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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2022
OR
☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                  to                 
Commission file number 001-34385
ivr-20220331_g1.jpg
Invesco Mortgage Capital Inc.
(Exact Name of Registrant as Specified in Its Charter)
_______________________________________________
Maryland 26-2749336
(State or Other Jurisdiction of
Incorporation or Organization)		 (I.R.S. Employer
Identification No.)
1555 Peachtree Street, N.E., Suite 1800,
Atlanta, Georgia 30309
(Address of Principal Executive Offices) (Zip Code)
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code) 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of Each Class Trading Symbol Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per share IVR New York Stock Exchange
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock IVR PrB New York Stock Exchange
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock IVR PrC New York Stock Exchange
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ☒    No  ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  ☒    No  ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer   ☒    Accelerated filer  
☐
Non-Accelerated filer  
☐
    Smaller reporting company  
☐
Emerging growth company
☐
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As of April 30, 2022, there were 329,917,927 outstanding shares of common stock of Invesco Mortgage Capital Inc.

INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
 
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Item 1A.
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Item 6.


PART I
ITEM 1.     FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
 As of
 $ in thousands, except share amounts March 31, 2022 December 31, 2021
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $5,607,777 and $7,326,175, respectively)
 5,992,494  7,804,259 
U.S. Treasury securities, at fair value (including pledged securities of $482,445 as of March 31, 2022)
 482,445  — 
Cash and cash equivalents 251,724  357,134 
Restricted cash 245,809  219,918 
Due from counterparties 47,793  7,985 
Investment related receivable 15,214  16,766 
Derivative assets, at fair value 17,674  270 
Other assets 29,465  37,509 
Total assets 7,082,618  8,443,841 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements 5,837,420  6,987,834 
Derivative liabilities, at fair value 77,613  14,356 
Dividends payable 29,693  29,689 
Investment related payable 1  — 
Accrued interest payable 1,143  1,171 
Collateral held payable 280  280 
Accounts payable and accrued expenses 2,083  1,887 
Due to affiliate 6,438  6,489 
Total liabilities 5,954,671  7,041,706 
Commitments and contingencies (See Note 15):
Stockholders' equity:
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
 149,860  149,860 
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 11,500,000 shares issued and outstanding ($287,500 aggregate liquidation preference)
 278,108  278,108 
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 329,917,927 and 329,874,780 shares issued and outstanding, respectively
 3,299  3,299 
Additional paid in capital 3,816,544  3,816,406 
Accumulated other comprehensive income 29,469  37,286 
Retained earnings (distributions in excess of earnings) (3,149,333) (2,882,824)
Total stockholders’ equity 1,127,947  1,402,135 
Total liabilities and stockholders' equity 7,082,618  8,443,841 
The accompanying notes are an integral part of these condensed consolidated financial statements.
1
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
 
  Three Months Ended March 31,
$ in thousands, except share data 2022 2021
Interest income
Mortgage-backed and other securities 41,637  39,434 
Commercial loan 537  576 
Total interest income 42,174  40,010 
Interest expense
Repurchase agreements (1)
 (2,104) (1,660)
Total interest expense (2,104) (1,660)
Net interest income 44,278  41,670 
Other income (loss)
Gain (loss) on investments, net (504,388) (331,857)
(Increase) decrease in provision for credit losses —  938 
Equity in earnings (losses) of unconsolidated ventures 71  (94)
Gain (loss) on derivative instruments, net 238,860  286,961 
Other investment income (loss), net 55  (16)
Total other income (loss) (265,402) (44,068)
Expenses
Management fee – related party 5,274  4,884 
General and administrative 2,024  1,993 
Total expenses 7,298  6,877 
Net income (loss) (228,422) (9,275)
Dividends to preferred stockholders 8,394  11,107 
Net income (loss) attributable to common stockholders (236,816) (20,382)
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic (0.72) (0.09)
Diluted (0.72) (0.09)
(1)Negative interest expense on repurchase agreements is due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 9 - "Derivatives and Hedging Activities" and Note 13 - "Stockholders' Equity".
The accompanying notes are an integral part of these condensed consolidated financial statements.
2
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)
 
Three Months Ended March 31,
$ in thousands 2022 2021
Net income (loss) (228,422) (9,275)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net (2,421) 981 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense (5,196) (5,368)
Currency translation adjustments on investment in unconsolidated venture (200) 609 
Total other comprehensive income (loss) (7,817) (3,778)
Comprehensive income (loss) (236,239) (13,053)
Less: Dividends to preferred stockholders (8,394) (11,107)
Comprehensive income (loss) attributable to common stockholders (244,633) (24,160)

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

3
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2022 and 2021
(Unaudited)

 
Additional
Paid in
Capital		 Accumulated
Other
Comprehensive
Income (Loss)		 Retained
Earnings
(Distributions
in excess of
earnings)		 Total
Stockholders’
Equity
Series B
Preferred Stock		 Series C
Preferred Stock
$ in thousands, except share amounts Common Stock
Shares Amount Shares Amount Shares Amount
Balance at December 31, 2021 6,200,000  149,860  11,500,000  278,108  329,874,780  3,299  3,816,406  37,286  (2,882,824) 1,402,135 
Net income (loss) —  —  —  —  —  —  —  —  (228,422) (228,422)
Other comprehensive income (loss) —  —  —  —  —  —  —  (7,817) —  (7,817)
Stock awards —  —  —  —  43,147  —  —  —  —  — 
Common stock dividends —  —  —  —  —  —  —  —  (29,693) (29,693)
Preferred stock dividends —  —  —  —  —  —  —  —  (8,394) (8,394)
Amortization of equity-based compensation —  —  —  —  —  —  138  —  —  138 
Balance at March 31, 2022 6,200,000  149,860  11,500,000  278,108  329,917,927  3,299  3,816,544  29,469  (3,149,333) 1,127,947 

Additional
Paid in
Capital		 Accumulated
Other
Comprehensive
Income (Loss)		 Retained
Earnings
(Distributions
in excess of
earnings)		 Total
Stockholders’
Equity
Series A
Preferred Stock		 Series B
Preferred Stock		 Series C
Preferred Stock
$ in thousands, except share amounts Common Stock
Shares Amount Shares Amount Shares Amount Shares Amount
Balance at December 31, 2020 5,600,000  135,356  6,200,000  149,860  11,500,000  278,108  203,222,108  2,032  3,387,552  58,605  (2,644,355) 1,367,158 
Net income (loss) —  —  —  —  —  —  —  —  —  —  (9,275) (9,275)
Other comprehensive income (loss) —  —  —  —  —  —  —  —  —  (3,778) —  (3,778)
Proceeds from issuance of common stock, net of offering costs —  —  —  —  —  —  43,150,000  432  160,549  —  —  160,981 
Stock awards —  —  —  —  —  —  25,602  —  —  —  —  — 
Common stock dividends —  —  —  —  —  —  —  —  —  —  (22,176) (22,176)
Preferred stock dividends —  —  —  —  —  —  —  —  —  —  (11,107) (11,107)
Amortization of equity-based compensation —  —  —  —  —  —  —  —  129  —  —  129 
Balance at March 31, 2021 5,600,000  135,356  6,200,000  149,860  11,500,000  278,108  246,397,710  2,464  3,548,230  54,827  (2,686,913) 1,481,932 

The accompanying notes are an integral part of these condensed consolidated financial statements.
4
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
   Three Months Ended March 31,
$ in thousands 2022 2021
Cash Flows from Operating Activities
Net income (loss) (228,422) (9,275)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of mortgage-backed and other securities premiums and (discounts), net 4,813  11,625 
Realized and unrealized (gain) loss on derivative instruments, net (237,576) (291,510)
(Gain) loss on investments, net 504,388  331,857 
Increase (decrease) in provision for credit losses —  (938)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received 34  18 
Other amortization (5,058) (5,239)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets 1,875  (1,990)
Increase (decrease) in operating liabilities 82  (43)
Net cash provided by (used in) operating activities 40,136  34,505 
Cash Flows from Investing Activities
Purchase of mortgage-backed securities (7,602,660) (7,012,452)
Purchase of U.S. Treasury securities (502,288) — 
Distributions from investments in unconsolidated ventures, net 7,388  1,233 
Principal payments from mortgage-backed securities 168,316  200,590 
Proceeds from sale of mortgage-backed securities 8,754,469  5,545,566 
Settlement (termination) of forwards, swaps, swaptions and TBAs, net 283,429  282,250 
Net change in due from counterparties and collateral held payable on derivative instruments (38,829) (3,438)
Net cash provided by (used in) investing activities 1,069,825  (986,251)
Cash Flows from Financing Activities
Proceeds from issuance of common stock —  161,413 
Proceeds from repurchase agreements 23,329,788  28,514,983 
Principal repayments of repurchase agreements (24,480,202) (27,502,795)
Net change in due from counterparties and collateral held payable on repurchase agreements (979) (7,953)
Payments of deferred costs (4) (86)
Payments of dividends (38,083) (27,365)
Net cash provided by (used in) financing activities (1,189,480) 1,138,197 
Net change in cash, cash equivalents and restricted cash (79,519) 186,451 
Cash, cash equivalents and restricted cash, beginning of period 577,052  392,584 
Cash, cash equivalents and restricted cash, end of period 497,533  579,035 
Supplement Disclosure of Cash Flow Information
Interest paid 2,771  3,985 
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale (2,421) 981 
Dividends declared not paid 29,693  24,888 
Net change in investment related receivable (payable) 15  (271)
Offering costs not paid 562  334 
Change in foreign currency translation adjustment on other investments 200  (609)

The accompanying notes are an integral part of these condensed consolidated financial statements.
5
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS”) and other mortgage-related assets.
We currently invest in:
•Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”);
•Commercial mortgage-backed securities (“CMBS”) that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”);
•RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”);
•A commercial mortgage loan;
•Other real estate-related financing agreements; and
•U.S Treasury securities.
We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm.
We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the “Investment Company” definition under the Investment Company Act of 1940, as amended (the “1940 Act”).
Note 2 – Summary of Significant Accounting Policies
Basis of Presentation and Consolidation
Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2021.
Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses. Actual results may differ from those estimates.
6
Significant Accounting Policies
There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2021 other than as detailed below.
U.S. Treasury Securities
U.S. Treasury securities are classified as trading securities and reported at fair value on our condensed consolidated balance sheets. Purchases of U.S. Treasury Securities are recorded on the trade date. Changes in the fair value of U.S. Treasury securities are recognized within gain (loss) on investments, net in our condensed consolidated statements of operations. Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Interest income on U.S. Treasury securities is recognized within mortgage-backed and other securities interest income on our condensed consolidated statements of operations. Similar to the Company's MBS, U.S. Treasury securities are valued based upon prices obtained from third party pricing vendors and classified as Level 2 assets within the fair value hierarchy.
Note 3 – Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2022 is presented in the table below.
$ in thousands Carrying Amount Company's Maximum Risk of Loss
Non-Agency CMBS 61,295  61,295 
Non-Agency RMBS 8,402  8,402 
Investments in unconsolidated ventures 4,854  4,854 
Total 74,551  74,551 
Refer to Note 4 - "Mortgage-Backed Securities" and Note 6 - "Other Assets" for additional details regarding these investments.
Note 4 – Mortgage-Backed Securities
The following tables summarize our MBS portfolio by asset type as of March 31, 2022 and December 31, 2021.
March 31, 2022
$ in 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 6,132,696  (43,156) 6,089,540  (227,561) 5,861,979  2.54  %
Total Agency RMBS pass-through 6,132,696  (43,156) 6,089,540  (227,561) 5,861,979  2.54  %
Agency-CMO (2)
 441,397  (382,576) 58,821  1,997  60,818  6.32  %
Non-Agency CMBS 61,427  (2,594) 58,833  2,462  61,295  8.62  %
Non-Agency RMBS (3)(4)(5)
 354,236  (345,577) 8,659  (257) 8,402  8.32  %
Total 6,989,756  (773,903) 6,215,853  (223,359) 5,992,494  2.64  %

(1)Period-end weighted average yield is based on amortized cost as of March 31, 2022 and incorporates future prepayment and loss assumptions.
(2)All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”).
(3)Non-Agency RMBS is 62.6% fixed rate, 36.4% variable rate, and 1.0% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(5)Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.5% of principal/notional balance, 44.1% of amortized cost and 18.3% of fair value.

7
December 31, 2021
$ in 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 7,514,229  246,183  7,760,412  (58,889) 7,701,523  2.07  %
Total Agency RMBS pass-through 7,514,229  246,183  7,760,412  (58,889) 7,701,523  2.07  %
Agency-CMO (2)
 235,216  (203,180) 32,036  (1,279) 30,757  6.47  %
Non-Agency CMBS 61,427  (3,096) 58,331  4,578  62,909  8.63  %
Non-Agency RMBS (3)(4)(5)
 392,543  (383,591) 8,952  118  9,070  5.26  %
Total 8,203,415  (343,684) 7,859,731  (55,472) 7,804,259  2.14  %
(1)Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions.
(2)All Agency-CMO are Agency IO.
(3)Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index.
(4)Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities.
(5)Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value.
The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of March 31, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option.
March 31, 2022 December 31, 2021
$ in thousands Available-for-sale Securities Securities under Fair Value Option Total
Fair Value		 Available-for-sale Securities Securities under Fair Value Option Total
Fair Value
Agency RMBS:
30 year fixed-rate —  5,861,979  5,861,979  —  7,701,523  7,701,523 
Total Agency RMBS pass-through —  5,861,979  5,861,979  —  7,701,523  7,701,523 
Agency-CMO —  60,818  60,818  —  30,757  30,757 
Non-Agency CMBS 61,295  —  61,295  62,909  —  62,909 
Non-Agency RMBS 6,869  1,533  8,402  7,288  1,782  9,070 
Total 68,164  5,924,330  5,992,494  70,197  7,734,062  7,804,259 
The components of the carrying value of our MBS portfolio at March 31, 2022 and December 31, 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $14.1 million at March 31, 2022 (December 31, 2021: $16.6 million).
March 31, 2022
$ in thousands MBS Interest-Only Securities Total
Principal/notional balance 6,203,136  786,620  6,989,756 
Unamortized premium 75,067  —  75,067 
Unamortized discount (124,990) (723,980) (848,970)
Gross unrealized gains (1)
 4,483  3,399  7,882 
Gross unrealized losses (1)
 (227,561) (3,680) (231,241)
Fair value 5,930,135  62,359  5,992,494 
8
December 31, 2021
$ in thousands MBS Interest-Only Securities Total
Principal/notional balance 7,584,812  618,603  8,203,415 
Unamortized premium 250,771  —  250,771 
Unamortized discount (11,902) (582,553) (594,455)
Gross unrealized gains (1)
 8,754  109  8,863 
Gross unrealized losses (1)
 (60,741) (3,594) (64,335)
Fair value 7,771,694  32,565  7,804,259 
(1)Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2022 and 2021 is provided below in this Note 4.
The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2022 and December 31, 2021.
$ in thousands March 31, 2022 December 31, 2021
Less than one year 22,792  23,150 
Greater than one year and less than five years 38,627  891,510 
Greater than or equal to five years 5,931,075  6,889,599 
Total 5,992,494  7,804,259 

The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2022 and December 31, 2021.
March 31, 2022
   Less than 12 Months 12 Months or More Total
$ in thousands Fair
Value		 Unrealized
Losses		 Number
of
Securities		 Fair
Value		 Unrealized
Losses		 Number
of
Securities		 Fair
Value		 Unrealized
Losses		 Number
of
Securities
Agency RMBS:
30 year fixed-rate 5,861,979  (227,561) 36  —  —  —  5,861,979  (227,561) 36 
Total Agency RMBS pass-through (1)
 5,861,979  (227,561) 36  —  —  —  5,861,979  (227,561) 36 
Agency-CMO (1)
 27,175  (1,401) 5  —  —  —  27,175  (1,401) 5 
Non-Agency RMBS (2)
 113  (142) 1  1,427  (2,137) 13  1,540  (2,279) 14 
Total 5,889,267  (229,104) 42  1,427  (2,137) 13  5,890,694  (231,241) 55 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $142,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.
9
December 31, 2021
   Less than 12 Months 12 Months or More Total
$ in thousands Fair
Value		 Unrealized
Losses		 Number
of
Securities		 Fair
Value		 Unrealized
Losses		 Number
of
Securities		 Fair
Value		 Unrealized
Losses		 Number
of
Securities
Agency RMBS:
30 year fixed-rate 6,838,999  (60,741) 54  —  —  —  6,838,999  (60,741) 54 
Total Agency RMBS pass-through (1)
 6,838,999  (60,741) 54  —  —  —  6,838,999  (60,741) 54 
Agency-CMO (1)
 21,810  (1,389) 5  —  —  —  21,810  (1,389) 5 
Non-Agency RMBS (2)
 767  (1,132) 5  1,042  (1,073) 9  1,809  (2,205) 14 
Total 6,861,576  (63,262) 64  1,042  (1,073) 9  6,862,618  (64,335) 73 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with fair value of $1.7 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $136,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis.

As of March 31, 2022 and December 31, 2021, we did not have an allowance for credit losses recorded on our condensed consolidated balance sheets. We recorded a $938,000 decrease in our provision for credit losses during the three months ended March 31, 2021. The following table presents a roll-forward of our allowance for credit losses.
Three Months Ended March 31,
$ in thousands 2021
Beginning allowance for credit losses (1,768)
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 938 
Ending allowance for credit losses (830)
The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2022 and 2021.
Three Months Ended March 31,
$ in thousands 2022 2021
Gross realized gains on sale of MBS —  201 
Gross realized losses on sale of MBS (318,970) (117,048)
Net unrealized gains (losses) on MBS accounted for under the fair value option (165,467) (211,912)
Net unrealized gains (losses) on commercial loan (124) (3,098)
Net unrealized gains (losses) on U.S. Treasury securities (19,827) — 
Total gain (loss) on investments, net (504,388) (331,857)
10
The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three months ended March 31, 2022 and 2021.
For the three months ended March 31, 2022
$ in thousands Coupon
Interest		 Net (Premium
Amortization)/Discount
Accretion		 Interest
Income
Agency RMBS 46,598  (6,928) 39,670 
Non-Agency CMBS 737  503  1,240 
Non-Agency RMBS 330  (151) 179 
U.S. Treasury securities 560  (16) 544 
Other 4  —  4 
Total 48,229  (6,592) 41,637 
For the three months ended March 31, 2021
$ in thousands Coupon
Interest		 Net (Premium
Amortization)/Discount
Accretion		 Interest
Income
Agency RMBS 49,555  (12,484) 37,071 
Non-Agency CMBS 1,305  878  2,183 
Non-Agency RMBS 624  (450) 174 
Other 6  —  6 
Total 51,490  (12,056) 39,434 

Note 5 - U.S. Treasury Securities
The following table presents the components of the carrying value of our U.S. Treasury securities, which are classified as trading securities, as of March 31, 2022. We did not hold any U.S. Treasury securities as of December 31, 2021.
$ in thousands March 31, 2022
Principal balance 500,000 
Unamortized premium 2,272 
Amortized cost 502,272 
Unrealized gains (losses), net (19,827)
Fair value (1)
 482,445 
(1)Fair value includes $97.3 million maturing in 2027, $193.1 million maturing in 2029 and $192.1 million maturing in 2032.
Note 6 – Other Assets
The following table summarizes our other assets as of March 31, 2022 and December 31, 2021.
$ in thousands March 31, 2022 December 31, 2021
Commercial loan, held-for-investment 23,391  23,515 
Investments in unconsolidated ventures 4,854  12,476 
Prepaid expenses and other assets 1,220  1,518 
Total 29,465  37,509 
In February 2022, we agreed to extend the contractual maturity of our commercial loan investment from February 2022 to June 2022. The borrower continues to make current interest payments on the loan. The loan had a principal balance of $23.9 million as of March 31, 2022 and December 31, 2021 and a weighted average coupon rate of 8.73% as of March 31, 2022 and 8.60% as of December 31, 2021. We account for this investment using the fair value option. We recorded unrealized losses of $124,000 and $3.1 million on this loan in our condensed consolidated statements of operations during the three months ended March 31, 2022 and 2021, respectively.
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We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 15 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.
Note 7 – Borrowings
We finance the majority of our investment portfolio through repurchase agreements. The following tables summarize certain characteristics of our borrowings at March 31, 2022 and December 31, 2021. Refer to Note 8 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.
$ in thousands March 31, 2022
Weighted
Weighted Average
Average Remaining
Amount Interest Maturity
Outstanding Rate (days)
Repurchase Agreements - Agency RMBS 5,349,388  0.38  % 31
Repurchase Agreements - U.S. Treasury securities 488,032  0.19  % 1
Total Borrowings 5,837,420  0.37  % 28
$ in thousands December 31, 2021
Weighted
Weighted Average
Average Remaining
Amount Interest Maturity
Outstanding Rate (days)
Repurchase Agreements - Agency RMBS 6,987,834  0.14  % 29
Total Borrowings 6,987,834  0.14  % 29
Repurchase Agreements
Our repurchase agreements generally bear interest at a contractually agreed upon rate. Agency RMBS repurchase agreements generally have maturities ranging from one to six months. U.S. Treasury securities repurchase agreements generally have maturities ranging from one day to one month. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. The repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of March 31, 2022.
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Note 8 - Collateral Positions
The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and TBAs as of March 31, 2022 and December 31, 2021. Refer to Note 2 - "Summary of Significant Accounting Policies" in this Form 10-Q and 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, 2021 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. U.S. Treasury securities collateral pledged is included in U.S. Treasury securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and 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 March 31, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets.
$ in thousands As of
Collateral Pledged March 31, 2022 December 31, 2021
Repurchase Agreements:
Agency RMBS 5,607,777  7,326,175 
U.S. Treasury securities 482,445  — 
Cash 4,506  3,527 
Total repurchase agreements collateral pledged 6,094,728  7,329,702 
Derivative Instruments:
Cash 43,287  4,458 
Restricted cash 245,809  219,918 
Total derivative instruments collateral pledged 289,096  224,376 
Total collateral pledged:
Agency RMBS 5,607,777  7,326,175 
U.S. Treasury securities 482,445  — 
Cash 47,793  7,985 
Restricted cash 245,809  219,918 
Total collateral pledged 6,383,824  7,554,078 
As of
Collateral Held March 31, 2022 December 31, 2021
Repurchase Agreements:
Non-cash collateral —  248 
Total repurchase agreements collateral held —  248 
Derivative instruments:
Cash 280  280 
Total derivative instruments collateral held 280  280 
Total collateral held:
Cash 280  280 
Non-cash collateral —  248 
Total collateral held 280  528 

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Repurchase Agreements
Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls.
The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104% as of March 31, 2022 (December 31, 2021: 105%).
Interest Rate Swaps
As of March 31, 2022 and December 31, 2021, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM"). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. Certain of our FCM agreements include cross default provisions.
TBAs and Currency Forward Contracts
Our TBAs and currency forward contracts provide for bilateral collateral pledging based on market value as determined by our counterparties. Collateral pledged with our TBA and currency forward counterparties is segregated in our books and records and can be in the form of cash or securities. Our counterparties have the right to repledge the collateral posted and have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the contracts changes.
Note 9 – Derivatives and Hedging Activities
The following table summarizes changes in the notional amount of our derivative instruments during 2022.
$ in thousands Notional Amount as of December 31, 2021 Additions Settlement,
Termination,
Expiration
or Exercise		 Notional Amount as of March 31, 2022
Interest Rate Swaps (1) (2)
 8,050,000  5,050,000  (4,000,000) 9,100,000 
Currency Forward Contracts 13,596  14,187  (20,391) 7,392 
TBA Purchase Contracts 1,600,000  10,050,000  (8,350,000) 3,300,000 
TBA Sale Contracts —  (10,150,000) 8,350,000  (1,800,000)
Total 9,663,596  4,964,187  (4,020,391) 10,607,392 
(1)Does not include interest rate swaps with forward start dates with a notional amount of $1.3 billion as of March 31, 2022 and December 31, 2021.
(2)Notional amount as of March 31, 2022 includes $6.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $2.3 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate.
Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties.
Interest Rate Swaps
Our repurchase agreements are usually settled on a short-term basis ranging from one day to six months. 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 add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Under the terms of the majority 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. To
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a lesser extent, we also enter into interest rate swap contracts whereby we make floating-rate payments to a counterparty in exchange for the receipt of fixed-rate amounts as part of our overall risk management strategy.
Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $5.2 million as a decrease (March 31, 2021: $5.4 million as a decrease) to interest expense for the three months ended March 31, 2022. During the next 12 months, we estimate that $19.0 million will be reclassified as a decrease to interest expense, repurchase agreements. As of March 31, 2022, $24.9 million (December 31, 2021: $30.1 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023.
As of March 31, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstanding, excluding interest rate swaps with forward start dates.
$ in thousands As of March 31, 2022
Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity
Less than 3 years 1,000,000  0.06  % 0.30  % 2.3
3 to 5 years 1,250,000  0.12  % 0.30  % 3.4
5 to 7 years 2,225,000  0.32  % 0.30  % 5.7
7 to 10 years 1,825,000  0.52  % 0.30  % 8.3
Greater than 10 years 500,000  1.92  % 0.30  % 20.0
Total 6,800,000  0.42  % 0.30  % 6.5
$ in thousands As of December 31, 2021
Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity
Less than 3 years 1,000,000  0.06  % 0.05  % 2.6
3 to 5 years 1,250,000  0.12  % 0.05  % 3.6
5 to 7 years 2,225,000  0.32  % 0.05  % 5.9
7 to 10 years 1,825,000  0.52  % 0.05  % 8.6
Total 6,300,000  0.30  % 0.05  % 5.7
As of March 31, 2022 and December 31, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR. As of March 31, 2022, these interest rate swaps had a weighted average maturity of 20.5 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.99% (December 31, 2021: 0.99%).
As of March 31, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding.
$ in thousands As of March 31, 2022
Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity
Less than 3 years 1,400,000  0.30  % 1.43  % 2.0
3 to 5 years 100,000  0.30  % 1.75  % 5.0
5 to 7 years 500,000  0.30  % 1.57  % 7.7
Greater than 10 years 300,000  0.30  % 1.83  % 30.0
Total 2,300,000  0.30  % 1.53  % 7.0
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$ in thousands As of December 31, 2021
Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity
Less than 3 years 1,000,000  0.05  % 0.77  % 2.6
5 to 7 years 500,000  0.05  % 1.26  % 6.9
7 to 10 years 250,000  0.05  % 1.27  % 10.0
Total 1,750,000  0.05  % 0.98  % 4.9
Swaptions and Currency Forward Contracts
We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as "convexity risk"). The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in our condensed consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid. If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid.
We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of March 31, 2022, we had $7.4 million (December 31, 2021: $13.6 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro.
TBAs
We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2022 and December 31, 2021.
$ in thousands As of March 31, 2022
Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value
TBA Purchase Contracts (1)
 3,300,000  3,317,340  3,265,344  (51,996)
TBA Sale Contracts (2)
 (1,800,000) (1,767,945) (1,753,313) 14,632 
Net TBA Derivatives 1,500,000  1,549,395  1,512,031  (37,364)
(1)Net carrying value of TBA purchase contracts includes $1.2 million of derivative assets and $53.2 million of derivative liabilities.
(2)Net carrying value of TBA sale contracts includes $16.2 million of derivative assets and $1.6 million of derivative liabilities.
$ in thousands As of December 31, 2021
Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value
TBA Purchase Contracts 1,600,000  1,636,906  1,633,955  (2,951)
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Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet
The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2022 and December 31, 2021.
$ in thousands
Derivative Assets Derivative Liabilities
As of March 31, 2022 As of December 31, 2021 As of March 31, 2022 As of December 31, 2021
Balance
Sheet		 Fair Value Fair Value Balance
Sheet		 Fair Value Fair Value
Interest Rate Swaps Asset —  —  Interest Rate Swaps Liability 22,805  11,405 
Currency Forward Contracts 237  270  Currency Forward Contracts 7  — 
TBAs 17,437  —  TBAs 54,801  2,951 
Total Derivative Assets 17,674  270  Total Derivative Liabilities 77,613  14,356 
The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2022 and 2021.
$ in thousands
 Three Months Ended March 31, 2022
Derivative
not designated as
hedging instrument		 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 343,309  1,284  (11,399) 333,194 
Currency Forward Contracts 193  —  (41) 152 
TBAs (60,073) —  (34,413) (94,486)
Total 283,429  1,284  (45,853) 238,860 
$ in thousands
 Three Months Ended March 31, 2021
Derivative
not designated as
hedging instrument		 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 327,527  (4,549) 21,081  344,059 
Interest Rate Swaptions (553) —  —  (553)
Currency Forward Contracts (539) —  1,255  716 
TBAs (44,185) —  (13,076) (57,261)
Total 282,250  (4,549) 9,260  286,961 

Note 10 – 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 in 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 at March 31, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $22.8 million at March 31, 2022 (December 31, 2021: liability of $11.4 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.
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As of March 31, 2022
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)
 17,674  —  17,674  (17,674) —  — 
Total Assets 17,674  —  17,674  (17,674) —  — 
Liabilities
Derivatives (1) (2)
 (54,808) —  (54,808) 17,674  37,017  (117)
Repurchase Agreements (3)
 (5,837,420) —  (5,837,420) 5,837,420  —  — 
Total Liabilities (5,892,228) —  (5,892,228) 5,855,094  37,017  (117)
As of December 31, 2021
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)
 270  —  270  —  (270) — 
Total Assets 270  —  270  —  (270) — 
Liabilities
Derivatives (1) (2)
 (2,951) —  (2,951) —  2,951  — 
Repurchase Agreements (3)
 (6,987,834) —  (6,987,834) 6,987,834  —  — 
Total Liabilities (6,990,785) —  (6,990,785) 6,987,834  2,951  — 
(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 $289.1 million and $224.4 million as of March 31, 2022 and December 31, 2021, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $280,000 as of March 31, 2022 and December 31, 2021.
(3)The fair value of securities pledged against our borrowings under repurchase agreements was $6.1 billion and $7.3 billion at March 31, 2022 and December 31, 2021, respectively. We pledged cash collateral of $4.5 million and $3.5 million under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively. We held no cash collateral under repurchase agreements as of March 31, 2022 or December 31, 2021.
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Note 11 – Fair Value of Financial Instruments
A three-level valuation hierarchy exists for disclosure of fair value measurements based upon 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.
March 31, 2022
Fair Value Measurements Using:
$ in thousands Level 1 Level 2 Level 3
NAV as a practical expedient (4)
 Total at
Fair Value
Assets:
Mortgage-backed securities (1)
 —  5,992,494  —  —  5,992,494 
U.S. Treasury securities (2)
 —  482,445  —  —  482,445 
Derivative assets —  17,674  —  —  17,674 
Other assets (3)
 —  —  23,391  4,854  28,245 
Total assets —  6,492,613  23,391  4,854  6,520,858 
Liabilities:
Derivative liabilities —  77,613  —  —  77,613 
Total liabilities —  77,613  —  —  77,613 
December 31, 2021
  Fair Value Measurements Using:  
$ in thousands Level 1 Level 2 Level 3
NAV as a practical expedient (4)
 Total at
Fair Value
Assets:
Mortgage-backed securities (1)
 —  7,804,259  —  —  7,804,259 
Derivative assets —  270  —  —  270 
Other assets (3)
 —  —  23,515  12,476  35,991 
Total assets —  7,804,529  23,515  12,476  7,840,520 
Liabilities:
Derivative liabilities —  14,356  —  —  14,356 
Total liabilities —  14,356  —  —  14,356 
(1)For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities."
(2)For more detail about the fair value of our U.S. Treasury securities, refer to Note 5 - "U.S. Treasury Securities".
(3)Includes $23.4 million and $23.5 million of a commercial loan as of March 31, 2022 and December 31, 2021, respectively. We elected the fair value option for our commercial loan investment as of January 1, 2020 and valued the loan based on a third party appraisal as of March 31, 2022 and December 31, 2021.
(4)Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2022 and December 31, 2021, both of the unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible.


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The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we have valued utilizing Level 3 inputs.
Three Months Ended March 31,
$ in thousands 2022 2021
Beginning balance 23,515  23,098 
Unrealized gains (losses) (124) (3,098)
Ending balance 23,391  20,000 
Unrealized gains and losses on our commercial loan investment are included in gain (loss) on investments, net in our condensed consolidated statements of operations.
The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan.
Fair Value at Valuation Unobservable
$ in thousands March 31, 2022 Technique Input Rate
Commercial Loan 23,391  Discounted Cash Flow Discount rate 18.5  %
Fair Value at Valuation Unobservable
$ in thousands December 31, 2021 Technique Input Rate
Commercial Loan 23,515  Discounted Cash Flow Discount rate 18.8  %
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 at March 31, 2022 and December 31, 2021.
  March 31, 2022 December 31, 2021
$ in thousands Carrying
Value		 Estimated
Fair Value		 Carrying
Value		 Estimated
Fair Value
Financial Liabilities
Repurchase agreements 5,837,420  5,836,454  6,987,834  6,987,806 
Total 5,837,420  5,836,454  6,987,834  6,987,806 
The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets.
•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.
Note 12 – 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. During the three months ended March 31, 2022, we reimbursed our Manager $413,000 (March 31, 2021: $298,000) for costs of support personnel.
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.
We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager.
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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 months ended March 31, 2022 and 2021.
Three Months Ended March 31,
$ in thousands 2022 2021
Incurred costs, prepaid or expensed 1,337  1,157 
Incurred costs, charged against equity as a cost of raising capital 58  77 
Total incurred costs, originally paid by our Manager 1,395  1,234 
Note 13 – Stockholders’ Equity
Preferred Stock
Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears.
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 LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears.
We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control.
As of March 31, 2022, we may sell up to 5,500,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under equity distribution agreements.
Common Stock
As of March 31, 2022, we may sell up to 56,865,980 shares of our common stock 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). We did not sell any shares of common stock under our equity distribution agreement during the three months ended March 31, 2022. During three months ended March 31, 2021, we sold 15,550,000 shares of common stock under an equity distribution agreement for proceeds of $57.8 million, net of approximately $831,000 in commissions and fees.
Share Repurchase Program
During the three months ended March 31, 2022 and 2021, we did not repurchase any shares of our common stock. As of March 31, 2022, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program.
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Accumulated Other Comprehensive Income
The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three months ended March 31, 2022 and 2021. The tables exclude gains and losses on MBS that are accounted for under the fair value option.
Three Months Ended March 31, 2022
$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total
Total other comprehensive income (loss)
Unrealized gain (loss) on mortgage-backed securities, net —  (2,421) —  (2,421)
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense —  —  (5,196) (5,196)
Currency translation adjustments on investment in unconsolidated venture (200) —  —  (200)
Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817)
AOCI balance at beginning of period 424  6,749  30,113  37,286 
Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817)
AOCI balance at end of period 224  4,328  24,917  29,469 
Three Months Ended March 31, 2021
$ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total
Total other comprehensive income (loss)
Unrealized gain (loss) on mortgage-backed securities, net —  981  —  981 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense —  —