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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 June 30, 2024
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
ivrmainimageinblacka07.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.)
1331 Spring Street, N.W., Suite 2500,
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 July 31, 2024, there were 54,819,685 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 amountsJune 30, 2024December 31, 2023
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $4,450,061 and $4,712,185, respectively; net of allowance for credit losses of $622 and $320, respectively)
4,836,827 5,045,306 
U.S. Treasury securities, at fair value— 11,214 
Cash and cash equivalents58,775 76,967 
Restricted cash124,667 121,670 
Due from counterparties1,279 — 
Investment related receivable35,599 26,604 
Derivative assets, at fair value8,991 939 
Other assets391 1,509 
Total assets 5,066,529 5,284,209 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements4,260,475 4,458,695 
Derivative liabilities, at fair value1,525 — 
Dividends payable20,255 19,384 
Accrued interest payable20,536 15,787 
Collateral held payable— 2,475 
Accounts payable and accrued expenses1,306 1,296 
Due to affiliate3,216 3,907 
Total liabilities 4,307,313 4,501,544 
Commitments and contingencies (See Note 14):
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: 4,247,989 and 4,385,997 shares issued and outstanding, respectively ($106,200 and $109,650 aggregate liquidation preference, respectively)
102,678 106,014 
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 7,344,030 and 7,545,439 shares issued and outstanding, respectively ($183,601 and $188,636 aggregate liquidation preference, respectively)
177,603 182,474 
Common Stock, par value $0.01 per share; 67,000,000 shares authorized, 50,637,604 and 48,460,626 shares issued and outstanding, respectively
506 484 
Additional paid in capital4,030,745 4,011,138 
Accumulated other comprehensive income648 698 
Retained earnings (distributions in excess of earnings)(3,552,964)(3,518,143)
Total stockholders’ equity759,216 782,665 
Total liabilities and stockholders' equity5,066,529 5,284,209 

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 June 30,Six Months Ended June 30,
$ in thousands, except share data2024202320242023
Interest income68,028 71,428 136,611 140,715 
Interest expense59,393 59,022 120,973 108,748 
Net interest income8,635 12,406 15,638 31,967 
Other income (loss)
Gain (loss) on investments, net(45,212)(99,679)(111,365)(47,723)
(Increase) decrease in provision for credit losses(263)(169)(302)(169)
Equity in earnings (losses) of unconsolidated ventures— — (193)2 
Gain (loss) on derivative instruments, net28,262 96,624 121,423 51,729 
Other investment income (loss), net— 27 — (66)
Total other income (loss)(17,213)(3,197)9,563 3,773 
Expenses
Management fee – related party2,945 3,168 5,806 6,147 
General and administrative1,943 1,963 3,739 4,052 
Total expenses4,888 5,131 9,545 10,199 
Net income (loss)(13,466)4,078 15,656 25,541 
Dividends to preferred stockholders(5,508)(5,840)(11,093)(11,702)
Gain on repurchase and retirement of preferred stock208 364 401 364 
Net income (loss) attributable to common stockholders(18,766)(1,398)4,964 14,203 
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic(0.38)(0.03)0.10 0.35 
Diluted(0.38)(0.03)0.10 0.35 

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 June 30,Six Months Ended June 30,
$ in thousands2024202320242023
Net income (loss)(13,466)4,078 15,656 25,541 
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net(150)(131)(352)(607)
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses263 169 302 169 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense— (3,201)— (7,695)
Currency translation adjustments on investment in unconsolidated venture— — — (10)
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net— — — 123 
Total other comprehensive income (loss)113 (3,163)(50)(8,020)
Comprehensive income (loss)(13,353)915 15,606 17,521 
Dividends to preferred stockholders(5,508)(5,840)(11,093)(11,702)
Gain on repurchase and retirement of preferred stock208 364 401 364 
Comprehensive income (loss) attributable to common stockholders(18,653)(4,561)4,914 6,183 

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, 2024 and June 30, 2024
(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 as of December 31, 20234,385,997 106,014 7,545,439 182,474 48,460,626 484 4,011,138 698 (3,518,143)782,665 
Net income (loss)— — — — — — — — 29,122 29,122 
Other comprehensive income (loss)— — — — — — — (163)— (163)
Proceeds from issuance of common stock, net of offering costs— — — — 365,838 4 3,314 — — 3,318 
Stock awards— — — — (870)— — — — — 
Repurchase and retirement of preferred stock(93,347)(2,256)(95,917)(2,320)— — — — 193 (4,383)
Common stock dividends— — — — — — — — (19,530)(19,530)
Preferred stock dividends— — — — — — — — (5,585)(5,585)
Amortization of equity-based compensation— — — — — — 128 — — 128 
Balance as of March 31, 20244,292,650 103,758 7,449,522 180,154 48,825,594 488 4,014,580 535 (3,513,943)785,572 
Net income (loss)— — — — — — — — (13,466)(13,466)
Other comprehensive income (loss)— — — — — — — 113 — 113 
Proceeds from issuance of common stock, net of offering costs— — — — 1,761,155 18 16,034 — — 16,052 
Stock awards— — — — 50,855 — — — — — 
Repurchase and retirement of preferred stock(44,661)(1,080)(105,492)(2,551)— — — — 208 (3,423)
Common stock dividends— — — — — — — — (20,255)(20,255)
Preferred stock dividends— — — — — — — — (5,508)(5,508)
Amortization of equity-based compensation— — — — — — 131 — — 131 
Balance as of June 30, 20244,247,989 102,678 7,344,030 177,603 50,637,604 506 4,030,745 648 (3,552,964)759,216 


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






4

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2023 and June 30, 2023
(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 as of December 31, 20224,537,634 109,679 7,816,470 189,028 38,710,916 387 3,901,562 10,761 (3,407,342)804,075 
Net income (loss)— — — — — — — — 21,463 21,463 
Other comprehensive income (loss)— — — — — — — (4,857)— (4,857)
Proceeds from issuance of common stock, net of offering costs— — — — 2,930,069 29 35,763 — — 35,792 
Stock awards— — — — 6,259 — — — — — 
Common stock dividends— — — — — — — — (16,658)(16,658)
Preferred stock dividends— — — — — — — — (5,862)(5,862)
Amortization of equity-based compensation— — — — — — 162 — — 162 
Balance as of March 31, 20234,537,634 109,679 7,816,470 189,028 41,647,244 416 3,937,487 5,904 (3,408,399)834,115 
Net income (loss)— — — — — — — — 4,078 4,078 
Other comprehensive income (loss)— — — — — — — (3,163)— (3,163)
Proceeds from issuance of common stock, net of offering costs— — — — 2,888,639 29 30,939 — — 30,968 
Stock awards— — — — 43,980 — — — — — 
Repurchase and retirement of preferred stock(37,788)(913)(42,696)(1,033)— — — — 364 (1,582)
Common stock dividends— — — — — — — — (17,833)(17,833)
Preferred stock dividends— — — — — — — — (5,840)(5,840)
Amortization of equity-based compensation— — — — — — 141 — — 141 
Balance as of June 30, 20234,499,846 108,766 7,773,774 187,995 44,579,863 445 3,968,567 2,741 (3,427,630)840,884 

The accompanying notes are an integral part of these condensed consolidated financial statements.
5
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  Six Months Ended June 30,
$ in thousands20242023
Cash Flows from Operating Activities
Net income (loss)15,656 25,541 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of premiums and (discounts), net(6,719)2,752 
Realized and unrealized (gain) loss on derivative instruments, net(32,865)66,172 
(Gain) loss on investments, net111,365 47,723 
Increase (decrease) in provision for credit losses302 169 
(Gain) loss from investments in unconsolidated ventures in excess of distributions received193 (2)
Other amortization259 (7,392)
Loss on foreign currency translation— 123 
Changes in operating assets and liabilities:
(Increase) decrease in operating assets(1,783)(421)
Increase (decrease) in operating liabilities4,068 19,079 
Net cash provided by (used in) operating activities90,476 153,744 
Cash Flows from Investing Activities
Purchase of mortgage-backed securities(624,425)(2,393,198)
Distributions from investments in unconsolidated ventures, net307 40 
Principal payments from mortgage-backed securities153,021 144,515 
Proceeds from sale of mortgage-backed securities568,331 1,482,034 
Proceeds from sale of U.S. Treasury securities10,755 — 
Settlement (termination) of swaps, TBAs and forwards, net26,338 (64,954)
Net change in due from counterparties and collateral held payable on derivative instruments(1,279)1,584 
Net cash provided by (used in) investing activities133,048 (829,979)
Cash Flows from Financing Activities
Proceeds from issuance of common stock19,370 66,760 
Repurchase of preferred stock(7,806)(1,582)
Proceeds from repurchase agreements17,949,216 17,156,436 
Principal repayments of repurchase agreements(18,147,017)(16,431,871)
Net change in due from counterparties and collateral held payable on repurchase agreements(2,475)(4,892)
Payments of deferred costs— (169)
Payments of dividends (50,007)(53,523)
Net cash provided by (used in) financing activities(238,719)731,159 
Net change in cash, cash equivalents and restricted cash(15,195)54,924 
Cash, cash equivalents and restricted cash, beginning of period198,637 278,781 
Cash, cash equivalents and restricted cash, end of period183,442 333,705 
Supplement Disclosure of Cash Flow Information
Interest paid116,223 96,830 
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale50 438 
Dividends declared not paid20,255 17,832 
Net change in investment related receivable (payable)6,591 — 
Net change in foreign currency translation adjustment recorded in accumulated other comprehensive income— (113)

The accompanying notes are an integral part of these condensed consolidated financial statements.
6
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, 2024, 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”);
•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");
•CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”); and
•RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”).
During the periods presented in these condensed consolidated financial statements, we also invested in U.S. Treasury securities and real estate-related financing arrangements in the form of unconsolidated ventures.
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, 2023.
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 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, 2023.
7
Note 3 – Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary as of June 30, 2024 is presented in the table below.
$ in thousandsCarrying
Amount		Company's Maximum Risk of Loss
Non-Agency CMBS10,264 10,264 
Non-Agency RMBS7,463 7,463 
Total17,727 17,727 
Refer to Note 4 - "Mortgage-Backed Securities" for additional details regarding these investments.
Note 4 – Mortgage-Backed Securities
The following tables summarize our MBS portfolio by asset type as of June 30, 2024 and December 31, 2023.
As of June 30, 2024
$ in thousandsPrincipal/ Notional
Balance		Unamortized
Premium
(Discount)		Amortized
Cost		Allowance for Credit LossesUnrealized
Gain/
(Loss), net		Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate pass-through4,482,253 (124,355)4,357,898 — 1,898 4,359,796 5.40 %
Agency-CMO (2)
553,157 (482,008)71,149 — 3,562 74,711 9.94 %
Agency CMBS392,924 (8,372)384,552 — 41 384,593 4.97 %
Non-Agency CMBS 11,000 (114)10,886 (622)— 10,264 8.91 %
Non-Agency RMBS (3)(4)(5)
259,791 (252,826)6,965 — 498 7,463 9.44 %
Total5,699,125 (867,675)4,831,450 (622)5,999 4,836,827 5.45 %
(1)Period-end weighted average yield is based on amortized cost as of June 30, 2024 and incorporates future prepayment and loss assumptions when appropriate.
(2)All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”).
(3)Non-Agency RMBS is 66.4% fixed rate, 32.9% variable rate, and 0.7% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(5)Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 96.8% of principal/notional balance, 35.6% of amortized cost and 32.1% of fair value.
8
As of December 31, 2023
$ in thousandsPrincipal/Notional
Balance		Unamortized
Premium
(Discount)		Amortized
Cost		Allowance for Credit LossesUnrealized
Gain/
(Loss), net		Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate pass-through5,005,512 (159,924)4,845,588 — 106,886 4,952,474 5.33 %
Agency-CMO (2)
573,240 (498,355)74,885 — (127)74,758 9.74 %
Non-Agency CMBS11,000 (372)10,628 (320)(373)9,935 9.58 %
Non-Agency RMBS (3)(4)(5)
275,061 (267,744)7,317 — 822 8,139 9.10 %
Total5,864,813 (926,395)4,938,418 (320)107,208 5,045,306 5.42 %
(1)Period-end weighted average yield is based on amortized cost as of December 31, 2023 and incorporates future prepayment and loss assumptions when appropriate.
(2)All Agency-CMO are Agency IO.
(3)Non-Agency RMBS is 66.8% fixed rate, 32.5% variable rate and 0.7% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(5)Non-Agency RMBS includes non-Agency IO which represent 96.9% of principal/notional balance, 37.6% of amortized cost and 31.7% 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 June 30, 2024 and December 31, 2023. We have elected the fair value option for our MBS purchased on or after September 1, 2016 and all of our RMBS interest-only securities. As of June 30, 2024 and December 31, 2023, approximately 99.7% of our MBS were accounted for under the fair value option.
As of
June 30, 2024December 31, 2023
$ 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 pass-through— 4,359,796 4,359,796 — 4,952,474 4,952,474 
Agency-CMO— 74,711 74,711 — 74,758 74,758 
Agency CMBS— 384,593 384,593 — — — 
Non-Agency CMBS10,264 — 10,264 9,935 — 9,935 
Non-Agency RMBS5,216 2,247 7,463 5,743 2,396 8,139 
Total15,480 4,821,347 4,836,827 15,678 5,029,628 5,045,306 
9
The components of the carrying value of our MBS portfolio as of June 30, 2024 and December 31, 2023 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $21.9 million as of June 30, 2024 (December 31, 2023: $22.3 million).
As of
June 30, 2024December 31, 2023
$ in thousandsMBSInterest-Only SecuritiesTotalMBSInterest-Only SecuritiesTotal
Principal/notional balance4,894,611 804,514 5,699,125 5,025,062 839,751 5,864,813 
Unamortized premium6,012 — 6,012 5,061 — 5,061 
Unamortized discount(142,801)(730,886)(873,687)(169,342)(762,114)(931,456)
Allowance for credit losses(622)— (622)(320)— (320)
Gross unrealized gains (1)
20,391 5,913 26,304 107,899 3,523 111,422 
Gross unrealized losses (1)
(17,871)(2,434)(20,305)(393)(3,821)(4,214)
Fair value4,759,720 77,107 4,836,827 4,967,967 77,339 5,045,306 
(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 and six months ended June 30, 2024 and 2023 is provided below in this Note 4.
The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2024 and December 31, 2023.
As of
$ in thousandsJune 30, 2024December 31, 2023
Less than one year— — 
Greater than one year and less than five years10,488 189,845 
Greater than or equal to five years4,826,339 4,855,461 
Total4,836,827 5,045,306 

The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2024 and December 31, 2023.
As of June 30, 2024
  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 pass-through (1)
2,503,681 (17,037)26 — — — 2,503,681 (17,037)26 
Agency-CMO (1)
5,192 (284)1 14,930 (1,845)4 20,122 (2,129)5 
Agency CMBS (1)
166,146 (806)16 — — — 166,146 (806)16 
Non-Agency RMBS (2)
78 (2)3 1,386 (331)9 1,464 (333)12 
Total 2,675,097 (18,129)46 16,316 (2,176)13 2,691,413 (20,305)59 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with a fair value of $1.1 million for which the fair value option has been elected. Such securities have unrealized losses of $305,000.
10
As of December 31, 2023
  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:
Agency-CMO (1)
17,486 (849)3 21,664 (2,574)6 39,150 (3,423)9 
Non-Agency CMBS (2)
9,935 (373)1— — — 9,935 (373)1
Non-Agency RMBS (3)
— — — 1,462 (418)9 1,462 (418)9 
Total27,421 (1,222)4 23,126 (2,992)15 50,547 (4,214)19 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.
(3)Includes non-Agency IO with a fair value of $1.2 million for which the fair value option has been elected. Such securities have unrealized losses of $399,000.

We recorded a $263,000 and $302,000 provision for credit losses during the three and six months ended June 30, 2024, respectively, and a $169,000 provision for credit losses during the three and six months ended June 30, 2023 on a single non-Agency CMBS. The following table presents a roll-forward of our allowance for credit losses.
Three Months Ended June 30,Six Months Ended June 30,
$ in thousands2024202320242023
Beginning allowance for credit losses(359)— (320)— 
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded— (169)— (169)
Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period(263)— (302)— 
Ending allowance for credit losses(622)(169)(622)(169)
The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2024 and 2023.
Three Months Ended June 30,Six Months Ended June 30,
$ in thousands2024202320242023
Gross realized gains on sale of MBS— — 148 5,363 
Gross realized losses on sale of MBS(6,529)(10,484)(9,899)(29,612)
Net unrealized gains (losses) on MBS accounted for under the fair value option(38,683)(89,195)(101,156)(23,474)
Net unrealized gains (losses) on U.S. Treasury securities— — (372)— 
Net realized gains (losses) on U.S. Treasury securities— — (86)— 
Total gain (loss) on investments, net(45,212)(99,679)(111,365)(47,723)
11
The following tables present components of interest income recognized for the three and six months ended June 30, 2024 and 2023.
For the three months ended June 30, 2024
$ in thousandsCoupon
Interest		Net (Premium
Amortization)/Discount
Accretion		Interest
Income
Agency RMBS 61,248 1,595 62,843 
Agency CMBS4,256 165 4,421 
Non-Agency CMBS126 130 256 
Non-Agency RMBS274 (110)164 
Other (inclusive of interest earned on cash balances)344 — 344 
Total interest income66,248 1,780 68,028 
For the three months ended June 30, 2023
$ in thousandsCoupon
Interest		Net (Premium
Amortization)/Discount
Accretion		Interest
Income
Agency RMBS68,570 1,138 69,708 
Non-Agency CMBS491 296 787 
Non-Agency RMBS288 (125)163 
Other (inclusive of interest earned on cash balances)770 — 770 
Total interest income70,119 1,309 71,428 
For the six months ended June 30, 2024
$ in thousandsCoupon
Interest		Net (Premium
Amortization)/Discount
Accretion		Interest
Income
Agency RMBS127,377 2,732 130,109 
Agency CMBS4,760 170 4,930 
Non-Agency CMBS251 257 508 
Non-Agency RMBS554 (235)319 
U.S. Treasury securities22 (1)21 
Other (inclusive of interest earned on cash balances)724 — 724 
Total interest income133,688 2,923 136,611 
For the six months ended June 30, 2023
$ in thousandsCoupon
Interest		Net (Premium
Amortization)/Discount
Accretion		Interest
Income
Agency RMBS136,053 1,152 137,205 
Non-Agency CMBS966 587 1,553 
Non-Agency RMBS578 (259)319 
Other (inclusive of interest earned on cash balances)1,638 — 1,638 
Total interest income139,235 1,480 140,715 
12

Note 5 - U.S. Treasury Securities
The following table presents the components of the carrying value of our U.S. Treasury security as of December 31, 2023. We sold the security during the first quarter of 2024. We did not hold any U.S. Treasury securities as of June 30, 2024.
As of
$ in thousandsDecember 31, 2023
Principal balance10,000 
Unamortized premium842 
Amortized cost10,842 
Unrealized gain (loss), net372 
Fair value 11,214 
Note 6 – 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, 2024.
The following tables summarize certain characteristics of our borrowings as of June 30, 2024 and December 31, 2023. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.
As of
$ in thousandsJune 30, 2024December 31, 2023
WeightedWeighted
WeightedAverageWeightedAverage
AverageRemainingAverageRemaining
AmountInterestMaturityAmountInterestMaturity
OutstandingRate(days)OutstandingRate(days)
Repurchase Agreements - Agency RMBS3,945,401 5.46 %204,458,695 5.53 %20
Repurchase Agreements - Agency CMBS315,074 5.46 %17— N/AN/A
Total Borrowings4,260,475 5.46 %194,458,695 5.53 %20

13
Note 7 - Collateral Positions
The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps and to-be-announced securities forward contracts ("TBAs") as of June 30, 2024 and December 31, 2023. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2023 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 is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on 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, 2024 and December 31, 2023, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.
$ in thousandsAs of
Collateral PledgedJune 30, 2024December 31, 2023
Repurchase Agreements:
Agency RMBS 4,118,660 4,712,185 
Agency CMBS331,401 — 
Total repurchase agreements collateral pledged4,450,061 4,712,185 
Derivative Instruments:
Cash1,279 — 
Restricted cash124,667 121,670 
Total derivative instruments collateral pledged 125,946 121,670 
Total Collateral Pledged:
Mortgage-backed securities4,450,061 4,712,185 
Cash 1,279 — 
Restricted cash124,667 121,670 
Total Collateral Pledged 4,576,007 4,833,855 
As of
Collateral HeldJune 30, 2024December 31, 2023
Repurchase Agreements:
Cash — 2,475 
Non-cash collateral2,160 39,130 
Total repurchase agreements collateral held2,160 41,605 
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 margin calls.
The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104% as of June 30, 2024 (December 31, 2023: 106%) based on the fair value of the securities as reported in our condensed consolidated balance sheets.
Interest Rate Swaps
As of June 30, 2024 and December 31, 2023, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission
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Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. Certain of our FCM agreements include cross default provisions.
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 8 – Derivatives and Hedging Activities