Invesco Mortgage Capital posts $98.8M Q3 2026 loss
Quarter-end repurchase-agreement borrowings were $6.843 billion, alongside $7.307 billion of mortgage-backed securities at fair value.
Sentiment and the balance of points
Rhea-AI Sentiment reads the wording of the document, how positive or negative its language is on a 1 to 5 scale. The balance of points shown with the takes weighs what the document actually discloses, so the two can disagree, for example when a trial that missed its main goal is described in upbeat language.
Form Type
10-Q
Rhea-AI Filing Summary
Invesco Mortgage Capital Inc. (IVR) reported a third-quarter 2026 net loss attributable to common stockholders of $98.8 million, compared with net income of $50.2 million a year earlier; diluted loss per share was $0.92 versus earnings of $0.74.
Net interest income rose to $33.9 million from $17.6 million, but a $402.1 million net loss on investments—primarily unrealized mortgage-backed securities losses amid higher interest rates and wider spreads—was partly offset by a $277.7 million net gain on derivatives. For the nine months ended September 30, 2026, net loss attributable to common stockholders was $90.1 million, versus net income of $39.9 million a year earlier.
Book value per common share was $6.74 as of September 30, down 22.7% from $8.72 as of December 31, 2025; the company attributed the decline primarily to unrealized investment losses, dividends and expenses. It sold 37,249,018 common shares for net proceeds of $302.892 million during the first nine months, and operating cash flow was $115.4 million versus $97.3 million a year earlier.
2 points · 0 major1 major · 2 points
How this balance works
Rhea-AI gives every point it takes from this document a weight. Minor counts 1, Moderate 3 and Major 9, so one Major point outweighs several Minor ones. The bar adds up the weights on each side, and when neither side holds more than 65% of the total the balance reads Mixed.
It reads the document as published, with the same rules for every company, and it does not look at what the market expected or at how the stock traded, so a point can be objectively good on a day the stock falls.
Rhea-AI Sentiment measures something else, the tone of the wording.
Positive
- Moderate pointQuarterly net interest income reached $33.9 million, up from $17.6 million.
- Moderate pointNine-month operating cash flow was $115.4 million, versus $97.3 million.
Negative
- Major pointQ3 common-stockholder loss: $98.8 million, versus $50.2 million income. 17% of market cap
- Moderate pointBook value per common share fell 22.7% to $6.74.
Filing Explained
Nine-month sales reduced existing holders’ ownership; on September thirtieth, fifteen million two hundred eighty-five thousand nine hundred eighty-two shares remained available, not sold.
This unaudited quarterly report states that Invesco Mortgage Capital sold 37,249,018 common shares under equity distribution agreements during the nine months ended
At
Key Figures
Net loss attributable to common stockholders: -$98.8 million
Diluted loss per share: -$0.92 per share
Net interest income: $33.9 million
+5 more
8 metrics
Net loss attributable to common stockholders
-$98.8 million
Three months ended September 30, 2026
Diluted loss per share
-$0.92 per share
Three months ended September 30, 2026
Net interest income
$33.9 million
Three months ended September 30, 2026
Net loss on investments
-$402.1 million
Three months ended September 30, 2026
Net gain on derivative instruments
$277.7 million
Three months ended September 30, 2026
Book value per common share
$6.74 per share
As of September 30, 2026
Net cash provided by operating activities
$115.4 million
Nine months ended September 30, 2026
Net proceeds from common-stock issuance
$302.892 million
Nine months ended September 30, 2026
Key Terms
fair value option, TBA dollar roll, net interest rate margin, specified pools, +1 more
5 terms
fair value option financial
"all of our MBS were accounted for under the fair value option"
An accounting election that lets a company measure eligible financial assets and liabilities at their current market price, recording gains and losses in the income statement as those prices move. For investors it matters because choosing the fair value option makes reported profits and asset values respond immediately to market swings—like revaluing a house to today’s sale price—so it can increase earnings volatility while giving a more up‑to‑date view of value.
TBA dollar roll financial
"Our TBA dollar roll transactions are a form of off-balance sheet financing"
A TBA dollar roll is a short-term financing transaction in agency mortgage-backed securities (MBS) done in the To-Be-Announced (TBA) market: the seller delivers an MBS TBA contract for settlement in one month and simultaneously agrees to buy a substantially similar TBA for a later-month settlement. The seller receives cash now, gives up the right to the specific mortgage pools that would have been delivered, and the price difference between the near and far settlement (the “drop”) reflects financing cost, expected cash flows and pool-selection differences. The trade keeps economic exposure to agency MBS while changing settlement timing and temporarily shifting prepayment and principal-delivery risk; it is distinct from a repurchase agreement because the securities returned are not the identical pools originally sold.
net interest rate margin financial
"Our net interest rate margin, which equals the yield on our average earning assets"
specified pools financial
"holdings of 30 year fixed-rate Agency RMBS are focused in specified pools"
master netting arrangements financial
"governed by underlying agreements that generally provide for a right of offset under master netting arrangements"
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
Why did IVR report a loss in the third quarter of 2026?
IVR recorded a $402.1 million net loss on investments, including $398.4 million in net unrealized mortgage-backed securities losses attributed to higher interest rates and wider spreads; a $277.7 million gain on derivatives partly offset the investment loss.
What common dividend did IVR declare for the third quarter of 2026?
IVR declared a common-stock dividend of $0.36 per share, or $38.947 million in aggregate, for the three months ended September 30, 2026.
AI-generated analysis. How Rhea-AI works. Not financial advice.
Table of Contents
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, 2026
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
(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
| (State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | ||||||||||
| (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 | ||||||||||||
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 | ☐ | ☒ | |||||||||||||||||||||
| 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, 2026, there were 109,103,682 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, 2026 and December 31, 2025 | 1 | |||||||
Unaudited Condensed Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2026 and 2025 | 2 | |||||||
Unaudited Condensed Consolidated Statements of Stockholders' Equity for the three months ended March 31, 2026; June 30, 2026; September 30, 2026; March 31, 2025; June 30, 2025 and September 30, 2025 | 3 | |||||||
Unaudited Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2026 and 2025 | 5 | |||||||
Notes to Condensed Consolidated Financial Statements | 6 | |||||||
| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 19 | ||||||
| Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 43 | ||||||
| Item 4. | Controls and Procedures | 45 | ||||||
PART II OTHER INFORMATION | 46 | |||||||
| Item 1. | Legal Proceedings | 46 | ||||||
| Item 1A. | Risk Factors | 46 | ||||||
| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 46 | ||||||
| Item 3. | Defaults Upon Senior Securities | 46 | ||||||
| Item 4. | Mine Safety Disclosures | 46 | ||||||
| Item 5. | Other Information | 46 | ||||||
| Item 6. | Exhibits | 46 | ||||||
Table of Contents
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, 2026 | December 31, 2025 | |||||||||
| ASSETS | |||||||||||
Mortgage-backed securities, at fair value (including pledged securities of $ | |||||||||||
| Cash and cash equivalents | |||||||||||
| Restricted cash | |||||||||||
| Due from counterparties | |||||||||||
| Investment related receivable | |||||||||||
| Derivative assets, at fair value | |||||||||||
| Other assets | |||||||||||
| Total assets | |||||||||||
| LIABILITIES AND STOCKHOLDERS' EQUITY | |||||||||||
| Liabilities: | |||||||||||
| Repurchase agreements | |||||||||||
| Derivative liabilities, at fair value | |||||||||||
| Dividends payable | |||||||||||
| Accrued interest payable | |||||||||||
| Accounts payable and accrued expenses | |||||||||||
| Due to affiliate | |||||||||||
| Total liabilities | |||||||||||
| Commitments and contingencies (See Note 12): | |||||||||||
| Stockholders' equity: | |||||||||||
Preferred Stock, par value $ | |||||||||||
Common Stock, par value $ | |||||||||||
| Additional paid in capital | |||||||||||
| Retained earnings (distributions in excess of earnings) | ( | ( | |||||||||
| Total stockholders’ equity | |||||||||||
| Total liabilities and stockholders' equity | |||||||||||
The accompanying notes are an integral part of these condensed consolidated financial statements.
1
Table of Contents
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands, except share data | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Interest income | |||||||||||||||||||||||
| Interest expense | |||||||||||||||||||||||
| Net interest income | |||||||||||||||||||||||
| Other income (loss) | |||||||||||||||||||||||
| Gain (loss) on investments, net | ( | ( | |||||||||||||||||||||
| Gain (loss) on derivative instruments, net | ( | ( | |||||||||||||||||||||
| Total other income (loss) | ( | ( | |||||||||||||||||||||
| Expenses | |||||||||||||||||||||||
| Management fee – related party | |||||||||||||||||||||||
| General and administrative | |||||||||||||||||||||||
| Total expenses | |||||||||||||||||||||||
| Net income (loss) | ( | ( | |||||||||||||||||||||
| Dividends to preferred stockholders | ( | ( | ( | ( | |||||||||||||||||||
| Gain (loss) on repurchase and retirement of preferred stock | ( | ( | ( | ||||||||||||||||||||
| Net income (loss) attributable to common stockholders | ( | ( | |||||||||||||||||||||
| Other comprehensive income (loss) | |||||||||||||||||||||||
| Unrealized gain (loss) on mortgage-backed securities, net | |||||||||||||||||||||||
| Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on investments, net | ( | ||||||||||||||||||||||
| Total other comprehensive income (loss) | ( | ||||||||||||||||||||||
| Comprehensive income (loss) attributable to common stockholders | ( | ( | |||||||||||||||||||||
| Earnings (loss) per share | |||||||||||||||||||||||
| Net income (loss) attributable to common stockholders | |||||||||||||||||||||||
| Basic | ( | ( | |||||||||||||||||||||
| Diluted | ( | ( | |||||||||||||||||||||
The accompanying notes are an integral part of these condensed consolidated financial statements.
2
Table of Contents
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2026; June 30, 2026 and September 30, 2026
(Unaudited)
| Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) | Total Stockholders’ Equity | ||||||||||||||||||||||||||||||||||||||||||||
| Series C Preferred Stock | |||||||||||||||||||||||||||||||||||||||||||||||
| $ in thousands, except share amounts | Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||
| Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||||||||||||||
| Balance as of December 31, 2025 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of March 31, 2026 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of June 30, 2026 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of September 30, 2026 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
The accompanying notes are an integral part of these condensed consolidated financial statements.
3
Table of Contents
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2025; June 30, 2025 and September 30, 2025
(Unaudited)
| Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) | Total Stockholders’ Equity | ||||||||||||||||||||||||||||||||||||||||||||
| Series C Preferred Stock | |||||||||||||||||||||||||||||||||||||||||||||||
| $ in thousands, except share amounts | Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||
| Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||||||||||||||
| Balance as of December 31, 2024 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of March 31, 2025 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Other comprehensive income (loss) | — | — | — | — | — | ( | — | ( | |||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of June 30, 2025 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
| Net income (loss) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Proceeds from issuance of common stock, net of offering costs | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||
| Stock awards | — | — | ( | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
| Repurchase and retirement of preferred stock | ( | ( | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Common stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Preferred stock dividends | — | — | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||||||||||||
| Amortization of equity-based compensation | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
| Balance as of September 30, 2025 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
The accompanying notes are an integral part of these condensed consolidated financial statements.
4
Table of Contents
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
| Nine Months Ended September 30, | |||||||||||
| $ in thousands | 2026 | 2025 | |||||||||
| Cash Flows from Operating Activities | |||||||||||
| Net income (loss) | ( | ||||||||||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||||||
| Amortization of premiums and (discounts), net | ( | ( | |||||||||
| Realized and unrealized (gain) loss on derivative instruments, net | ( | ||||||||||
| (Gain) loss on investments, net | ( | ||||||||||
| Other amortization | |||||||||||
| Changes in operating assets and liabilities: | |||||||||||
| (Increase) decrease in operating assets | ( | ( | |||||||||
| Increase (decrease) in operating liabilities | ( | ( | |||||||||
| Net cash provided by (used in) operating activities | |||||||||||
| Cash Flows from Investing Activities | |||||||||||
| Purchase of mortgage-backed securities | ( | ( | |||||||||
| Principal payments from mortgage-backed securities | |||||||||||
| Proceeds from sale of mortgage-backed securities | |||||||||||
| Net settlement (termination) of derivative instruments | ( | ||||||||||
| Net change in due from counterparties and collateral held payable on derivative instruments | ( | ||||||||||
| Net cash provided by (used in) investing activities | ( | ( | |||||||||
| Cash Flows from Financing Activities | |||||||||||
| Net proceeds from issuance of common stock | |||||||||||
| Repurchase of preferred stock | ( | ( | |||||||||
| Proceeds from repurchase agreements | |||||||||||
| Principal repayments of repurchase agreements | ( | ( | |||||||||
| Net change in due from counterparties and collateral held payable on repurchase agreements | |||||||||||
| Payments of dividends | ( | ( | |||||||||
| Net cash provided by (used in) financing activities | |||||||||||
| Net change in cash, cash equivalents and restricted cash | ( | ||||||||||
| Cash, cash equivalents and restricted cash, beginning of period | |||||||||||
| Cash, cash equivalents and restricted cash, end of period | |||||||||||
| Supplement Disclosure of Cash Flow Information | |||||||||||
| Interest paid | |||||||||||
| Non-cash Investing and Financing Activities Information | |||||||||||
| Dividends declared not paid | |||||||||||
| Unsettled receivables recorded within investment related receivable | |||||||||||
The accompanying notes are an integral part of these condensed consolidated financial statements.
5
Table of Contents
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities (“MBS”) and other mortgage-related assets.
As of September 30, 2026, we were invested in:
•residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”) and
•commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”).
During the periods presented in these condensed consolidated financial statements, we also invested in CMBS and RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS” and “non-Agency RMBS”, respectively).
We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. Refer to Note 12 - “Segment Information” of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2025 for additional information on our operating segment.
We are externally managed and advised by Invesco Advisers, Inc. (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), an independent global investment management firm.
We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are required to distribute at least 90 % of our REIT taxable income to our stockholders annually, and we will generally not be subject to U.S. federal or state corporate income tax to the extent that we distribute all of our annual taxable income to our stockholders on a timely basis. It is our intention to distribute 100 % of our taxable income within the time limits prescribed by the Internal Revenue Code. We operate our business in a manner that permits our exclusion from the “Investment Company” definition under the Investment Company Act of 1940, as amended (the “1940 Act”).
Note 2 – Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2025.
Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) and consolidate the financial statements of the Company and its controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In 2026, we began presenting a single, continuous statement of comprehensive income (loss). Prior periods have been adjusted to reflect this presentation. Certain other reclassifications have been made to prior period amounts to conform to the current period presentation.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses. Actual results may differ from those estimates.
Significant Accounting Policies
There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2025.
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Note 3 – Mortgage-Backed Securities
The following tables summarize our MBS portfolio by asset type as of September 30, 2026 and December 31, 2025.
| As of September 30, 2026 | |||||||||||||||||||||||||||||||||||
| $ in thousands | Principal/ Notional Balance | Unamortized Premium (Discount) | Amortized Cost | Unrealized Gain/ (Loss), net | Fair Value | Period-end Weighted Average Yield (1) | |||||||||||||||||||||||||||||
| Agency RMBS: | |||||||||||||||||||||||||||||||||||
| 30 year fixed-rate pass-through | ( | ( | % | ||||||||||||||||||||||||||||||||
| Agency CMBS | ( | ( | % | ||||||||||||||||||||||||||||||||
| Total | ( | ( | % | ||||||||||||||||||||||||||||||||
| As of December 31, 2025 | |||||||||||||||||||||||||||||||||||
| $ in thousands | Principal/Notional Balance | Unamortized Premium (Discount) | Amortized Cost | Unrealized Gain/ (Loss), net | Fair Value | Period-end Weighted Average Yield (1) | |||||||||||||||||||||||||||||
| Agency RMBS: | |||||||||||||||||||||||||||||||||||
| 30 year fixed-rate pass-through | ( | % | |||||||||||||||||||||||||||||||||
Agency CMO (2) | ( | % | |||||||||||||||||||||||||||||||||
| Agency CMBS | ( | % | |||||||||||||||||||||||||||||||||
| Total | ( | % | |||||||||||||||||||||||||||||||||
(1)Period-end weighted average yield is based on amortized cost as of September 30, 2026 and December 31, 2025 and incorporates future prepayment assumptions when appropriate. Total represents period-end weighted average yield of all mortgage-backed securities.
(2)All Agency collateralized mortgage obligations (“Agency CMO”) are interest-only securities.
We have elected the fair value option for all of our MBS held as of September 30, 2026 and December 31, 2025. We believe the fair value option election more appropriately reflects the results of our operations because MBS fair value changes are accounted for in the same manner as fair value changes in economic hedging instruments.
The components of the carrying value of our MBS portfolio as of September 30, 2026 and December 31, 2025 are presented below. Accrued interest receivable on our MBS portfolio is recorded within investment related receivable on our condensed consolidated balance sheets.
| As of | |||||||||||||||||||||||||||||||||||
| September 30, 2026 | December 31, 2025 | ||||||||||||||||||||||||||||||||||
| $ in thousands | MBS | Interest-Only Securities | Total | MBS | Interest-Only Securities | Total | |||||||||||||||||||||||||||||
| Principal/notional balance | |||||||||||||||||||||||||||||||||||
| Unamortized premium | |||||||||||||||||||||||||||||||||||
| Unamortized discount | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||
| Gross unrealized gains | |||||||||||||||||||||||||||||||||||
| Gross unrealized losses | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||
| Fair value | |||||||||||||||||||||||||||||||||||
The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of September 30, 2026 and December 31, 2025.
| As of | |||||||||||
| $ in thousands | September 30, 2026 | December 31, 2025 | |||||||||
| Greater than one year and less than five years | |||||||||||
| Greater than or equal to five years | |||||||||||
| Total | |||||||||||
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The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Gross realized gains on sale of MBS | |||||||||||||||||||||||
| Gross realized losses on sale of MBS | ( | ( | ( | ( | |||||||||||||||||||
| Net unrealized gains (losses) on MBS accounted for under the fair value option | ( | ( | |||||||||||||||||||||
| Total gain (loss) on investments, net | ( | ( | |||||||||||||||||||||
The following tables present components of interest income recognized for the three and nine months ended September 30, 2026 and 2025.
For the three months ended September 30, 2026
| $ in thousands | Coupon Interest | Net (Premium Amortization)/ Discount Accretion | Interest Income | ||||||||||||||
| Agency RMBS | |||||||||||||||||
| Agency CMBS | |||||||||||||||||
| Other (inclusive of interest earned on cash balances) | |||||||||||||||||
| Total | |||||||||||||||||
For the three months ended September 30, 2025
| $ in thousands | Coupon Interest | Net (Premium Amortization)/ Discount Accretion | Interest Income | ||||||||||||||
| Agency RMBS | ( | ||||||||||||||||
| Agency CMBS | |||||||||||||||||
| Other (inclusive of interest earned on cash balances) | |||||||||||||||||
| Total | ( | ||||||||||||||||
For the nine months ended September 30, 2026
| $ in thousands | Coupon Interest | Net (Premium Amortization)/ Discount Accretion | Interest Income | ||||||||||||||
| Agency RMBS | ( | ||||||||||||||||
| Agency CMBS | |||||||||||||||||
| Other (inclusive of interest earned on cash balances) | |||||||||||||||||
| Total | ( | ||||||||||||||||
For the nine months ended September 30, 2025
| $ in thousands | Coupon Interest | Net (Premium Amortization)/ Discount Accretion | Interest Income | ||||||||||||||
| Agency RMBS | ( | ||||||||||||||||
| Agency CMBS | |||||||||||||||||
| Non-Agency CMBS | |||||||||||||||||
| Non-Agency RMBS | ( | ||||||||||||||||
| Other (inclusive of interest earned on cash balances) | |||||||||||||||||
| Total | ( | ||||||||||||||||
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Note 4 – Borrowings
We finance the majority of our investment portfolio through repurchase agreements. Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from 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 September 30, 2026 and December 31, 2025.
The following table summarizes certain characteristics of our borrowings as of September 30, 2026 and December 31, 2025. Refer to Note 5 - “Collateral Positions” for collateral pledged and held under our repurchase agreements.
| As of | |||||||||||||||||||||||||||||||||||
| $ in thousands | September 30, 2026 | December 31, 2025 | |||||||||||||||||||||||||||||||||
| Amount Outstanding | Weighted Average Interest Rate | Weighted Average Remaining Maturity (days) | Amount Outstanding | Weighted Average Interest Rate | Weighted Average Remaining Maturity (days) | ||||||||||||||||||||||||||||||
| Repurchase agreements - Agency RMBS | % | % | |||||||||||||||||||||||||||||||||
| Repurchase agreements - Agency CMBS | % | % | |||||||||||||||||||||||||||||||||
| Total borrowings | % | % | |||||||||||||||||||||||||||||||||
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Note 5 – Collateral Positions
The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements and derivative instruments as of September 30, 2026 and December 31, 2025. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2025 for a description of how we determine fair value. Agency RMBS and Agency CMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and U.S. Treasury futures contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and to-be-announced securities forward contracts (“TBAs”) accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets.
Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of September 30, 2026 and December 31, 2025, we did not
| $ in thousands | As of | ||||||||||
| Collateral pledged | September 30, 2026 | December 31, 2025 | |||||||||
| Repurchase agreements: | |||||||||||
| Agency RMBS | |||||||||||
| Agency CMBS | |||||||||||
| Total repurchase agreements collateral pledged | |||||||||||
| Derivative instruments: | |||||||||||
| Cash | |||||||||||
| Restricted cash | |||||||||||
| Total derivative instruments collateral pledged | |||||||||||
| Total collateral pledged: | |||||||||||
| Mortgage-backed securities | |||||||||||
| Cash | |||||||||||
| Restricted cash | |||||||||||
| Total collateral pledged | |||||||||||
Repurchase Agreements
Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet any reasonably anticipated margin calls.
The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104 % as of September 30, 2026 (December 31, 2025: 105 %) based on the fair value of the securities as reported in our condensed consolidated balance sheets.
Interest Rate Swaps
As of September 30, 2026 and December 31, 2025, all of our interest rate swaps were centrally cleared by the Chicago Mercantile Exchange (“CME”), a registered clearing organization, through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of comprehensive income (loss). Certain of our FCM agreements include cross default provisions.
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U.S. Treasury Futures Contracts
We are required to pledge initial margin and daily variation margin for our U.S. Treasury futures contracts that is based on the fair value of our contracts as determined by our FCM. The daily variation margin payment for our U.S. Treasury futures contracts is characterized as settlement of the U.S. Treasury futures contract itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of comprehensive income (loss).
TBAs
Note 6 – Derivatives and Hedging Activities
The following table summarizes changes in the notional amount of our derivative instruments during 2026.
| $ in thousands | Notional Amount as of December 31, 2025 | Additions | Settlement, Termination, Expiration or Exercise | Notional Amount as of September 30, 2026 | |||||||||||||||||||
| Interest rate swaps | ( | ||||||||||||||||||||||
| U.S. Treasury futures contracts | ( | ||||||||||||||||||||||
| TBA purchase contracts | ( | ||||||||||||||||||||||
| TBA sale contracts | ( | ( | |||||||||||||||||||||
Refer to Note 5 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties.
Interest Rate Swaps
At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to manage our exposures to interest rate movements and to add stability to our borrowing costs. To accomplish these objectives, we primarily use interest rate swaps and U.S. Treasury futures contracts as part of our interest rate risk management strategy. Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount.
The following tables summarize certain characteristics of our interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on the secured overnight financing rate (“SOFR”) as of September 30, 2026 and December 31, 2025.
| $ in thousands | As of September 30, 2026 | |||||||||||||||||||||||||
| Maturities | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Floating Receive Rate | Weighted Average Years to Maturity | ||||||||||||||||||||||
| Less than 3 years | % | % | ||||||||||||||||||||||||
| 3 to 5 years | % | % | ||||||||||||||||||||||||
| 5 to 7 years | % | % | ||||||||||||||||||||||||
| 7 to 10 years | % | % | ||||||||||||||||||||||||
| Greater than 10 years | % | % | ||||||||||||||||||||||||
| Total | % | % | ||||||||||||||||||||||||
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| $ in thousands | As of December 31, 2025 | |||||||||||||||||||||||||
| Maturities | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Floating Receive Rate | Weighted Average Years to Maturity | ||||||||||||||||||||||
| Less than 3 years | % | % | ||||||||||||||||||||||||
| 3 to 5 years | % | % | ||||||||||||||||||||||||
| 7 to 10 years | % | % | ||||||||||||||||||||||||
| Greater than 10 years | % | % | ||||||||||||||||||||||||
| Total | % | % | ||||||||||||||||||||||||
U.S. Treasury Futures Contracts
We use U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on our performance. The table below presents certain details of our U.S. Treasury futures contracts as of September 30, 2026 and December 31, 2025.
| As of | ||||||||||||||
| September 30, 2026 | December 31, 2025 | |||||||||||||
| $ in thousands | Notional Amount - Short | Notional Amount - Short | ||||||||||||
| 10 year U.S. Treasury futures | ||||||||||||||
| Ultra 10 year U.S. Treasury futures | ||||||||||||||
| 30 year U.S. Treasury futures | ||||||||||||||
| Total | ||||||||||||||
TBAs
TBAs are forward contracts for the purchase or sale of Agency RMBS that specify the price, issuer, term and coupon of the securities to be delivered, but the actual securities are not identified until shortly before the TBA settlement date. We do not intend to take or make delivery of the underlying Agency RMBS on the contractual settlement date of our TBAs accounted for as derivatives. We primarily use long positions in TBAs as an alternative means of investing in and financing Agency RMBS. Additionally, during the second quarter of 2025, we used short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.
The table below presents certain characteristics of our TBAs accounted for as derivatives as of September 30, 2026. We did not have any TBAs outstanding as of December 31, 2025.
| $ in thousands | As of September 30, 2026 | |||||||||||||||||||||||||
| Notional Amount | Implied Cost Basis | Implied Market Value | Net Carrying Value - Asset (Liability) (1) | |||||||||||||||||||||||
TBA purchase contracts (2) | ( | |||||||||||||||||||||||||
TBA sale contracts (3) | ( | ( | ( | |||||||||||||||||||||||
| Net TBA derivatives | ( | |||||||||||||||||||||||||
(1)Derivative assets and derivative liabilities related to TBAs are presented on a gross basis on the condensed consolidated balance sheets.
(2)Net carrying value of TBA purchase contracts includes no derivative assets and $15.5 million of derivative liabilities.
(3)Net carrying value of TBA sale contracts includes $1.2 million of derivative assets and no derivative liabilities.
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Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheets
The table below presents the fair value of our derivative financial instruments, as well as their classification on our condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025.
$ in thousands
| Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||
| As of | As of | |||||||||||||||||||||||||||||||
| September 30, 2026 | December 31, 2025 | September 30, 2026 | December 31, 2025 | |||||||||||||||||||||||||||||
| Balance Sheet | Fair Value | Fair Value | Balance Sheet | Fair Value | Fair Value | |||||||||||||||||||||||||||
| Interest rate swaps asset | Interest rate swaps liability | |||||||||||||||||||||||||||||||
| U.S. Treasury futures contracts | U.S. Treasury futures contracts | |||||||||||||||||||||||||||||||
| TBAs | TBAs | |||||||||||||||||||||||||||||||
| Total derivative assets | Total derivative liabilities | |||||||||||||||||||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement
The following tables summarize the effect of interest rate swaps, U.S. Treasury futures contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2026 and 2025.
$ in thousands | Three Months Ended September 30, 2026 | |||||||||||||||||||||||||
| Derivatives Not Designated as Hedging Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | ||||||||||||||||||||||
| Interest rate swaps | ( | |||||||||||||||||||||||||
| U.S. Treasury futures contracts | ( | |||||||||||||||||||||||||
| TBAs | ( | ( | ( | |||||||||||||||||||||||
| Total | ( | |||||||||||||||||||||||||
$ in thousands | Three Months Ended September 30, 2025 | |||||||||||||||||||||||||
| Derivatives Not Designated as Hedging Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | ||||||||||||||||||||||
| Interest rate swaps | ( | ( | ||||||||||||||||||||||||
| U.S. Treasury futures contracts | ( | ( | ||||||||||||||||||||||||
| Total | ( | ( | ||||||||||||||||||||||||
$ in thousands | Nine Months Ended September 30, 2026 | |||||||||||||||||||||||||
| Derivatives Not Designated as Hedging Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | ||||||||||||||||||||||
| Interest rate swaps | ||||||||||||||||||||||||||
| U.S. Treasury futures contracts | ||||||||||||||||||||||||||
| TBAs | ( | ( | ( | |||||||||||||||||||||||
| Total | ( | |||||||||||||||||||||||||
$ in thousands | Nine Months Ended September 30, 2025 | |||||||||||||||||||||||||
| Derivatives Not Designated as Hedging Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | ||||||||||||||||||||||
| Interest rate swaps | ( | ( | ( | |||||||||||||||||||||||
| U.S. Treasury futures contracts | ( | ( | ( | |||||||||||||||||||||||
| TBAs | ||||||||||||||||||||||||||
| Total | ( | ( | ( | |||||||||||||||||||||||
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Note 7 – Offsetting Assets and Liabilities
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis on the condensed consolidated balance sheets.
The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025. The daily variation margin payments for centrally cleared interest rate swaps and U.S. Treasury futures contracts are characterized as settlement of the derivative itself rather than collateral. Our derivative assets of $7.4 million related to centrally cleared interest rate swaps and $5.2 million related to U.S. Treasury futures contracts as of September 30, 2026 (December 31, 2025: assets of $2.2 million related to centrally cleared interest rate swaps and $2.2 million related to U.S. Treasury futures contracts) are not included in the tables below as a result of this characterization of daily variation margin.
As of September 30, 2026
| Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets | |||||||||||||||||||||||||||||||||||
| $ in thousands | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
Derivatives (1) (2) | ( | ||||||||||||||||||||||||||||||||||
| Total assets | ( | ||||||||||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
Derivatives (1) (2) | ( | ( | ( | ||||||||||||||||||||||||||||||||
Repurchase agreements (3) | ( | ( | |||||||||||||||||||||||||||||||||
| Total liabilities | ( | ( | ( | ||||||||||||||||||||||||||||||||
As of December 31, 2025
| Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets | |||||||||||||||||||||||||||||||||||
| $ in thousands | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
Repurchase agreements (3) | ( | ( | |||||||||||||||||||||||||||||||||
| Total liabilities | ( | ( | |||||||||||||||||||||||||||||||||
(1)Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.
(2)Cash collateral pledged by us on our derivatives was $225.1 million as of September 30, 2026 (December 31, 2025: $110.4 million) of which $211.5 million relates to initial margin pledged on centrally cleared interest rate swaps and U.S. Treasury futures contracts (December 31, 2025: $110.4 million). Centrally cleared interest rate swaps and U.S. Treasury futures contracts are excluded from the tables above. We held no
(3)The fair value of securities pledged against our borrowings under repurchase agreements was $7.1 billion as of September 30, 2026 (December 31, 2025: $5.9 billion). We held no
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Note 8 – Fair Value of Financial Instruments
A three-level valuation hierarchy exists for disclosure of fair value measurements based on the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows:
•Level 1 Inputs – Quoted prices for identical instruments in active markets.
•Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
•Level 3 Inputs – Instruments with primarily unobservable value drivers.
The following tables present our assets and liabilities measured at fair value on a recurring basis.
| As of September 30, 2026 | |||||||||||||||||||||||
| Fair Value Measurements Using: | |||||||||||||||||||||||
| $ in thousands | Level 1 | Level 2 | Level 3 | Total at Fair Value | |||||||||||||||||||
| Assets: | |||||||||||||||||||||||
Mortgage-backed securities (1) | |||||||||||||||||||||||
Derivative assets (2) | |||||||||||||||||||||||
| Total assets | |||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||
Derivative liabilities (2) | |||||||||||||||||||||||
| Total liabilities | |||||||||||||||||||||||
| As of December 31, 2025 | |||||||||||||||||||||||
| Fair Value Measurements Using: | |||||||||||||||||||||||
| $ in thousands | Level 1 | Level 2 | Level 3 | Total at Fair Value | |||||||||||||||||||
| Assets: | |||||||||||||||||||||||
Mortgage-backed securities (1) | |||||||||||||||||||||||
Derivative assets (2) | |||||||||||||||||||||||
| Total assets | |||||||||||||||||||||||
(1)For more detail about the fair value of our MBS, refer to Note 3 - “Mortgage-Backed Securities”.
(2)Derivative assets and derivative liabilities include U.S. Treasury futures contracts as Level 1 measurements and interest rate swaps and TBAs as Level 2 measurements.
The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets as of September 30, 2026 and December 31, 2025.
| As of | |||||||||||||||||||||||
| September 30, 2026 | December 31, 2025 | ||||||||||||||||||||||
| $ in thousands | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | |||||||||||||||||||
| Financial liabilities: | |||||||||||||||||||||||
| Repurchase agreements | |||||||||||||||||||||||
| Total | |||||||||||||||||||||||
The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.
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Note 9 – Related Party Transactions
Our Manager is at all times subject to the supervision and oversight of our board of directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. The costs of support personnel provided by our Manager reimbursed or reimbursable by us for the three and nine months ended September 30, 2026 were $389,000 and $1.3 million, respectively (three and nine months ended September 30, 2025: $309,000 and $860,000 ).
When cash collateral is received from counterparties under repurchase agreement borrowings, it is generally invested in a money market fund for which our Manager serves as the investment adviser. These investments are included in cash and cash equivalents and the liability to return the collateral is included in collateral held payable on our condensed consolidated balance sheets.
Management Fee
We pay our Manager a fee equal to 1.50 % of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors.
Expense Reimbursement
We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, legal services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation.
The following table summarizes the costs incurred on our behalf by our Manager for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Incurred costs, prepaid or expensed | |||||||||||||||||||||||
| Incurred costs, charged or expected to be charged against equity as a cost of raising capital | |||||||||||||||||||||||
| Total incurred costs, originally paid by our Manager | |||||||||||||||||||||||
Note 10 – Stockholders’ Equity
Preferred Stock
In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock. During the three and nine months ended September 30, 2026, we repurchased and retired 17,415 and 129,325 shares of Series C Preferred Stock, respectively (three and nine months ended September 30, 2025: 89,223 and 276,172 shares). As of September 30, 2026, we had authority to repurchase 224,806 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.
Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50 % of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month CME Term SOFR and the applicable credit spread adjustment (0.26161 %) plus a spread of 5.289 % of the liquidation preference of $25.00 per share per annum. Dividends are cumulative and payable quarterly in arrears.
We have the option to redeem shares of our Series C Preferred Stock on or after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before that time, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.
Common Stock
As of September 30, 2026, we had 15,285,982 shares of our common stock remaining available for sale from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). The table below
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shows issuances of our common stock under equity distribution agreements during the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
| Shares in ones, $ in thousands | 2026 | 2025 | 2026 | 2025 | ||||||||||||||||||||||
| Shares sold | ||||||||||||||||||||||||||
| Fees paid to placement agents | ||||||||||||||||||||||||||
Cash proceeds, net of fees paid to placement agents (1) | ||||||||||||||||||||||||||
(1)During the three and nine months ended September 30, 2026, we also paid other costs of $195,000 and $334,000 , respectively, related to issuances of common stock (three and nine months ended September 30, 2025: $47,000
During the three and nine months ended September 30, 2026 and 2025, we did no 1,816,359 shares of our common stock through our common stock share repurchase program.
Accumulated Other Comprehensive Income
Our other comprehensive income (loss) during the nine months ended September 30, 2025 related to gains and losses on MBS that were not accounted for under the fair value option. Gains and losses on MBS that are accounted for under the fair value option are recorded on our condensed consolidated statements of comprehensive income (loss) within “Gain (loss) on investments, net”.
Dividends
The tables below summarize the dividends we declared during the three and nine months ended September 30, 2026 and 2025.
| $ in thousands, except per share amounts | Dividends Declared | ||||||||||
| Series C Preferred Stock | Per Share | In Aggregate | |||||||||
| Three months ended September 30, 2026 | |||||||||||
| Nine months ended September 30, 2026 | |||||||||||
| Three months ended September 30, 2025 | |||||||||||
| Nine months ended September 30, 2025 | |||||||||||
| $ in thousands, except per share amounts | Dividends Declared | ||||||||||
| Common Stock | Per Share | In Aggregate | |||||||||
| Three months ended September 30, 2026 | |||||||||||
| Nine months ended September 30, 2026 | |||||||||||
| Three months ended September 30, 2025 | |||||||||||
| Nine months ended September 30, 2025 | |||||||||||
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Note 11 – Earnings (Loss) per Common Share
Earnings (loss) per share for the three and nine months ended September 30, 2026 and 2025 is calculated as follows.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| In thousands, except per share amounts | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Numerator (income) | |||||||||||||||||||||||
| Net income (loss) available to common stockholders | ( | ( | |||||||||||||||||||||
| Denominator (weighted average shares) | |||||||||||||||||||||||
| Weighted average number of common shares outstanding - Basic | |||||||||||||||||||||||
| Effect of dilutive securities: | |||||||||||||||||||||||
| Restricted stock awards | |||||||||||||||||||||||
| Weighted average number of common shares outstanding - Diluted | |||||||||||||||||||||||
| Earnings (loss) per share | |||||||||||||||||||||||
| Net income (loss) attributable to common stockholders | |||||||||||||||||||||||
| Basic | ( | ( | |||||||||||||||||||||
| Diluted | ( | ( | |||||||||||||||||||||
Note 12 – Commitments and Contingencies
Commitments and contingencies may arise in the ordinary course of business. As of September 30, 2026, we were not aware of any reported or unreported contingencies.
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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.
In this quarterly report on Form 10-Q, or this "Quarterly Report," we refer to Invesco Mortgage Capital Inc. and its consolidated subsidiaries as "we," "us," "our Company," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, Invesco Advisers, Inc., as our "Manager" and we refer to the indirect parent company of our Manager, Invesco Ltd. together with its consolidated subsidiaries (which does not include us), as "Invesco."
The following discussion should be read in conjunction with our condensed consolidated financial statements and the accompanying notes to our condensed consolidated financial statements, which are included in Item 1 of this Quarterly Report, as well as the information contained in our most recent annual report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”).
Forward-Looking Statements
We make forward-looking statements in this Quarterly Report and other filings we make with the SEC within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), and such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond our control. These forward-looking statements include information about possible or assumed future results of our business, investment strategies, financial condition, liquidity, results of operations, plans, objectives and our views on domestic and global market conditions (including the Agency RMBS, Agency CMBS and residential and commercial real estate markets). When we use the words “believe,” “expect,” “anticipate,” “estimate,” “plan,” “intend,” “project,” “forecast” or similar expressions and future or conditional verbs such as “will,” “may,” “could,” “should,” and “would,” and any other statement that necessarily depends on future events, we intend to identify forward-looking statements, although not all forward-looking statements may contain such words.
The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. We caution you not to rely unduly on any forward-looking statements and urge you to carefully consider the factors described under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in our Annual Report on Form 10-K for the year ended December 31, 2025 and this Report, which may be updated by subsequently filed quarterly reports on Form 10-Q or current reports on Form 8-K. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise over time, and it is not possible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.
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Executive Summary
We are a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities (“MBS”) and other mortgage-related assets. Our objective is to provide attractive risk-adjusted returns to our stockholders, primarily through dividends and secondarily through capital appreciation.
As of September 30, 2026, we were invested in:
•residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae” or “FNMA”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac” or “FHLMC”) (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”); and
•to-be-announced securities forward contracts (“TBAs”) to purchase Agency RMBS.
During the periods presented in these condensed consolidated financial statements, we also invested in CMBS and RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS” and “non-Agency RMBS”, respectively).
We continuously evaluate new investment opportunities to complement our current investment portfolio by expanding our target assets and portfolio diversification.
We conduct our business through our wholly-owned subsidiary, IAS Operating Partnership L.P. (the “Operating Partnership”). We are externally managed and advised by our Manager, an indirect wholly-owned subsidiary of Invesco.
We have 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 1940 Act.
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Market Conditions and Impacts
Macroeconomic factors that affect our business include inflation, economic growth, employment conditions, public policy, fiscal and monetary policy, interest rates, interest rate volatility, financial conditions, residential and commercial real estate prices, credit availability, the health of the banking system, consumer spending, personal income and corporate earnings. Of these macroeconomic factors, financial conditions, inflation, employment conditions, monetary policy, interest rates and interest rate volatility had the most direct impact on our performance and financial condition during the third quarter of 2026.
Financial conditions tightened during the quarter as investors increasingly priced in more restrictive monetary policy amid resilient economic growth and persistent inflation. Rising energy prices and ongoing geopolitical tensions further contributed to a higher-for-longer interest rate outlook. Against this backdrop, equity markets remained supported by strong earnings, optimism surrounding AI-driven investment and productivity gains, and continued economic resilience. Credit markets generally remained constructive, although risk premiums widened modestly across some portions of the fixed income market as higher interest rates and increased volatility weighed on investor risk appetite.
Inflation remained notably above the Federal Reserve’s 2% target throughout the quarter. The year-over-year increase in the headline consumer price index (“CPI”) accelerated, rising from approximately 3.5% in June to 3.7% in September, driven in part by the impact of higher energy prices. The year-over-year change in core CPI, which excludes food and energy, was 2.6% in September, unchanged from June. Despite uncertainty around energy prices, future inflation expectations remained relatively well anchored. The two-year Treasury inflation-protected securities breakeven rate increased to approximately 2.50% at quarter-end from 2.00% at the end of the second quarter, while the five-year breakeven rate increased to 2.38% from 2.27%.
The Federal Open Market Committee (“FOMC”) maintained its target range for the Federal Funds rate at 3.50% to 3.75% in July before raising it by 25 basis points to 3.75% to 4.00% in September, citing resilient economic activity and inflation that remained above its long-term objective. Expectations for future monetary policy shifted meaningfully tighter during the quarter given resilient economic growth, persistent inflation, and rising energy prices.
Interest rates increased across the U.S. Treasury yield curve during the quarter as investors reassessed the outlook for inflation and monetary policy. The two-year U.S. Treasury yield increased by 72 basis points to 4.89%, the five-year yield rose by 86 basis points to 5.09%, and the ten-year yield rose by 81 basis points to 5.28%. Interest rate volatility also increased, rising modestly in the first two months of the quarter as geopolitical risks escalated before moving sharply higher in September given the more hawkish tone from the FOMC at their September meeting.
This macroeconomic backdrop weighed on investor risk appetite and contributed to materially wider Agency RMBS spreads and modestly wider Agency CMBS spreads. Agency RMBS supply and demand technicals weakened as higher interest rates and wider spreads led to notable selling from the levered community, while GSE, bank and money manager demand was subdued amid the volatile interest rate environment. In addition, net supply reached its seasonal peak, totaling $76 billion for the quarter despite limited refinancing activity and persistent housing affordability constraints. Specified pool pay-ups, which are the premiums paid over generic collateral for certain underlying loan characteristics, declined notably during the quarter as 30 year mortgage rates moved more than 90 basis points higher to end the quarter near 7.4%, reducing the value of prepayment protection. Positively, Agency CMBS exhibited notable stability throughout most of the quarter, only widening modestly at the end of the quarter as the relative value became less attractive given the significant widening in Agency RMBS.
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Market Rates
| As of | |||||||||||||||||||||||||||||||||||||||||
| September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | One Quarter Change | One Year Change | |||||||||||||||||||||||||||||||||||
| Interest Rates | |||||||||||||||||||||||||||||||||||||||||
| Effective federal funds rate | 3.88 | % | 3.62 | % | 3.64 | % | 3.64 | % | 4.09 | % | 0.26 | % | (0.21) | % | |||||||||||||||||||||||||||
| One-month SOFR | 3.90 | % | 3.65 | % | 3.66 | % | 3.69 | % | 4.13 | % | 0.25 | % | (0.23) | % | |||||||||||||||||||||||||||
| 2 Year U.S. Treasury | 4.89 | % | 4.17 | % | 3.80 | % | 3.47 | % | 3.60 | % | 0.72 | % | 1.29 | % | |||||||||||||||||||||||||||
| 5 Year U.S. Treasury | 5.09 | % | 4.23 | % | 3.94 | % | 3.71 | % | 3.73 | % | 0.86 | % | 1.36 | % | |||||||||||||||||||||||||||
| 10 Year U.S. Treasury | 5.28 | % | 4.47 | % | 4.31 | % | 4.15 | % | 4.15 | % | 0.81 | % | 1.13 | % | |||||||||||||||||||||||||||
| 30 Year U.S. Treasury | 5.63 | % | 4.95 | % | 4.89 | % | 4.83 | % | 4.73 | % | 0.68 | % | 0.90 | % | |||||||||||||||||||||||||||
| As of | |||||||||||||||||||||||||||||||||||||||||
| (in basis points) | September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | One Quarter Change | One Year Change | ||||||||||||||||||||||||||||||||||
Swap Spreads (1) | |||||||||||||||||||||||||||||||||||||||||
| 2 year | (14) | (15) | (17) | (16) | (22) | 1 | 8 | ||||||||||||||||||||||||||||||||||
| 5 year | (28) | (29) | (33) | (26) | (35) | 1 | 7 | ||||||||||||||||||||||||||||||||||
| 10 year | (39) | (42) | (46) | (37) | (49) | 3 | 10 | ||||||||||||||||||||||||||||||||||
| 30 year | (67) | (74) | (78) | (68) | (80) | 7 | 13 | ||||||||||||||||||||||||||||||||||
30 Year Mortgage Spreads vs. 5/10 Year U.S. Treasury Securities Blend (2) | |||||||||||||||||||||||||||||||||||||||||
| FNMA 2.0% | 71 | 64 | 72 | 83 | 82 | 7 | (11) | ||||||||||||||||||||||||||||||||||
| FNMA 2.5% | 74 | 66 | 75 | 87 | 88 | 8 | (14) | ||||||||||||||||||||||||||||||||||
| FNMA 3.0% | 71 | 62 | 70 | 81 | 88 | 9 | (17) | ||||||||||||||||||||||||||||||||||
| FNMA 3.5% | 78 | 59 | 65 | 70 | 87 | 19 | (9) | ||||||||||||||||||||||||||||||||||
| FNMA 4.0% | 73 | 65 | 71 | 80 | 89 | 8 | (16) | ||||||||||||||||||||||||||||||||||
| FNMA 4.5% | 82 | 78 | 90 | 92 | 100 | 4 | (18) | ||||||||||||||||||||||||||||||||||
| FNMA 5.0% | 97 | 95 | 110 | 110 | 119 | 2 | (22) | ||||||||||||||||||||||||||||||||||
| FNMA 5.5% | 109 | 110 | 125 | 111 | 135 | (1) | (26) | ||||||||||||||||||||||||||||||||||
| FNMA 6.0% | 118 | 106 | 122 | 93 | 124 | 12 | (6) | ||||||||||||||||||||||||||||||||||
| FNMA 6.5% | 119 | 104 | 101 | 47 | 100 | 15 | 19 | ||||||||||||||||||||||||||||||||||
10 Year Agency CMBS Spreads vs. U.S. Treasury Securities (3) | |||||||||||||||||||||||||||||||||||||||||
| FNMA DUS | 42 | 34 | 38 | 46 | 44 | 8 | (2) | ||||||||||||||||||||||||||||||||||
(1)Swap spreads represent the difference between the fixed rate coupon of an interest rate swap and the yield on a U.S. Treasury security with a similar maturity.
(2)Mortgage spreads represent the difference between the yield on the Agency TBA and the blended average yield of five year and ten year U.S. Treasury securities.
(3)Agency CMBS spreads represent the difference between the yields on new issue Fannie Mae Delegated Underwriting and Servicing MBS (“DUS”) and a U.S. Treasury security with a similar maturity.
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Outlook
Our outlook for both Agency RMBS and Agency CMBS remains constructive. While uncertainty surrounding inflation, monetary policy, and geopolitical developments remains elevated, recent spread widening has enhanced the relative value and prospective return potential of both sectors. Looking ahead, we believe Agency RMBS is well positioned to benefit from increased participation by GSEs, banks, money managers, and other institutional investors as compelling risk-adjusted returns continue to attract capital. Agency CMBS also remains attractive, supported by elevated yields, stable cash flow characteristics, and meaningful diversification benefits.
We believe an eventual de-escalation of geopolitical tensions in the Middle East, coupled with moderation in interest rate volatility, could provide an additional tailwind for our target assets. Until then, we remain focused on maintaining prudent leverage, ample liquidity, and strategic portfolio diversification. We believe our measured approach positions us well to navigate uncertainty while seeking to deliver attractive risk-adjusted returns and create long-term shareholder value.
Investment Activities
The table below shows the composition of our investment portfolio including TBAs as of September 30, 2026, December 31, 2025 and September 30, 2025.
| $ in thousands | As of | ||||||||||||||||
| September 30, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||||
| Agency RMBS: | |||||||||||||||||
| 30 year fixed-rate pass-through, at fair value | 6,625,817 | 5,309,160 | 4,778,759 | ||||||||||||||
| Agency CMO, at fair value | — | 69,320 | 70,960 | ||||||||||||||
| Agency CMBS, at fair value | 681,179 | 898,129 | 899,519 | ||||||||||||||
| Subtotal | 7,306,996 | 6,276,609 | 5,749,238 | ||||||||||||||
TBAs, at implied market value (1) | 659,894 | — | — | ||||||||||||||
| Total investment portfolio including TBAs | 7,966,890 | 6,276,609 | 5,749,238 | ||||||||||||||
(1)Our presentation of TBAs in the table above represents management's view of our investment portfolio and does not reflect how we record TBAs on our condensed consolidated balance sheets under U.S. GAAP. Under U.S. GAAP, we record TBAs that we do not intend to settle on the contractual settlement date as derivative financial instruments. We value TBAs on our condensed consolidated balance sheets at net carrying value, which represents the difference between the implied market value and the implied cost basis of the TBAs. For further details of our U.S. GAAP accounting for TBAs, refer to Note 6 “Derivatives and Hedging Activities” in Part I. Item 1 of this report on Form 10-Q. Our TBA dollar roll transactions are a form of off-balance sheet financing. For further information on how management evaluates our at-risk leverage, see Non-GAAP Financial Measures below.
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As of September 30, 2026, our holdings of 30 year fixed-rate Agency RMBS represented approximately 83% of our total investment portfolio including TBAs, compared to 85% as of December 31, 2025 and 83% as of September 30, 2025. Our 30 year fixed-rate Agency RMBS holdings as of September 30, 2026, December 31, 2025 and September 30, 2025 consisted of specified pools with coupon distributions as shown in the table below.
| As of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| September 30, 2026 | December 31, 2025 | September 30, 2025 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| $ in thousands | Fair Value | Percentage | Period-end Weighted Average Yield | Fair Value | Percentage | Period-end Weighted Average Yield | Fair Value | Percentage | Period-end Weighted Average Yield | |||||||||||||||||||||||||||||||||||||||||||||||
| 2.5% | 39,229 | 0.6 | % | 4.42 | % | — | — | % | — | % | — | — | % | — | % | |||||||||||||||||||||||||||||||||||||||||
| 3.0% | 141,913 | 2.1 | % | 4.54 | % | — | — | % | — | % | — | — | % | — | % | |||||||||||||||||||||||||||||||||||||||||
| 4.5% | 1,180,562 | 17.8 | % | 4.87 | % | 785,584 | 14.8 | % | 4.89 | % | 745,869 | 15.6 | % | 4.91 | % | |||||||||||||||||||||||||||||||||||||||||
| 5.0% | 1,996,091 | 30.1 | % | 5.20 | % | 1,486,801 | 28.0 | % | 5.20 | % | 1,238,419 | 25.9 | % | 5.24 | % | |||||||||||||||||||||||||||||||||||||||||
| 5.5% | 1,958,635 | 29.6 | % | 5.48 | % | 1,534,654 | 28.9 | % | 5.51 | % | 1,224,244 | 25.6 | % | 5.56 | % | |||||||||||||||||||||||||||||||||||||||||
| 6.0% | 1,309,387 | 19.8 | % | 5.91 | % | 1,283,242 | 24.2 | % | 5.93 | % | 1,340,686 | 28.1 | % | 5.93 | % | |||||||||||||||||||||||||||||||||||||||||
| 6.5% | — | — | % | — | % | 218,879 | 4.1 | % | 6.14 | % | 229,541 | 4.8 | % | 6.14 | % | |||||||||||||||||||||||||||||||||||||||||
| Total 30 year fixed-rate Agency RMBS | 6,625,817 | 100.0 | % | 5.34 | % | 5,309,160 | 100.0 | % | 5.46 | % | 4,778,759 | 100.0 | % | 5.51 | % | |||||||||||||||||||||||||||||||||||||||||
Our holdings of 30 year fixed-rate Agency RMBS are focused in specified pools with attractive prepayment profiles. We seek to capitalize on the impact of prepayments on our investment portfolio by purchasing specified pools with characteristics that optimize borrower incentive to prepay for both our premium and discount priced investments. The table below shows the specified pool characteristics of our 30 year fixed-rate Agency RMBS holdings as of September 30, 2026, December 31, 2025 and September 30, 2025.
| As of | ||||||||||||||||||||||||||||||||||||||
| September 30, 2026 | December 31, 2025 | September 30, 2025 | ||||||||||||||||||||||||||||||||||||
| $ in thousands | Fair Value | Percentage | Fair Value | Percentage | Fair Value | Percentage | ||||||||||||||||||||||||||||||||
| Specified pool characteristic: | ||||||||||||||||||||||||||||||||||||||
| Geographic location | 1,273,786 | 19.2 | % | 942,347 | 17.7 | % | 791,587 | 16.6 | % | |||||||||||||||||||||||||||||
| Loan balance | 2,074,773 | 31.3 | % | 2,111,999 | 39.8 | % | 1,979,169 | 41.4 | % | |||||||||||||||||||||||||||||
High loan-to-value ratio | 1,543,857 | 23.3 | % | 870,125 | 16.4 | % | 748,964 | 15.7 | % | |||||||||||||||||||||||||||||
| Low credit score | 1,575,401 | 23.8 | % | 1,384,689 | 26.1 | % | 1,259,039 | 26.3 | % | |||||||||||||||||||||||||||||
| Other | 158,000 | 2.4 | % | — | — | % | — | — | % | |||||||||||||||||||||||||||||
| Total 30 year fixed-rate Agency RMBS | 6,625,817 | 100.0 | % | 5,309,160 | 100.0 | % | 4,778,759 | 100.0 | % | |||||||||||||||||||||||||||||
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As of September 30, 2026, our holdings of TBAs represented approximately 8% of our total investment portfolio. We did not have any TBAs outstanding as of September 30, 2025 and December 31, 2025. We increased our allocation to TBAs during 2026 given attractive implied financing rates in the Agency RMBS TBA dollar roll market. Our TBA holdings as of September 30, 2026 consisted of 30 year Agency RMBS TBAs with coupon distributions as shown in the table below.
| As of | ||||||||||||||
| September 30, 2026 | ||||||||||||||
| $ in thousands | Implied Market Value | Percentage | ||||||||||||
| 5.5% | 157,748 | 23.9 | % | |||||||||||
| 6.0% | 441,847 | 67.0 | % | |||||||||||
| 6.5% | 60,299 | 9.1 | % | |||||||||||
| Total TBAs | 659,894 | 100.0 | % | |||||||||||
As of September 30, 2026, our holdings of Agency CMBS represented approximately 9% of our total investment portfolio including TBAs, compared to 14% as of December 31, 2025 and 16% as of September 30, 2025. These securities offer attractive risk-adjusted yields and diversification benefits. Further, the hedging costs associated with these holdings are economical as Agency CMBS is less sensitive to interest rate risk given prepayment protection and scheduled balloon maturity payments. As of September 30, 2026, approximately 87% of our Agency CMBS holdings were Fannie Mae DUS and 13% were Freddie Mac Multifamily Participation Certificates.
Financing
We finance the majority of our investment portfolio through repurchase agreements. Repurchase agreements are generally settled on a short-term basis, usually from one to six months, and bear interest at rates that are expected to move in close relationship to the secured overnight financing rate (“SOFR”). Additionally, we view our TBAs that are accounted for as derivative financial instruments under U.S. GAAP as a form of off-balance sheet financing. Refer to Non-GAAP Financial Measures below for information on how we evaluate our at-risk leverage.
The following table presents the amount of collateralized borrowings outstanding under repurchase agreements as of the end of each quarter, the average amount outstanding during the quarter and the maximum balance outstanding during the quarter.
| $ in thousands | Collateralized Borrowings Under Repurchase Agreements | ||||||||||||||||
| Quarter Ended | Quarter-end balance | Average Quarterly Balance (1) | Maximum Balance (2) | ||||||||||||||
| September 30, 2025 | 5,150,081 | 4,889,782 | 5,150,081 | ||||||||||||||
| December 31, 2025 | 5,619,255 | 5,393,719 | 5,619,255 | ||||||||||||||
| March 31, 2026 | 5,339,373 | 5,367,463 | 5,404,619 | ||||||||||||||
| June 30, 2026 | 6,210,403 | 5,927,725 | 6,210,403 | ||||||||||||||
| September 30, 2026 | 6,842,947 | 6,754,709 | 6,922,523 | ||||||||||||||
(1)Average quarterly balance for each period is based on month-end balances.
(2)Amount represents the maximum borrowings at month-end during each of the respective periods.
Hedging Instruments
We enter into interest rate swap agreements that are designed to mitigate the effects of changes in interest rates for a portion of our borrowings. Under these swap agreements, we pay fixed interest rates and receive floating interest rates indexed to SOFR.
We actively manage our interest rate swap portfolio as the size and composition of our investment portfolio changes. During the nine months ended September 30, 2026, we entered into interest rate swaps with a notional amount of $3.0 billion and terminated or settled interest rate swaps with a notional amount of $1.7 billion.
We also use U.S. Treasury futures contracts as an alternative way to help mitigate the potential impact of changes in interest rates on our performance. During the nine months ended September 30, 2026, we entered into U.S. Treasury futures contracts with a notional amount of $4.7 billion and terminated or settled U.S. Treasury futures contracts with a notional amount of $4.1 billion.
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Daily variation margin for interest rate swaps and U.S. Treasury futures contracts is characterized as settlement of the derivative itself rather than collateral and is recorded as a realized gain or loss in our condensed consolidated statements of comprehensive income (loss).
Additionally, we have used and may in the future use short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.
Capital Activities
As of September 30, 2026, we had 15,285,982 shares of our common stock remaining available for sale from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents. The table below shows issuances of our common stock under equity distribution agreements during the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
| Shares in ones, $ in thousands | 2026 | 2025 | 2026 | 2025 | ||||||||||||||||||||||
| Shares sold | 6,706,923 | 4,638,385 | 37,249,018 | 9,133,192 | ||||||||||||||||||||||
| Fees paid to placement agents | 648 | 458 | 3,835 | 942 | ||||||||||||||||||||||
Cash proceeds, net of fees paid to placement agents (1) | 51,151 | 36,145 | 302,892 | 74,376 | ||||||||||||||||||||||
(1)During the three and nine months ended September 30, 2026, we also paid other costs of $195,000 and $334,000, respectively, related to issuances of common stock (three and nine months ended September 30, 2025: $47,000).
For information on dividends declared during the three and nine months ended September 30, 2026 and 2025, see Note 10 - “Stockholders' Equity” of our condensed consolidated financial statements in Part I. Item 1 of this quarterly report on Form 10-Q.
During the nine months ended September 30, 2026, we did not repurchase any shares of our common stock.
In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock. During the three and nine months ended September 30, 2026, we repurchased and retired 17,415 and 129,325 shares of Series C Preferred Stock, respectively (three and nine months ended September 30, 2025: 89,223 and 276,172 shares). As of September 30, 2026, we had authority to repurchase 224,806 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.
Book Value per Common Share
We calculate book value per common share as follows:
| As of | |||||||||||
| In thousands except per share amounts | September 30, 2026 | December 31, 2025 | |||||||||
| Numerator (adjusted equity): | |||||||||||
| Total equity | 903,368 | 797,544 | |||||||||
| Less: Liquidation preference of Series C Preferred Stock | (168,120) | (171,353) | |||||||||
| Total adjusted equity | 735,248 | 626,191 | |||||||||
| Denominator (number of shares): | |||||||||||
| Common stock outstanding | 109,104 | 71,791 | |||||||||
| Book value per common share | 6.74 | 8.72 | |||||||||
Our book value per common share decreased 22.7% as of September 30, 2026 compared to December 31, 2025. The decrease in our book value per common share was primarily due to unrealized losses on investments, dividends declared and expenses, which were partially offset by net interest income and gains on derivative instruments.
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Critical Accounting Policies and Estimates
There have been no significant changes to our critical accounting policies and estimates that are disclosed in our most recent Form 10-K for the year ended December 31, 2025.
Recent Accounting Standards
None.
Results of Operations
The table below presents information from our condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands, except share data | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Interest income | 98,961 | 72,916 | 264,010 | 217,386 | |||||||||||||||||||
| Interest expense | 65,035 | 55,302 | 172,936 | 163,222 | |||||||||||||||||||
| Net interest income | 33,926 | 17,614 | 91,074 | 54,164 | |||||||||||||||||||
| Other income (loss) | |||||||||||||||||||||||
| Gain (loss) on investments, net | (402,062) | 49,540 | (478,228) | 126,430 | |||||||||||||||||||
| Gain (loss) on derivative instruments, net | 277,682 | (9,218) | 322,145 | (116,813) | |||||||||||||||||||
| Total other income (loss) | (124,380) | 40,322 | (156,083) | 9,617 | |||||||||||||||||||
| Expenses | |||||||||||||||||||||||
| Management fee – related party | 3,626 | 2,662 | 9,929 | 8,489 | |||||||||||||||||||
| General and administrative | 1,557 | 1,803 | 5,599 | 5,507 | |||||||||||||||||||
| Total expenses | 5,183 | 4,465 | 15,528 | 13,996 | |||||||||||||||||||
| Net income (loss) | (95,637) | 53,471 | (80,537) | 49,785 | |||||||||||||||||||
| Dividends to preferred stockholders | (3,153) | (3,261) | (9,508) | (9,899) | |||||||||||||||||||
| Gain (loss) on repurchase and retirement of preferred stock | (7) | (2) | (31) | 44 | |||||||||||||||||||
| Net income (loss) attributable to common stockholders | (98,797) | 50,208 | (90,076) | 39,930 | |||||||||||||||||||
| Other comprehensive income (loss) | |||||||||||||||||||||||
| Unrealized gain (loss) on mortgage-backed securities, net | — | — | — | 229 | |||||||||||||||||||
| Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on investments, net | — | — | — | (402) | |||||||||||||||||||
| Total other comprehensive income (loss) | — | — | — | (173) | |||||||||||||||||||
| Comprehensive income (loss) attributable to common stockholders | (98,797) | 50,208 | (90,076) | 39,757 | |||||||||||||||||||
| Earnings (loss) per share | |||||||||||||||||||||||
| Net income (loss) attributable to common stockholders | |||||||||||||||||||||||
| Basic | (0.92) | 0.74 | (0.95) | 0.61 | |||||||||||||||||||
| Diluted | (0.92) | 0.74 | (0.95) | 0.61 | |||||||||||||||||||
| Weighted average number of shares of common stock | |||||||||||||||||||||||
| Basic | 107,656,590 | 67,582,202 | 94,905,674 | 65,494,740 | |||||||||||||||||||
| Diluted | 107,656,590 | 67,582,683 | 94,905,674 | 65,495,971 | |||||||||||||||||||
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Interest Income and Average Earning Asset Yields
The table below presents information related to our average earning assets and earning asset yields for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
Average earning assets (1) | 7,574,311 | 5,382,189 | 6,723,237 | 5,294,406 | |||||||||||||||||||
Average earning asset yields (2) | 5.23 | % | 5.42 | % | 5.24 | % | 5.47 | % | |||||||||||||||
(1)Average balances for each period are based on weighted month-end balances. Average earning assets do not include TBAs that are treated as derivative instruments under U.S. GAAP.
(2)Average earning asset yields for the period are calculated by dividing interest income, including amortization of premiums and discounts, by average earning assets based on the amortized cost of the investments. All yields are annualized.
Average earning assets increased $2.2 billion and $1.4 billion for the three and nine months ended September 30, 2026, respectively, compared to the same periods in 2025. Changes in our average earning assets are a factor of our total stockholders' equity, our desired leverage levels and our allocation to TBAs.
Average earning asset yields decreased 19 and 23 basis points for the three and nine months ended September 30, 2026, respectively, compared to the same periods in 2025. Changes in our average earning asset yields are driven by the composition of our investments, amortized cost of our securities and prepayment rates.
Our interest income includes coupon interest and net (premium amortization) discount accretion as shown in the table below.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Interest income | |||||||||||||||||||||||
| Coupon interest | 98,749 | 73,185 | 265,276 | 217,799 | |||||||||||||||||||
| Net (premium amortization) discount accretion | 212 | (269) | (1,266) | (413) | |||||||||||||||||||
| Total interest income | 98,961 | 72,916 | 264,010 | 217,386 | |||||||||||||||||||
Our interest income increased $26.0 million and $46.6 million for the three and nine months ended September 30, 2026, respectively, compared to the same periods in 2025 due to an increase in average earning assets, which was partially offset by lower average earning asset yields.
Prepayment Speeds
Our Agency RMBS portfolio is subject to inherent prepayment risk primarily driven by changes in interest rates, which impacts the amount of premium and discount on the purchase of these securities that is recognized into interest income. Generally, in an environment of falling interest rates, prepayment speeds will increase as homeowners are more likely to prepay their existing mortgage and refinance into a lower borrowing rate. In an environment of rising interest rates, prepayment speeds will generally decrease as homeowners are not as incentivized to refinance. For Agency RMBS where we do not estimate prepayments, premium amortization and discount accretion are not impacted by prepayments until actual prepayments occur. For Agency RMBS purchased at a substantial premium relative to par value, expected future prepayment speeds are estimated on at least a quarterly basis.
Faster prepayment rates on securities purchased at a premium relative to par value result in higher premium amortization and a decrease in interest income. Conversely, faster prepayment rates on securities purchased at a discount relative to par value result in higher discount accretion and an increase in interest income.
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The table below presents net (premium amortization) discount accretion recognized for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Agency RMBS | 110 | (386) | (2,200) | (727) | |||||||||||||||||||
| Agency CMBS | 102 | 117 | 934 | 326 | |||||||||||||||||||
| Non-Agency RMBS | — | — | — | (12) | |||||||||||||||||||
| Net (premium amortization) discount accretion | 212 | (269) | (1,266) | (413) | |||||||||||||||||||
The amount of net (premium amortization) discount accretion that we recognize changes based on the size and composition of our investment portfolio, including the purchase price of the securities relative to par value, and prepayment speeds.
Interest Expense and Cost of Funds
The table below presents information related to our borrowings and cost of funds for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
Average borrowings (1) | 6,754,709 | 4,889,782 | 6,021,714 | 4,799,047 | |||||||||||||||||||
Maximum borrowings during the period (2) | 6,922,523 | 5,150,081 | 6,922,523 | 5,354,561 | |||||||||||||||||||
Cost of funds (3) | 3.85 | % | 4.52 | % | 3.83 | % | 4.53 | % | |||||||||||||||
(1)Average borrowings for each period are based on weighted month-end balances. Average borrowings do not include the off-balance sheet financing component of TBAs that are treated as derivative instruments under U.S. GAAP.
(2)Amount represents the maximum borrowings at month-end during each of the respective periods.
(3)Average cost of funds is calculated by dividing annualized interest expense by our average borrowings.
Average borrowings increased $1.9 billion and $1.2 billion for the three and nine months ended September 30, 2026, respectively, compared to the same periods in 2025. Changes in our average borrowings are a factor of our total stockholders' equity, our desired leverage levels and our allocation to TBAs.
Cost of funds decreased 67 and 70 basis points for the three and nine months ended September 30, 2026, respectively, compared to the same periods in 2025. Changes in our cost of funds are substantially driven by the Federal Funds target rate, which was set at a range of 3.50% to 3.75% for the majority of the three and nine months ended September 30, 2026, and a range of 4.25% to 4.50% for the majority of the three and nine months ended September 30, 2025.
The table below presents the components of interest expense for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Interest Expense | |||||||||||||||||||||||
| Interest expense on repurchase agreement borrowings | 65,035 | 55,302 | 172,936 | 163,222 | |||||||||||||||||||
Our interest expense increased $9.7 million for both the three and nine months ended September 30, 2026, compared to the same periods in 2025 due to an increase in average borrowings, which was partially offset by a lower cost of funds.
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Net Interest Income
The table below presents the components of net interest income for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Interest income | 98,961 | 72,916 | 264,010 | 217,386 | |||||||||||||||||||
| Interest expense | 65,035 | 55,302 | 172,936 | 163,222 | |||||||||||||||||||
| Net interest income | 33,926 | 17,614 | 91,074 | 54,164 | |||||||||||||||||||
| Net interest rate margin | 1.38 | % | 0.90 | % | 1.41 | % | 0.94 | % | |||||||||||||||
Our net interest income, which equals total interest income less total interest expense, increased for the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to higher average earning assets and a lower cost of funds, which were partially offset by higher average borrowings and lower average earning asset yields.
Our net interest rate margin, which equals the yield on our average earning assets for the period less the average cost of funds, increased for the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to a lower cost of funds, which was partially offset by lower average earning asset yields. Our cost of funds is generally more sensitive to changes in interest rates than the yield on our investment portfolio, which is largely comprised of 30 year fixed-rate Agency RMBS.
Gain (Loss) on Investments, net
The table below summarizes the components of gain (loss) on investments, net for the three and nine months ended September 30, 2026 and 2025.
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Net realized gains (losses) on sale of MBS | (3,631) | 1,222 | (3,188) | (2,417) | |||||||||||||||||||
| Net unrealized gains (losses) on MBS accounted for under the fair value option | (398,431) | 48,318 | (475,040) | 128,847 | |||||||||||||||||||
| Total gain (loss) on investments, net | (402,062) | 49,540 | (478,228) | 126,430 | |||||||||||||||||||
During the three and nine months ended September 30, 2026, we sold MBS and realized net losses of $3.6 million and $3.2 million, respectively (three and nine months ended September 30, 2025: net gains of $1.2 million and net losses of $2.4 million). Net realized losses during the three and nine months ended September 30, 2026 primarily reflect net losses of $9.7 million on sales of Agency CMBS, which were partially offset by net gains of $6.7 million on sales of Agency CMO. Net realized gains during the three months ended September 30, 2025 reflect a decrease in our allocation to higher coupon Agency RMBS. Net realized losses during the nine months ended September 30, 2025 primarily reflect sales of lower-coupon Agency RMBS during the first quarter of 2025.
Under the fair value option, changes in fair value are recognized in income on the condensed consolidated statements of comprehensive income (loss). As of September 30, 2026 and December 31, 2025, all of our MBS were accounted for under the fair value option. We recorded net unrealized losses of $398.4 million and $475.0 million during the three and nine months ended September 30, 2026, respectively, due to an increase in interest rates and wider spreads. We recorded net unrealized gains on our MBS portfolio accounted for under the fair value option of $48.3 million and $128.8 million during the three and nine months ended September 30, 2025, respectively, primarily due to a decline in interest rates during 2025.
Gain (Loss) on Derivative Instruments, net
We record all derivatives on our condensed consolidated balance sheets at fair value. Changes in the fair value of our derivatives are recorded in gain (loss) on derivative instruments, net in our condensed consolidated statements of comprehensive income (loss). Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our condensed consolidated statements of comprehensive income (loss).
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The tables below summarize the components of our gain (loss) on derivative instruments, net for the following periods:
$ in thousands | Three months ended September 30, 2026 | ||||||||||||||||||||||
| Derivative Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | |||||||||||||||||||
| Interest rate swaps | 183,015 | 19,950 | (1,515) | 201,450 | |||||||||||||||||||
| U.S. Treasury futures contracts | 107,227 | — | (52) | 107,175 | |||||||||||||||||||
| TBAs | (15,236) | — | (15,707) | (30,943) | |||||||||||||||||||
| Total | 275,006 | 19,950 | (17,274) | 277,682 | |||||||||||||||||||
$ in thousands | Three months ended September 30, 2025 | ||||||||||||||||||||||
| Derivative Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | |||||||||||||||||||
| Interest rate swaps | (35,447) | 29,138 | 5,714 | (595) | |||||||||||||||||||
| U.S. Treasury futures contracts | (13,742) | — | 5,119 | (8,623) | |||||||||||||||||||
| Total | (49,189) | 29,138 | 10,833 | (9,218) | |||||||||||||||||||
$ in thousands | Nine months ended September 30, 2026 | ||||||||||||||||||||||
| Derivative Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | |||||||||||||||||||
| Interest rate swaps | 181,603 | 62,285 | 5,165 | 249,053 | |||||||||||||||||||
| U.S. Treasury futures contracts | 111,808 | — | 3,019 | 114,827 | |||||||||||||||||||
| TBAs | (27,493) | — | (14,242) | (41,735) | |||||||||||||||||||
| Total | 265,918 | 62,285 | (6,058) | 322,145 | |||||||||||||||||||
$ in thousands | Nine months ended September 30, 2025 | ||||||||||||||||||||||
| Derivative Instruments | Realized Gain (Loss) on Derivative Instruments, Net | Contractual Net Interest Income (Expense) | Unrealized Gain (Loss), Net | Gain (Loss) on Derivative Instruments, Net | |||||||||||||||||||
| Interest rate swaps | (148,022) | 85,848 | (2,229) | (64,403) | |||||||||||||||||||
| U.S. Treasury futures contracts | (52,258) | — | (2,725) | (54,983) | |||||||||||||||||||
| TBAs | 1,967 | — | 606 | 2,573 | |||||||||||||||||||
| Total | (198,313) | 85,848 | (4,348) | (116,813) | |||||||||||||||||||
As of September 30, 2026 and December 31, 2025, we held the following interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on SOFR:
| $ in thousands | As of September 30, 2026 | As of December 31, 2025 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Derivative Instruments | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Floating Receive Rate | Weighted Average Years to Maturity | Notional Amount | Weighted Average Fixed Pay Rate | Weighted Average Floating Receive Rate | Weighted Average Years to Maturity | ||||||||||||||||||||||||||||||||||||||||||
| Interest rate swaps | 5,185,000 | 2.72 | % | 3.90 | % | 7.9 | 3,820,000 | 1.34 | % | 3.87 | % | 4.6 | ||||||||||||||||||||||||||||||||||||||
We use interest rate swaps to manage our exposure to changing interest rates and add stability to our borrowing costs. During the nine months ended September 30, 2026, we entered into interest rate swaps with a notional amount of $3.0 billion and terminated or settled existing interest rate swaps with a notional amount of $1.7 billion. We recorded net gains of $201.5 million and $249.1 million on interest rate swaps for the three and nine months ended September 30, 2026, respectively, due to an increase in swap rates. We recorded net losses of $595,000 and $64.4 million on interest rate swaps for the three and nine months ended September 30, 2025, respectively. Net losses during the nine months ended September 30, 2025 were due to a decline in swap rates.
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As of September 30, 2026 and December 31, 2025, we held the following U.S. Treasury futures contracts:
| As of | ||||||||||||||
| September 30, 2026 | December 31, 2025 | |||||||||||||
| $ in thousands | Notional Amount - Short | Notional Amount - Short | ||||||||||||
| 10 year U.S. Treasury futures | 740,000 | 420,000 | ||||||||||||
| Ultra 10 year U.S. Treasury futures | 525,000 | 455,000 | ||||||||||||
| 30 year U.S. Treasury futures | 340,000 | 215,000 | ||||||||||||
| Total | 1,605,000 | 1,090,000 | ||||||||||||
We use U.S. Treasury futures contracts as an alternative way to help mitigate the potential impact of changes in interest rates on our performance. During the nine months ended September 30, 2026, we entered into U.S. Treasury futures contracts with a notional amount of $4.7 billion and terminated or settled existing U.S. Treasury futures contracts with a notional amount of $4.1 billion. We recognized net gains of $107.2 million and $114.8 million on U.S. Treasury futures contracts during the three and nine months ended September 30, 2026, respectively, due to an increase in interest rates. We recorded net losses of $8.6 million and $55.0 million during the three and nine months ended September 30, 2025, respectively, due to a decrease in interest rates.
We primarily use long positions in TBAs as an alternative means of investing in and financing Agency RMBS. Additionally, during the second quarter of 2025, we used short positions in TBAs in response to heightened market volatility to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations. We recorded net losses of $30.9 million and $41.7 million on TBAs during the three and nine months ended September 30, 2026, respectively, due to an increase in interest rates and wider spreads. We did not hold any TBAs during the three months ended September 30, 2025. We recorded net gains of $2.6 million on TBAs during the nine months ended September 30, 2025.
Expenses
We incurred management fees of $3.6 million and $9.9 million for the three and nine months ended September 30, 2026, respectively (three and nine months ended September 30, 2025: $2.7 million and $8.5 million). Our management fees are determined by our average stockholders' equity. Refer to Note 9 – “Related Party Transactions” of our condensed consolidated financial statements for a discussion of our relationship with our Manager and a description of how our fees are calculated.
Our general and administrative expenses not covered under our management agreement amounted to $1.6 million and $5.6 million for the three and nine months ended September 30, 2026, respectively (three and nine months ended September 30, 2025: $1.8 million and $5.5 million). General and administrative expenses not covered under our management agreement primarily consist of directors and officers insurance, legal costs, accounting, auditing and tax services, filing fees and miscellaneous general and administrative costs.
Gain (Loss) on Repurchase and Retirement of Preferred Stock
In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock. During the three and nine months ended September 30, 2026, we repurchased and retired 17,415 and 129,325 shares of Series C Preferred Stock, respectively (three and nine months ended September 30, 2025: 89,223 and 276,172 shares). Gains and losses on repurchases and retirements of preferred stock represent the difference between the consideration transferred and the carrying value of the preferred stock.
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Net Income (Loss) Attributable to Common Stockholders
For the three months ended September 30, 2026, our net loss attributable to common stockholders was $98.8 million (three months ended September 30, 2025: net income of $50.2 million) or $0.92 basic and diluted net loss per average share available to common stockholders (three months ended September 30, 2025: $0.74 net income per share). The change in net income (loss) attributable to common stockholders was primarily due to (i) net losses on investments of $402.1 million in the 2026 period compared to net gains on investments of $49.5 million in the 2025 period; (ii) net gains on derivative instruments of $277.7 million in the 2026 period compared to net losses on derivatives of $9.2 million in the 2025 period; and (iii) a $16.3 million increase in net interest income.
For the nine months ended September 30, 2026, our net loss attributable to common stockholders was $90.1 million (nine months ended September 30, 2025: net income of $39.9 million) or $0.95 basic and diluted net loss per average share available to common stockholders (nine months ended September 30, 2025: $0.61 net income per share). The change in net income (loss) attributable to common stockholders was primarily due to (i) net losses on investments of $478.2 million in the 2026 period compared to net gains on investments of $126.4 million in the 2025 period; (ii) net gains on derivative instruments of $322.1 million in the 2026 period compared to net losses on derivatives of $116.8 million in the 2025 period; and (iii) a $36.9 million increase in net interest income.
For further information on the changes in net gain (loss) on investments, net gain (loss) on derivative instruments and changes in net interest income, see preceding discussion under “Gain (Loss) on Investments, net”, “Gain (Loss) on Derivative Instruments, net” and “Net Interest Income”.
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Non-GAAP Financial Measures
The table below shows the non-GAAP financial measures we use to analyze our operating results and the most directly comparable U.S. GAAP measures. We believe these non-GAAP measures are useful to investors in assessing our performance as discussed further below.
| Non-GAAP Financial Measure | Most Directly Comparable U.S. GAAP Measure | |||||||
| Earnings available for distribution (and by calculation, earnings available for distribution per common share) | Net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share) | |||||||
| Effective interest expense (and by calculation, effective cost of funds) | Total interest expense (and by calculation, cost of funds) | |||||||
| Effective net interest income (and by calculation, effective interest rate margin) | Net interest income (and by calculation, net interest rate margin) | |||||||
| Economic debt-to-equity ratio | Debt-to-equity ratio | |||||||
The non-GAAP financial measures used by management should be analyzed in conjunction with U.S. GAAP financial measures and should not be considered substitutes for U.S. GAAP financial measures. In addition, the non-GAAP financial measures may not be comparable to similarly titled non-GAAP financial measures of our peer companies.
Earnings Available for Distribution
Our business objective is to provide attractive risk-adjusted returns to our stockholders, primarily through dividends and secondarily through capital appreciation. We use earnings available for distribution as a measure of our investment portfolio’s ability to generate income for distribution to common stockholders and to evaluate our progress toward meeting this objective. We calculate earnings available for distribution as U.S. GAAP net income (loss) attributable to common stockholders adjusted for (gain) loss on investments, net; realized (gain) loss on derivative instruments, net; unrealized (gain) loss on derivative instruments, net; TBA dollar roll income and (gain) loss on repurchase and retirement of preferred stock. We may add and have added additional reconciling items to our earnings available for distribution calculation as appropriate.
By excluding the gains and losses discussed above, we believe the presentation of earnings available for distribution provides a consistent measure of operating performance that investors can use to evaluate our results over multiple reporting periods and, to a certain extent, compare to our peer companies. However, because not all of our peer companies use identical operating performance measures, our presentation of earnings available for distribution may not be comparable to other similarly titled measures used by our peer companies. We exclude the impact of gains and losses when calculating earnings available for distribution because when analyzed in conjunction with our U.S. GAAP results, earnings available for distribution provides additional detail of our investment portfolio’s earnings capacity. In addition, certain gains and losses represent one-time events.
Furthermore, gains and losses have not been accounted for consistently under U.S. GAAP. Under U.S. GAAP, certain gains and losses may be reflected in net income whereas other gains and losses may be reflected in other comprehensive income. For example, a portion of our mortgage-backed securities were historically classified as available-for-sale securities, and changes in the valuation of these securities were recorded in other comprehensive income on our condensed consolidated balance sheets. We elected the fair value option for our mortgage-backed securities purchased on or after September 1, 2016, and changes in the valuation of these securities are recorded in other income (loss) in our condensed consolidated statements of comprehensive income (loss).
To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income annually. Because we view earnings available for distribution as a consistent measure of our investment portfolio's ability to generate income for distribution to common stockholders, earnings available for distribution is one metric, but not the exclusive metric, that is used to determine the amount, if any, of dividends on our common stock. However, earnings available for distribution should not be considered as an indication of our taxable income, a guaranty of our ability to pay dividends or as a proxy for the amount of dividends we may pay, as earnings available for distribution excludes certain items that impact our cash needs.
Earnings available for distribution is an incomplete measure of our financial performance and there are other factors that impact the achievement of our business objective. We caution that earnings available for distribution should not be considered as an alternative to net income (determined in accordance with U.S. GAAP) or as an indication of our cash flow from operating activities (determined in accordance with U.S. GAAP), a measure of our liquidity or as an indication of amounts available to fund our cash needs.
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The table below provides a reconciliation of U.S. GAAP net income (loss) attributable to common stockholders to earnings available for distribution for the following periods:
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands, except per share data | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Net income (loss) attributable to common stockholders | (98,797) | 50,208 | (90,076) | 39,930 | |||||||||||||||||||
| Adjustments: | |||||||||||||||||||||||
| (Gain) loss on investments, net | 402,062 | (49,540) | 478,228 | (126,430) | |||||||||||||||||||
Realized (gain) loss on derivative instruments, net (1) | (275,006) | 49,189 | (265,918) | 198,313 | |||||||||||||||||||
Unrealized (gain) loss on derivative instruments, net (1) | 17,274 | (10,833) | 6,058 | 4,348 | |||||||||||||||||||
TBA dollar roll income (2) | 4,755 | — | 13,778 | 1,147 | |||||||||||||||||||
| (Gain) loss on repurchase and retirement of preferred stock | 7 | 2 | 31 | (44) | |||||||||||||||||||
| Subtotal | 149,092 | (11,182) | 232,177 | 77,334 | |||||||||||||||||||
| Earnings available for distribution | 50,295 | 39,026 | 142,101 | 117,264 | |||||||||||||||||||
| Basic income (loss) per common share | (0.92) | 0.74 | (0.95) | 0.61 | |||||||||||||||||||
Earnings available for distribution per common share (3) | 0.47 | 0.58 | 1.50 | 1.79 | |||||||||||||||||||
(1)U.S. GAAP gain (loss) on derivative instruments, net on the condensed consolidated statements of comprehensive income (loss) includes the following components:
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
| Realized gain (loss) on derivative instruments, net | 275,006 | (49,189) | 265,918 | (198,313) | |||||||||||||||||||
| Unrealized gain (loss) on derivative instruments, net | (17,274) | 10,833 | (6,058) | (4,348) | |||||||||||||||||||
| Contractual net interest income (expense) on interest rate swaps | 19,950 | 29,138 | 62,285 | 85,848 | |||||||||||||||||||
| Gain (loss) on derivative instruments, net | 277,682 | (9,218) | 322,145 | (116,813) | |||||||||||||||||||
(2)A TBA dollar roll is a series of derivative transactions where TBAs with the same specified issuer, term and coupon but different settlement dates are simultaneously bought and sold. The TBA settling in the later month typically prices at a discount to the TBA settling in the earlier month. TBA dollar roll income represents the price differential between the TBA price for current month settlement compared to the TBA price for forward month settlement. We include TBA dollar roll income in earnings available for distribution because it is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, over the forward settlement period. TBA dollar roll income is a component of gain (loss) on derivative instruments, net on our condensed consolidated statements of comprehensive income (loss).
(3)Earnings available for distribution per common share is equal to earnings available for distribution divided by the basic weighted average number of common shares outstanding.
The table below shows the components of earnings available for distribution for the following periods:
| Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
| $ in thousands | 2026 | 2025 | 2026 | 2025 | |||||||||||||||||||
Effective net interest income (1) | 53,876 | 46,752 | 153,359 | 140,012 | |||||||||||||||||||
| TBA dollar roll income | 4,755 | — | 13,778 | 1,147 | |||||||||||||||||||
| Total expenses | (5,183) | (4,465) | (15,528) | (13,996) | |||||||||||||||||||
| Subtotal | 53,448 | 42,287 | 151,609 | 127,163 | |||||||||||||||||||
| Dividends to preferred stockholders | (3,153) | (3,261) | (9,508) | (9,899) | |||||||||||||||||||
| Earnings available for distribution | 50,295 | 39,026 | 142,101 | 117,264 | |||||||||||||||||||
(1)See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure.
Earnings available for distribution increased during the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to higher effective net interest income and an increase in our allocation to TBAs. See below for details on the change in effective net interest income.
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Effective Interest Expense / Effective Cost of Funds / Effective Net Interest Income / Effective Interest Rate Margin
We calculate effective interest expense (and by calculation, effective cost of funds) as U.S. GAAP total interest expense adjusted for contractual net interest income (expense) on our interest rate swaps that is recorded as gain (loss) on derivative instruments, net. We view our interest rate swaps as an economic hedge against increases in future market interest rates on our borrowings. We add back the net payments or receipts on our interest rate swap agreements to our total U.S. GAAP interest expense because we use interest rate swaps to add stability to interest expense.
We calculate effective net interest income (and by calculation, effective interest rate margin) as U.S. GAAP net interest income adjusted for contractual net interest income (expense) on our interest rate swaps that is recorded as gain (loss) on derivative instruments, net.
We believe the presentation of effective interest expense, effective cost of funds, effective net interest income and effective interest rate margin measures, when considered together with U.S. GAAP financial measures, provides information that is useful to investors in understanding our borrowing costs and operating performance.
The following tables reconcile total interest expense to effective interest expense and cost of funds to effective cost of funds for the following periods:
| Three Months Ended September 30, | |||||||||||||||||||||||
| 2026 | 2025 | ||||||||||||||||||||||
| $ in thousands | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | |||||||||||||||||||
| Total interest expense | 65,035 | 3.85 | % | 55,302 | 4.52 | % | |||||||||||||||||
| Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net | (19,950) | (1.18) | % | (29,138) | (2.38) | % | |||||||||||||||||
| Effective interest expense | 45,085 | 2.67 | % | 26,164 | 2.14 | % | |||||||||||||||||
| Nine Months Ended September 30, | |||||||||||||||||||||||
| 2026 | 2025 | ||||||||||||||||||||||
| $ in thousands | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | |||||||||||||||||||
| Total interest expense | 172,936 | 3.83 | % | 163,222 | 4.53 | % | |||||||||||||||||
| Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net | (62,285) | (1.38) | % | (85,848) | (2.39) | % | |||||||||||||||||
| Effective interest expense | 110,651 | 2.45 | % | 77,374 | 2.14 | % | |||||||||||||||||
Our effective interest expense increased in the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps and an increase in average borrowings, which were partially offset by a lower cost of funds.
Our effective cost of funds increased in the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps, which was partially offset by a lower cost of funds.
In addition to changes caused by the underlying floating rate index, the amount of contractual net interest income or expense on interest rate swaps that we recognize has changed based on changes in the size and composition of our interest rate swap portfolio. In September 2026, we terminated $500.0 million notional amount of interest rate swaps with a weighted average fixed pay rate of 0.24% and remaining maturities of less than one year as part of our interest rate risk management. We expect the termination of these swaps to negatively affect our effective interest expense, effective net interest income and earnings available for distribution in subsequent quarters.
We also use U.S. Treasury futures contracts, which do not earn or incur contractual interest as an alternative way to help mitigate the potential impact of changing interest rates on our performance. See preceding discussion under “Gain (Loss) on Derivative Instruments, net” for details of our interest rate swap portfolio as of September 30, 2026 and December 31, 2025.
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The following tables reconcile net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods:
| Three Months Ended September 30, | |||||||||||||||||||||||
| 2026 | 2025 | ||||||||||||||||||||||
| $ in thousands | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | |||||||||||||||||||
| Net interest income | 33,926 | 1.38 | % | 17,614 | 0.90 | % | |||||||||||||||||
| Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net | 19,950 | 1.18 | % | 29,138 | 2.38 | % | |||||||||||||||||
| Effective net interest income | 53,876 | 2.56 | % | 46,752 | 3.28 | % | |||||||||||||||||
| Nine Months Ended September 30, | |||||||||||||||||||||||
| 2026 | 2025 | ||||||||||||||||||||||
| $ in thousands | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | |||||||||||||||||||
| Net interest income | 91,074 | 1.41 | % | 54,164 | 0.94 | % | |||||||||||||||||
| Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net | 62,285 | 1.38 | % | 85,848 | 2.39 | % | |||||||||||||||||
| Effective net interest income | 153,359 | 2.79 | % | 140,012 | 3.33 | % | |||||||||||||||||
Our effective net interest income increased in the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to higher average earning assets and a lower cost of funds, which were partially offset by a decrease in contractual net interest income on interest rate swaps, higher average borrowings and lower average earning asset yields.
Our effective net interest rate margin decreased in the three and nine months ended September 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps and lower average earning asset yields, which were partially offset by a lower cost of funds.
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Economic Debt-to-Equity Ratio
The table below shows our debt-to-equity ratio and our economic debt-to-equity ratio as of September 30, 2026 and December 31, 2025. Our debt-to-equity ratio is calculated in accordance with U.S. GAAP and is the ratio of total debt to total stockholders' equity.
We present an economic debt-to-equity ratio, a non-GAAP financial measure of leverage that considers the impact of the off-balance sheet financing of our investments in TBAs that are accounted for as derivative instruments under U.S. GAAP and the impact of receivables and payables for unsettled trades (if any). We include these types of TBAs at implied cost basis in our measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a contract for the forward sale of Agency RMBS has substantially the same effect as selling the underlying Agency RMBS and reducing our on-balance sheet funding commitments. We adjust leverage for receivables and payables for unsettled trades (if any) because sales or purchases of MBS are recorded on the balance sheet on the trade date, while any corresponding changes to repurchase agreement borrowings are not recorded until the settlement date. We believe that presenting our economic debt-to-equity ratio, when considered together with our U.S. GAAP financial measure of debt-to-equity ratio, provides information that is useful to investors in understanding how management evaluates our at-risk leverage and gives investors a comparable statistic to those of other mortgage REITs who present a similar non-GAAP measure of leverage.
| As of | |||||||||||
| $ in thousands | September 30, 2026 | December 31, 2025 | |||||||||
| Repurchase agreements | 6,842,947 | 5,619,255 | |||||||||
| Total stockholders' equity | 903,368 | 797,544 | |||||||||
Debt-to-equity ratio (1) | 7.6 | 7.0 | |||||||||
Economic debt-to-equity ratio (2) | 8.3 | 7.0 | |||||||||
(1)Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.
(2)Economic debt-to-equity ratio is calculated as the ratio of (i) total repurchase agreements and TBAs at implied cost basis ($674.1 million as of September 30, 2026; none as of December 31, 2025) to (ii) total stockholders' equity.
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Liquidity and Capital Resources
Liquidity is a measure of our ability to meet potential cash requirements, including ongoing commitments to pay dividends, purchase investments, repay borrowings and fund other general business needs. Our primary sources of funds for liquidity consist of the net cash proceeds from our common equity offerings, net cash provided by operating activities, proceeds from repurchase agreements and other financing arrangements and future issuances of equity and/or debt securities.
We currently believe that we have sufficient liquidity and capital resources available for the acquisition of additional investments, repayments on borrowings, margin requirements and the payment of cash dividends as required for continued qualification as a REIT. We generally maintain liquidity to pay down borrowings under financing arrangements to reduce borrowing costs and otherwise efficiently manage our long-term investment capital. Because the level of these borrowings can be adjusted on a daily basis, the level of cash and cash equivalents carried on our condensed consolidated balance sheets is significantly less important than our potential liquidity available under borrowing arrangements or through the sale of liquid investments. However, there can be no assurance that we will maintain sufficient levels of liquidity to meet any margin calls.
We held cash, cash equivalents and restricted cash of $426.5 million as of September 30, 2026 (September 30, 2025: $180.7 million). Our cash, cash equivalents and restricted cash change due to normal fluctuations in cash balances related to the timing of principal and interest payments, repayments of debt, and asset purchases and sales. Our operating activities provided net cash of approximately $115.4 million for the nine months ended September 30, 2026 (September 30, 2025: $97.3 million).
Our investing activities used net cash of $1.3 billion for the nine months ended September 30, 2026 (September 30, 2025: $372.5 million). We used cash of $2.6 billion to purchase MBS for the nine months ended September 30, 2026 (September 30, 2025: $2.0 billion). Principal payments on MBS provided cash of $601.8 million for the nine months ended September 30, 2026 (September 30, 2025: $364.8 million). We also generated $533.5 million in proceeds from sales of MBS for the nine months ended September 30, 2026 (September 30, 2025: $1.5 billion) and received net cash of $265.9 million to settle derivative contracts for the nine months ended September 30, 2026 (September 30, 2025: net cash used of $198.3 million).
Our financing activities provided net cash of $1.4 billion for the nine months ended September 30, 2026 (September 30, 2025: $245.1 million). During the nine months ended September 30, 2026, we received net cash proceeds on our repurchase agreements of $1.2 billion (September 30, 2025: $256.1 million). Net proceeds from issuance of common stock provided $302.6 million for the nine months ended September 30, 2026 (September 30, 2025: $74.3 million). We also paid dividends of $126.0 million for the nine months ended September 30, 2026 (September 30, 2025: $79.6 million).
As of September 30, 2026, the average margin requirement (weighted by borrowing amount), or the haircut, under our repurchase agreements was 4.3% for Agency RMBS and 4.9% for Agency CMBS. The haircuts ranged from a low of 3% to a high of 5% for Agency RMBS and Agency CMBS. Declines in the value of our securities portfolio can trigger margin calls by our lenders under our repurchase agreements. An event of default or termination event may give our counterparties the option to terminate all repurchase transactions outstanding with us and require any amount due from us to the counterparties to be payable immediately.
Effects of Margin Requirements, Leverage and Spreads
Our securities have values that fluctuate according to market conditions, and the market value of our securities will decrease as prevailing interest rates or spreads increase. When the value of the securities pledged to secure a repurchase loan decreases to the point where the positive difference between the collateral value and the loan amount is less than the haircut, our lenders may issue a “margin call”, which means that the lender will require us to pay cash or pledge additional collateral. Under our repurchase facilities, our lenders have full discretion to determine the value of the securities we pledge to them. Most of our lenders will value securities based on recent trades in the market. Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly.
We experience margin calls and increased collateral requirements in the ordinary course of our business. In seeking to effectively manage the margin requirements established by our lenders, we maintain a position of cash and unpledged securities. We refer to this position as our liquidity. The level of liquidity we have available to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our securities. If interest rates increase or if spreads widen, then the value of our collateral (and our unpledged assets that constitute our liquidity) will decline, we will experience margin calls, and we will seek to use our liquidity to meet the margin calls. There can be no assurance that we will maintain sufficient levels of liquidity to meet margin calls or increased collateral requirements. If our haircuts increase, our liquidity will proportionately decrease. In addition, if we increase our borrowings, our liquidity will decrease by the amount of additional haircut on the increased level of indebtedness.
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Our interest rate swaps and U.S. Treasury futures contracts require us to post initial margin and daily variation margin based on subsequent changes in their fair value. Daily variation margin requirements also entitle us to receive collateral from our counterparties if the value of amounts owed to us under the derivative agreement exceeds the minimum margin requirement. Our TBAs also include provisions for the posting or receipt of variation margin based on changes in fair value.
We intend to maintain a level of liquidity in relation to our assets that enables us to meet reasonably anticipated margin calls and increased collateral requirements but that also allows us to be substantially invested in securities. We may misjudge the appropriate amount of our liquidity by maintaining excessive liquidity, which would lower our investment returns, or by maintaining insufficient liquidity, which would force us to liquidate assets into unfavorable market conditions and harm our results of operations and financial condition.
We are subject to financial covenants in connection with our lending, derivatives and other agreements we enter into in the normal course of our business. We intend to operate in a manner that complies with all of our financial covenants. Our lending and derivative agreements provide that we may be declared in default of our obligations if our leverage ratio exceeds certain thresholds and we fail to maintain stockholders’ equity or market value above certain thresholds over specified time periods.
Forward-Looking Statements Regarding Liquidity
As of September 30, 2026, we held $7.1 billion of Agency securities that are financed by repurchase agreements. We also had approximately $186.2 million of unencumbered investments and unrestricted cash of $215.1 million as of September 30, 2026. As of September 30, 2026, our known contractual obligations primarily consisted of $6.8 billion of repurchase agreement borrowings with a weighted average remaining maturity of 20 days. We generally intend to refinance the majority of our repurchase agreement borrowings at market rates upon maturity. Repurchase agreement borrowings that are not refinanced upon maturity are typically repaid through the use of cash on hand or proceeds from sales of securities. Additionally, we had TBAs with an implied cost basis of $674.1 million as of September 30, 2026. Under certain market conditions, it may be uneconomical for us to roll our TBA long positions into future months. This may result in us being required to take delivery of the underlying securities and fund those securities using cash or other financing sources, potentially reducing our liquidity.
Based on our current portfolio and existing borrowing arrangements, we believe that cash flow from operations and available borrowing capacity will be sufficient to enable us to meet anticipated short-term (one year or less) liquidity requirements to fund our investment activities, pay fees under our management agreement, fund our required distributions to stockholders and fund other general corporate expenses.
Our ability to meet our long-term (greater than one year) liquidity and capital resource requirements will be subject to obtaining ongoing debt financing. In addition, we may increase our capital resources by obtaining long-term credit facilities or through public or private offerings of equity or debt securities, possibly including classes of preferred stock, common stock, senior or subordinated notes and convertible notes. Such financing will depend on market conditions for capital raises and our ability to invest such offering proceeds. If we are unable to renew, replace or expand our sources of financing on substantially similar terms, it may have an adverse effect on our business and results of operations.
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Exposure to Financial Counterparties
We finance a substantial portion of our investment portfolio through repurchase agreements. Under these agreements, we pledge assets from our investment portfolio as collateral. Additionally, certain counterparties may require us to provide additional collateral in the event the market value of the assets declines to maintain a contractual repurchase agreement collateral ratio. If a counterparty were to default on its obligations, we would be exposed to potential losses to the extent the fair value of collateral pledged by us to the counterparty, including any accrued interest receivable on such collateral, exceeded the amount loaned to us by the counterparty plus interest due to the counterparty. As of September 30, 2026, one counterparty held collateral that exceeded the amounts borrowed under the related repurchase agreements by more than 5% of our stockholders' equity.
The following table summarizes our exposure to counterparties by geographic concentration as of September 30, 2026. The information is based on the geographic headquarters of the counterparty or counterparty's parent company. However, our repurchase agreements are denominated in U.S. dollars.
| $ in thousands | Number of Counterparties | Repurchase Agreement Financing | Exposure | ||||||||||||||
| North America | 16 | 5,010,002 | 218,113 | ||||||||||||||
| Asia | 4 | 778,514 | 36,220 | ||||||||||||||
| Europe (excluding United Kingdom) | 2 | 438,213 | 18,963 | ||||||||||||||
| United Kingdom | 1 | 616,218 | 22,921 | ||||||||||||||
| Total | 23 | 6,842,947 | 296,217 | ||||||||||||||
Dividends
To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income annually, determined without regard to the deduction for dividends paid and excluding net capital gains. We must pay tax at regular corporate rates to the extent that we annually distribute less than 100% of our REIT taxable income. Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our repurchase agreements and other debt payable. If our cash available for distribution is less than our REIT taxable income, we could be required to sell assets or borrow funds to make cash distributions, or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities.
Unrelated Business Taxable Income
We have not engaged in transactions that would result in a portion of our income being treated as unrelated business taxable income.
Other Matters
We believe that we satisfied each of the asset tests in Section 856(c)(4) of the Internal Revenue Code of 1986, as amended (the "Code") for the period ended September 30, 2026, and that our proposed method of operation will permit us to satisfy the asset tests, gross income tests, and distribution and stock ownership requirements for our taxable year that will end on December 31, 2026.
At all times, we intend to conduct our business so that neither we nor our Operating Partnership nor the subsidiaries of our Operating Partnership are required to register as an investment company under the 1940 Act. If we were required to register as an investment company, then our use of leverage would be substantially reduced. Because we are a holding company that conducts our business through our Operating Partnership and the Operating Partnership’s wholly-owned or majority-owned subsidiaries, the securities issued by these subsidiaries that are excepted from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, together with any other investment securities the Operating Partnership may own, may not have a combined value in excess of 40% of the value of the Operating Partnership’s total assets (exclusive of U.S. government securities and cash items) on an unconsolidated basis, which we refer to as the 40% test. This requirement limits the types of businesses in which we are permitted to engage in through our subsidiaries. In addition, we believe neither we nor the Operating Partnership are considered an investment company under Section 3(a)(1)(A) of the 1940 Act because they do not engage primarily or hold themselves out as being engaged primarily in the business of investing, reinvesting or trading in securities. Rather, through the Operating Partnership’s wholly-owned or majority-owned subsidiaries, we and the Operating Partnership are primarily engaged in the non-investment company businesses of these subsidiaries. IAS Asset I LLC and certain
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of the Operating Partnership’s other subsidiaries that we may form in the future rely upon the exclusion from the definition of “investment company” under the 1940 Act provided by Section 3(c)(5)(C) of the 1940 Act, which is available for entities “primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate.” This exclusion generally requires that at least 55% of each subsidiary’s portfolio be comprised of qualifying assets and at least 80% be comprised of qualifying assets and real estate-related assets (and no more than 20% comprised of miscellaneous assets). We calculate that as of September 30, 2026, we conducted our business so as not to be regulated as an investment company under the 1940 Act.
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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
The primary components of our market risk are related to interest rate, principal prepayment and market value. While we do not seek to avoid risk completely, we believe the risk can be quantified from historical experience and we seek to actively manage that risk, to earn sufficient compensation to justify taking those risks and to maintain capital levels consistent with the risks we undertake.
For additional discussion of market risk, see Part I. Item 1A - Risk Factors of our annual report on Form 10-K for the year ended December 31, 2025.
Interest Rate Risk
Interest rate risk is highly sensitive to many factors, including governmental, monetary and tax policies, domestic and international economic and political considerations, and other factors beyond our control. We are subject to interest rate risk in connection with our investments and our repurchase agreements. Our repurchase agreements are typically short-term in nature and are periodically refinanced at current market rates. We typically mitigate this interest rate risk by utilizing derivative contracts, primarily interest rate swap agreements and U.S. Treasury futures contracts.
Interest Rate Effect on Net Interest Income
Our operating results depend in large part upon differences between the yields earned on our investments and our cost of borrowing and interest rate hedging activities. During periods of rising interest rates, the borrowing costs associated with our investments tend to increase while the income earned on our fixed interest rate investments may remain substantially unchanged. This increase in borrowing costs results in the narrowing of the net interest spread between the related assets and borrowings and may even result in losses.
Hedging techniques are partly based on assumed levels of prepayments of our Agency RMBS. If prepayments are slower or faster than assumed, the life of the Agency RMBS will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions. Hedging strategies involving the use of derivative securities are highly complex and may produce volatile returns.
Interest Rate Effects on Fair Value
Another component of interest rate risk is the effect that changes in interest rates will have on the market value of the assets that we acquire. Generally, in a rising interest rate environment, the estimated market value of these securities would be expected to decrease; conversely, in a falling interest rate environment, the estimated market value of these securities would be expected to increase. We face the risk that the market value of our assets will increase or decrease at different rates than those of our liabilities, including our hedging instruments.
We primarily assess our interest rate risk by estimating the duration of our assets and the duration of our liabilities. Duration measures the market price volatility of financial instruments as interest rates change. We generally calculate duration using various financial models and empirical data. Different models and methodologies can produce different duration values for the same securities.
The impact of changing interest rates on fair value can change significantly when interest rates change materially. Therefore, the volatility in the fair value of our assets could increase significantly in the event interest rates change materially. In addition, other factors impact the fair value of our interest rate-sensitive investments and hedging instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, changes in actual interest rates may have a material adverse effect on us.
The sensitivity analysis table presented below shows the estimated impact of an instantaneous parallel shift in the yield curve, up and down 50 and 100 basis points, on the market value of our interest rate-sensitive instruments and book value per common share as of September 30, 2026 and December 31, 2025. When evaluating the impact of changes in interest rates, prepayment assumptions are adjusted based on our Manager’s expectations. The analysis presented utilizes assumptions, models and estimates of our Manager based on our Manager’s judgment and experience. Additionally, we actively manage the size and composition of our portfolio, which includes hedging instruments, which can result in material changes to our interest rate risk profile.
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| As of September 30, 2026 | As of December 31, 2025 | |||||||||||||||||||||||||
| Change in Interest Rates | Estimated Percentage Change in Market Value (1) | Estimated Percentage Change in Book Value per Common Share | Estimated Percentage Change in Market Value (1) | Estimated Percentage Change in Book Value per Common Share | ||||||||||||||||||||||
| +1.00% | (0.51) | % | (5.92) | % | (1.20) | % | (12.58) | % | ||||||||||||||||||
| +0.50% | (0.20) | % | (2.31) | % | (0.46) | % | (4.87) | % | ||||||||||||||||||
| -0.50% | 0.04 | % | 0.41 | % | 0.01 | % | 0.11 | % | ||||||||||||||||||
| -1.00% | (0.23) | % | (2.66) | % | (0.53) | % | (5.55) | % | ||||||||||||||||||
(1)Estimated percentage change in market value consists of changes in the fair value of MBS, changes in the implied market value of TBAs and changes in the clean price of interest rate swaps and U.S. Treasury futures contracts.
Certain assumptions have been made in connection with the calculation of the information set forth in the foregoing interest rate sensitivity table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes. The information set forth in the interest rate sensitivity table above and all related disclosures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Actual results could differ significantly from those estimated in the foregoing interest rate sensitivity table.
Spread Risk
We refer to the difference between interest rates on our investments and interest rates on risk free instruments as spreads. We employ a variety of spread risk management techniques that seek to mitigate the influences of spread changes on our book value and our liquidity to help us achieve our investment objectives. The yield on our investments changes over time due to the level of risk free interest rates, the creditworthiness of the security, and the price of the perceived risk. The change in the market yield of our interest rate hedges also changes primarily with the level of risk free interest rates. We manage spread risk through careful asset selection, sector allocation, regulating our portfolio value-at-risk, and seeking to maintain adequate liquidity. Changes in spreads impact our book value and our liquidity and could cause us to sell assets and to change our investment strategy to maintain liquidity and preserve book value. Inflation, financial conditions, monetary policy initiatives, interest rates and interest rate volatility may have an impact on spreads.
The sensitivity analysis table presented below shows the estimated impact of an instantaneous change in Agency MBS spreads, up and down 10 and 20 basis points, on the market value of our investments and our book value per common share as of September 30, 2026 and December 31, 2025. Sensitivity to changes in Agency MBS spreads is derived from models that are dependent on various assumptions. Our investments' sensitivity to Agency MBS spread changes will vary with changes in interest rates and the size and composition of our investment portfolio. The estimated impact of changes in spreads is independent of the interest rate sensitivity table presented above.
| As of September 30, 2026 | As of December 31, 2025 | |||||||||||||||||||||||||
| Change in Agency MBS Spreads | Estimated Percentage Change in Market Value (1) | Estimated Percentage Change in Book Value per Common Share | Estimated Percentage Change in Market Value (1) | Estimated Percentage Change in Book Value per Common Share | ||||||||||||||||||||||
| +0.20% | (1.09) | % | (11.76) | % | (0.95) | % | (9.54) | % | ||||||||||||||||||
| +0.10% | (0.55) | % | (5.91) | % | (0.48) | % | (4.79) | % | ||||||||||||||||||
| -0.10% | 0.55 | % | 5.97 | % | 0.48 | % | 4.83 | % | ||||||||||||||||||
| -0.20% | 1.11 | % | 11.99 | % | 0.97 | % | 9.71 | % | ||||||||||||||||||
(1)Estimated percentage change in market value consists of changes in the fair value of MBS and changes in the implied market value of TBAs.
The information set forth in the spread sensitivity table above and all related disclosures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Actual results could differ significantly from those estimated in the foregoing spread sensitivity table.
Prepayment Risk
As we receive prepayments of principal on our investments, premiums or discounts on these investments are amortized against interest income. In general, an increase in prepayment rates will accelerate the amortization of purchase premiums, thereby reducing the interest income earned on the investments. Conversely, discounts on such investments are accreted into interest income. In general, an increase in prepayment rates will accelerate the accretion of purchase discounts, thereby increasing the interest income earned on the investments.
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Uncertainty regarding the rate of inflation, fiscal and monetary policy initiatives, elevated interest rate volatility and other factors make it more difficult to predict prepayment levels for the securities in our portfolio. As a result, it is possible that realized prepayment behavior will be materially different from our expectations.
Extension Risk
We compute the projected weighted average life of our investments based on assumptions regarding the rate at which the borrowers will prepay the underlying mortgages. In general, when a fixed-rate or hybrid adjustable-rate security is acquired with borrowings, we may, but are not required to, enter into an interest rate swap agreement or other hedging instrument that effectively fixes our borrowing costs for a period close to the anticipated average life of the fixed-rate portion of the related assets. This strategy is designed to protect us from rising interest rates, because the borrowing costs are fixed for the duration of the fixed-rate portion of the related target asset.
However, if prepayment rates decrease in a rising interest rate environment, then the life of the fixed-rate portion of the related assets could extend beyond the term of the swap agreement or other hedging instrument. This could have a negative impact on our results from operations, as borrowing costs would no longer be fixed after the end of the hedging instrument, while the income earned on the assets would remain fixed. This situation may also cause the market value of our assets to decline, with little or no offsetting gain from the related hedging transactions. In extreme situations, we may be forced to sell assets to maintain adequate liquidity, which could cause us to incur losses.
Liquidity Risk
We engage in a variety of liquidity management techniques to mitigate the risk of volatility in the marketplace, which may bring significant security price fluctuations, associated margin calls, changing cash needs, and variability in counterparty financing terms. We perform statistical analysis to measure and quantify our required liquidity needs under multiple scenarios and time horizons. In volatile market conditions, margin call risk is elevated, and our operating results and financial condition may be materially impacted. Liquidity in the form of cash, unencumbered assets and future cash flows is consistently monitored and evaluated versus internal targets. One such measure that we use to monitor our liquidity is unrestricted cash and unencumbered investments, which consists of cash and cash equivalents as reported in our consolidated balance sheets and investments that have not been pledged as collateral for repurchase agreement borrowings.
ITEM 4. CONTROLS AND PROCEDURES.
Our management is responsible for establishing and maintaining disclosure controls and procedures as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act.
We have evaluated, with the participation of our principal executive officer and principal financial officer, the effectiveness of our disclosure controls and procedures as of September 30, 2026. Based on our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures. Accordingly, even effective disclosure controls and procedures can only provide reasonable assurance of achieving their control objectives.
Changes in Internal Control over Financial Reporting
There has been no change in our internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) during the quarter ended September 30, 2026 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.
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PART II – OTHER INFORMATION
ITEM 1. LEGAL PROCEEDINGS.
From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2026, we were not involved in any such legal proceedings.
ITEM 1A. RISK FACTORS.
There were no material changes during the periods covered by this Quarterly Report to the risk factors previously disclosed in our Annual Report on Form 10-K for the year ended December 31, 2025, as filed with the SEC on February 23, 2026. Additional risks not presently known, or that we currently deem immaterial, also may have a material adverse effect on our business, financial condition and results of operations.
ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.
The following table sets forth information with respect to our repurchases of Series C Preferred Stock during the three months ended September 30, 2026.
| Month | Total Number of Shares Purchased | Average Price Paid Per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs (1) | Maximum Number at End of Period of Shares that May Yet Be Purchased Under the Plans or Programs (1) | ||||||||||
| July 1, 2026 to July 31, 2026 | 15,084 | 24.67 | 15,084 | 227,137 | ||||||||||
| August 1, 2026 to August 31, 2026 | — | — | — | 227,137 | ||||||||||
| September 1, 2026 to September 30, 2026 | 2,331 | 24.06 | 2,331 | 224,806 | ||||||||||
| 17,415 | 24.59 | 17,415 | ||||||||||||
(1)In May 2022, our board of directors approved a share repurchase program under which we may purchase up to 5,000,000 shares of our Series C Preferred Stock with no stated expiration date. The shares may be repurchased from time to time through privately negotiated transactions or open market transactions, including under a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Exchange Act or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules.
ITEM 3. DEFAULTS UPON SENIOR SECURITIES.
None.
ITEM 4. MINE SAFETY DISCLOSURES.
Not applicable.
ITEM 5. OTHER INFORMATION.
Rule 10b5-1 Trading Plans
During the fiscal quarter ended September 30, 2026, none of our directors or officers (as defined in Rule 16a-1(f) under the Exchange Act) adopted terminated
Series C Preferred Stock Dividends
On November 5, 2026, we declared a Series C Preferred Stock dividend of $0.46875 per share payable on December 28, 2026 to our stockholders of record at the close of business on December 5, 2026.
ITEM 6. EXHIBITS.
A list of exhibits to this Form 10-Q is set forth on the Exhibit Index and is incorporated herein by reference.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| INVESCO MORTGAGE CAPITAL INC. | ||||||||
| November 6, 2026 | By: | /s/ Kevin Collins | ||||||
| Kevin Collins | ||||||||
| Chief Executive Officer | ||||||||
| November 6, 2026 | By: | /s/ Mark Gregson | ||||||
| Mark Gregson | ||||||||
| Chief Financial Officer | ||||||||
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EXHIBIT INDEX
Item 6. Exhibits
| Exhibit No. | Description | |||||||
| 3.1 | Articles of Amendment and Restatement of Invesco Mortgage Capital Inc. (incorporated by reference to Exhibit 3.1 to our Quarterly Report on Form 10-Q, filed with the Securities and Exchange Commission ("SEC") on August 12, 2009). | |||||||
| 3.2 | Articles Supplementary of 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.4 to the Registrant’s Registration Statement on Form 8-A, filed with the SEC on August 11, 2017). | |||||||
| 3.3 | Articles Supplementary classifying 4,000,000 shares of the Company’s preferred stock as additional Series C Shares (incorporated by reference to Exhibit 3.3 to the Current Report on Form 8-K, filed with the SEC on March 19, 2019). | |||||||
| 3.4 | Articles of Amendment of Invesco Mortgage Capital Inc. (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K, filed with the SEC on June 3, 2022). | |||||||
| 3.5 | Articles of Amendment of Invesco Mortgage Capital Inc. (incorporated by reference to Exhibit 3.2 to the Current Report on Form 8-K, filed with the SEC on June 3, 2022). | |||||||
| 3.6 | Articles of Amendment (Authorized shares) (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K, filed with the SEC on August 9, 2024). | |||||||
| 3.7 | Amended and Restated Bylaws of Invesco Mortgage Capital Inc. (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K, filed with the SEC on February 17, 2017). | |||||||
| 31.1* | Certification of Kevin Collins pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||||||
| 31.2* | Certification of Mark Gregson pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |||||||
| 32.1** | Certification of Kevin Collins pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||||
| 32.2** | Certification of Mark Gregson pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||||
| 101 | 101.INS XBRL Instance Document - The instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. 101.SCH XBRL Taxonomy Extension Schema Document 101.CAL XBRL Taxonomy Calculation Linkbase Document 101.LAB XBRL Taxonomy Label Linkbase Document 101.PRE XBRL Taxonomy Presentation Linkbase Document 101.DEF XBRL Taxonomy Definition Linkbase Document | |||||||
| 104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) | |||||||
*Filed herewith
**Furnished herewith
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