What changed in this filing

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Item 9A. Controls and Procedures

2025-02-20 compared with 2024-02-22 · 208 added, 242 removed, 1035 unchanged (30% of the section changed)

50 unchanged sentences

3.1 Articles of Amendment and Restatement of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 12, 2009.

3.2 Articles Supplementary of 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.3 to our Registration Statement on Form 8-A, filed with the SEC on September 8, 2014.

3.3 Articles Supplementary classifying 1,500,000 shares of the Company's preferred stock as additional Series B Shares, incorporated by reference to Exhibit 3.2 to our Current Report on Form 8-K, filed with the SEC on March 19, 2019.

3.2 Articles Supplementary of 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.4 to our Registration Statement on Form 8-A, filed with the SEC on August 11, 2017.

3.3 Articles Supplementary classifying 4,000,000 shares of the Company's preferred stock as additional Series C Shares, incorporated by reference to Exhibit 3.3 to our Current Report on Form 8-K, filed with the SEC on March 19, 2019.

3.6 Articles Supplementary reclassifying 2,110,000 shares of authorized but unissued shares of Series A Preferred Stock as shares of Preferred Stock without designation, incorporated by reference to Exhibit 3.1 to our Current Report on Form 8-K, filed with the SEC on June 17, 2021.

3.4 Articles Supplementary reclassifying 2,200,000 shares of authorized but unissued shares of Series B Preferred Stock as shares of Preferred Stock without designation, incorporated by reference to Exhibit 3.1 to our Current Report on Form 8-K, filed with the SEC on December 27, 2024.

3.5 Articles of Amendment of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.1 to our Current Report on Form 8-K, filed with the SEC on June 3, 2022.

3.6 Articles of Amendment of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.2 to our Current Report on Form 8-K, filed with the SEC on June 3, 2022.

3.9 Articles of Amendment (Authorized shares), incorporated by reference to Exhibit 3.9 to our Quarterly Report on Form 10-Q, filed with the SEC on August 4, 2022.

3.7 Articles of Amendment (Authorized shares), incorporated by reference to Exhibit 3.1 to our Current Report on Form 8-K, filed with the SEC on August 9, 2024.

3.8 Amended and Restated Bylaws of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.1 to our Current Report on Form 8-K, filed with the SEC on February 17, 2017.

4.1 Specimen Common Stock Certificate of Invesco Mortgage Capital Inc, incorporated by reference to Exhibit 4.1 to our Annual Report on Form 10-K filed with the SEC on February 21, 2023.

4.2 Specimen 7.75% Series B Fixed-to-Floating Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 to our Registration Statement on Form 8-A, filed with the SEC on September 8, 2014.

4.2 Specimen 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.5 to our Registration Statement on Form 8-A, filed with the SEC on August 11, 2017.

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2009 Equity Incentive Plan (May 2021), incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 4, 2021.

10.7 Equity Distribution Agreement with respect to the Series B Shares and Series C Shares, dated March 19, 2019, among Invesco Mortgage Capital Inc., IAS Operating Partnership LP, Invesco Advisers, Inc.

and JonesTrading Institutional Services LLC, incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on March 19, 2019.

10.8 Amendment No.

1 to the Equity Distribution Agreement, among Invesco Mortgage Capital Inc., the Operating Partnership, the Manager and JonesTrading Institutional Services LLC, incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on June 17, 2021.

10.9 Equity distribution agreement, dated February 23, 2023, among Invesco Mortgage Capital Inc., IAS Operating Partnership LP, Invesco Advisers, Inc., Citizens JMP Securities, LLC (formerly JMP Securities LLC) and JonesTrading Institutional Services LLC incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on February 23, 2023.

19 Insider Trading Policy

10.7 Equity distribution agreement, dated August 9, 2024, among Invesco Mortgage Capital Inc., IAS Operating Partnership LP, Invesco Advisers, Inc., BTIG, LLC, Citizens JMP Securities, LLC and JonesTrading Institutional Services LLC, incorporated by reference to Exhibit 1.1 to our Current Report on Form 8-K, filed with the SEC on August 9, 2024.

19 Insider Trading Policy, incorporated by reference to Exhibit 19 to our Annual Report on Form 10-K filed with the SEC on February 22, 2024.

21.1 Subsidiaries of the Registrant.

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Anzalone pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2 Certification of R.

Lee Phegley, Jr.

pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2 Certification of Mark Gregson pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1 Certification of John M.

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Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2 Certification of R.

Lee Phegley, Jr.

pursuant to Rule 13a-14(b) and 18 U.S.C.

32.2 Certification of Mark Gregson pursuant to Rule 13a-14(b) and 18 U.S.C.

Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

97 Policy for Recoupment of Incentive Compensation.

97 Policy for Recoupment of Incentive Compensation, incorporated by reference to Exhibit 97 to our Annual Report on Form 10-K filed with the SEC on February 22, 2024.

101 The following series of audited XBRL-formatted documents are collectively included herewith as Exhibit 101.

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

4,385,997 and 4,537,634 shares issued and outstanding, respectively ($ 109,650 and $ 113,441 aggregate liquidation preference, respectively)

106,014 109,679

no shares and 4,385,997 shares issued and outstanding, respectively ($ 0 and $ 109,650 aggregate liquidation preference, respectively)

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

7,545,439 and 7,816,470 shares issued and outstanding, respectively ($ 188,636 and $ 195,412 aggregate liquidation preference, respectively)

7,206,659 shares and 7,545,439 shares issued and outstanding, respectively ($ 180,166 and $ 188,636 aggregate liquidation preference, respectively)

174,281 182,474

Common Stock, par value $ 0.01 per share;

67,000,000 shares authorized, 48,460,626 and 38,710,916 shares issued and outstanding, respectively

134,000,000 and 67,000,000 shares authorized, respectively;

61,729,693 and 48,460,626 shares issued and outstanding, respectively

Additional paid in capital 4,127,807 4,011,138

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Interest expense 249,719 228,229 51,560

Repurchase agreements (1)

228,229 51,560 ( 11,290 )

Total interest expense 228,229 51,560 ( 11,290 )

Net interest income 36,827 49,700 142,953

21 unchanged sentences

Diluted 53,775,143 44,073,815 34,160,080

(1) Negative interest expense on repurchase agreements in 2021 is due to amortization of net deferred gains on de-designated interest rate swaps that exceeded current period interest expense on repurchase agreements.

For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - “Derivatives and Hedging Activities” and Note 12 - “Stockholders' Equity” .

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

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Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 526 320 —

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense ( 10,405 ) ( 19,708 ) ( 22,000 )

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense — ( 10,405 ) ( 19,708 )

Currency translation adjustments on investment in unconsolidated venture — ( 10 ) ( 537 )

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CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

$ in thousands except share amounts Series A

Preferred Stock Series B

$ in thousands except share amounts Series B

Preferred Stock Series C

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Stockholders’

Shares Amount Shares Amount Shares Amount Shares Amount

Shares Amount Shares Amount Shares Amount

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

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Stock awards — — — — 36,886 — — — — —

Redemption of preferred stock ( 5,600,000 ) ( 135,356 ) — — — — — — — — ( 4,682 ) ( 140,038 )

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

Repurchase and retirement of preferred stock ( 1,662,366 ) ( 40,181 ) ( 3,683,530 ) ( 89,080 ) — — — — 14,179 ( 115,082 )

Common stock dividends — — — — — — — — ( 107,555 ) ( 107,555 )

6 unchanged sentences

Stock awards — — — — 50,239 — — — — —

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

Repurchase and retirement of preferred stock ( 151,637 ) ( 3,665 ) ( 271,031 ) ( 6,554 ) — — — — 1,471 ( 8,748 )

7 unchanged sentences

Stock awards — — — — 64,099 1 — — — 1

Redemption of preferred stock ( 4,247,989 ) ( 102,678 ) — — — — — — ( 3,535 ) ( 106,213 )

Repurchase and retirement of preferred stock ( 138,008 ) ( 3,336 ) ( 338,780 ) ( 8,193 ) — — — — 427 ( 11,102 )

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Treasury securities — ( 59,514 ) ( 502,290 )

Distributions from (contributions to) investments in unconsolidated ventures, net 41 11,342 3,848

Distributions from investments in unconsolidated ventures, net 307 41 11,342

Principal payments from mortgage-backed securities 389,455 348,547 403,327

2 unchanged sentences

Treasury securities 10,755 48,977 468,051

Settlement (termination) of forwards, swaps, swaptions and TBAs, net ( 179,526 ) 459,466 156,160

Settlement (termination) of swaps, TBAs, futures and forwards, net 11,405 ( 179,526 ) 459,466

Net change in due from counterparties and collateral held payable on derivative instruments ( 580 ) 1,584 2,594

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Dividends declared not paid 24,692 19,384 25,162

Net change in investment related receivable (payable) 1,706 ( 707 ) 46

Net change in foreign currency translation adjustment recorded in accumulated other comprehensive income ( 113 ) 537 75

Offering costs not paid 10 144 527

Unsettled receivables recorded within investment related receivable — 2,429 723

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

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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”);

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

Treasury securities;

• a real estate-related financing arrangement.

During the periods presented in these consolidated financial statements, we also invested in a commercial mortgage loan.

During the periods presented in these consolidated financial statements, we also invested in a commercial mortgage loan, 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.

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Basis of Presentation and Consolidation

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

Common share amounts prior to June 3, 2022 have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022.

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

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

Certain reclassifications have been made to prior period amounts to conform to the current period presentation.

In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.

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GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes.

Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses.

Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses.

Actual results may differ from those estimates.

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Our reporting currency is U.S.

Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture whose functional currency is the Euro is translated to U.S.

We previously had an investment in an unconsolidated venture whose functional currency was the Euro.

Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture were translated to U.S.

dollars using the period-end exchange rates.

Equity accounts are translated at historical rates, except for the change in retained earnings during the year, which is the result of the income statement translation process.

Revenue and expense accounts are translated using the weighted average exchange rate during the period.

The cumulative translation adjustments associated with the investment in the unconsolidated venture are recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity.

Equity accounts were translated at historical rates, except for the change in retained earnings during the year, which were the result of the income statement translation process.

Revenue and expense accounts were translated using the weighted average exchange rate during the period.

The cumulative translation adjustments associated with the investment in the unconsolidated venture were originally recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity and reclassified to the consolidated statement of operations in the first quarter of 2023.

We have historically hedged foreign currency exposure with derivative financial instruments.

1 unchanged sentence

Fair Value Measurements

As described in Note 9 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy.

If the price of an instrument is readily available, meaning that it is a quoted price in an active market for identical assets, the instrument is classified as a level 1 measurement.

If the price of an instrument is obtained from quoted prices in inactive markets for similar instruments, or whose values are model-derived but the inputs are observable either directly or indirectly, the instrument is classified as a level 2 measurement.

If the inputs appear to be not observable, and reflect judgment about assumptions used to value the instrument, the instrument would be classified as a level 3 measurement.

Transfers between levels, if any, are determined at the end of the reporting period.

We report our MBS and derivative assets and liabilities at fair value as determined by an independent pricing service.

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If the primary pricing service cannot provide a price, we will seek a value from other pricing services.

The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed and credit risk transfer securities:

The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed securities:

a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities;

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We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations.

The pricing service values interest rate swaps, currency forward contracts, U.S.

Treasury securities and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market.

Our MBS are classified as Level 2 measurements in the fair value hierarchy.

Our futures contracts are valued based on exchange pricing for identical instruments and classified as Level 1 measurements in the fair value hierarchy.

Interest rate swaps are valued using the daily settlement price, or fair value, determined by the clearing exchange based on a pricing model that references observable market data, including current benchmark rates and the forward yield curve.

The valuation methodology for TBAs is similar to that of our Agency RMBS.

Our interest rate swaps and TBAs are classified as Level 2 measurements in the fair value hierarchy.

Overrides of prices from pricing services are rare in the current market environment for the assets we hold.

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Transparency tools are also available from the pricing services which help us understand data points and/or market inputs used for pricing securities.

We also review daily price movements for interest rate swaps, currency forward contracts and TBAs.

We also review daily price movements for interest rate swaps, futures contracts, currency forward contracts and TBAs.

Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information.

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The yield used in the discounted cash flow analysis was determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination.

As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy.

If the price of a security is readily available, meaning that it is a quoted price in an active market for identical assets, the security is classified as a level 1 security.

If the price of a security is obtained from quoted prices in inactive markets for similar instruments, or whose values are model-derived but the inputs are observable either directly or indirectly, the security is classified as a level 2 security.

If the inputs appear to be not observable, and reflect judgment about assumptions used to value the asset, the security would be classified as a level 3 security.

Transfers between levels, if any, are determined at the end of the reporting period.

Mortgage-Backed and Credit Risk Transfer Securities

Mortgage-Backed Securities

We record our purchases of MBS on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements.

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Allowances for Credit Losses on Available-for-Sale Securities

We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero.

We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk.

For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses.

For non-Agency RMBS and non-Agency CMBS that are classified as available-for-sale, we use a discounted cash flow method to estimate and recognize an allowance for credit losses.

We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment.

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For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively.

For Agency RMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows.

For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows.

We do not estimate prepayments in applying the effective interest method.

Commercial and Other Loans

We recognized interest income from commercial and other loans when earned and deemed collectible, or until a loan became past due based on the terms of the loan agreement.

Commercial Loans

We recognized interest income from commercial loans when earned and deemed collectible, or until a loan became past due based on the terms of the loan agreement.

Treasury Securities

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Investments in Unconsolidated Ventures

Our non-controlling investments in unconsolidated ventures are included in other assets in our consolidated balance sheets and are accounted for under the equity method.

Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements.

Our non-controlling investments in unconsolidated ventures were included in other assets in our consolidated balance sheets and accounted for under the equity method.

Capital contributions, distributions, profits and losses of the entities were allocated in accordance with the terms of the entities’ operating agreements.

Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in the entities' operating agreements.

Repurchase Agreements

We have financed our purchases of mortgage-backed and credit risk transfer securities primarily through the use of repurchase agreements.

We have financed our purchases of mortgage-backed securities primarily through the use of repurchase agreements.

Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

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Amounts recorded in accumulated other comprehensive income (loss) (“AOCI”) before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the 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.

We evaluate the terms and conditions of our holdings of swaptions, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S.

Accordingly, swaptions, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations.

The fair value of these swaptions, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets.

We evaluate the terms and conditions of our holdings of futures contracts, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S.

Accordingly, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations.

The fair value of these futures contracts, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets.

We elected to be taxed as a REIT commencing with our taxable year ended December 31, 2009.

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REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles.

We have elected to treat one of our subsidiaries as taxable REIT subsidiaries (“TRS”).

We have elected to treat one of our subsidiaries as a taxable REIT subsidiary (“TRS”).

In general, a TRS may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.

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We would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses.

Recently Issued Accounting Pronouncements

In November 2023, the Financial Standards Accounting Board issued an accounting standards update intended to improve reportable segment disclosure requirements on an annual and interim basis.

The amendments require, among other items, enhanced disclosures around significant segment expenses regularly provided to the chief operating decision maker (“CODM”), as well as the CODM's title and position.

Accounting Pronouncements Recently Adopted

In November 2023, the Financial Accounting Standards Board issued an accounting standards update intended to improve reportable segment disclosure requirements on an annual and interim basis.

The amendments require, among other items, enhanced disclosures around significant segment expenses regularly provided to the chief operating decision maker

(“CODM”), as well as the CODM's title and position.

Additionally, the amendments expand the scope of all segment reporting disclosure requirements to include those entities with only a single operating segment, such as us.

We are required to implement the amendments in our consolidated financial statements for the year ended December 31, 2024 and for interim periods thereafter.

The amendments must be applied on a retrospective basis and early adoption is permitted.

We are currently evaluating the impact of these amendments on our disclosures.

Note 3 – Variable Interest Entities (“VIEs”)

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

$ in thousands Carrying

Amount Company's Maximum Risk of Loss

Non-Agency CMBS 9,935 9,935

Non-Agency RMBS 8,139 8,139

Investment in unconsolidated venture 500 500

Total 18,574 18,574

Refer to Note 4 - “Mortgage-Backed Securities” for additional details regarding our non-Agency CMBS and non-Agency RMBS.

Refer to Note 13 “Segment Information” for our segment disclosures.

Recently Issued Accounting Pronouncements

In November 2024, the Financial Accounting Standards Board issued an accounting standard requiring public business entities to disclose disaggregated information about certain income statement line items.

Public business entities are required to disclose purchases of inventory, employee compensation, depreciation, intangible asset amortization and depletion for each income statement line item that contains those expenses.

Specified expenses, gains or losses that are already disclosed under existing U.S.

GAAP are required to be included in the disaggregated income statement expense line item disclosures, and any remaining amounts need to be described qualitatively.

Separate disclosures of total selling expenses and an entity’s definition of those expenses are also required.

The guidance does not change what an entity presents on the face of its income statement.

We are required to implement the new standard prospectively in our consolidated financial statements for the year ended December 31, 2027 and for interim periods thereafter.

We may implement the new standard retrospectively, and early adoption is permitted.

We are currently evaluating the impact of the new standard.

Note 3 – Mortgage-Backed Securities

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Value Period-

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

30 year fixed-rate pass-through 4,626,174 ( 87,357 ) 4,538,817 — 2,708 4,541,525 5.50 %

Agency-CMO (2)

529,137 ( 461,674 ) 67,463 — 3,313 70,776 9.20 %

Agency CMBS 845,736 ( 5,830 ) 839,906 — ( 23,759 ) 816,147 4.59 %

Non-Agency CMBS 11,000 — 11,000 ( 654 ) ( 510 ) 9,836 8.91 %

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

Total represents period-end weighted average yield of all mortgage-backed securities.

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

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

(2) All Agency-CMO are Agency IO.

Total represents period-end weighted average yield of all mortgage-backed securities.

(2) All Agency Agency-CMO are Agency IO.

(3) Non-Agency RMBS is 66.8 % fixed rate, 32.5 % variable rate and 0.7 % floating rate based on fair value.

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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 December 31, 2023 and December 31, 2022, approximately 99.7 % and 99.1 % of our MBS are accounted for under the fair value option, respectively.

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

December 31, 2024 December 31, 2023

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

30 year fixed-rate Agency RMBS — 4,952,474 4,952,474 — 4,661,737 4,661,737

30 year fixed-rate pass-through — 4,541,525 4,541,525 — 4,952,474 4,952,474

Agency-CMO — 70,776 70,776 — 74,758 74,758

Agency CMBS — 816,147 816,147 — — —

Non-Agency CMBS 9,836 — 9,836 9,935 — 9,935

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$ in thousands December 31, 2024 December 31, 2023

Less than one year — 26,593

Greater than one year and less than five years 10,045 189,845

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Losses Number of Securities

30 year fixed-rate pass-through (1)

2,251,552 ( 18,897 ) 29 — — — 2,251,552 ( 18,897 ) 29

Agency-CMO (1)

— — — 18,909 ( 2,300 ) 5 18,909 ( 2,300 ) 5

Agency CMBS (1)

792,031 ( 23,949 ) 49 — — — 792,031 ( 23,949 ) 49

Non-Agency CMBS (2)

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(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.

(2) Unrealized losses on non-Agency CMBS are recorded 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.

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Losses Number of Securities

30 year fixed-rate Agency RMBS (1)

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

Agency-CMO (1)

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(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.

(2) Unrealized losses on non-Agency CMBS are recorded 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.

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Such securities have unrealized losses of $ 399,000 .

We recorded a $ 320,000 provision for credit losses on a single non-Agency CMBS during the year ended December 31, 2023.

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

$ in thousands Years Ended December 31,

2023 2022 2021

Beginning allowance for credit losses ( 320 ) —

Additions to the allowance for credit losses on securities for which credit losses were not previously recorded — ( 320 )

Decreases in the allowance for credit losses on securities that had an allowance recorded in a previous period — — 1,768

Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period ( 458 ) —

Write-offs charged against the allowance 124 —

Ending allowance for credit losses ( 654 ) ( 320 )

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Agency RMBS 258,864 4,948 263,812

Agency CMBS 19,259 433 19,692

Non-Agency CMBS 498 496 994

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Non-Agency RMBS 1,223 ( 552 ) 671

Treasury securities 1,773 ( 41 ) 1,732

Other (inclusive of interest earned on cash balances) 1,030 — 1,030

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Treasury Securities

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

Treasury security as of December 31, 2023.

The security is classified as a trading security and matures in 2053.

We did not hold any U.S.

Treasury securities as of December 31, 2024.

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

Treasury security as of December 31, 2023.

We classified the security as a trading security and sold the security in 2024.

$ in thousands December 31, 2023

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Repurchase Agreements - Agency RMBS 4,112,219 4.80 % 29 4,458,695 5.53 % 20

Repurchase Agreements - Agency CMBS 781,739 4.77 % 32 — N/A N/A

Total Borrowings 4,893,958 4.80 % 29 4,458,695 5.53 % 20

Note 6 – 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 December 31, 2023 and 2022.

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

Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value.

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

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

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

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

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

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

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

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Agency RMBS 4,323,626 4,712,185

Agency CMBS 805,860 —

Total repurchase agreements collateral pledged 5,129,486 4,712,185

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Total Collateral Pledged:

Agency RMBS 4,712,185 4,439,583

Mortgage-backed securities 5,129,486 4,712,185

Restricted cash 137,478 121,670

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Repurchase Agreements:

Cash 2,475 4,892

Non-cash collateral — 39,130

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We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined.

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

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

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

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Interest Rate Swaps

As of December 31, 2023 and 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 December 31, 2024 and 2023, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange through a Futures Commission Merchant (“FCM”).

We are required to

pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM.

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

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Certain of our FCM agreements include cross default provisions.

Futures Contracts

We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM.

The daily variation margin payment for our futures contracts is characterized as settlement of the futures contract itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statement of operations.

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

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Interest Rate Swaps 4,065,000 2,640,000 ( 3,440,000 ) 3,265,000

8,150,000 3,525,000 ( 7,610,000 ) 4,065,000

Futures Contracts — 2,842,000 ( 1,440,000 ) 1,402,000

TBA Purchase Contracts — 1,500,000 ( 1,400,000 ) 100,000

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Total 4,065,000 5,482,000 ( 4,880,000 ) 4,667,000

(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 December 31, 2023 includes $ 4.1 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating 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 6 - “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.

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To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy.

Under the terms of the majority of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount.

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 were reclassified to interest expense on repurchase agreements on the 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 $ 10.4 million as a decrease to interest expense for the year ended December 31, 2023 (2022:

$ 19.7 million as a decrease;

Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount.

To a lesser extent, we have also used 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.

In 2013, we discontinued cash flow hedge accounting for our interest rate swaps.

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 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 $ 10.4 million as a decrease to interest expense during the year ended December 31, 2023 (2022:

$ 19.7 million as a decrease).

As of December 31, 2023, there were no net unrealized gains on discontinued cash flow hedges (2022:

$ 10.4 million) included in accumulated other comprehensive income.

As of December 31, 2023 and 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.

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

As of December 31, 2024 and 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 December 31, 2024

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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 have any interest rate swaps with forward start dates as of December 31, 2023.

As of 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.

We did not have any pay floating and receive fixed interest rate swaps as of December 31, 2023.

$ 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

Futures Contracts

We also use futures contracts to help mitigate the potential impact of changes in interest rates on our performance.

The table below presents certain details of our futures contracts as of December 31, 2024.

We did not hold any futures contracts as of December 31, 2023.

As of December 31, 2024

$ in thousands Notional Amount - Short

Treasury futures 136,000

Ultra 10 year U.S.

Treasury futures 1,057,000

Treasury futures 209,000

Total 1,402,000

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 have any interest rate swaps with forward start dates as of December 31, 2023.

Swaptions and Currency Forward Contracts

We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as “convexity risk”).

The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future.

The premium paid for interest rate swaptions is reported as a derivative asset in our consolidated balance sheets.

The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any.

The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our consolidated statements of operations.

If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid.

If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid.

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.

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$ in thousands As of December 31, 2024

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value

Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value - Asset (Liability) (1)

TBA purchase contracts 100,000 99,800 99,173 ( 627 )

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

TBA sales contracts ( 100,000 ) ( 99,194 ) ( 99,173 ) 21

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

Net TBA derivatives — 606 — ( 606 )

(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.

(1) Derivative assets and derivative liabilities related to TBAs are presented gross on the consolidated balance sheets.

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

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Interest Rate Swaps Asset 1,549 939 Interest Rate Swaps Liability — —

Futures Contract 3,463 — Futures Contract — —

TBAs 21 — TBAs 627 —

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Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement

The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2023, 2022 and 2021.

The following tables summarize the effect of interest rate swaps, futures contracts, TBAs and currency forward contracts reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2024, 2023 and 2022.

$ in thousands Year ended December 31, 2024

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Interest Rate Swaps ( 47,581 ) 161,762 610 114,791

Currency Forward Contracts ( 18 ) — — ( 18 )

Futures Contracts 58,000 — 3,463 61,463

TBAs 986 — ( 606 ) 380

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Interest Rate Swaps 593,035 86,872 11,426 691,333

Interest Rate Swaptions ( 553 ) — — ( 553 )

Currency Forward Contracts 919 — ( 271 ) 648

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Assets and liabilities subject to such arrangements are presented on a gross basis in the 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 consolidated balance sheets at December 31, 2023 and December 31, 2022.

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

Our derivative asset of $ 939,000 at December 31, 2023 (December 31, 2022:

asset of $ 20,000 ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

The daily variation margin payments for centrally cleared interest rate swaps and futures contracts are characterized as settlement of the derivative itself rather than collateral.

Our derivative assets of $ 1.5 million related to centrally cleared interest rate swaps and $ 3.5 million related to future contracts as of December 31, 2024 (December 31, 2023:

asset of $ 939,000 related to centrally cleared interest rate swaps) are not included in the table below as a result of this characterization of daily variation margin.

As of December 31, 2024

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(Received) Pledged Net Amount

Derivatives (1) (2)

21 — 21 — — 21

Total Assets 21 — 21 — — 21

Derivatives (1) (2)

( 627 ) — ( 627 ) — 580 ( 47 )

Repurchase Agreements (3)

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(Received) Pledged Net Amount

Derivatives (2) (3)

642 — 642 ( 642 ) — —

Total Assets 642 — 642 ( 642 ) — —

Derivatives (2) (3)

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

Repurchase Agreements (3)

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Total Liabilities ( 4,458,695 ) — ( 4,458,695 ) 4,458,695 — —

(1) The fair value of securities pledged against our borrowings under repurchase agreements was $ 4.7 billion as of December 31, 2023 (December 31, 2022:

$ 4.4 billion).

We held $ 2.5 million of cash collateral under repurchase agreements as of December 31, 2023 (December 31, 2022:

$ 4.9 million).

(1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.

(2) Cash collateral pledged by us on our derivatives was $ 138.1 million as of December 31, 2024 (December 31, 2023:

$ 104.8 million) of which $ 121.7 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022:

$ 103.2 million).

$ 121.7 million) of which $ 137.5 million relates to initial margin pledged on centrally cleared interest rate swaps and futures contracts (December 31, 2023:

$ 121.7 million for centrally cleared interest rate swaps).

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

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

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.1 billion as of December 31, 2024 (December 31, 2023:

$ 4.7 billion).

We held no cash collateral under repurchase agreements as of December 31, 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 consolidated balance sheets.

Note 9 – Fair Value of Financial Instruments

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Fair Value Measurements Using:

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

$ in thousands Level 1 Level 2 Level 3 Total at

Mortgage-backed securities (1)

— 5,445,508 — 5,445,508

Treasury securities (2)

— 11,214 — — 11,214

Derivative assets 3,463 1,570 — 5,033

Other assets — — — 500 500

Total assets 3,463 5,447,078 — 5,450,541

Derivative liabilities — 627 — 627

Total liabilities — 627 — 627

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 3 - “Mortgage-Backed Securities”.

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Treasury Securities”.

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

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

The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we valued utilizing Level 3 inputs.

$ in thousands December 31, 2022

Beginning balance 23,515

Repayments ( 23,919 )

Total net unrealized gains (losses) included in net income:

Unrealized gain (loss) 404

Ending balance —

Unrealized gains and losses on our commercial loan investment are included in gain (loss) on investments, net in our consolidated statements of operations.

(3) Our investment in an unconsolidated ventures 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.

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2024 and December 31, 2023.

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Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business.

The costs of support personnel provided by our Manager for the year ended December 31, 2023 were $ 1.6 million (2022:

The costs of support personnel provided by our Manager reimbursed or reimbursable by us for the year ended December 31, 2024 were $ 1.5 million (2023:

$ 1.6 million;

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GAAP and certain non-cash items upon approval by a majority of our independent directors.

We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager.

During the periods presented in these consolidated financial statements, we did not pay any management fees on our investments in unconsolidated ventures that were managed by an affiliate of our Manager.

Expense Reimbursement

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Preferred Stock

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

The excess of the consideration transferred over carrying value was accounted for as a deemed dividend and resulted in a reduction of $ 4.7 million in net income (loss) attributable to common stockholders during the year ended December 31, 2021.

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

During the year ended December 31, 2023, we repurchased and retired 151,637 shares of Series B Preferred Stock and 271,031 shares of Series C Preferred Stock and recorded a gain on repurchase and retirement of preferred stock of $ 1.5 million.

During the year ended December 31, 2024, we repurchased and retired 138,008 shares of Series B Preferred Stock (prior to the redemption discussed below) and 338,780 shares of Series C Preferred Stock and recorded a gain on repurchase and retirement of preferred stock of $ 427,000 .

As of December 31, 2023, we had authority to repurchase 1,185,997 additional shares of our Series B Preferred Stock and 1,045,439 additional shares of our Series C Preferred Stock under the current share repurchase program.

Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75 % of the liquidation preference of $ 25.00 per share or $ 1.9375 per share per annum until December 27, 2024.

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

Dividends are cumulative and payable quarterly in arrears.

As of December 31, 2024, we had authority to repurchase 706,659 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.

On December 27, 2024, we redeemed all issued and outstanding shares of our Series B Preferred Stock for $ 106.2 million.

The cash redemption price for each share of Series B Preferred Stock was $ 25.00 .

The excess of the consideration transferred over carrying value was accounted for as a deemed dividend and resulted in a reduction of $ 3.5 million in net income attributable to common stockholders for the year ended December 31, 2024.

Prior to redemption, holders of our Series B Preferred Stock were 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.

Dividends were cumulative and payable quarterly in arrears.

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

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

After September 27, 2027, holders are

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

Dividends are cumulative and payable quarterly in arrears.

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.

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.

We have the option to redeem 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 C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before that time, 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.

2 unchanged sentences

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.

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.

In August 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 .

As of December 31, 2024, we may sell up to 11,095,561 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.

2 unchanged sentences

9,699,471 shares) of common stock in at-the-market transactions under our equity distribution agreements for proceeds of $ 116.2 million (2023:

$ 81.6 million) net of approximately $ 1.5 million (2022:

$ 109.1 million), which is net of approximately $ 1.7 million (2023:

$ 1.5 million) in commissions and fees.

1 unchanged sentence

As of December 31, 2024, we had authority to purchase 1,816,359 shares of our common stock through our share repurchase program.

For the year ended December 31, 2023, we granted 45,567 restricted shares of common stock to our independent directors (December 31, 2022:

For the year ended December 31, 2024, we granted 64,969 restricted shares of common stock to our independent directors (2023:

45,567 shares).

Restricted shares become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting.

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

December 31, 2023

Year ended December 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 — 526 — 526

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 10,405 ) ( 10,405 )

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

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

Total other comprehensive income (loss) — ( 525 ) — ( 525 )

2 unchanged sentences

AOCI balance at end of period — 173 — 173

December 31, 2022

Year ended December 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 — ( 91 ) — ( 91 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 320 — 320

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — ( 10,405 ) ( 10,405 )

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

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

Total other comprehensive income (loss) 113 229 ( 10,405 ) ( 10,063 )

2 unchanged sentences

AOCI balance at end of period — 698 — 698

Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on repurchase agreements on the 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.

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

Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps were reclassified to interest expense on the 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.

We declared the following dividends during 2024 and 2023.

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The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2024 and 2023.

Common stock dividends on CUSIP 46131B100, which were declared and paid prior to our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022, have not been retroactively adjusted in the table below.

Tax Characterization of Dividends

7 unchanged sentences

Common Stock Dividends

Fiscal tax year 2023 (CUSIP 46131B704) 0.650000 1.600000 2.250000 — —

Fiscal tax year 2022 (CUSIP 46131B704) (1)

— 1.550000 0.873081 0.676919 —

Fiscal tax year 2022 (CUSIP 46131B100)

0.090000 0.090000 0.101390 0.078610 —

(1) Excludes common stock dividend of $ 0.65 per share declared on December 19, 2022 that had a record date of January 9, 2023.

This dividend is a 2023 dividend for federal income tax purposes.

Fiscal tax year 2024 — 1.600000 1.600000 — —

Fiscal tax year 2023 0.650000 1.600000 2.250000 — —

Note 12 – Earnings (Loss) per Common Share

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

Earnings (loss) per share for the years ended December 31, 2024, 2023 and 2022 is computed as follows.

7 unchanged sentences

Shares available to common stockholders 53,773 44,074 34,160

Effect of dilutive securities:

Restricted stock awards 2 — —

Dilutive Shares 53,775 44,074 34,160

3 unchanged sentences

Diluted 0.65 ( 0.85 ) ( 12.21 )

The following potential weighted average common shares were excluded from diluted earnings per share as the effect would be antidilutive:

for the year ended December 31, 2023:

944 shares for restricted stock awards.

(December 31, 2022:

1,216 for restricted stock awards;

December 31, 2021:

The following potential weighted average common shares were excluded from diluted earnings per share as the effect would be antidilutive for the year ended December 31, 2023:

944 for restricted stock awards (December 31, 2022:

1,216 for restricted stock awards).

Note 13 - Segment Information

We manage our operations on a consolidated basis and our investment strategy and management approach are focused on allocating resources and assessing the performance of our investment portfolio in total.

Accordingly, we have a single operating segment.

We generate interest income on our investments in MBS and other real estate-related assets.

The majority of our investments are fixed-rate Agency MBS with principal and interest that are guaranteed by a U.S.

government agency or a federally chartered corporation.

All of our interest income and assets are attributed to the United States.

Our chief operating decisions makers (“CODMs”) are our officers that serve as members of our investment committee, which includes our Chief Executive Officer, Chief Investment Officer, Chief Operating Officer, Chief Financial Officer and President.

The CODMs use net income (loss) to assess performance and make decisions about capital allocation and our portfolio composition, including our allocation to certain investment types, amount of borrowings and hedging activities.

The accounting policies of the segment are the same as those described in Note 2 “Summary of Significant Accounting Policies”.

Total segment net income (loss) and total segment assets are the same as total net income (loss) and total assets as reported on our consolidated statements of operations and consolidated balance sheets, respectively.

We regularly report interest expense, management fees and general and administrative expenses as separately presented on our consolidated statements of operations to our CODMs.

Note 14 – Commitments and Contingencies

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

Our material off balance sheet commitments and contingencies as of December 31, 2023 are discussed below.

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.

As of December 31, 2024, we were not aware of any reported or unreported contingencies.

Note 15 – Subsequent Events

We declared the following dividends on February 21, 2024:

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

On February 19, 2025, we declared a Series C Preferred Stock dividend of $ 0.46875 per share payable on March 27, 2025 to our stockholders of record as of March 5, 2025.

INVESCO MORTGAGE CAPITAL INC.

18 unchanged sentences

Anzalone (principal executive officer)

Lee Phegley, Jr.

Chief Financial Officer February 22, 2024

Lee Phegley, Jr.

(principal financial officer)

/s/ Roseann M.

Perlis Chief Accounting Officer February 22, 2024

Perlis (principal accounting officer)

/s/ Mark Gregson Chief Financial Officer February 20, 2025

Mark Gregson (principal financial officer)

/s/ Stephanie Botha Chief Accounting Officer February 20, 2025

Stephanie Botha (principal accounting officer)

Day Director February 20, 2025

/s/ Robert L.

Fleshman Director February 20, 2025

/s/ Carolyn Gibbs Director February 20, 2025

7 unchanged sentences

Lockhart Director February 20, 2025

/s/ Wes McMullan Director February 20, 2025

Zayicek Director February 20, 2025

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-K

Item 9A. Controls and Procedures