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Item 1. Financial Statements

2025-08-08 compared with 2025-05-07 · 185 added, 125 removed, 589 unchanged (34% of the section changed)

3 unchanged sentences

CONDENSED CONSOLIDATED BALANCE SHEETS

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

$ in thousands, except share amounts June 30, 2025 December 31, 2024

Mortgage-backed securities, at fair value (including pledged securities of $ 4,882,659 and $ 5,129,486 , respectively;

33 unchanged sentences

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

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INVESCO MORTGAGE CAPITAL INC.

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CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

Three Months Ended March 31,

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

$ in thousands, except share data 2025 2024 2025 2024

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

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INVESCO MORTGAGE CAPITAL INC.

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

Three Months Ended March 31,

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

$ in thousands 2025 2024 2025 2024

10 unchanged sentences

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

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INVESCO MORTGAGE CAPITAL INC.

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CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2025 and June 30, 2025

Capital Accumulated

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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) — — — — — — ( 23,327 ) ( 23,327 )

Other comprehensive income (loss) — — — — — ( 789 ) — ( 789 )

Proceeds from issuance of common stock, net of offering costs — — 282,750 3 2,276 — — 2,279

Stock awards — — 82,134 1 — — — 1

Repurchase and retirement of preferred stock ( 96,803 ) ( 2,341 ) — — — — 57 ( 2,284 )

Common stock dividends — — — — — — ( 22,545 ) ( 22,545 )

Preferred stock dividends — — — — — — ( 3,297 ) ( 3,297 )

Amortization of equity-based compensation — — — — 172 — — 172

Balance as of June 30, 2025 7,019,710 169,760 66,307,379 663 4,166,345 — ( 3,627,392 ) 709,376

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

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INVESCO MORTGAGE CAPITAL INC.

AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

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

Capital Accumulated

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

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

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

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

Stock awards — — — — 50,855 — — — — —

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

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

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

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

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

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

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INVESCO MORTGAGE CAPITAL INC.

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CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

Three Months Ended March 31,

Six Months Ended June 30,

$ in thousands 2025 2024

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Net change in due from counterparties and collateral held payable on repurchase agreements 6,238 ( 2,475 )

Payments of deferred costs — ( 277 )

Payments of dividends ( 53,750 ) ( 50,007 )

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

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INVESCO MORTGAGE CAPITAL INC.

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

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

As of June 30, 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”).

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

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

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

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

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

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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.

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Note 3 – Mortgage-Backed Securities

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

As of March 31, 2025

The following tables summarize our MBS portfolio by asset type as of June 30, 2025 and December 31, 2024.

As of June 30, 2025

$ in thousands Principal/ Notional

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Agency CMBS 898,526 ( 6,553 ) 891,973 ( 452 ) 891,521 4.62 %

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

243,578 ( 237,116 ) 6,462 753 7,215 11.53 %

Total 5,614,940 ( 492,090 ) 5,122,850 62,709 5,185,559 5.46 %

(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.

(1) Period-end weighted average yield is based on amortized cost as of June 30, 2025 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”).

(3) Non-Agency RMBS is 67.3 % fixed rate, 32.1 % variable rate, and 0.6 % floating rate based on fair value.

Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 96.6 % of principal/notional balance, 33.7 % of amortized cost and 30.5 % of fair value.

As of December 31, 2024

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(3) Non-Agency RMBS is 66.4 % fixed rate, 33.0 % variable rate and 0.6 % floating rate based on fair value.

Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.

(4) Of the total discount in non-Agency RMBS, $ 2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.

(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 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 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

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We have elected the fair value option for all of our MBS held as of June 30, 2025.

We believe the fair value option election more appropriately reflects the results of our operations because MBS fair value changes are accounted for in the same manner as fair value changes in economic hedging instruments.

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 December 31, 2024.

December 31, 2024

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

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

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

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Total 14,950 5,430,558 5,445,508

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:

The components of the carrying value of our MBS portfolio as of June 30, 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 $ 23.5 million as of June 30, 2025 (December 31, 2024:

$ 24.9 million).

March 31, 2025 December 31, 2024

June 30, 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 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

Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 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 June 30, 2025 and December 31, 2024 .

$ in thousands June 30, 2025 December 31, 2024

Greater than one year and less than five years 532,275 10,045

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Total 5,185,559 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 March 31, 2025 and December 31, 2024.

As of March 31, 2025

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As of June 30, 2025

Less than 12 Months 12 Months or More Total

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30 year fixed-rate pass-through 668,419 ( 1,387 ) 9 — — — 668,419 ( 1,387 ) 9

608,669 ( 1,447 ) 7 — — — 608,669 ( 1,447 ) 7

Agency-CMO 4,124 ( 1 ) 1 1,553 ( 254 ) 1 5,677 ( 255 ) 2

— — — 5,842 ( 244 ) 2 5,842 ( 244 ) 2

Agency CMBS 446,539 ( 8,602 ) 19 — — — 446,539 ( 8,602 ) 19

1,119,082 ( 9,990 ) 29 1,553 ( 254 ) 1 1,120,635 ( 10,244 ) 30

Non-Agency RMBS (2)

236 ( 2 ) 1 1,071 ( 207 ) 8 1,307 ( 209 ) 9

Total 1,054,958 ( 10,625 ) 27 6,913 ( 451 ) 10 1,061,871 ( 11,076 ) 37

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

(2) 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 $ 192,000 .

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

As of December 31, 2024

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Such securities have unrealized losses of $ 231,000 .

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.

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

During the three and six months ended June 30, 2025, we sold our remaining available-for-sale MBS for cash proceeds of $ 4.9 million and $ 15.1 million, respectively, and recognized net gains upon sale of $ 518,000 and $ 402,000 , respectively.

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

Three Months Ended March 31,

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

$ in thousands 2025 2024 2025 2024

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

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,

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The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2025 and 2024.

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

$ in thousands 2025 2024 2025 2024

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Total gain (loss) on investments, net ( 5,268 ) ( 45,212 ) 76,890 ( 111,365 )

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

The following tables present components of interest income recognized for the three and six months ended June 30, 2025 and 2024.

For the three months ended June 30, 2025

$ in thousands Coupon

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Agency CMBS 10,164 114 10,278

Non-Agency RMBS 47 51 98

Other (inclusive of interest earned on cash balances) 172 — 172

Total interest income 70,980 ( 356 ) 70,624

For the three months ended June 30, 2024

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 61,248 1,595 62,843

Agency CMBS 4,256 165 4,421

Non-Agency CMBS 126 130 256

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

For the three months ended March 31, 2024

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For the six months ended June 30, 2025

$ in thousands Coupon

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Non-Agency RMBS 296 ( 12 ) 284

Other (inclusive of interest earned on cash balances) 336 — 336

Total interest income 144,614 ( 144 ) 144,470

For the six months ended June 30, 2024

$ in thousands Coupon

Interest Net (Premium

Amortization)/Discount

Accretion Interest

Agency RMBS 127,377 2,732 130,109

Agency CMBS 4,760 170 4,930

Non-Agency CMBS 251 257 508

Non-Agency RMBS 554 ( 235 ) 319

Treasury Securities 22 ( 1 ) 21

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Our repurchase agreements are subject to certain financial covenants.

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.

We were in compliance with all of these covenants as of June 30, 2025.

The following tables summarize certain characteristics of our borrowings as of June 30, 2025 and December 31, 2024.

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

$ in thousands March 31, 2025 December 31, 2024

$ in thousands June 30, 2025 December 31, 2024

Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity

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Total Borrowings 4,635,881 4.48 % 24 4,893,958 4.80 % 29

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Note 5 - Collateral Positions

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.

The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements and derivative instruments as of June 30, 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.

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

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

As of June 30, 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 March 31, 2025 December 31, 2024

Collateral Pledged June 30, 2025 December 31, 2024

Repurchase Agreements:

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Total Collateral Pledged 5,013,805 5,267,544

Collateral Held March 31, 2025 December 31, 2024

Collateral Held June 30, 2025 December 31, 2024

Repurchase Agreements:

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Total repurchase agreements collateral held 20,101 —

Derivative instruments:

Total derivative instruments collateral held 196 —

Total collateral held:

Non-cash collateral 5,855 —

Total collateral held 7,381 —

Repurchase Agreements

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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 March 31, 2025 (December 31, 2024:

The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 105 % as of June 30, 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 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.

As of June 30, 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”).

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

or Exercise Notional Amount as of March 31, 2025

or Exercise Notional Amount as of June 30, 2025

Interest Rate Swaps 3,265,000 725,000 ( 485,000 ) 3,505,000

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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.

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

As of June 30, 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 June 30, 2025

Maturities Notional

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Total 3,505,000 1.19 % 4.45 % 6.3

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$ in thousands As of December 31, 2024

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We 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 March 31, 2025 and December 31, 2024.

March 31, 2025 December 31, 2024

The table below presents certain details of our futures contracts as of June 30, 2025 and December 31, 2024.

June 30, 2025 December 31, 2024

$ in thousands Notional Amount - Short Notional Amount - Short

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Total 830,000 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.

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 )

TBAs are forward contracts for the purchase or sale of Agency RMBS that specify the price, issuer, term and coupon of the securities to be delivered, but the actual securities are not identified until shortly before the TBA settlement date.

Our primary use of TBAs that we do not intend to physically settle has been in long positions as an alternative means of investing in and financing Agency RMBS.

During the second quarter of 2025, we used short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.

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

We did not have any TBAs outstanding as of June 30, 2025.

$ in thousands As of December 31, 2024

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TBA Purchase Contracts 100,000 99,800 99,173 ( 627 )

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

TBA Sale 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.

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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 March 31, 2025 and December 31, 2024.

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

$ in thousands

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2025 December 31,

2024 March 31,

2024 June 30,

2025 December 31,

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Total Derivative Assets — 5,033 Total Derivative Liabilities 10,775 627

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

Three Months Ended March 31, 2025

Three Months Ended June 30, 2025

not designated as

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$ in thousands

Three Months Ended March 31, 2024

Three Months Ended June 30, 2024

not designated as

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

TBAs 527 — ( 1,525 ) ( 998 )

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

$ in thousands

Six Months Ended June 30, 2025

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 ( 112,575 ) 56,710 ( 7,943 ) ( 63,808 )

Futures Contracts ( 38,516 ) — ( 7,844 ) ( 46,360 )

TBAs 1,967 — 606 2,573

Total ( 149,124 ) 56,710 ( 15,181 ) ( 107,595 )

$ in thousands

Six Months Ended June 30, 2024

not designated as

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

Interest Rate Swaps 25,811 88,558 8,052 122,421

TBAs 527 — ( 1,525 ) ( 998 )

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

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Note 7 – Offsetting Assets and Liabilities

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions.

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

The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets as of March 31, 2025 and December 31, 2024.

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

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 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:

Our derivative liabilities of $ 6.4 million and $ 4.4 million related to centrally cleared interest rate swaps and futures contracts, respectively, as of June 30, 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

As of June 30, 2025

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

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(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 (1)

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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 $ 4.9 billion as of June 30, 2025 (December 31, 2024:

$ 5.1 billion).

We held $ 6.2 million of cash collateral under repurchase agreements as of June 30, 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.

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

(2) Cash collateral pledged by us on our derivatives was $ 138.9 million as of March 31, 2025 (December 31, 2024:

(3) Cash collateral pledged by us on our derivatives was $ 131.1 million as of June 30, 2025 (December 31, 2024:

$ 138.1 million) of which $ 131.1 million relates to initial margin pledged on centrally cleared interest rate swaps and futures contracts (December 31, 2024:

1 unchanged sentence

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.

We held no cash collateral on our derivatives as of June 30, 2025 or December 31, 2024.

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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 March 31, 2025

As of June 30, 2025

Fair Value Measurements Using:

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— 5,185,559 — 5,185,559

Derivative assets (2)

— 2,931 — 2,931

Total assets — 5,185,559 — 5,185,559

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

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets as of March 31, 2025 and December 31, 2024.

March 31, 2025 December 31, 2024

June 30, 2025 December 31, 2024

$ in thousands Carrying

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This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.

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Note 9 – Related Party Transactions

4 unchanged sentences

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

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

The costs of support personnel provided by our Manager for the three and six months ended June 30, 2025 reimbursed or reimbursable by us were $ 257,000 and $ 550,000 , respectively (June 30, 2024:

$ 339,000 and $ 570,000 , respectively).

When cash collateral is received from counterparties under repurchase agreement borrowings, it is generally invested in a money market fund for which our Manager serves as the investment adviser.

These investments are included in cash and cash equivalents and the liability to return the collateral is included in collateral held payable on our condensed consolidated balance sheets.

Management Fee

7 unchanged sentences

Our reimbursement obligation is not subject to any dollar limitation.

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

Three Months Ended March 31,

The following table summarizes the costs incurred on our behalf by our Manager during the three and six months ended June 30, 2025 and 2024.

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

$ in thousands 2025 2024 2025 2024

4 unchanged sentences

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

During the three months ended March 31, 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.

During the three and six months ended June 30, 2025, we repurchased and retired 96,803 and 186,949 shares of Series C Preferred Stock, respectively.

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

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.

As of June 30, 2025, we had authority to repurchase 519,710 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.

3 unchanged sentences

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,

Table of Content s

As of June 30, 2025, we had 6,600,754 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).

The table below shows sales of our common stock under equity distribution agreements during the three and six months ended June 30, 2025 and 2024.

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

Shares in ones, $ in thousands 2025 2024 2025 2024

Shares sold 282,750 1,761,155 4,494,807 2,126,993

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.

Cash proceeds, net of fees paid to placement agents 2,163 16,059 38,231 19,378

Fees paid to placement agents 27 204 484 246

During the three and six months ended June 30, 2025 and 2024, we did not repurchase any shares of our common stock.

As of June 30, 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

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.

Our accumulated other comprehensive income and other comprehensive income (loss) related to gains and losses on MBS that were 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.

The table below summarizes the dividends we declared during the six months ended June 30, 2025 and 2024.

$ in thousands, except per share amounts Dividends Declared

Series B Preferred Stock Per Share In Aggregate Date of Payment

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

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

1 unchanged sentence

Series C Preferred Stock Per Share In Aggregate Date of Payment

May 6, 2025 0.46875 3,297 June 27, 2025

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

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

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

1 unchanged sentence

Common Stock Per Share In Aggregate Date of Payment

June 24, 2025 0.34 22,545 July 25, 2025

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

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

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

Table of Content s

Note 11 – Earnings (Loss) per Common Share

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,

Earnings (loss) per share for the three and six months ended June 30, 2025 and 2024 is computed as shown in the table below.

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

In thousands, except per share amounts 2025 2024 2025 2024

12 unchanged sentences

Diluted ( 0.40 ) ( 0.38 ) ( 0.16 ) 0.10

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:

The following potential weighted average common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2025 as the effect would be antidilutive:

48 and 1,069 for restricted stock awards, respectively (three months ended June 30, 2024:

822 for restricted stock awards).

Note 12 – Commitments and Contingencies

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

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

As of June 30, 2025, we were not aware of any reported or unreported contingencies.

Note 13 – Subsequent Events

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.

On August 7, 2025, we declared a Series C Preferred Stock dividend of $ 0.46875 per share payable on September 29, 2025 to our stockholders of record as of September 5, 2025.

Table of Content s

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