Invesco Mortgage Capital Inc. 10-Q

ITEM 1. FINANCIAL STATEMENTS INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) As of $ in thousands, except share amounts March 31, 2026 December 31, 2025 ASSETS Mortgage-backed securities, at fair value (including pledged securities of $ 5,585,665 and $ 5,879,318 , respectively) 6,026,208 6,276,609 Cash and cash equivalents 52,598 56,040 Restricted cash 138,323 110,391 Due from counterparties 25,749 — Investment related receivable 26,804 27,848 Derivative assets, at fair value 1,119 4,412 Other assets 399 594 Total assets 6,271,200 6,475,894 LIABILITIES AND STOCKHOLDERS' EQUITY Liabilities: Repurchase agreements 5,339,373 5,619,255 Derivative liabilities, at fair value 28,730 — Dividends payable 10,490 25,845 Investment related payable 6 — Accrued interest payable 10,738 28,664 Collateral held payable 14 — Accounts payable and accrued expenses 1,789 1,580 Due to affiliate 3,706 3,006 Total liabilities 5,394,846 5,678,350 Commitments and contingencies (See Note 12): Stockholders' equity: Preferred Stock, par value $ 0.01 per share; 50,000,000 shares authorized: 7.50 % Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 6,789,443 and 6,854,131 shares issued and outstanding, respectively ($ 169,736 and $ 171,353 aggregate liquidation preference, respectively) 164,191 165,756 Common Stock, par value $ 0.01 per share; 134,000,000 shares authorized; 87,485,972 and 71,790,532 shares issued and outstanding, respectively 875 718 Additional paid in capital 4,343,365 4,209,977 Retained earnings (distributions in excess of earnings) ( 3,632,077 ) ( 3,578,907 ) Total stockholders’ equity 876,354 797,544 Total liabilities and stockholders' equity 6,271,200 6,475,894 The accompanying notes are an integral part of these condensed consolidated financial statements. 1 Table of Contents INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) Three Months Ended March 31, $ in thousands, except share data 2026 2025 Interest income 79,641 73,846 Interest expense 52,593 55,025 Net interest income 27,048 18,821 Other income (loss) Gain (loss) on investments, net ( 54,940 ) 82,158 Gain (loss) on derivative instruments, net 12,879 ( 76,679 ) Total other income (loss) ( 42,061 ) 5,479 Expenses Management fee – related party 2,974 2,996 General and administrative 1,917 1,663 Total expenses 4,891 4,659 Net income (loss) ( 19,904 ) 19,641 Dividends to preferred stockholders ( 3,190 ) ( 3,341 ) Gain (loss) on repurchase and retirement of preferred stock ( 27 ) ( 11 ) Net income (loss) attributable to common stockholders ( 23,121 ) 16,289 Other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — 500 Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on investments, net — 116 Total other comprehensive income (loss) — 616 Comprehensive income (loss) attributable to common stockholders ( 23,121 ) 16,905 Earnings (loss) per share Net income (loss) attributable to common stockholders Basic ( 0.28 ) 0.26 Diluted ( 0.28 ) 0.26 The accompanying notes are an integral part of these condensed consolidated financial statements. 2 Table of Contents INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) Additional Paid in Capital Accumulated Other Comprehensive Income (Loss) Retained Earnings (Distributions in excess of earnings) Total Stockholders’ Equity Series C Preferred Stock $ in thousands, except share amounts Common Stock Shares Amount Shares Amount Balance as of December 31, 2025 6,854,131 165,756 71,790,532 718 4,209,977 — ( 3,578,907 ) 797,544 Net income (loss) — — — — — — ( 19,904 ) ( 19,904 ) Proceeds from issuance of common stock, net of offering costs — — 15,694,589 157 133,231 — — 133,388 Stock awards — — 851 — — — — — Repurchase and retirement of preferred stock ( 64,688 ) ( 1,565 ) — — — — ( 27 ) ( 1,592 ) Common stock dividends — — — — — — ( 30,049 ) ( 30,049 ) Preferred stock dividends — — — — — — ( 3,190 ) ( 3,190 ) Amortization of equity-based compensation — — — — 157 — — 157 Balance as of March 31, 2026 6,789,443 164,191 87,485,972 875 4,343,365 — ( 3,632,077 ) 876,354 Additional Paid in Capital Accumulated Other Comprehensive Income (Loss) Retained Earnings (Distributions in excess of earnings) Total Stockholders’ Equity Series C Preferred Stock $ in thousands, except share amounts Common Stock 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 Net income (loss) — — — — — — 19,641 19,641 Other comprehensive income (loss) — — — — — 616 — 616 Proceeds from issuance of common stock, net of offering costs — — 4,212,057 42 35,914 — — 35,956 Stock awards — — 745 — — — — — Repurchase and retirement of preferred stock ( 90,146 ) ( 2,180 ) — — — — ( 11 ) ( 2,191 ) Common stock dividends — — — — — — ( 22,420 ) ( 22,420 ) Preferred stock dividends — — — — — — ( 3,341 ) ( 3,341 ) Amortization of equity-based compensation — — — — 176 — — 176 Balance as of March 31, 2025 7,116,513 172,101 65,942,495 659 4,163,897 789 ( 3,578,280 ) 759,166 The accompanying notes are an integral part of these condensed consolidated financial statements. 3 Table of Contents INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) Three Months Ended March 31, $ in thousands 2026 2025 Cash Flows from Operating Activities Net income (loss) ( 19,904 ) 19,641 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Amortization of premiums and (discounts), net ( 1,190 ) ( 2,020 ) Realized and unrealized (gain) loss on derivative instruments, net 8,699 104,758 (Gain) loss on investments, net 54,940 ( 82,158 ) Other amortization 157 176 Changes in operating assets and liabilities: (Increase) decrease in operating assets 1,464 ( 2,247 ) Increase (decrease) in operating liabilities ( 17,481 ) ( 18,804 ) Net cash provided by (used in) operating activities 26,685 19,346 Cash Flows from Investing Activities Purchase of mortgage-backed securities ( 228,897 ) ( 884,448 ) Principal payments from mortgage-backed securities 214,004 95,314 Proceeds from sale of mortgage-backed securities 211,544 373,626 Settlement (termination) of swaps, TBAs and futures, net 23,324 ( 101,516 ) Net change in due from counterparties and collateral held payable on derivative instruments ( 24,969 ) 525 Net cash provided by (used in) investing activities 195,006 ( 516,499 ) Cash Flows from Financing Activities Proceeds from issuance of common stock 133,633 36,068 Repurchase of preferred stock ( 1,592 ) ( 2,191 ) Proceeds from repurchase agreements 14,487,595 12,336,920 Principal repayments of repurchase agreements ( 14,767,477 ) ( 11,876,317 ) Net change in due from counterparties and collateral held payable on repurchase agreements ( 766 ) 1,330 Payments of dividends ( 48,594 ) ( 28,033 ) Net cash provided by (used in) financing activities ( 197,201 ) 467,777 Net change in cash, cash equivalents and restricted cash 24,490 ( 29,376 ) Cash, cash equivalents and restricted cash, beginning of period 166,431 210,881 Cash, cash equivalents and restricted cash, end of period 190,921 181,505 Supplement Disclosure of Cash Flow Information Interest paid 70,519 73,463 Non-cash Investing and Financing Activities Information Dividends declared not paid 10,490 22,420 Unsettled receivables recorded within investment related receivable — 21 The accompanying notes are an integral part of these condensed consolidated financial statements. 4 Table of Contents INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) Note 1 – Organization and Business Operations Invesco Mortgage Capital Inc. (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, 2026, we were invested in: • residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”) and • commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”). 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). We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. Refer to Note 12 - “Segment Information” of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2025 for additional information on our operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), an independent global investment management firm. We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are required to distribute at least 90 % of our REIT taxable income to our stockholders annually, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute all of our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100 % of our taxable income within the time limits prescribed by the Internal Revenue Code. We operate our business in a manner that permits our exclusion from the “Investment Company” definition under the Investment Company Act of 1940, as amended (the “1940 Act”). Note 2 – Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2025. Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) and consolidate the financial statements of the Company and its controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. Beginning with the first quarter of 2026, we are presenting a single continuous statement of comprehensive income (loss). Prior periods have been adjusted to reflect this 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. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses. Actual results may differ from those estimates. 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, 2025. 5 Table of Contents Note 3 – Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type as of March 31, 2026 and December 31, 2025. As of March 31, 2026 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period-end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate pass-through 5,064,803 ( 36,495 ) 5,028,308 66,517 5,094,825 5.42 % Agency CMO (2) 475,112 ( 416,330 ) 58,782 8,331 67,113 8.89 % Agency CMBS 866,147 ( 5,587 ) 860,560 3,710 864,270 4.61 % Total 6,406,062 ( 458,412 ) 5,947,650 78,558 6,026,208 5.34 % As of December 31, 2025 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period-end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate pass-through 5,223,764 ( 33,396 ) 5,190,368 118,792 5,309,160 5.46 % Agency CMO (2) 484,974 ( 424,405 ) 60,569 8,751 69,320 9.18 % Agency CMBS 898,047 ( 6,317 ) 891,730 6,399 898,129 4.62 % Total 6,606,785 ( 464,118 ) 6,142,667 133,942 6,276,609 5.37 % (1) Period-end weighted average yield is based on amortized cost as of March 31, 2026 and December 31, 2025 and incorporates future prepayment 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. We have elected the fair value option for all of our MBS held as of March 31, 2026 and December 31, 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 components of the carrying value of our MBS portfolio as of March 31, 2026 and December 31, 2025 are presented below. Accrued interest receivable on our MBS portfolio is recorded within investment related receivable on our condensed consolidated balance sheets. As of March 31, 2026 December 31, 2025 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,930,950 475,112 6,406,062 6,121,811 484,974 6,606,785 Unamortized premium 34,430 — 34,430 39,890 — 39,890 Unamortized discount ( 76,512 ) ( 416,330 ) ( 492,842 ) ( 79,603 ) ( 424,405 ) ( 504,008 ) Gross unrealized gains 87,317 8,393 95,710 130,576 8,794 139,370 Gross unrealized losses ( 17,090 ) ( 62 ) ( 17,152 ) ( 5,385 ) ( 43 ) ( 5,428 ) Fair value 5,959,095 67,113 6,026,208 6,207,289 69,320 6,276,609 The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2026 and December 31, 2025 . As of $ in thousands March 31, 2026 December 31, 2025 Greater than one year and less than five years 1,268,720 2,031,058 Greater than or equal to five years 4,757,488 4,245,551 Total 6,026,208 6,276,609 6 Table of Contents 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 did not hold any available-for-sale MBS during the three months ended March 31, 2026. The following table presents a roll-forward of our allowance for credit losses. Three Months Ended March 31, $ in thousands 2026 2025 Beginning allowance for credit losses — ( 654 ) Reductions for securities sold — 654 Ending allowance for credit losses — — The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2026 and 2025. Three Months Ended March 31, $ in thousands 2026 2025 Gross realized gains on sale of MBS 676 923 Gross realized losses on sale of MBS ( 233 ) ( 6,389 ) Net unrealized gains (losses) on MBS accounted for under the fair value option ( 55,383 ) 87,624 Total gain (loss) on investments, net ( 54,940 ) 82,158 The following tables present components of interest income recognized for the three months ended March 31, 2026 and 2025. For the three months ended March 31, 2026 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 70,374 ( 1,327 ) 69,047 Agency CMBS 9,794 730 10,524 Other (inclusive of interest earned on cash balances) 70 — 70 Total 80,238 ( 597 ) 79,641 For the three months ended March 31, 2025 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 63,267 179 63,446 Agency CMBS 9,877 95 9,972 Non-Agency CMBS 77 — 77 Non-Agency RMBS 250 ( 64 ) 186 Other (inclusive of interest earned on cash balances) 165 — 165 Total 73,636 210 73,846 7 Table of Contents Note 4 – Borrowings We finance the majority of our investment portfolio through repurchase agreements. Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from one to six months . We account for our repurchase agreements as secured borrowings since we maintain effective control of the financed assets. Our repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of March 31, 2026 and December 31, 2025. The following table summarizes certain characteristics of our borrowings as of March 31, 2026 and December 31, 2025. Refer to Note 5 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. As of $ in thousands March 31, 2026 December 31, 2025 Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (days) Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (days) Repurchase agreements - Agency RMBS 4,510,019 3.80 % 31 4,758,568 4.04 % 24 Repurchase agreements - Agency CMBS 829,354 3.80 % 25 860,687 4.04 % 20 Total borrowings 5,339,373 3.80 % 30 5,619,255 4.04 % 23 8 Table of Contents 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, 2026 and December 31, 2025. 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, 2025 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 U.S. Treasury futures contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and 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 March 31, 2026 and December 31, 2025, we did not hold any non-cash collateral. $ in thousands As of Collateral pledged March 31, 2026 December 31, 2025 Repurchase agreements: Agency RMBS 4,721,395 4,981,189 Cash 780 — Agency CMBS 864,270 898,129 Total repurchase agreements collateral pledged 5,586,445 5,879,318 Derivative instruments: Cash 24,969 — Restricted cash 138,323 110,391 Total derivative instruments collateral pledged 163,292 110,391 Total collateral pledged: Mortgage-backed securities 5,585,665 5,879,318 Cash 25,749 — Restricted cash 138,323 110,391 Total collateral pledged 5,749,737 5,989,709 As of Collateral held March 31, 2026 December 31, 2025 Repurchase agreements: Cash 14 — Total collateral held 14 — Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet 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, 2026 (December 31, 2025: 105 %) based on the fair value of the securities as reported in our condensed consolidated balance sheets. 9 Table of Contents Interest Rate Swaps As of March 31, 2026 and December 31, 2025, all of our interest rate swaps were centrally cleared by the Chicago Mercantile Exchange (“CME”), a registered clearing organization, 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 comprehensive income (loss). Certain of our FCM agreements include cross default provisions. U.S. Treasury Futures Contracts We are required to pledge initial margin and daily variation margin for our U.S. Treasury futures contracts that is based on the fair value of our contracts as determined by our FCM. The daily variation margin payment for our U.S. Treasury futures contracts is characterized as settlement of the U.S. Treasury futures contract itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of comprehensive income (loss). TBAs 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 The following table summarizes changes in the notional amount of our derivative instruments during 2026. $ in thousands Notional Amount as of December 31, 2025 Additions Settlement, Termination, Expiration or Exercise Notional Amount as of March 31, 2026 Interest rate swaps 3,820,000 1,025,000 ( 730,000 ) 4,115,000 U.S. Treasury futures contracts 1,090,000 1,290,000 ( 1,390,000 ) 990,000 TBA purchase contracts — 6,825,000 ( 5,375,000 ) 1,450,000 TBA sale contracts — ( 5,575,000 ) 5,375,000 ( 200,000 ) Refer to Note 5 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to manage our exposures to interest rate movements and to add stability to our borrowing costs. To accomplish these objectives, we primarily use interest rate swaps and U.S. Treasury 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. 10 Table of Contents As of March 31, 2026 and December 31, 2025, we had interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on the secured overnight financing rate (“SOFR”) with the following maturities outstand ing . $ in thousands As of March 31, 2026 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,675,000 0.86 % 3.68 % 1.7 3 to 5 years 950,000 0.54 % 3.68 % 4.3 5 to 7 years 545,000 3.66 % 3.68 % 6.8 7 to 10 years 495,000 3.99 % 3.68 % 9.3 Greater than 10 years 450,000 2.04 % 3.68 % 18.7 Total 4,115,000 1.66 % 3.68 % 5.8 $ in thousands As of December 31, 2025 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 2,155,000 1.21 % 3.87 % 1.4 3 to 5 years 950,000 0.54 % 3.87 % 4.6 7 to 10 years 305,000 4.12 % 3.87 % 9.1 Greater than 10 years 410,000 1.83 % 3.87 % 17.9 Total 3,820,000 1.34 % 3.87 % 4.6 U.S. Treasury Futures Contracts We use U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on our performance. The table below presents certain details of our U.S. Treasury futures contracts as of March 31, 2026 and December 31, 2025. As of March 31, 2026 December 31, 2025 $ in thousands Notional Amount - Short Notional Amount - Short 10 year U.S. Treasury futures 310,000 420,000 Ultra 10 year U.S. Treasury futures 375,000 455,000 30 year U.S. Treasury futures 305,000 215,000 Total 990,000 1,090,000 TBAs 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. We do not intend to take or make delivery of the underlying Agency RMBS on the contractual settlement date of our TBAs accounted for as derivatives. Our primary use of TBAs has been in long positions as an alternative means of investing in and financing Agency RMBS. Additionally, we have used and may in the future use short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations. 11 Table of Contents The table below presents certain characteristics of our TBAs accounted for as derivatives as of March 31, 2026. We did not have any TBAs outstanding as of December 31, 2025. $ in thousands As of March 31, 2026 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value - Asset (Liability) (1) TBA purchase contracts 1,450,000 1,436,889 1,415,155 ( 21,734 ) TBA sale contracts ( 200,000 ) ( 189,824 ) ( 188,705 ) 1,119 Net TBA derivatives 1,250,000 1,247,065 1,226,450 ( 20,615 ) (1) Derivative assets and derivative liabilities related to TBAs are presented on a gross basis 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 our condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025. $ in thousands Derivative Assets Derivative Liabilities As of As of March 31, 2026 December 31, 2025 March 31, 2026 December 31, 2025 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest rate swaps asset — 2,235 Interest rate swaps liability 4,013 — U.S. Treasury futures contracts — 2,177 U.S. Treasury futures contracts 2,983 — TBAs 1,119 — TBAs 21,734 — Total derivative assets 1,119 4,412 Total derivative liabilities 28,730 — Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The following tables summarize the effect of interest rate swaps, U.S. Treasury futures contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of comprehensive income (loss) for the three months ended March 31, 2026 and 2025. $ in thousands Three Months Ended March 31, 2026 Derivatives Not Designated as Hedging Instruments 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 2,211 21,578 ( 6,248 ) 17,541 U.S. Treasury futures contracts 9,481 — ( 5,160 ) 4,321 TBAs 11,632 — ( 20,615 ) ( 8,983 ) Total 23,324 21,578 ( 32,023 ) 12,879 $ in thousands Three Months Ended March 31, 2025 Derivatives Not Designated as Hedging Instruments 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 ( 76,259 ) 28,079 542 ( 47,638 ) U.S. Treasury futures contracts ( 28,682 ) — ( 4,172 ) ( 32,854 ) TBAs 3,425 — 388 3,813 Total ( 101,516 ) 28,079 ( 3,242 ) ( 76,679 ) 12 Table of Contents 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 on 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, 2026 and December 31, 2025. The daily variation margin payments for centrally cleared interest rate swaps and U.S. Treasury futures contracts are characterized as settlement of the derivative itself rather than collateral. Our derivative liabilities of $ 4.0 million related to centrally cleared interest rate swaps and $ 3.0 million related to U.S. Treasury futures contracts as of March 31, 2026 (December 31, 2025: assets of $ 2.2 million related to centrally cleared interest rate swaps and $ 2.2 million related to U.S. Treasury futures contracts) are not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2026 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivatives (1) (2) 1,119 — 1,119 ( 1,119 ) — — Total assets 1,119 — 1,119 ( 1,119 ) — — Liabilities Derivatives (1) (2) ( 21,734 ) — ( 21,734 ) 1,119 20,615 — Repurchase agreements (3) ( 5,339,373 ) — ( 5,339,373 ) 5,339,373 — — Total liabilities ( 5,361,107 ) — ( 5,361,107 ) 5,340,492 20,615 — As of December 31, 2025 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Liabilities Repurchase agreements (3) ( 5,619,255 ) — ( 5,619,255 ) 5,619,255 — — Total liabilities ( 5,619,255 ) — ( 5,619,255 ) 5,619,255 — — (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 $ 163.3 million as of March 31, 2026 (December 31, 2025: $ 110.4 million) of which $ 138.3 million relates to initial margin pledged on centrally cleared interest rate swaps and U.S. Treasury futures contracts (December 31, 2025: $ 110.4 million). Centrally cleared interest rate swaps and U.S. Treasury futures contracts are excluded from the tables above. We held no cash collateral on our derivatives as of March 31, 2026 or December 31, 2025. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 5.6 billion as of March 31, 2026 (December 31, 2025: $ 5.9 billion). We pledged $ 780,000 of cash collateral under repurchase agreements as of March 31, 2026 (December 31, 2025: none ) . We held $ 14,000 of cash collateral under repurchase agreements as of March 31, 2026 (December 31, 2025: none ). 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 pledged and held under repurchase agreements are not shown in the table above, but the right to receive and the obligation to return the cash collateral are separately reported within due from counterparties and collateral held payable, respectively, on the condensed consolidated balance sheets. 13 Table of Contents Note 8 – Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. As of March 31, 2026 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 Total at Fair Value Assets: Mortgage-backed securities (1) — 6,026,208 — 6,026,208 Derivative assets (2) — 1,119 — 1,119 Total assets — 6,027,327 — 6,027,327 Liabilities: Derivative liabilities (2) 2,983 25,747 — 28,730 Total liabilities 2,983 25,747 — 28,730 As of December 31, 2025 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 Total at Fair Value Assets: Mortgage-backed securities (1) — 6,276,609 — 6,276,609 Derivative assets (2) 2,177 2,235 — 4,412 Total assets 2,177 6,278,844 — 6,281,021 (1) For more detail about the fair value of our MBS, refer to Note 3 - “Mortgage-Backed Securities”. (2) Derivative assets and derivative liabilities include U.S. Treasury 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, 2026 and December 31, 2025. As of March 31, 2026 December 31, 2025 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial liabilities: Repurchase agreements 5,339,373 5,339,293 5,619,255 5,619,716 Total 5,339,373 5,339,293 5,619,255 5,619,716 The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. 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. 14 Table of Contents Note 9 – Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our board of directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. 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 reimbursed or reimbursable by us for the three months ended March 31, 2026 were $ 347,000 (three months ended March 31, 2025: $ 293,000 ). 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 We pay our Manager a fee equal to 1.50 % of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, legal services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2026 and 2025. Three Months Ended March 31, $ in thousands 2026 2025 Incurred costs, prepaid or expensed 1,545 1,640 Incurred costs, charged or expected to be charged against equity as a cost of raising capital 103 — Total incurred costs, originally paid by our Manager 1,648 1,640 Note 10 – Stockholders’ Equity Preferred Stock In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock. During the three months ended March 31, 2026, we repurchased and retired 64,688 shares of Series C Preferred Stock (three months ended March 31, 2025: 90,146 shares). As of March 31, 2026, we had authority to repurchase 289,443 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. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month CME Term SOFR and the applicable credit spread adjustment ( 0.26161 %) plus a spread of 5.289 % of the liquidation preference of $ 25.00 per share per annum. Dividends are cumulative and payable quarterly in arrears. We have the option to redeem shares of our Series C Preferred Stock on or after September 27, 2027 for $ 25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before that time, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. Common Stock As of March 31, 2026, we had 36,840,411 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 issuances of our common stock under equity distribution agreements during the three months ended March 31, 2026 and 2025. 15 Table of Contents Three Months Ended March 31, Shares in ones, $ in thousands 2026 2025 Shares sold 15,694,589 4,212,057 Fees paid to placement agents 1,692 457 Cash proceeds, net of fees paid to placement agents 133,633 36,068 During the three months ended March 31, 2026 and 2025, we did not repurchase any shares of our common stock. As of March 31, 2026, 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 other comprehensive income (loss) during the three months ended March 31, 2025 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 comprehensive income (loss) within “Gain (loss) on investments, net”. Dividends The tables below summarize the dividends we declared during the three months ended March 31, 2026 and 2025. $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Three months ended March 31, 2026 0.46875 3,190 Three months ended March 31, 2025 0.46875 3,341 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Three months ended March 31, 2026 0.36 30,049 Three months ended March 31, 2025 0.34 22,420 Note 11 – Earnings (Loss) per Common Share Earnings (loss) per share for the three months ended March 31, 2026 and 2025 is calculated as follows. Three Months Ended March 31, In thousands, except per share amounts 2026 2025 Numerator (income) Net income (loss) available to common stockholders ( 23,121 ) 16,289 Denominator (weighted average shares) Weighted average number of common shares outstanding - Basic 81,871 62,844 Effect of dilutive securities: Restricted stock awards — 1 Weighted average number of common shares outstanding - Diluted 81,871 62,845 Earnings (loss) per share Net income (loss) attributable to common stockholders Basic ( 0.28 ) 0.26 Diluted ( 0.28 ) 0.26 There were no antidilutive shares that were excluded from the calculation of diluted earnings per share during the three months ended March 31, 2026 and 2025. 16 Table of Contents Note 12 – Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. As of March 31, 2026, we were not aware of any reported or unreported contingencies. Note 13 – Subsequent Events Common Stock Issuances Between April 1, 2026 and May 6, 2026, we issued 6,653,459 shares of common stock under our equity distribution agreement with placement agents for cash proceeds, net of fees paid to placement agents, of $ 54.0 million. 17 Table of Contents