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Item 1. Financial Statements

2025-05-07 compared with 2024-11-05 · 165 added, 322 removed, 549 unchanged (47% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts March 31, 2025 December 31, 2024

Mortgage-backed securities, at fair value (including pledged securities of $ 5,616,874 and $ 5,129,486 , respectively;

1 unchanged sentence

5,945,789 5,445,508

Treasury securities, at fair value — 11,214

Cash and cash equivalents 42,894 73,403

Restricted cash 138,611 137,478

Due from counterparties 251 580

Investment related receivable 27,315 24,870

4 unchanged sentences

Repurchase agreements 5,354,561 4,893,958

Derivative liabilities, at fair value 1,767 627

Dividends payable 22,420 24,692

8 unchanged sentences

50,000,000 shares authorized:

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

4,247,989 and 4,385,997 shares issued and outstanding, respectively ($ 106,200 and $ 109,650 aggregate liquidation preference, respectively)

102,678 106,014

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

2 unchanged sentences

Common Stock, par value $ 0.01 per share;

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

134,000,000 shares authorized;

65,942,495 and 61,729,693 shares issued and outstanding, respectively

8 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

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

Three Months Ended March 31,

$ in thousands, except share data 2025 2024

7 unchanged sentences

Gain (loss) on derivative instruments, net ( 76,679 ) 93,161

Other investment income (loss), net — — — ( 66 )

Total other income (loss) 5,479 26,776

4 unchanged sentences

Dividends to preferred stockholders ( 3,341 ) ( 5,585 )

Gain on repurchase and retirement of preferred stock 25 347 426 711

Gain (loss) on repurchase and retirement of preferred stock ( 11 ) 193

Net income (loss) attributable to common stockholders 16,289 23,730

7 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

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

Three Months Ended March 31,

$ in thousands 2025 2024

2 unchanged sentences

Unrealized gain (loss) on mortgage-backed securities, net 500 ( 202 )

Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on investments, net 116 —

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

Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense — ( 1,810 ) — ( 9,505 )

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

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

Total other comprehensive income (loss) 616 ( 163 )

1 unchanged sentence

Dividends to preferred stockholders ( 3,341 ) ( 5,585 )

Gain on repurchase and retirement of preferred stock 25 347 426 711

Gain (loss) on repurchase and retirement of preferred stock ( 11 ) 193

Comprehensive income (loss) attributable to common stockholders 16,905 23,567

3 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2024;

June 30, 2024 and September 30, 2024

Capital Accumulated

4 unchanged sentences

Stockholders’

Preferred Stock Series C

Preferred Stock

$ in thousands, except share amounts Common Stock

Shares Amount Shares Amount Shares Amount

Shares Amount Shares Amount

Balance as of December 31, 2024 7,206,659 174,281 61,729,693 617 4,127,807 173 ( 3,572,149 ) 730,729

8 unchanged sentences

Balance as of March 31, 2025 7,116,513 172,101 65,942,495 659 4,163,897 789 ( 3,578,280 ) 759,166

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

Net income (loss) — — — — — — — — 40,720 40,720

Other comprehensive income (loss) — — — — — — — ( 287 ) — ( 287 )

Proceeds from issuance of common stock, net of offering costs — — — — 10,084,138 101 88,445 — — 88,546

Stock awards — — — — 8,545 — — — — —

Repurchase and retirement of preferred stock — — ( 66,507 ) ( 1,608 ) — — — — 25 ( 1,583 )

Common stock dividends — — — — — — — — ( 24,292 ) ( 24,292 )

Preferred stock dividends — — — — — — — — ( 5,474 ) ( 5,474 )

Amortization of equity-based compensation — — — — — — 157 — — 157

Balance as of September 30, 2024 4,247,989 102,678 7,277,523 175,995 60,730,287 607 4,119,347 361 ( 3,541,985 ) 857,003

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;

June 30, 2023 and September 30, 2023

Capital Accumulated

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

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

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

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

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

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

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

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

Stock awards — — — — 43,980 — — — — —

Repurchase and retirement of preferred stock ( 93,347 ) ( 2,256 ) ( 95,917 ) ( 2,320 ) — — — — 193 ( 4,383 )

2 unchanged sentences

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

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

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

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

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

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

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

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

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

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

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

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

2 unchanged sentences

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Nine Months Ended September 30,

Three Months Ended March 31,

$ in thousands 2025 2024

8 unchanged sentences

Other amortization 176 128

Loss on foreign currency translation — 123

Changes in operating assets and liabilities:

4 unchanged sentences

Purchase of mortgage-backed securities ( 884,448 ) ( 390,380 )

Purchase of U.S.

Treasury securities — ( 48,672 )

Distributions from investments in unconsolidated ventures, net — 307

3 unchanged sentences

Treasury securities — 10,755

Settlement (termination) of swaps, TBAs, futures and forwards, net ( 146,459 ) 19,611

Settlement (termination) of swaps, TBAs and futures, net ( 101,516 ) 48,682

Net change in due from counterparties and collateral held payable on derivative instruments 525 —

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Non-cash Investing and Financing Activities Information

Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale 337 486

Dividends declared not paid 22,420 19,530

Net change in investment related receivable (payable) ( 1,772 ) 80

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

Unsettled receivables recorded within investment related receivable 21 109

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

5 unchanged sentences

(the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities (“MBS”) and other mortgage-related assets.

As of September 30, 2024, we were invested in:

As of March 31, 2025, we were invested in:

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

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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”);

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

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

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

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

During the periods presented in these condensed consolidated financial statements, we also invested in CMBS that are not guaranteed by a U.S.

government agency or a federally chartered corporation (“non-Agency CMBS”), U.S.

Treasury securities and a real estate-related financing arrangement in the form of an unconsolidated venture.

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

(the “Operating Partnership”) and have one operating segment.

Refer to Note 13 - “Segment Information” of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2024 for additional information on our operating segment.

We are externally managed and advised by Invesco Advisers, Inc.

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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 condensed 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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Significant Accounting Policies

There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2023 other than as detailed below.

Futures Contracts

We account for our futures contracts as derivative financial instruments.

Futures contracts are recorded on our condensed consolidated balance sheets at fair value, and changes in fair value are recorded within gain (loss) on derivative instruments, net on our condensed consolidated statements of operations.

Our futures contracts are exchange-traded and valued under the market approach using quoted prices for identical instruments in active markets.

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.

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.

Note 3 – Variable Interest Entities ("VIEs")

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

$ in thousands Carrying

Amount Company's Maximum Risk of Loss

Non-Agency CMBS 9,936 9,936

Non-Agency RMBS 7,673 7,673

Total 17,609 17,609

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

There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2024.

Note 3 – Mortgage-Backed Securities

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

As of September 30, 2024

The following tables summarize our MBS portfolio by asset type as of March 31, 2025 and December 31, 2024.

As of March 31, 2025

$ in thousands Principal/ Notional

1 unchanged sentence

(Discount) Amortized

Cost Allowance for Credit Losses Unrealized

Cost Unrealized

(Loss), net Fair

4 unchanged sentences

Agency CMBS 898,738 ( 6,667 ) 892,071 ( 1,699 ) 890,372 4.62 %

Non-Agency CMBS 11,000 — 11,000 ( 542 ) ( 522 ) 9,936 8.91 %

Non-Agency RMBS (3)(4)(5)

1 unchanged sentence

Total 6,614,347 ( 739,151 ) 5,875,196 70,593 5,945,789 5.51 %

(1) Period-end weighted average yield is based on amortized cost as of September 30, 2024 and incorporates future prepayment and loss assumptions when appropriate.

(1) Period-end weighted average yield is based on amortized cost as of March 31, 2025 and incorporates future prepayment and loss assumptions when appropriate.

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

14 unchanged sentences

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 %

9 unchanged sentences

(5) Non-Agency RMBS includes non-Agency IO which represent 96.7 % of principal/notional balance, 34.2 % of amortized cost and 31.0 % of fair value.

The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of September 30, 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 March 31, 2025 and December 31, 2024.

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

September 30, 2024 December 31, 2023

As of March 31, 2025 approximately 99.9 % of our MBS were accounted for under the fair value option (December 31, 2024:

March 31, 2025 December 31, 2024

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

6 unchanged sentences

Total 5,141 5,940,648 5,945,789 14,950 5,430,558 5,445,508

The components of the carrying value of our MBS portfolio as of September 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 $ 25.7 million as of September 30, 2024 (December 31, 2023:

The components of the carrying value of our MBS portfolio as of March 31, 2025 and December 31, 2024 are presented below.

Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $ 27.3 million as of March 31, 2025 (December 31, 2024:

$ 24.9 million).

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

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

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Realization occurs upon sale or settlement of such securities.

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

$ in thousands September 30, 2024 December 31, 2023

Less than one year — —

Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2025 and 2024 is provided below in this Note 3.

The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2025 and December 31, 2024 .

$ in thousands March 31, 2025 December 31, 2024

Greater than one year and less than five years 400,765 10,045

1 unchanged sentence

Total 5,945,789 5,445,508

The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2024 and December 31, 2023.

As of September 30, 2024

As of March 31, 2025

Less than 12 Months 12 Months or More Total

14 unchanged sentences

446,053 ( 9,176 ) 19 — — — 446,053 ( 9,176 ) 19

Non-Agency CMBS (2)

9,936 ( 522 ) 1 — — — 9,936 ( 522 ) 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 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.

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

11 unchanged sentences

Losses Number

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.

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) Unrealized losses on non-Agency CMBS were included in accumulated other comprehensive income.

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

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

Such securities have unrealized losses of $ 231,000 .

We recorded an $ 80,000 decrease in the provision for credit losses during the three months ended September 30, 2024 and a $ 222,000 increase in the provision during the nine months ended September 30, 2024 on a single non-Agency CMBS (three and nine months ended September 30, 2023:

$ 43,000 and $ 212,000 increase in the provision, respectively).

We are required to evaluate our available-for-sale MBS for credit losses.

During the three months ended March 31, 2025, we sold our remaining non-Agency CMBS investment for cash proceeds of $ 10.2 million and recognized a loss upon sale of $ 116,000 .

This was the only security for which we had recorded an allowance for credit losses.

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

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

Three Months Ended March 31,

$ in thousands 2025 2024

Beginning allowance for credit losses ( 654 ) ( 320 )

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

Additional (increases) decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period — ( 39 )

Reductions for securities sold 654 —

Ending allowance for credit losses — ( 359 )

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

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

The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2025 and 2024.

Three Months Ended March 31,

$ in thousands 2025 2024

7 unchanged sentences

Total gain (loss) on investments, net 82,158 ( 66,153 )

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

For the three months ended September 30, 2024

The following tables present components of interest income recognized for the three months ended March 31, 2025 and 2024.

For the three months ended March 31, 2025

$ in thousands Coupon

8 unchanged sentences

Total interest income 73,636 210 73,846

For the three months ended September 30, 2023

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 70,754 2,465 73,219

Non-Agency CMBS 437 301 738

Non-Agency RMBS 285 ( 126 ) 159

Treasury Securities — 292 292

Other (inclusive of interest earned on cash balances) 724 — 724

Total interest income 72,200 2,932 75,132

For the nine months ended September 30, 2024

For the three months ended March 31, 2024

$ in thousands Coupon

9 unchanged sentences

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

For the nine months ended September 30, 2023

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 206,804 3,616 210,420

Non-Agency CMBS 1,404 888 2,292

Non-Agency RMBS 865 ( 384 ) 481

Treasury Securities — 292 292

Other (inclusive of interest earned on cash balances) 2,362 — 2,362

Total interest income 211,435 4,412 215,847

Note 5 - U.S.

Treasury Securities

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

Treasury security as of December 31, 2023.

We sold the security during the first quarter of 2024.

We did not hold any U.S.

Treasury securities as of September 30, 2024.

$ in thousands December 31, 2023

Principal balance 10,000

Unamortized premium 842

Amortized cost 10,842

Unrealized gain (loss), net 372

Fair value 11,214

Note 4 – Borrowings

3 unchanged sentences

Our repurchase agreements are subject to certain financial covenants.

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

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

We were in compliance with all of these covenants as of March 31, 2025.

The following tables summarize certain characteristics of our borrowings as of March 31, 2025 and December 31, 2024.

Refer to Note 5 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.

$ in thousands September 30, 2024 December 31, 2023

$ in thousands March 31, 2025 December 31, 2024

Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity

1 unchanged sentence

Repurchase Agreements - Agency RMBS 4,512,054 4.48 % 24 4,112,219 4.80 % 29

Repurchase Agreements - Agency CMBS 648,929 5.16 % 25 — N/A N/A

Repurchase Agreements - Agency CMBS 842,507 4.46 % 30 781,739 4.77 % 32

Total Borrowings 5,354,561 4.47 % 25 4,893,958 4.80 % 29

Note 5 - Collateral Positions

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps and futures contracts as of September 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 and Note 2 of these condensed consolidated financial statements for a description of how we determine fair value.

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements and derivative instruments as of March 31, 2025 and December 31, 2024.

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, 2024 for a description of how we determine fair value.

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

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

Cash collateral pledged on to-be-announced securities forward contracts (“TBAs”) accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets.

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

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

As of September 30, 2024 and December 31, 2023, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

As of March 31, 2025 and December 31, 2024, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.

$ in thousands As of

Collateral Pledged September 30, 2024 December 31, 2023

Collateral Pledged March 31, 2025 December 31, 2024

Repurchase Agreements:

9 unchanged sentences

Total Collateral Pledged 5,755,736 5,267,544

Collateral Held September 30, 2024 December 31, 2023

Collateral Held March 31, 2025 December 31, 2024

Repurchase Agreements:

Cash 336 2,475

Non-cash collateral 5,855 —

Total repurchase agreements collateral held 7,185 —

Derivative instruments:

Total derivative instruments collateral held 196 —

Total collateral held:

Non-cash collateral 5,855 —

Total collateral held 7,381 —

Repurchase Agreements

4 unchanged sentences

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 104 % as of September 30, 2024 (December 31, 2023:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 105 % as of March 31, 2025 (December 31, 2024:

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

Interest Rate Swaps

As of September 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”).

As of March 31, 2025 and December 31, 2024, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) 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.

2 unchanged sentences

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 condensed consolidated statement of operations.

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 6 – Derivatives and Hedging Activities

1 unchanged sentence

$ in thousands Notional Amount as of December 31, 2024 Additions Settlement,

or Exercise Notional Amount as of September 30, 2024

or Exercise Notional Amount as of March 31, 2025

Interest Rate Swaps 3,265,000 725,000 ( 350,000 ) 3,640,000

7 unchanged sentences

Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements.

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

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

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 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 $ 1.8 million and $ 9.5 million as a decrease to interest expense during the three and nine months ended September 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 September 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 September 30, 2024

As of March 31, 2025 and December 31, 2024, 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, 2025

Maturities Notional

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

As of September 30, 2024, our futures contracts represented short positions in Ultra 10 year U.S.

Treasury Notes.

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

To-Be-Announced Securities Forward Contracts (“TBAs”)

The table below presents certain details of our futures contracts as of March 31, 2025 and December 31, 2024.

March 31, 2025 December 31, 2024

$ in thousands Notional Amount - Short Notional Amount - Short

Treasury futures 400,000 136,000

Ultra 10 year U.S.

Treasury futures 315,000 1,057,000

Treasury futures 187,500 209,000

Total 902,500 1,402,000

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 September 30, 2024 or December 31, 2023.

The tables below presents certain characteristics of our TBAs accounted for as derivatives as of March 31, 2025 and December 31, 2024.

$ in thousands As of March 31, 2025

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

TBA purchase contracts 400,000 411,610 412,448 838

TBA sales contracts ( 400,000 ) ( 411,391 ) ( 412,448 ) ( 1,057 )

Net TBA derivatives — 219 — ( 219 )

$ in thousands As of December 31, 2024

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

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

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

Net TBA derivatives — 606 — ( 606 )

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

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

The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of September 30, 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 March 31, 2025 and December 31, 2024.

$ in thousands

Derivative Assets Derivative Liabilities

September 30,

2025 December 31,

2023 September 30,

2024 March 31,

2025 December 31,

2 unchanged sentences

Futures Contracts — 3,463 Futures Contracts 710 —

TBAs 838 21 TBAs 1,057 627

Total Derivative Assets 2,931 5,033 Total Derivative Liabilities 1,767 627

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 condensed consolidated statements of operations for the three and nine months ended September 30, 2024 and 2023.

$ in thousands

Three Months Ended September 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 ( 160,472 ) 40,883 517 ( 119,072 )

Futures Contracts ( 12,419 ) — 2,527 ( 9,892 )

TBAs 94 — 1,525 1,619

Total ( 172,797 ) 40,883 4,569 ( 127,345 )

$ in thousands

Three Months Ended September 30, 2023

not designated as

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

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

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

The following tables summarize the effect of interest rate swaps, futures contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2025 and 2024.

$ in thousands

Nine Months Ended September 30, 2024

Three Months Ended March 31, 2025

not designated as

5 unchanged sentences

$ in thousands

Nine Months Ended September 30, 2023

Three Months Ended March 31, 2024

not designated as

1 unchanged sentence

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

Currency Forward Contracts ( 18 ) — — ( 18 )

TBAs ( 1,880 ) — 1,438 ( 442 )

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

2 unchanged sentences

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

The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023.

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 $ 9.5 million related to centrally cleared interest rate swaps and $ 2.5 million related to futures contracts as of September 30, 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 September 30, 2024

Our derivative asset of $ 2.1 million related to centrally cleared interest rate swaps and derivative liability of $ 710,000 related to futures contracts as of March 31, 2025 (December 31, 2024:

assets of $ 1.5 million and $ 3.5 million related to centrally cleared interest rate swaps and futures contracts, respectively) are not included in the table below as a result of this characterization of daily variation margin.

As of March 31, 2025

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

6 unchanged sentences

(Received) Pledged Net

Derivatives (1) (2)

838 — 838 ( 338 ) ( 196 ) 304

Total Assets 838 — 838 ( 338 ) ( 196 ) 304

Derivatives (1) (2)

( 1,057 ) — ( 1,057 ) 338 215 ( 504 )

Repurchase Agreements (3)

10 unchanged sentences

(Received) Pledged Net

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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Total Liabilities ( 4,894,585 ) — ( 4,894,585 ) 4,893,958 580 ( 47 )

(1) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.4 billion as of September 30, 2024 (December 31, 2023:

$ 4.7 billion).

We held $ 336,000 of cash collateral under repurchase agreements as of September 30, 2024 (December 31, 2023:

(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 $ 138.9 million as of March 31, 2025 (December 31, 2024:

$ 138.1 million) of which $ 138.6 million relates to initial margin pledged on centrally cleared interest rate swaps and futures contracts (December 31, 2024:

$ 137.5 million).

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

We held $ 196,000 of cash collateral on our derivatives as of March 31, 2025 (December 31, 2024:

(3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.6 billion as of March 31, 2025 (December 31, 2024:

$ 5.1 billion).

We held $ 1.3 million of cash collateral under repurchase agreements as of March 31, 2025 (December 31, 2024:

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.

Cash collateral pledged by us on our derivatives was $ 120.2 million as of September 30, 2024 (December 31, 2023:

$ 121.7 million) of which $ 120.2 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 and futures contracts are excluded from the tables above.

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

Note 8 – Fair Value of Financial Instruments

8 unchanged sentences

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

As of September 30, 2024

As of March 31, 2025

Fair Value Measurements Using:

3 unchanged sentences

Derivative assets (2)

— 2,931 — 2,931

Total assets — 5,948,720 — 5,948,720

Derivative liabilities (2)

710 1,057 — 1,767

Total liabilities 710 1,057 — 1,767

As of December 31, 2024

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 (2)

Other assets — — — 500 500

3,463 1,570 — 5,033

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

Derivative liabilities (2)

Total liabilities — 627 — 627

(1) For more detail about the fair value of our MBS, refer to Note 3 - “Mortgage-Backed Securities”.

(2) For more information on U.S.

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

Treasury Securities”.

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

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

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023.

September 30, 2024 December 31, 2023

(2) Derivative assets and derivative liabilities include futures contracts as Level 1 measurements and interest rate swaps and TBAs as Level 2 measurements.

March 31, 2025 December 31, 2024

$ in thousands Carrying

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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 three and nine months ended September 30, 2024 reimbursed or reimbursable by us were $ 494,000 and $ 1.1 million, respectively (September 30, 2023:

$ 397,000 and $ 1.3 million, respectively).

The costs of support personnel provided by our Manager for the three months ended March 31, 2025 reimbursed or reimbursable by us were $ 293,000 (March 31, 2024:

Management Fee

7 unchanged sentences

Our reimbursement obligation is not subject to any dollar limitation.

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

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

The following table summarizes the costs incurred on our behalf by our Manager during the three months ended March 31, 2025 and 2024.

Three Months Ended March 31,

$ in thousands 2025 2024

Incurred costs, prepaid or expensed 1,640 1,478

Incurred costs, charged or expected to be charged against equity as a cost of raising capital 108 — 108 257

Total incurred costs, originally paid by our Manager 1,640 1,478

2 unchanged sentences

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

During the three and nine months ended September 30, 2024, we repurchased and retired no shares and 138,008 shares of Series B Preferred Stock, respectively, and 66,507 and 267,916 shares of Series C Preferred Stock, respectively.

During the three and nine months ended September 30, 2023, we repurchased and retired 34,432 and 72,220 shares of Series B Preferred Stock, respectively, and 92,563 and 135,259 shares of Series C Preferred Stock, respectively.

As of September 30, 2024, we had authority to repurchase 1,047,989 additional shares of our Series B Preferred Stock and 777,523 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.

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.

During the three months ended March 31, 2025, we repurchased and retired 90,146 shares of 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.

We redeemed all outstanding shares of our Series B Preferred Stock in December 2024.

As of March 31, 2025, we had authority to repurchase 616,513 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.

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.

1 unchanged sentence

Dividends are cumulative and payable quarterly in arrears.

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.

On November 5, 2024, we announced our intention to redeem all outstanding shares of our Series B Preferred Stock on December 27, 2024.

Refer to Note 15 - “Subsequent Events” for additional information.

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 September 30, 2024, we had 12,089,398 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 September 30, 2024, we sold 10,084,138 shares of common stock under our equity distribution agreements for proceeds of $ 88.5 million, net of approximately $ 1.3 million in commissions and fees.

During the nine months ended September 30, 2024, we sold 12,211,131 shares of common stock under our equity distribution agreements for proceeds of $ 107.9 million, net of approximately $ 1.5 million in commissions and fees.

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

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

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

As of September 30, 2024, we had authority to repurchase 1,816,359 shares of our common stock through our common stock share repurchase program.

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 this time, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.

As of March 31, 2025, we had 6,883,504 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.

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

The table below shows sales of our common stock under equity distribution agreements during the three months ended March 31, 2025 and 2024.

Three Months Ended March 31,

Shares in ones, $ in thousands 2025 2024

Shares sold 4,212,057 365,838

Net proceeds 35,956 3,318

Commissions and other costs 569 43

During the three months ended March 31, 2025 and 2024, we did not repurchase any shares of our common stock.

As of March 31, 2025, we had authority to repurchase 1,816,359 shares of our common stock through our common stock share repurchase program.

Accumulated Other Comprehensive Income

The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) for the three and nine months ended September 30, 2024 and 2023.

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

Three Months Ended September 30, 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 — ( 287 ) — ( 287 )

Total other comprehensive income (loss) — ( 287 ) — ( 287 )

AOCI balance at beginning of period — 648 — 648

Total other comprehensive income (loss) — ( 287 ) — ( 287 )

AOCI balance at end of period — 361 — 361

Three Months Ended September 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 — ( 91 ) — ( 91 )

Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses — 43 — 43

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

Total other comprehensive income (loss) — ( 48 ) ( 1,810 ) ( 1,858 )

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

Total other comprehensive income (loss) — ( 48 ) ( 1,810 ) ( 1,858 )

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

Nine Months Ended September 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 — ( 639 ) — ( 639 )

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

Total other comprehensive income (loss) — ( 337 ) — ( 337 )

AOCI balance at beginning of period — 698 — 698

Total other comprehensive income (loss) — ( 337 ) — ( 337 )

AOCI balance at end of period — 361 — 361

Nine Months Ended September 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 — ( 698 ) — ( 698 )

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

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

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 ( 486 ) ( 9,505 ) ( 9,878 )

AOCI balance at beginning of period ( 113 ) 469 10,405 10,761

Total other comprehensive income (loss) 113 ( 486 ) ( 9,505 ) ( 9,878 )

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

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 nine months ended September 30, 2024 and 2023.

Our accumulated other comprehensive income and other comprehensive income (loss) relate to gains and losses on MBS that are not accounted for under the fair value option.

Gains and losses on MBS that are accounted for under the fair value option are recorded on our condensed consolidated statements of operations within “Gain (loss) on investments, net”.

The table below summarizes the dividends we declared during the three months ended March 31, 2025 and 2024.

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

August 7, 2024 0.4844 2,058 September 27, 2024

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

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

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

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

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

$ in thousands, except per share amounts Dividends Declared

Series C Preferred Stock Per Share In Aggregate Date of Payment

August 7, 2024 0.46875 3,416 September 27, 2024

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

February 19, 2025 0.46875 3,341 March 27, 2025

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

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

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

1 unchanged sentence

Common Stock Per Share In Aggregate Date of Payment

September 24, 2024 0.40 24,292 October 25, 2024

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

March 25, 2025 0.34 22,420 April 25, 2025

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

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

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

Note 11 – Earnings (Loss) per Common Share

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

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

Earnings (loss) per share for the three months ended March 31, 2025 and 2024 is computed as shown in the table below.

Three Months Ended March 31,

In thousands, except per share amounts 2025 2024

12 unchanged sentences

Diluted 0.26 0.49

There were no weighted average common shares excluded from diluted earnings per share for the three months ended September 30, 2024 because the effect would be antidilutive (three and nine months ended September 30, 2023:

1,383 and 1,077 excluded for restricted stock awards, respectively).

There were no potential weighted average common shares excluded from diluted earnings per share for the three months ended March 31, 2025 (March 31, 2024:

Note 12 – Commitments and Contingencies

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

As of September 30, 2024, we were not aware of any reported or unreported contingencies.

As of March 31, 2025, we were not aware of any reported or unreported contingencies.

Note 13 – Subsequent Events

We declared the following dividends on November 4, 2024:

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

Redemption of Series B Preferred Stock

On November 5, 2024, we announced that we intend to redeem all 4,247,989 outstanding shares of our 7.75 % Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock on December 27, 2024 for a cash redemption price of $ 25.00 per share, plus accrued and unpaid dividends (whether or not declared) to, but not including, the redemption date.

On May 6, 2025, we declared a Series C Preferred Stock dividend of $ 0.46875 per share payable on June 27, 2025 to our stockholders of record as of June 5, 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-Q

Item 1. Financial Statements