Dividends are cumulative and payable quarterly in arrears.

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

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

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

As of March 31, 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.

As of June 30, 2024, we had 4,173,536 shares of our common stock remaining available for sale from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents.

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

During the three months ended March 31, 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.

Refer to Note 15 - “Subsequent Events” for information on sales of shares under our equity distribution agreement subsequent to June 30, 2024.

During the three months ended June 30, 2024, we sold 1,761,155 shares of common stock under our equity distribution agreement for proceeds of $ 16.1 million, net of approximately $ 210,000 in commissions and fees.

During the six months ended June 30, 2024, we sold 2,126,993 shares of common stock under our equity distribution agreement for proceeds of $ 19.4 million, net of approximately $ 254,000 in commissions and fees.

During the three months ended June 30, 2023, we sold 2,888,639 shares of common stock under an 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.

During the three and six months ended June 30, 2024 and 2023, we did not repurchase any shares of our common stock.

As of June 30, 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 months ended March 31, 2024 and 2023.

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, 2024 and 2023.

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

Three Months Ended March 31, 2024

Three Months Ended June 30, 2024

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

6 unchanged sentences

AOCI balance at end of period — 648 — 648

Three Months Ended March 31, 2023

Three Months Ended June 30, 2023

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

1 unchanged sentence

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

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

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

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

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

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

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

Six Months Ended June 30, 2024

$ 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 — ( 352 ) — ( 352 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 302 — 302

Total other comprehensive income (loss) — ( 50 ) — ( 50 )

AOCI balance at beginning of period — 698 — 698

Total other comprehensive income (loss) — ( 50 ) — ( 50 )

AOCI balance at end of period — 648 — 648

Six Months Ended June 30, 2023

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

Total other comprehensive income (loss)

Unrealized gain (loss) on mortgage-backed securities, net — ( 607 ) — ( 607 )

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

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

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

5 unchanged sentences

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.

The table below summarizes the dividends we declared during the six months ended June 30, 2024 and 2023.

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

May 7, 2024 0.4844 2,058 June 27, 2024

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

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

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

1 unchanged sentence

Series C Preferred Stock Per Share In Aggregate Date of Payment

May 7, 2024 0.46875 3,450 June 27, 2024

February 21, 2024 0.46875 3,499 March 27, 2024

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

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

1 unchanged sentence

Common Stock Per Share In Aggregate Date of Payment

June 24, 2024 0.40 20,255 July 26, 2024

March 26, 2024 0.40 19,530 April 26, 2024

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

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

Note 13 – Earnings (Loss) per Common Share

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,

Earnings (loss) per share for the three and six months ended June 30, 2024 and 2023 is computed as shown in the table below.

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

In thousands, except per share amounts 2024 2023 2024 2023

12 unchanged sentences

Diluted ( 0.38 ) ( 0.03 ) 0.10 0.35

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 .

The following potential weighted average common shares were excluded from diluted earnings per share for the three months ended June 30, 2024 as the effect would be antidilutive:

822 for restricted stock awards (three months ended June 30, 2023:

654 for restricted stock awards).

Note 14 – Commitments and Contingencies

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

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.

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

Note 15 – Subsequent Events

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.

Issuances of Common Stock

In July 2024, the Company sold 4,173,536 shares of common stock under its current equity distribution agreement for net proceeds of $ 37.9 million.

Following these sales, there were no shares remaining available for sale under the Company's current equity distribution agreement.

We declared the following dividends on August 7, 2024:

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

Change in Authorized Common Stock

On August 8, 2024, the Company filed an Articles of Amendment to increase the number of shares of common stock, par value $ 0.01 per share, that the Company has authority to issue.

Effective upon filing, the Articles of Amendment amended the Charter of the Company to increase the total authorized number of shares of common stock of the Company from 67,000,000 to 134,000,000 .

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements