Invesco Mortgage Capital Inc. [IVR-PB] Filings

10-Q 1 ivr-20230930.htm 10-Q ivr-20230930

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 September 30, 2023


☐			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

Invesco Mortgage Capital Inc.

(Exact Name of Registrant as Specified in Its Charter)

_______________________________________________


Maryland		26-2749336
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

1331 Spring Street, N.W.,	Suite 2500,
Atlanta,	Georgia	30309
(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 Class

Trading Symbol

Name of Each Exchange on Which Registered

Common Stock, par value $0.01 per share

IVR

New York Stock Exchange

7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock

IVR PrB

New York Stock Exchange

7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock

IVR PrC

New 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 October 31, 2023, there were 48,460,626 outstanding shares of common stock of Invesco Mortgage Capital Inc.

Table of Contents

INVESCO MORTGAGE CAPITAL INC.

TABLE OF CONTENTS


		Page
PART I FINANCIAL INFORMATION		1

Item 1.	Financial Statements	1

	Unaudited Condensed Consolidated Balance Sheets as of September 30, 2023 and December 31, 2022	1

	Unaudited Condensed Consolidated Statements of Operations for the three and nine months ended September 30, 2023 and 2022	2

	Unaudited Condensed Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2023 and 2022	3

	Unaudited Condensed Consolidated Statements of Stockholders' Equity for the three months ended March 31, 2023; June 30, 2023; September 30, 2023; March 31, 2022 ; June 30, 202 2 and September 30, 202 2	4

	Unaudited Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2023 and 2022	6

	Notes to Condensed Consolidated Financial Statements	7

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	27

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	51

Item 4.	Controls and Procedures	54

PART II OTHER INFORMATION		55

Item 1.	Legal Proceedings	55

Item 1A.	Risk Factors	55

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	55

Item 3.	Defaults Upon Senior Securities	55

Item 4.	Mine Safety Disclosures	55

Item 5.	Other Information	55

Item 6.	Exhibits	57

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PART I

ITEM 1. FINANCIAL STATEMENTS

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED BALANCE SHEETS

(Unaudited)


	As of
$ in thousands, except share amounts	September 30, 2023	December 31, 2022
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $5,226,133 and $4,439,583, respectively; net of allowance for credit losses of $212 and $0, respectively)	5,443,928	4,791,893

Cash and cash equivalents	173,921	175,535
Restricted cash	185,824	103,246
Due from counterparties	—	1,584
Investment related receivable	25,608	22,744
Derivative assets, at fair value	—	662
Other assets	2,062	1,731
Total assets	5,831,343	5,097,395
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements	4,987,006	4,234,823
Derivative liabilities, at fair value	7,637	2,079
Dividends payable	19,384	25,162

Accrued interest payable	26,751	20,546
Collateral held payable	—	4,892
Accounts payable and accrued expenses	1,838	1,365
Due to affiliate	3,702	4,453
Total liabilities	5,046,318	4,293,320
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: 4,465,414 and 4,537,634 shares issued and outstanding, respectively ($111,635 and $113,441 aggregate liquidation preference, respectively)	107,934	109,679
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 7,681,211 and 7,816,470 shares issued and outstanding, respectively ($192,030 and $195,412 aggregate liquidation preference, respectively)	185,757	189,028
Common Stock, par value $0.01 per share; 67,000,000 shares authorized, 48,460,626 and 38,710,916 shares issued and outstanding, respectively	484	387
Additional paid in capital	4,011,005	3,901,562
Accumulated other comprehensive income	883	10,761
Retained earnings (distributions in excess of earnings)	(3,521,038)	(3,407,342)
Total stockholders’ equity	785,025	804,075
Total liabilities and stockholders' equity	5,831,343	5,097,395

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

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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

(Unaudited)


	Three Months Ended September 30,		Nine Months Ended September 30,
$ in thousands, except share data	2023	2022	2023	2022
Interest income
Mortgage-backed and other securities	75,132	49,058	215,847	134,689
Commercial loan	—	670	—	1,768
Total interest income	75,132	49,728	215,847	136,457
Interest expense
Repurchase agreements	65,701	18,008	174,449	19,359
Total interest expense	65,701	18,008	174,449	19,359
Net interest income	9,431	31,720	41,398	117,098
Other income (loss)
Gain (loss) on investments, net	(224,897)	(260,837)	(272,620)	(1,090,101)
(Increase) decrease in provision for credit losses	(43)	—	(212)	—
Equity in earnings (losses) of unconsolidated ventures	2	(6)	4	(287)
Gain (loss) on derivative instruments, net	151,689	133,549	203,418	554,151
Other investment income (loss), net	—	—	(66)	44
Total other income (loss)	(73,249)	(127,294)	(69,476)	(536,193)
Expenses
Management fee – related party	3,090	3,836	9,237	13,729
General and administrative	1,691	2,018	5,743	6,561
Total expenses	4,781	5,854	14,980	20,290
Net income (loss)	(68,599)	(101,428)	(43,058)	(439,385)
Dividends to preferred stockholders	(5,772)	(5,862)	(17,474)	(22,356)
Gain on repurchase and retirement of preferred stock	347	12,688	711	14,179
Net income (loss) attributable to common stockholders	(74,024)	(94,602)	(59,821)	(447,562)
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic	(1.62)	(2.78)	(1.40)	(13.42)
Diluted	(1.62)	(2.78)	(1.40)	(13.42)

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

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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Unaudited)


	Three Months Ended September 30,		Nine Months Ended September 30,
$ in thousands	2023	2022	2023	2022
Net income (loss)	(68,599)	(101,428)	(43,058)	(439,385)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net	(91)	(1,243)	(698)	(5,489)
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses	43	—	212	—
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(1,810)	(4,855)	(9,505)	(14,853)
Currency translation adjustments on investment in unconsolidated venture	—	(141)	(10)	(434)
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net	—	—	123	—
Total other comprehensive income (loss)	(1,858)	(6,239)	(9,878)	(20,776)
Comprehensive income (loss)	(70,457)	(107,667)	(52,936)	(460,161)
Dividends to preferred stockholders	(5,772)	(5,862)	(17,474)	(22,356)
Gain on repurchase and retirement of preferred stock	347	12,688	711	14,179
Comprehensive income (loss) attributable to common stockholders	(75,882)	(100,841)	(69,699)	(468,338)

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

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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2023; June 30, 2023 and September 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 amounts					Common Stock
	Shares	Amount	Shares	Amount	Shares	Amount
Balance as of December 31, 2022	4,537,634	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, 2023	4,537,634	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
Repurchase and retirement of preferred stock	(37,788)	(913)	(42,696)	(1,033)	—	—	—	—	364	(1,582)
Stock awards	—	—	—	—	43,980	—	—	—	—	—
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, 2023	4,499,846	108,766	7,773,774	187,995	44,579,863	445	3,968,567	2,741	(3,427,630)	840,884
Net income (loss)	—	—	—	—	—	—	—	—	(68,599)	(68,599)
Other comprehensive income (loss)	—	—	—	—	—	—	—	(1,858)	—	(1,858)
Proceeds from issuance of common stock, net of offering costs					3,880,763	39	42,305			42,344
Repurchase and retirement of preferred stock	(34,432)	(832)	(92,563)	(2,238)	—	—	—	—	347	(2,723)

Common stock dividends	—	—	—	—	—	—	—	—	(19,384)	(19,384)
Preferred stock dividends	—	—	—	—	—	—	—	—	(5,772)	(5,772)
Amortization of equity-based compensation	—	—	—	—	—	—	133	—	—	133
Balance at September 30, 2023	4,465,414	107,934	7,681,211	185,757	48,460,626	484	4,011,005	883	(3,521,038)	785,025

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

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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY

For the three months ended March 31, 2022; June 30, 2022 and September 30, 2022

(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 amounts					Common Stock
	Shares	Amount	Shares	Amount	Shares	Amount
Balance as of December 31, 2021	6,200,000	149,860	11,500,000	278,108	32,987,478	330	3,819,375	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	—	—	—	—	4,315	—	—	—	—	—
Common stock dividends	—	—	—	—	—	—	—	—	(29,693)	(29,693)
Preferred stock dividends	—	—	—	—	—	—	—	—	(8,394)	(8,394)
Amortization of equity-based compensation	—	—	—	—	—	—	138	—	—	138
Balance as of March 31, 2022	6,200,000	149,860	11,500,000	278,108	32,991,793	330	3,819,513	29,469	(3,149,333)	1,127,947
Net income (loss)	—	—	—	—	—	—	—	—	(109,535)	(109,535)
Other comprehensive income (loss)	—	—	—	—	—	—	—	(6,720)	—	(6,720)
Repurchase and retirement of preferred stock	(43,820)	(1,059)	(620,141)	(14,997)	—	—	—	—	1,491	(14,565)

Stock awards	—	—	—	—	32,571	—	—	—	—	—
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split	—	—	—	—	(46)	—	(1)	—	—	(1)
Common stock dividends	—	—	—	—	—	—	—	—	—	—
Preferred stock dividends	—	—	—	—	—	—	—	—	(29,721)	(29,721)
Redemption of preferred stock	—	—	—	—	—	—	—	—	(8,100)	(8,100)
Amortization of equity-based compensation	—	—	—	—	—	—	158	—	—	158
Balance as of June 30, 2022	6,156,180	148,801	10,879,859	263,111	33,024,318	330	3,819,670	22,749	(3,295,198)	959,463
Net income (loss)	—	—	—	—	—	—	—	—	(101,428)	(101,428)
Other comprehensive income (loss)	—	—	—	—	—	—	—	(6,239)	—	(6,239)
Proceeds from issuance of common stock, net of offering costs	—	—	—	—	2,327,805	23	38,590	—	—	38,613

Repurchase and retirement of preferred stock	(1,618,546)	(39,122)	(3,063,389)	(74,083)	—	—	—	—	12,688	(100,517)

Common stock dividends	—	—	—	—	—	—	—	—	(22,979)	(22,979)
Preferred stock dividends	—	—	—	—	—	—	—	—	(5,862)	(5,862)
Amortization of equity-based compensation	—	—	—	—	—	—	158	—	—	158
Balance at September 30, 2022	4,537,634	109,679	7,816,470	189,028	35,352,123	353	3,858,418	16,510	(3,412,779)	761,209

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

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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)


	Nine Months Ended September 30,
$ in thousands	2023	2022
Cash Flows from Operating Activities
Net income (loss)	(43,058)	(439,385)
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), net	(4,412)	835
Realized and unrealized (gain) loss on derivative instruments, net	(13,391)	(509,156)
(Gain) loss on investments, net	272,620	1,090,101
Increase (decrease) in provision for credit losses	212	—
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	(4)	38
Other amortization	(9,069)	(14,399)
Loss on foreign currency translation	123	—
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	(3,106)	(1,901)
Increase (decrease) in operating liabilities	6,200	651
Net cash provided by (used in) operating activities	206,115	126,784
Cash Flows from Investing Activities
Purchase of mortgage-backed securities	(4,522,098)	(20,721,166)
Purchase of U.S. Treasury securities	(48,672)	(502,290)
Distributions from investments in unconsolidated ventures, net	41	8,529
Principal payments from mortgage-backed securities	260,942	330,550
Proceeds from sale of mortgage-backed securities	3,339,830	22,775,148
Proceeds from the sale of U.S. Treasury securities	48,977	468,051
Settlement (termination) of forwards, swaps, and TBAs, net	19,611	487,538
Net change in due from counterparties and collateral held payable on derivative instruments	1,584	(649)
Net cash provided by (used in) investing activities	(899,785)	2,845,711
Cash Flows from Financing Activities
Proceeds from issuance of common stock	109,104	38,726

Repurchase of preferred stock	(4,305)	(115,082)
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split	—	(1)
Proceeds from repurchase agreements	28,937,349	51,685,864
Principal repayments of repurchase agreements	(28,185,166)	(54,786,407)
Net change in due from counterparties and collateral held payable on repurchase agreements	(4,892)	3,527
Payments of deferred costs	(329)	(350)
Payments of dividends	(77,127)	(111,459)
Net cash provided by (used in) financing activities	774,634	(3,285,182)
Net change in cash, cash equivalents and restricted cash	80,964	(312,687)
Cash, cash equivalents and restricted cash, beginning of period	278,781	577,052
Cash, cash equivalents and restricted cash, end of period	359,745	264,365
Supplement Disclosure of Cash Flow Information
Interest paid	177,748	31,616
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale	486	(5,489)
Dividends declared not paid	19,384	22,979
Net change in investment related receivable (payable)	80	(416)

Net change in foreign currency translation adjustment recorded in accumulated other comprehensive income	(113)	434

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

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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 September 30, 2023, 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 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”); and

•other real estate-related financing arrangements.

During the periods presented in these condensed consolidated financial statements, we also invested in:

•a commercial mortgage loan; 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, 2022.

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, 2022.

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Note 3 – Variable Interest Entities ("VIEs")

Our maximum risk of loss in VIEs in which we are not the primary beneficiary as of September 30, 2023 is presented in the table below.


$ in thousands	Carrying Amount	Company's Maximum Risk of Loss
Non-Agency CMBS	25,987	25,987
Non-Agency RMBS	7,965	7,965
Investments in unconsolidated ventures	505	505
Total	34,457	34,457

Refer to Note 4 - "Mortgage-Backed Securities" and Note 5 - "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 September 30, 2023 and December 31, 2022.


As of September 30, 2023
$ in thousands	Principal/ Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Allowance for Credit Losses	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield (1)

30 year fixed-rate Agency RMBS	5,719,581	(227,631)	5,491,950	—	(159,981)	5,331,969	5.15	%

Agency-CMO (2)	583,850	(507,065)	76,785	—	1,222	78,007	9.67	%
Non-Agency CMBS	27,652	(585)	27,067	(212)	(868)	25,987	8.72	%
Non-Agency RMBS (3)(4)(5)	283,991	(276,555)	7,436	—	529	7,965	8.56	%
Total	6,615,074	(1,011,836)	5,603,238	(212)	(159,098)	5,443,928	5.23	%

(1)Period-end weighted average yield is based on amortized cost as of September 30, 2023 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 66.2% fixed rate, 33.0% variable rate, and 0.8% 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 97.0% of principal/notional balance, 38.8% of amortized cost and 33.1% of fair value.

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As of December 31, 2022
$ in thousands	Principal/Notional Balance	Unamortized Premium (Discount)	Amortized Cost	Unrealized Gain/ (Loss), net	Fair Value	Period- end Weighted Average Yield (1)

30 year fixed-rate Agency RMBS	4,722,768	(115,365)	4,607,403	54,334	4,661,737	5.26	%

Agency-CMO (2)	619,069	(536,376)	82,693	2,263	84,956	9.09	%
Non-Agency CMBS	38,652	(1,472)	37,180	(393)	36,787	8.35	%
Non-Agency RMBS (3)(4)(5)	307,016	(299,012)	8,004	409	8,413	8.33	%
Total	5,687,505	(952,225)	4,735,280	56,613	4,791,893	5.35	%

(1)Period-end weighted average yield is based on amortized cost as of December 31, 2022 and incorporates future prepayment and loss assumptions when appropriate.

(2)All Agency-CMO are Agency IO.

(3)Non-Agency RMBS is 68.6% fixed rate, 30.6% variable rate and 0.8% 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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% 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 September 30, 2023 and December 31, 2022. 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 September 30, 2023 and December 31, 2022, approximately 99% of our MBS was accounted for under the fair value option.


	As of
	September 30, 2023			December 31, 2022
$ in thousands	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value	Available-for-sale Securities	Securities under Fair Value Option	Total Fair Value

30 year fixed-rate Agency RMBS	—	5,331,969	5,331,969	—	4,661,737	4,661,737

Agency-CMO	—	78,007	78,007	—	84,956	84,956
Non-Agency CMBS	25,987	—	25,987	36,787	—	36,787
Non-Agency RMBS	5,515	2,450	7,965	5,667	2,746	8,413
Total	31,502	5,412,426	5,443,928	42,454	4,749,439	4,791,893

The components of the carrying value of our MBS portfolio as of September 30, 2023 and December 31, 2022 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $24.2 million as of September 30, 2023 (December 31, 2022: $21.3 million).


	As of
	September 30, 2023			December 31, 2022
$ in thousands	MBS	Interest-Only Securities	Total	MBS	Interest-Only Securities	Total
Principal/notional balance	5,755,806	859,268	6,615,074	4,770,175	917,330	5,687,505
Unamortized premium	294	—	294	5,195	—	5,195
Unamortized discount	(232,530)	(779,600)	(1,012,130)	(126,112)	(831,308)	(957,420)
Allowance for credit losses	(212)	—	(212)	—	—	—
Gross unrealized gains (1)	804	3,817	4,621	62,245	4,605	66,850
Gross unrealized losses (1)	(160,876)	(2,843)	(163,719)	(7,535)	(2,702)	(10,237)
Fair value	5,363,286	80,642	5,443,928	4,703,968	87,925	4,791,893

(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 nine months ended September 30, 2023 and 2022 is provided below in this Note 4.

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The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of September 30, 2023 and December 31, 2022.


	As of
$ in thousands	September 30, 2023	December 31, 2022
Less than one year	16,126	26,593
Greater than one year and less than five years	9,862	10,194
Greater than or equal to five years	5,417,940	4,755,106
Total	5,443,928	4,791,893

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 September 30, 2023 and December 31, 2022.

As of September 30, 2023


	Less than 12 Months			12 Months or More			Total
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities

30 year fixed-rate Agency RMBS (1)	5,331,969	(159,981)	58	—	—	—	5,331,969	(159,981)	58

Agency-CMO (1)	26,827	(771)	5	8,603	(1,633)	3	35,430	(2,404)	8
Non-Agency CMBS (2)	25,987	(868)	2	—	—	—	25,987	(868)	2
Non-Agency RMBS (3)	—	—	—	1,505	(466)	9	1,505	(466)	9
Total	5,384,783	(161,620)	65	10,108	(2,099)	12	5,394,891	(163,719)	77

(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 $439,000.

As of December 31, 2022


	Less than 12 Months			12 Months or More			Total
$ in thousands	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities	Fair Value	Unrealized Losses	Number of Securities

30 year fixed-rate Agency RMBS (1)	929,292	(7,060)	7	—	—	—	929,292	(7,060)	7

Agency-CMO (1)	25,417	(1,645)	6	2,934	(496)	1	28,351	(2,141)	7
Non-Agency CMBS (2)	26,592	(439)	2	—	—	—	26,592	(439)	2
Non-Agency RMBS (3)	349	(36)	2	1,411	(561)	9	1,760	(597)	11
Total	981,650	(9,180)	17	4,345	(1,057)	10	985,995	(10,237)	27

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

(3)Includes non-Agency IO with a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000.

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We recorded a $43,000 and $212,000 provision for credit losses on a single non-Agency CMBS during the three and nine months ended September 30, 2023, respectively. We did not record any provisions for credit losses during the three and nine months ended September 30, 2022. The following table presents a roll-forward of our allowance for credit losses.


	Three Months Ended September 30,	Nine Months Ended September 30,
$ in thousands	2023	2023
Beginning allowance for credit losses	(169)	—
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	—	(212)
Additional increases to the allowance for credit losses on securities that had an allowance recorded in a previous period	(43)	—

Ending allowance for credit losses	(212)	(212)

The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2023 and 2022.


	Three Months Ended September 30,		Nine Months Ended September 30,
$ in thousands	2023	2022	2023	2022
Gross realized gains on sale of MBS	—	—	5,363	5,348
Gross realized losses on sale of MBS	(33,157)	(120,418)	(62,769)	(979,792)
Net unrealized gains (losses) on MBS accounted for under the fair value option	(191,752)	(140,590)	(215,226)	(81,593)
Net unrealized gains (losses) on commercial loan	—	171	—	134

Net realized gains (losses) on U.S. Treasury securities	12	—	12	(34,198)
Total gain (loss) on investments, net	(224,897)	(260,837)	(272,620)	(1,090,101)

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and nine months ended September 30, 2023 and 2022.

For the three months ended September 30, 2023


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	70,754	2,465	73,219
Non-Agency CMBS	437	301	738
Non-Agency RMBS	285	(126)	159
U.S. Treasury securities	—	292	292
Other	724	—	724
Total	72,200	2,932	75,132

For the three months ended September 30, 2022


$ in thousands	Coupon Interest	Net (Premium Amortization)/Discount Accretion	Interest Income
Agency RMBS	48,075	(355)	47,720

Non-Agency CMBS	485	328	813
Non-Agency RMBS	288	(139)	149

Other	376

Invesco Mortgage Capital Inc. [IVR-PB] Filings
Invesco Mortgage Capital Inc. [IVR] Filings
Invesco Mortgage Capital Inc. [IVR-PC] Filings
10-Q	[2023-11-06]
10-Q	[2023-08-03]
10-Q	[2023-05-09]
10-K	[2023-02-21]
10-Q	[2022-11-02]
10-Q	[2022-08-04]
10-Q	[2022-05-04]
10-K	[2022-02-17]
10-Q	[2021-11-03]
10-Q	[2021-08-04]
10-Q	[2021-05-05]
10-K	[2021-02-22]
10-Q	[2020-11-09]
10-Q	[2020-08-06]
10-Q	[2020-06-22]
10-K	[2020-02-19]
10-Q	[2019-11-07]
10-Q	[2019-08-07]
10-Q	[2019-05-08]
10-K	[2019-02-20]
10-Q	[2018-11-07]
10-Q	[2018-08-07]
10-Q	[2018-05-03]
10-K	[2018-02-20]
10-Q	[2017-11-07]
10-Q	[2017-08-07]
10-Q	[2017-05-04]
10-K	[2017-02-21]
10-Q	[2016-11-03]
10-Q	[2016-08-08]
10-Q	[2016-05-10]
10-K	[2016-02-22]
10-Q	[2015-11-03]
10-Q	[2015-08-17]
10-Q	[2015-05-07]
10-K	[2015-02-27]
10-Q	[2014-11-06]
10-Q	[2014-08-06]
10-Q	[2014-05-06]
10-K	[2014-03-03]
10-Q	[2013-10-31]
10-Q	[2013-08-08]
10-Q	[2013-05-08]
10-K	[2013-03-01]
10-Q	[2012-11-02]
10-Q	[2012-08-03]
10-Q	[2012-05-09]
10-K	[2012-02-29]

Invesco Mortgage Capital Inc. [IVR-PB] Filings

Invesco Mortgage Capital Inc. [IVR] Filings

Invesco Mortgage Capital Inc. [IVR-PC] Filings