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 June 30, 2026 December 31, 2025 ASSETS Mortgage-backed securities, at fair value (including pledged securities of $ 6,474,978 and $ 5,879,318 , respectively) 6,949,909 6,276,609 Cash and cash equivalents 73,381 56,040 Restricted cash 167,155 110,391 Investment related receivable 30,650 27,848 Derivative assets, at fair value 16,510 4,412 Other assets 1,014 594 Total assets 7,238,619 6,475,894 LIABILITIES AND STOCKHOLDERS' EQUITY Liabilities: Repurchase agreements 6,210,403 5,619,255 Derivative liabilities, at fair value 882 — Dividends payable 12,008 25,845 Accrued interest payable 12,512 28,664 Collateral held payable 6,703 — Accounts payable and accrued expenses 2,289 1,580 Due to affiliate 3,501 3,006 Total liabilities 6,248,298 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: 6,742,221 and 6,854,131 shares issued and outstanding, respectively ($ 168,556 and $ 171,353 aggregate liquidation preference, respectively) 163,049 165,756 Common Stock, par value $ 0.01 per share; 134,000,000 shares authorized; 102,386,106 and 71,790,532 shares issued and outstanding, respectively 1,024 718 Additional paid in capital 4,461,196 4,209,977 Retained earnings (distributions in excess of earnings) ( 3,634,948 ) ( 3,578,907 ) Total stockholders’ equity 990,321 797,544 Total liabilities and stockholders' equity 7,238,619 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 June 30, Six Months Ended June 30, $ in thousands, except share data 2026 2025 2026 2025 Interest income 85,408 70,624 165,049 144,470 Interest expense 55,308 52,895 107,901 107,920 Net interest income 30,100 17,729 57,148 36,550 Other income (loss) Gain (loss) on investments, net ( 21,226 ) ( 5,268 ) ( 76,166 ) 76,890 Gain (loss) on derivative instruments, net 31,584 ( 30,916 ) 44,463 ( 107,595 ) Total other income (loss) 10,358 ( 36,184 ) ( 31,703 ) ( 30,705 ) Expenses Management fee – related party 3,329 2,831 6,303 5,827 General and administrative 2,125 2,041 4,042 3,704 Total expenses 5,454 4,872 10,345 9,531 Net income (loss) 35,004 ( 23,327 ) 15,100 ( 3,686 ) Dividends to preferred stockholders ( 3,165 ) ( 3,297 ) ( 6,355 ) ( 6,638 ) Gain (loss) on repurchase and retirement of preferred stock 3 57 ( 24 ) 46 Net income (loss) attributable to common stockholders 31,842 ( 26,567 ) 8,721 ( 10,278 ) Other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — ( 271 ) — 229 Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on investments, net — ( 518 ) — ( 402 ) Total other comprehensive income (loss) — ( 789 ) — ( 173 ) Comprehensive income (loss) attributable to common stockholders 31,842 ( 27,356 ) 8,721 ( 10,451 ) Earnings (loss) per share Net income (loss) attributable to common stockholders Basic 0.34 ( 0.40 ) 0.10 ( 0.16 ) Diluted 0.34 ( 0.40 ) 0.10 ( 0.16 ) 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 For the three months ended March 31, 2026 and June 30, 2026 (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 Net income (loss) — — — — — — 35,004 35,004 Proceeds from issuance of common stock, net of offering costs — — 14,847,506 148 117,706 — — 117,854 Stock awards — — 52,628 1 — — — 1 Repurchase and retirement of preferred stock ( 47,222 ) ( 1,142 ) — — — — 3 ( 1,139 ) Common stock dividends — — — — — — ( 34,713 ) ( 34,713 ) Preferred stock dividends — — — — — — ( 3,165 ) ( 3,165 ) Amortization of equity-based compensation — — — — 125 — — 125 Balance as of June 30, 2026 6,742,221 163,049 102,386,106 1,024 4,461,196 — ( 3,634,948 ) 990,321 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 STOCKHOLDERS' EQUITY For the three months ended March 31, 2025 and June 30, 2025 (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, 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 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. 4 Table of Contents INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) Six Months Ended June 30, $ in thousands 2026 2025 Cash Flows from Operating Activities Net income (loss) 15,100 ( 3,686 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Amortization of premiums and (discounts), net ( 2,072 ) ( 3,392 ) Realized and unrealized (gain) loss on derivative instruments, net ( 2,128 ) 164,305 (Gain) loss on investments, net 76,166 ( 76,890 ) Other amortization 283 349 Changes in operating assets and liabilities: (Increase) decrease in operating assets ( 3,053 ) 1,769 Increase (decrease) in operating liabilities ( 15,380 ) ( 22,475 ) Net cash provided by (used in) operating activities 68,916 59,980 Cash Flows from Investing Activities Purchase of mortgage-backed securities ( 1,379,170 ) ( 1,073,240 ) Principal payments from mortgage-backed securities 420,135 233,995 Proceeds from sale of mortgage-backed securities 211,544 1,179,303 Net settlement (termination) of derivative instruments ( 9,088 ) ( 149,124 ) Net change in due from counterparties and collateral held payable on derivative instruments 4,097 580 Net cash provided by (used in) investing activities ( 752,482 ) 191,514 Cash Flows from Financing Activities Net proceeds from issuance of common stock 251,602 38,231 Repurchase of preferred stock ( 2,731 ) ( 4,475 ) Proceeds from repurchase agreements 29,072,580 24,111,314 Principal repayments of repurchase agreements ( 28,481,432 ) ( 24,369,391 ) Net change in due from counterparties and collateral held payable on repurchase agreements 2,606 6,238 Payments of dividends ( 84,954 ) ( 53,750 ) Net cash provided by (used in) financing activities 757,671 ( 271,833 ) Net change in cash, cash equivalents and restricted cash 74,105 ( 20,339 ) Cash, cash equivalents and restricted cash, beginning of period 166,431 210,881 Cash, cash equivalents and restricted cash, end of period 240,536 190,542 Supplement Disclosure of Cash Flow Information Interest paid 124,053 130,082 Non-cash Investing and Financing Activities Information Dividends declared not paid 12,008 22,545 Unsettled receivables recorded within investment related receivable 97 — The accompanying notes are an integral part of these condensed consolidated financial statements. 5 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 June 30, 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. In 2026, we began 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. 6 Table of Contents Note 3 – Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type as of June 30, 2026 and December 31, 2025. As of June 30, 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 5,981,029 ( 49,466 ) 5,931,563 52,066 5,983,629 5.36 % Agency CMO (2) 463,522 ( 406,504 ) 57,018 7,368 64,386 8.83 % Agency CMBS 909,665 ( 5,669 ) 903,996 ( 2,102 ) 901,894 4.62 % Total 7,354,216 ( 461,639 ) 6,892,577 57,332 6,949,909 5.29 % 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 June 30, 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 June 30, 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 June 30, 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 June 30, 2026 December 31, 2025 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 6,890,694 463,522 7,354,216 6,121,811 484,974 6,606,785 Unamortized premium 41,444 — 41,444 39,890 — 39,890 Unamortized discount ( 96,579 ) ( 406,504 ) ( 503,083 ) ( 79,603 ) ( 424,405 ) ( 504,008 ) Gross unrealized gains 76,848 7,470 84,318 130,576 8,794 139,370 Gross unrealized losses ( 26,884 ) ( 102 ) ( 26,986 ) ( 5,385 ) ( 43 ) ( 5,428 ) Fair value 6,885,523 64,386 6,949,909 6,207,289 69,320 6,276,609 The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2026 and December 31, 2025 . As of $ in thousands June 30, 2026 December 31, 2025 Greater than one year and less than five years 1,166,034 2,031,058 Greater than or equal to five years 5,783,875 4,245,551 Total 6,949,909 6,276,609 7 Table of Contents The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2026 and 2025. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2026 2025 2026 2025 Gross realized gains on sale of MBS — 4,247 676 5,170 Gross realized losses on sale of MBS — ( 2,420 ) ( 233 ) ( 8,809 ) Net unrealized gains (losses) on MBS accounted for under the fair value option ( 21,226 ) ( 7,095 ) ( 76,609 ) 80,529 Total gain (loss) on investments, net ( 21,226 ) ( 5,268 ) ( 76,166 ) 76,890 The following tables present components of interest income recognized for the three and six months ended June 30, 2026 and 2025. For the three months ended June 30, 2026 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 76,063 ( 983 ) 75,080 Agency CMBS 9,814 103 9,917 Other (inclusive of interest earned on cash balances) 411 — 411 Total 86,288 ( 880 ) 85,408 For the three months ended June 30, 2025 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 60,597 ( 521 ) 60,076 Agency CMBS 10,164 114 10,278 Non-Agency RMBS 47 51 98 Other (inclusive of interest earned on cash balances) 172 — 172 Total 70,980 ( 356 ) 70,624 For the six months ended June 30, 2026 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 146,439 ( 2,310 ) 144,129 Agency CMBS 19,608 832 20,440 Other (inclusive of interest earned on cash balances) 480 — 480 Total 166,527 ( 1,478 ) 165,049 For the six months ended June 30, 2025 $ in thousands Coupon Interest Net (Premium Amortization)/ Discount Accretion Interest Income Agency RMBS 123,864 ( 341 ) 123,523 Agency CMBS 20,041 209 20,250 Non-Agency CMBS 77 — 77 Non-Agency RMBS 296 ( 12 ) 284 Other (inclusive of interest earned on cash balances) 336 — 336 Total 144,614 ( 144 ) 144,470 8 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 June 30, 2026 and December 31, 2025. The following table summarizes certain characteristics of our borrowings as of June 30, 2026 and December 31, 2025. Refer to Note 5 - “Collateral Positions” for collateral pledged and held under our repurchase agreements. As of $ in thousands June 30, 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 5,352,131 3.76 % 26 4,758,568 4.04 % 24 Repurchase agreements - Agency CMBS 858,272 3.76 % 23 860,687 4.04 % 20 Total borrowings 6,210,403 3.76 % 25 5,619,255 4.04 % 23 9 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 June 30, 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 June 30, 2026, we held $ 6.3 million of non-cash collateral that was not recognized on our condensed consolidated balance sheets (December 31, 2025: none ). $ in thousands As of Collateral pledged June 30, 2026 December 31, 2025 Repurchase agreements: Agency RMBS 5,573,084 4,981,189 Agency CMBS 901,894 898,129 Total repurchase agreements collateral pledged 6,474,978 5,879,318 Derivative instruments: Restricted cash 167,155 110,391 Total derivative instruments collateral pledged 167,155 110,391 Total collateral pledged: Mortgage-backed securities 6,474,978 5,879,318 Restricted cash 167,155 110,391 Total collateral pledged 6,642,133 5,989,709 As of Collateral held June 30, 2026 December 31, 2025 Repurchase agreements: Cash 2,606 — Non-cash collateral 6,279 — Total repurchase agreements collateral held 8,885 — Derivative instruments: Cash 4,097 — Total derivative instruments collateral held 4,097 — Total collateral held: Cash 6,703 — Non-cash collateral 6,279 — Total collateral held 12,982 — 10 Table of Contents 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 104 % as of June 30, 2026 (December 31, 2025: 105 %) based on the fair value of the securities as reported in our condensed consolidated balance sheets. Interest Rate Swaps As of June 30, 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 June 30, 2026 Interest rate swaps 3,820,000 1,875,000 ( 930,000 ) 4,765,000 U.S. Treasury futures contracts 1,090,000 2,720,000 ( 2,530,000 ) 1,280,000 TBA purchase contracts — 12,975,000 ( 11,375,000 ) 1,600,000 TBA sale contracts — ( 11,775,000 ) 11,375,000 ( 400,000 ) 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. 11 Table of Contents The following tables summarize certain characteristics of our interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on the secured overnight financing rate (“SOFR”) as of June 30, 2026 and December 31, 2025. $ in thousands As of June 30, 2026 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,925,000 1.28 % 3.68 % 1.7 3 to 5 years 1,150,000 1.14 % 3.68 % 4.2 5 to 7 years 545,000 3.66 % 3.68 % 6.6 7 to 10 years 595,000 3.98 % 3.68 % 9.2 Greater than 10 years 550,000 2.44 % 3.68 % 20.5 Total 4,765,000 1.99 % 3.68 % 6.0 $ 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 June 30, 2026 and December 31, 2025. As of June 30, 2026 December 31, 2025 $ in thousands Notional Amount - Short Notional Amount - Short 10 year U.S. Treasury futures 600,000 420,000 Ultra 10 year U.S. Treasury futures 375,000 455,000 30 year U.S. Treasury futures 305,000 215,000 Total 1,280,000 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. We primarily use long positions in TBAs as an alternative means of investing in and financing Agency RMBS. Additionally, 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. 12 Table of Contents The table below presents certain characteristics of our TBAs accounted for as derivatives as of June 30, 2026. We did not have any TBAs outstanding as of December 31, 2025. $ in thousands As of June 30, 2026 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value - Asset (Liability) (1) TBA purchase contracts (2) 1,600,000 1,609,118 1,609,922 804 TBA sale contracts (3) ( 400,000 ) ( 409,561 ) ( 408,900 ) 661 Net TBA derivatives 1,200,000 1,199,557 1,201,022 1,465 ​ (1) Derivative assets and derivative liabilities related to TBAs are presented on a gross basis on the condensed consolidated balance sheets. (2) Net carrying value of TBA purchase contracts includes $ 1.7 million of derivative assets and $ 882,000 of derivative liabilities. (3) Net carrying value of TBA sale contracts includes $ 661,000 of derivative assets and no derivative liabilities. 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 June 30, 2026 and December 31, 2025. $ in thousands Derivative Assets Derivative Liabilities As of As of June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest rate swaps asset 8,915 2,235 Interest rate swaps liability — — U.S. Treasury futures contracts 5,248 2,177 U.S. Treasury futures contracts — — TBAs 2,347 — TBAs 882 — Total derivative assets 16,510 4,412 Total derivative liabilities 882 — 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 and six months ended June 30, 2026 and 2025. $ in thousands Three Months Ended June 30, 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 ( 3,623 ) 20,757 12,928 30,062 U.S. Treasury futures contracts ( 4,900 ) — 8,231 3,331 TBAs ( 23,889 ) — 22,080 ( 1,809 ) Total ( 32,412 ) 20,757 43,239 31,584 $ in thousands Three Months Ended June 30, 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 ( 36,316 ) 28,631 ( 8,485 ) ( 16,170 ) U.S. Treasury futures contracts ( 9,834 ) — ( 3,672 ) ( 13,506 ) TBAs ( 1,458 ) — 218 ( 1,240 ) Total ( 47,608 ) 28,631 ( 11,939 ) ( 30,916 ) 13 Table of Contents $ in thousands Six Months Ended June 30, 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 ( 1,412 ) 42,335 6,680 47,603 U.S. Treasury futures contracts 4,581 — 3,071 7,652 TBAs ( 12,257 ) — 1,465 ( 10,792 ) Total ( 9,088 ) 42,335 11,216 44,463 $ in thousands Six Months Ended June 30, 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 ( 112,575 ) 56,710 ( 7,943 ) ( 63,808 ) U.S. Treasury futures contracts ( 38,516 ) — ( 7,844 ) ( 46,360 ) TBAs 1,967 — 606 2,573 Total ( 149,124 ) 56,710 ( 15,181 ) ( 107,595 ) 14 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 June 30, 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 assets of $ 8.9 million related to centrally cleared interest rate swaps and $ 5.2 million related to U.S. Treasury futures contracts as of June 30, 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 tables below as a result of this characterization of daily variation margin. As of June 30, 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) 2,347 — 2,347 ( 695 ) ( 1,518 ) 134 Total assets 2,347 — 2,347 ( 695 ) ( 1,518 ) 134 Liabilities Derivatives (1) (2) ( 882 ) — ( 882 ) 695 — ( 187 ) Repurchase agreements (3) ( 6,210,403 ) — ( 6,210,403 ) 6,210,403 — — Total liabilities ( 6,211,285 ) — ( 6,211,285 ) 6,211,098 — ( 187 ) 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 $ 167.2 million as of June 30, 2026 (December 31, 2025: $ 110.4 million) of which $ 167.2 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 $ 4.1 million of cash collateral on our derivatives as of June 30, 2026 (December 31, 2025: none ). (3) The fair value of securities pledged against our borrowings under repurchase agreements was $ 6.5 billion as of June 30, 2026 (December 31, 2025: $ 5.9 billion). We held $ 2.6 million of cash collateral under repurchase agreements as of June 30, 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 held under repurchase agreements is not shown in the tables above, but the obligation to return the cash collateral is separately reported within collateral held payable on the condensed consolidated balance sheets. Non-cash collateral held under repurchase agreements is only recognized on our condensed consolidated balance sheets if the counterparty defaults or if we sell the pledged collateral. 15 Table of Contents Note 8 – Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based on 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 June 30, 2026 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 Total at Fair Value Assets: Mortgage-backed securities (1) — 6,949,909 — 6,949,909 Derivative assets (2) 5,248 11,262 — 16,510 Total assets 5,248 6,961,171 — 6,966,419 Liabilities: Derivative liabilities (2) — 882 — 882 Total liabilities — 882 — 882 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 June 30, 2026 and December 31, 2025. As of June 30, 2026 December 31, 2025 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial liabilities: Repurchase agreements 6,210,403 6,210,226 5,619,255 5,619,716 Total 6,210,403 6,210,226 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. 16 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 and six months ended June 30, 2026 were $ 534,000 and $ 881,000 , respectively (three and six months ended June 30, 2025: $ 257,000 and $ 550,000 ). 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 and six months ended June 30, 2026 and 2025. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2026 2025 2026 2025 Incurred costs, prepaid or expensed 2,346 1,051 3,891 2,691 Incurred costs, charged or expected to be charged against equity as a cost of raising capital 36 — 139 — Total incurred costs, originally paid by our Manager 2,382 1,051 4,030 2,691 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 and six months ended June 30, 2026, we repurchased and retired 47,222 and 111,910 shares of Series C Preferred Stock, respectively (three and six months ended June 30, 2025: 96,803 and 186,949 shares). As of June 30, 2026, we had authority to repurchase 242,221 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 June 30, 2026, we had 21,992,905 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 17 Table of Contents issuances of our common stock under equity distribution agreements during the three and six months ended June 30, 2026 and 2025. Three Months Ended June 30, Six Months Ended June 30, Shares in ones, $ in thousands 2026 2025 2026 2025 Shares sold 14,847,506 282,750 30,542,095 4,494,807 Fees paid to placement agents 1,495 27 3,187 484 Cash proceeds, net of fees paid to placement agents (1) 118,109 2,163 251,741 38,231 (1) During the three and six months ended June 30, 2026, we also paid other costs of $ 139,000 related to issuances of common stock. During the three and six months ended June 30, 2026 and 2025, we did not repurchase any shares of our common stock. As of June 30, 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 and six months ended June 30, 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 and six months ended June 30, 2026 and 2025. $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Three months ended June 30, 2026 0.46875 3,165 Six months ended June 30, 2026 0.93750 6,355 Three months ended June 30, 2025 0.46875 3,297 Six months ended June 30, 2025 0.93750 6,638 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Three months ended June 30, 2026 0.36 34,713 Six months ended June 30, 2026 0.72 64,762 Three months ended June 30, 2025 0.34 22,545 Six months ended June 30, 2025 0.68 44,965 18 Table of Contents Note 11 – Earnings (Loss) per Common Share Earnings (loss) per share for the three and six months ended June 30, 2026 and 2025 is calculated as follows. Three Months Ended June 30, Six Months Ended June 30, In thousands, except per share amounts 2026 2025 2026 2025 Numerator (income) Net income (loss) available to common stockholders 31,842 ( 26,567 ) 8,721 ( 10,278 ) Denominator (weighted average shares) Weighted average number of common shares outstanding - Basic 94,904 66,006 88,425 64,434 Weighted average number of common shares outstanding - Diluted 94,904 66,006 88,425 64,434 Earnings (loss) per share Net income (loss) attributable to common stockholders Basic 0.34 ( 0.40 ) 0.10 ( 0.16 ) Diluted 0.34 ( 0.40 ) 0.10 ( 0.16 ) There were no antidilutive shares that were excluded from the calculation of diluted earnings per share for the three and six months ended June 30, 2026. 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. Note 12 – Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. As of June 30, 2026, we were not aware of any reported or unreported contingencies. Note 13 – Subsequent Events Common Stock Issuances Between July 1, 2026 and August 5, 2026, we issued 5,380,335 shares of common stock under our equity distribution agreement with placement agents for cash proceeds, net of fees paid to placement agents, of $ 41.3 million. 19 Table of Contents