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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2022
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                  to                 
Commission file number 001-34385
ivr-20220331_g1.jpg
Invesco Mortgage Capital Inc.
(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
Maryland26-2749336
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
1555 Peachtree Street, N.E., Suite 1800,
Atlanta,Georgia30309
(Address of Principal Executive Offices)(Zip Code)
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code) 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of Each ClassTrading SymbolName of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareIVRNew York Stock Exchange
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock IVR PrBNew York Stock Exchange
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock IVR PrCNew York Stock Exchange
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes      No  
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes      No  
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer   Accelerated filer 
Non-Accelerated filer 
  Smaller reporting company 
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes      No  
As of April 30, 2022, there were 329,917,927 outstanding shares of common stock of Invesco Mortgage Capital Inc.


INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
 
  Page
Item 1.
Item 2.
Item 3.
Item 4.
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.



PART I
ITEM 1.     FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
As of
 $ in thousands, except share amountsMarch 31, 2022December 31, 2021
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $5,607,777 and $7,326,175, respectively)
5,992,494 7,804,259 
U.S. Treasury securities, at fair value (including pledged securities of $482,445 as of March 31, 2022)
482,445  
Cash and cash equivalents251,724 357,134 
Restricted cash245,809 219,918 
Due from counterparties47,793 7,985 
Investment related receivable15,214 16,766 
Derivative assets, at fair value17,674 270 
Other assets29,465 37,509 
Total assets 7,082,618 8,443,841 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements5,837,420 6,987,834 
Derivative liabilities, at fair value77,613 14,356 
Dividends payable29,693 29,689 
Investment related payable1  
Accrued interest payable1,143 1,171 
Collateral held payable280 280 
Accounts payable and accrued expenses2,083 1,887 
Due to affiliate6,438 6,489 
Total liabilities 5,954,671 7,041,706 
Commitments and contingencies (See Note 15):
Stockholders' equity:
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
149,860 149,860 
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 11,500,000 shares issued and outstanding ($287,500 aggregate liquidation preference)
278,108 278,108 
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 329,917,927 and 329,874,780 shares issued and outstanding, respectively
3,299 3,299 
Additional paid in capital3,816,544 3,816,406 
Accumulated other comprehensive income29,469 37,286 
Retained earnings (distributions in excess of earnings)(3,149,333)(2,882,824)
Total stockholders’ equity1,127,947 1,402,135 
Total liabilities and stockholders' equity7,082,618 8,443,841 
The accompanying notes are an integral part of these condensed consolidated financial statements.
1

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
 
 Three Months Ended March 31,
$ in thousands, except share data20222021
Interest income
Mortgage-backed and other securities41,637 39,434 
Commercial loan537 576 
Total interest income42,174 40,010 
Interest expense
Repurchase agreements (1)
(2,104)(1,660)
Total interest expense(2,104)(1,660)
Net interest income44,278 41,670 
Other income (loss)
Gain (loss) on investments, net(504,388)(331,857)
(Increase) decrease in provision for credit losses 938 
Equity in earnings (losses) of unconsolidated ventures71 (94)
Gain (loss) on derivative instruments, net238,860 286,961 
Other investment income (loss), net55 (16)
Total other income (loss)(265,402)(44,068)
Expenses
Management fee – related party5,274 4,884 
General and administrative2,024 1,993 
Total expenses7,298 6,877 
Net income (loss)(228,422)(9,275)
Dividends to preferred stockholders8,394 11,107 
Net income (loss) attributable to common stockholders(236,816)(20,382)
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic(0.72)(0.09)
Diluted(0.72)(0.09)
(1)Negative interest expense on repurchase agreements is due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 9 - "Derivatives and Hedging Activities" and Note 13 - "Stockholders' Equity".
The accompanying notes are an integral part of these condensed consolidated financial statements.
2

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)
 
Three Months Ended March 31,
$ in thousands20222021
Net income (loss)(228,422)(9,275)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net(2,421)981 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense(5,196)(5,368)
Currency translation adjustments on investment in unconsolidated venture(200)609 
Total other comprehensive income (loss)(7,817)(3,778)
Comprehensive income (loss)(236,239)(13,053)
Less: Dividends to preferred stockholders(8,394)(11,107)
Comprehensive income (loss) attributable to common stockholders(244,633)(24,160)

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

3

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2022 and 2021
(Unaudited)

 
Additional
Paid in
Capital
Accumulated
Other
Comprehensive
Income (Loss)
Retained
Earnings
(Distributions
in excess of
earnings)
Total
Stockholders’
Equity
Series B
Preferred Stock
Series C
Preferred Stock
$ in thousands, except share amountsCommon Stock
SharesAmountSharesAmountSharesAmount
Balance at December 31, 20216,200,000 149,860 11,500,000 278,108 329,874,780 3,299 3,816,406 37,286 (2,882,824)1,402,135 
Net income (loss)— — — — — — — — (228,422)(228,422)
Other comprehensive income (loss)— — — — — — — (7,817)— (7,817)
Stock awards— — — — 43,147 — — — —  
Common stock dividends— — — — — — — — (29,693)(29,693)
Preferred stock dividends— — — — — — — — (8,394)(8,394)
Amortization of equity-based compensation— — — — — — 138 — — 138 
Balance at March 31, 20226,200,000 149,860 11,500,000 278,108 329,917,927 3,299 3,816,544 29,469 (3,149,333)1,127,947 

Additional
Paid in
Capital
Accumulated
Other
Comprehensive
Income (Loss)
Retained
Earnings
(Distributions
in excess of
earnings)
Total
Stockholders’
Equity
Series A
Preferred Stock
Series B
Preferred Stock
Series C
Preferred Stock
$ in thousands, except share amountsCommon Stock
SharesAmountSharesAmountSharesAmountSharesAmount
Balance at December 31, 20205,600,000 135,356 6,200,000 149,860 11,500,000 278,108 203,222,108 2,032 3,387,552 58,605 (2,644,355)1,367,158 
Net income (loss)— — — — — — — — — — (9,275)(9,275)
Other comprehensive income (loss)— — — — — — — — — (3,778)— (3,778)
Proceeds from issuance of common stock, net of offering costs— — — — — — 43,150,000 432 160,549 — — 160,981 
Stock awards— — — — — — 25,602  — — —  
Common stock dividends— — — — — — — — — — (22,176)(22,176)
Preferred stock dividends— — — — — — — — — — (11,107)(11,107)
Amortization of equity-based compensation— — — — — — — — 129 — — 129 
Balance at March 31, 20215,600,000 135,356 6,200,000 149,860 11,500,000 278,108 246,397,710 2,464 3,548,230 54,827 (2,686,913)1,481,932 

The accompanying notes are an integral part of these condensed consolidated financial statements.
4

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  Three Months Ended March 31,
$ in thousands20222021
Cash Flows from Operating Activities
Net income (loss)(228,422)(9,275)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of mortgage-backed and other securities premiums and (discounts), net4,813 11,625 
Realized and unrealized (gain) loss on derivative instruments, net(237,576)(291,510)
(Gain) loss on investments, net504,388 331,857 
Increase (decrease) in provision for credit losses (938)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received34 18 
Other amortization(5,058)(5,239)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets1,875 (1,990)
Increase (decrease) in operating liabilities82 (43)
Net cash provided by (used in) operating activities40,136 34,505 
Cash Flows from Investing Activities
Purchase of mortgage-backed securities(7,602,660)(7,012,452)
Purchase of U.S. Treasury securities(502,288) 
Distributions from investments in unconsolidated ventures, net7,388 1,233 
Principal payments from mortgage-backed securities168,316 200,590 
Proceeds from sale of mortgage-backed securities8,754,469 5,545,566 
Settlement (termination) of forwards, swaps, swaptions and TBAs, net283,429 282,250 
Net change in due from counterparties and collateral held payable on derivative instruments(38,829)(3,438)
Net cash provided by (used in) investing activities1,069,825 (986,251)
Cash Flows from Financing Activities
Proceeds from issuance of common stock 161,413 
Proceeds from repurchase agreements23,329,788 28,514,983 
Principal repayments of repurchase agreements(24,480,202)(27,502,795)
Net change in due from counterparties and collateral held payable on repurchase agreements(979)(7,953)
Payments of deferred costs(4)(86)
Payments of dividends (38,083)(27,365)
Net cash provided by (used in) financing activities(1,189,480)1,138,197 
Net change in cash, cash equivalents and restricted cash(79,519)186,451 
Cash, cash equivalents and restricted cash, beginning of period577,052 392,584 
Cash, cash equivalents and restricted cash, end of period497,533 579,035 
Supplement Disclosure of Cash Flow Information
Interest paid2,771 3,985 
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale(2,421)981 
Dividends declared not paid29,693 24,888 
Net change in investment related receivable (payable)15 (271)
Offering costs not paid562 334 
Change in foreign currency translation adjustment on other investments200 (609)

The accompanying notes are an integral part of these condensed consolidated financial statements.
5

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.
We currently invest 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”);
Commercial mortgage-backed securities (“CMBS”) that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”);
RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”);
A commercial mortgage loan;
Other real estate-related financing agreements; and
U.S Treasury securities.
We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one 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”), a leading 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 generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. 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, 2021.
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 our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. 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.
6

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, 2021 other than as detailed below.
U.S. Treasury Securities
U.S. Treasury securities are classified as trading securities and reported at fair value on our condensed consolidated balance sheets. Purchases of U.S. Treasury Securities are recorded on the trade date. Changes in the fair value of U.S. Treasury securities are recognized within gain (loss) on investments, net in our condensed consolidated statements of operations. Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Interest income on U.S. Treasury securities is recognized within mortgage-backed and other securities interest income on our condensed consolidated statements of operations. Similar to the Company's MBS, U.S. Treasury securities are valued based upon prices obtained from third party pricing vendors and classified as Level 2 assets within the fair value hierarchy.
Note 3 – Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2022 is presented in the table below.
$ in thousandsCarrying AmountCompany's Maximum Risk of Loss
Non-Agency CMBS61,295 61,295 
Non-Agency RMBS8,402 8,402 
Investments in unconsolidated ventures4,854 4,854 
Total74,551 74,551 
Refer to Note 4 - "Mortgage-Backed Securities" and Note 6 - "Other Assets" for additional details regarding these investments.
Note 4 – Mortgage-Backed Securities
The following tables summarize our MBS portfolio by asset type as of March 31, 2022 and December 31, 2021.
March 31, 2022
$ in thousandsPrincipal/ Notional
Balance
Unamortized
Premium
(Discount)
Amortized
Cost
Unrealized
Gain/
(Loss), net
Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate6,132,696 (43,156)6,089,540 (227,561)5,861,979 2.54 %
Total Agency RMBS pass-through6,132,696 (43,156)6,089,540 (227,561)5,861,979 2.54 %
Agency-CMO (2)
441,397 (382,576)58,821 1,997 60,818 6.32 %
Non-Agency CMBS 61,427 (2,594)58,833 2,462 61,295 8.62 %
Non-Agency RMBS (3)(4)(5)
354,236 (345,577)8,659 (257)8,402 8.32 %
Total6,989,756 (773,903)6,215,853 (223,359)5,992,494 2.64 %

(1)Period-end weighted average yield is based on amortized cost as of March 31, 2022 and incorporates future prepayment and loss assumptions.
(2)All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”).
(3)Non-Agency RMBS is 62.6% fixed rate, 36.4% variable rate, and 1.0% 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 97.5% of principal/notional balance, 44.1% of amortized cost and 18.3% of fair value.

7

December 31, 2021
$ in thousandsPrincipal/Notional
Balance
Unamortized
Premium
(Discount)
Amortized
Cost
Unrealized
Gain/
(Loss), net
Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate7,514,229 246,183 7,760,412 (58,889)7,701,523 2.07 %
Total Agency RMBS pass-through7,514,229 246,183 7,760,412 (58,889)7,701,523 2.07 %
Agency-CMO (2)
235,216 (203,180)32,036 (1,279)30,757 6.47 %
Non-Agency CMBS61,427 (3,096)58,331 4,578 62,909 8.63 %
Non-Agency RMBS (3)(4)(5)
392,543 (383,591)8,952 118 9,070 5.26 %
Total8,203,415 (343,684)7,859,731 (55,472)7,804,259 2.14 %
(1)Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions.
(2)All Agency-CMO are Agency IO.
(3)Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% 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 non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% 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, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of March 31, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option.
March 31, 2022December 31, 2021
$ in thousandsAvailable-for-sale SecuritiesSecurities under Fair Value OptionTotal
Fair Value
Available-for-sale SecuritiesSecurities under Fair Value OptionTotal
Fair Value
Agency RMBS:
30 year fixed-rate 5,861,979 5,861,979  7,701,523 7,701,523 
Total Agency RMBS pass-through 5,861,979 5,861,979  7,701,523 7,701,523 
Agency-CMO 60,818 60,818  30,757 30,757 
Non-Agency CMBS61,295  61,295 62,909  62,909 
Non-Agency RMBS6,869 1,533 8,402 7,288 1,782 9,070 
Total68,164 5,924,330 5,992,494 70,197 7,734,062 7,804,259 
The components of the carrying value of our MBS portfolio at March 31, 2022 and December 31, 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $14.1 million at March 31, 2022 (December 31, 2021: $16.6 million).
March 31, 2022
$ in thousandsMBSInterest-Only SecuritiesTotal
Principal/notional balance6,203,136 786,620 6,989,756 
Unamortized premium75,067  75,067 
Unamortized discount(124,990)(723,980)(848,970)
Gross unrealized gains (1)
4,483 3,399 7,882 
Gross unrealized losses (1)
(227,561)(3,680)(231,241)
Fair value5,930,135 62,359 5,992,494 
8

December 31, 2021
$ in thousandsMBSInterest-Only SecuritiesTotal
Principal/notional balance7,584,812 618,603 8,203,415 
Unamortized premium250,771  250,771 
Unamortized discount(11,902)(582,553)(594,455)
Gross unrealized gains (1)
8,754 109 8,863 
Gross unrealized losses (1)
(60,741)(3,594)(64,335)
Fair value7,771,694 32,565 7,804,259 
(1)Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. 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, 2022 and 2021 is provided below in this Note 4.
The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2022 and December 31, 2021.
$ in thousandsMarch 31, 2022December 31, 2021
Less than one year22,792 23,150 
Greater than one year and less than five years38,627 891,510 
Greater than or equal to five years5,931,075 6,889,599 
Total5,992,494 7,804,259 

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 at March 31, 2022 and December 31, 2021.
March 31, 2022
  Less than 12 Months12 Months or MoreTotal
$ in thousandsFair
Value
Unrealized
Losses
Number
of
Securities
Fair
Value
Unrealized
Losses
Number
of
Securities
Fair
Value
Unrealized
Losses
Number
of
Securities
Agency RMBS:
30 year fixed-rate 5,861,979 (227,561)36    5,861,979 (227,561)36 
Total Agency RMBS pass-through (1)
5,861,979 (227,561)36    5,861,979 (227,561)36 
Agency-CMO (1)
27,175 (1,401)5    27,175 (1,401)5 
Non-Agency RMBS (2)
113 (142)1 1,427 (2,137)13 1,540 (2,279)14 
Total 5,889,267 (229,104)42 1,427 (2,137)13 5,890,694 (231,241)55 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $142,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.
9

December 31, 2021
  Less than 12 Months12 Months or MoreTotal
$ in thousandsFair
Value
Unrealized
Losses
Number
of
Securities
Fair
Value
Unrealized
Losses
Number
of
Securities
Fair
Value
Unrealized
Losses
Number
of
Securities
Agency RMBS:
30 year fixed-rate6,838,999 (60,741)54    6,838,999 (60,741)54 
Total Agency RMBS pass-through (1)
6,838,999 (60,741)54    6,838,999 (60,741)54 
Agency-CMO (1)
21,810 (1,389)5    21,810 (1,389)5 
Non-Agency RMBS (2)
767 (1,132)5 1,042 (1,073)9 1,809 (2,205)14 
Total6,861,576 (63,262)64 1,042 (1,073)9 6,862,618 (64,335)73 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with fair value of $1.7 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $136,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.

As of March 31, 2022 and December 31, 2021, we did not have an allowance for credit losses recorded on our condensed consolidated balance sheets. We recorded a $938,000 decrease in our provision for credit losses during the three months ended March 31, 2021. The following table presents a roll-forward of our allowance for credit losses.
Three Months Ended March 31,
$ in thousands2021
Beginning allowance for credit losses(1,768)
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period938 
Ending allowance for credit losses(830)
The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2022 and 2021.
Three Months Ended March 31,
$ in thousands20222021
Gross realized gains on sale of MBS