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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 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-20220630_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
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes      No  
As of July 31, 2022, there were 33,024,318 outstanding shares of common stock of Invesco Mortgage Capital Inc.


INVESCO MORTGAGE CAPITAL INC.
TABLE OF CONTENTS
 
    Page
1
Item 1.
1
1
2
3
4
6
7
Item 2.
Item 3.
Item 4.
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.



PART I
ITEM 1.     FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
As of
 $ in thousands, except share amounts June 30, 2022 December 31, 2021
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $3,467,386 and $7,326,175, respectively)
3,915,165  7,804,259 
Cash and cash equivalents 202,182  357,134 
Restricted cash 128,604  219,918 
Due from counterparties 10,231  7,985 
Investment related receivable 15,996  16,766 
Derivative assets, at fair value 4,289  270 
Other assets 27,964  37,509 
Total assets 4,304,431  8,443,841 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements 3,262,530  6,987,834 
Derivative liabilities, at fair value 37,284  14,356 
Dividends payable 29,722  29,689 
Accrued interest payable 1,807  1,171 
Collateral held payable 5,728  280 
Accounts payable and accrued expenses 1,919  1,887 
Due to affiliate 5,978  6,489 
Total liabilities 3,344,968  7,041,706 
Commitments and contingencies (See Note 14):
Stockholders' equity:
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,156,180 and 6,200,000 shares issued and outstanding, respectively ($153,905 and $155,000 aggregate liquidation preference, respectively)
148,801  149,860 
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 10,879,859 and 11,500,000 shares issued and outstanding, respectively ($271,996 and $287,500 aggregate liquidation preference, respectively)
263,111  278,108 
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 33,024,318 and 32,987,478 shares issued and outstanding, respectively
330  330 
Additional paid in capital 3,819,670  3,819,375 
Accumulated other comprehensive income 22,749  37,286 
Retained earnings (distributions in excess of earnings) (3,295,198) (2,882,824)
Total stockholders’ equity 959,463  1,402,135 
Total liabilities and stockholders' equity 4,304,431  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 June 30, Six Months Ended June 30,
$ in thousands, except share data 2022 2021 2022 2021
Interest income
Mortgage-backed and other securities 43,994  42,634  85,631  82,068 
Commercial loan 561  520  1,098  1,096 
Total interest income 44,555  43,154  86,729  83,164 
Interest expense
Repurchase agreements (1)
3,455  (3,177) 1,351  (4,837)
Total interest expense 3,455  (3,177) 1,351  (4,837)
Net interest income 41,100  46,331  85,378  88,001 
Other income (loss)
Gain (loss) on investments, net (324,876) 72,620  (829,264) (259,237)
(Increase) decrease in provision for credit losses —  830  —  1,768 
Equity in earnings (losses) of unconsolidated ventures (352) 331  (281) 237 
Gain (loss) on derivative instruments, net 181,742  (186,284) 420,602  100,677 
Other investment income (loss), net (11) 16  44  — 
Total other income (loss) (143,497) (112,487) (408,899) (156,555)
Expenses
Management fee – related party 4,619  5,455  9,893  10,339 
General and administrative 2,519  2,147  4,543  4,140 
Total expenses 7,138  7,602  14,436  14,479 
Net income (loss) (109,535) (73,758) (337,957) (83,033)
Dividends to preferred stockholders (8,100) (9,900) (16,494) (21,007)
Gain on repurchase and retirement of preferred stock 1,491  —  1,491  — 
Issuance and redemption costs of redeemed preferred stock —  (4,682) —  (4,682)
Net income (loss) attributable to common stockholders (116,144) (88,340) (352,960) (108,722)
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic (3.52) (3.40) (10.70) (4.49)
Diluted (3.52) (3.40) (10.70) (4.49)
(1)Negative interest expense on repurchase agreements in 2021 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 8 - "Derivatives and Hedging Activities" and Note 12 - "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 June 30, Six Months Ended June 30,
$ in thousands 2022 2021 2022 2021
Net income (loss) (109,535) (73,758) (337,957) (83,033)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net (1,825) 1,155  (4,246) 2,136 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense (4,802) (5,429) (9,998) (10,797)
Currency translation adjustments on investment in unconsolidated venture (93) (632) (293) (23)
Total other comprehensive income (loss) (6,720) (4,906) (14,537) (8,684)
Comprehensive income (loss) (116,255) (78,664) (352,494) (91,717)
Dividends to preferred stockholders (8,100) (9,900) (16,494) (21,007)
Gain on repurchase and retirement of preferred stock 1,491  —  1,491  — 
Issuance and redemption costs of redeemed preferred stock —  (4,682) —  (4,682)
Comprehensive income (loss) attributable to common stockholders (122,864) (93,246) (367,497) (117,406)

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 June 30, 2022
(Unaudited)

 
Additional
Paid in
Capital
Accumulated
Other
Comprehensive
Income (Loss)
Retained
Earnings
(Distributions
in excess of
earnings)
Total
Stockholders’
Equity
Series B
Preferred Stock
Series C
Preferred Stock
$ in thousands, except share amounts Common Stock
Shares Amount Shares Amount Shares Amount
Balance at December 31, 2021 6,200,000  149,860  11,500,000  278,108  32,987,478  330  3,819,375  37,286  (2,882,824) 1,402,135 
Net income (loss) —  —  —  —  —  —  —  —  (228,422) (228,422)
Other comprehensive income (loss) —  —  —  —  —  —  —  (7,817) —  (7,817)
Stock awards —  —  —  —  4,315  —  —  —  —  — 
Common stock dividends —  —  —  —  —  —  —  —  (29,693) (29,693)
Preferred stock dividends —  —  —  —  —  —  —  —  (8,394) (8,394)
Amortization of equity-based compensation —  —  —  —  —  —  138  —  —  138 
Balance at March 31, 2022 6,200,000  149,860  11,500,000  278,108  32,991,793  330  3,819,513  29,469  (3,149,333) 1,127,947 
Net income (loss) —  —  —  —  —  —  —  —  (109,535) (109,535)
Other comprehensive income (loss) —  —  —  —  —  —  —  (6,720) —  (6,720)
Repurchase and retirement of preferred stock (43,820) (1,059) (620,141) (14,997) —  —  —  1,491  (14,565)
Stock awards —  —  —  32,571  —  —  — 
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split —  —  —  —  (46) —  (1) —  —  (1)
Common stock dividends —  —  —  —  —  —  (29,721) (29,721)
Preferred stock dividends —  —  —  —  —  —  —  (8,100) (8,100)
Amortization of equity-based compensation —  —  —  —  —  —  158  —  —  158 
Balance at June 30, 2022 6,156,180  148,801  10,879,859  263,111  33,024,318  330  3,819,670  22,749  (3,295,198) 959,463 

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







4


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
For the three months ended March 31, 2021 and June 30, 2021
(Unaudited)
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  20,322,211  203  3,389,381  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 —  —  —  —  —  —  4,315,000  43  160,938  —  —  160,981 
Stock awards —  —  —  —  —  —  2,560  —  —  —  —  — 
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  24,639,771  246  3,550,448  54,827  (2,686,913) 1,481,932 
Net income (loss) —  —  —  —  —  —  —  —  —  —  (73,758) (73,758)
Other comprehensive income (loss) —  —  —  —  —  —  —  —  —  (4,906) —  (4,906)
Proceeds from issuance of common stock, net of offering costs —  —  —  —  —  4,312,500  43  145,836  —  —  145,879 
Stock awards —  —  —  —  —  15,805  —  —  — 
Common stock dividends —  —  —  —  —  —  —  —  —  —  (26,071) (26,071)
Preferred stock dividends —  —  —  —  —  —  —  —  —  —  (9,900) (9,900)
Redemption of preferred stock (5,600,000) (135,356) —  —  —  —  —  —  —  —  (4,682) (140,038)
Amortization of equity-based compensation —  —  —  —  —  —  —  —  240  —  —  240 
Balance at June 30, 2021 —  —  6,200,000  149,860  11,500,000  278,108  28,968,076  290  3,696,524  49,921  (2,801,324) 1,373,379 

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

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
   Six Months Ended June 30,
$ in thousands 2022 2021
Cash Flows from Operating Activities
Net income (loss) (337,957) (83,033)
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 2,333  20,389 
Realized and unrealized (gain) loss on derivative instruments, net (405,752) (109,798)
(Gain) loss on investments, net 829,264  259,237 
Increase (decrease) in provision for credit losses —  (1,768)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received 37  24 
Other amortization (9,702) (10,427)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets 2,182  (1,108)
Increase (decrease) in operating liabilities 374  (39)
Net cash provided by (used in) operating activities 80,779  73,477 
Cash Flows from Investing Activities
Purchase of mortgage-backed securities (14,442,287) (11,003,833)
Purchase of U.S. Treasury securities (502,290) — 
Distributions from investments in unconsolidated ventures, net 8,524  2,425 
Principal payments from mortgage-backed securities 264,791  416,524 
Proceeds from sale of mortgage-backed securities 17,264,232  9,755,377 
Proceeds from the sale of U.S. Treasury securities 468,051  — 
Settlement (termination) of forwards, swaps, swaptions and TBAs, net 424,661  126,303 
Net change in due from counterparties and collateral held payable on derivative instruments (3,897) (942)
Net cash provided by (used in) investing activities 3,481,785  (704,146)
Cash Flows from Financing Activities
Proceeds from issuance of common stock —  307,618 
Redemption of preferred stock —  (140,038)
Repurchase of preferred stock (14,565) — 
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split (1) — 
Proceeds from repurchase agreements 35,949,170  54,825,005 
Principal repayments of repurchase agreements (39,674,474) (54,202,500)
Net change in due from counterparties and collateral held payable on repurchase agreements 7,099  (1,516)
Payments of deferred costs (184) (281)
Payments of dividends (75,875) (62,153)
Net cash provided by (used in) financing activities (3,808,830) 726,135 
Net change in cash, cash equivalents and restricted cash (246,266) 95,466 
Cash, cash equivalents and restricted cash, beginning of period 577,052  392,584 
Cash, cash equivalents and restricted cash, end of period 330,786  488,050 
Supplement Disclosure of Cash Flow Information
Interest paid 10,713  6,406 
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale (4,246) 2,136 
Dividends declared not paid 29,722  26,071 
Net change in investment related receivable (payable) (791) (5)
Offering costs not paid 310  647 
Change in foreign currency translation adjustment on other investments 293  23 

The accompanying notes are an integral part of these condensed consolidated financial statements.
6

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS”) and other mortgage-related assets.
We 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”);
Commercial mortgage loans,
U.S. Treasury securities; and
Other real estate-related financing agreements.
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
For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022.
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 its controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities and allowances for credit losses. Actual results may differ from those estimates.
7

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.
Note 3 – Variable Interest Entities ("VIEs")
Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2022 is presented in the table below.
$ in thousands Carrying Amount Company's Maximum Risk of Loss
Non-Agency CMBS 43,644  43,644 
Non-Agency RMBS 8,262  8,262 
Investments in unconsolidated ventures 3,622  3,622 
Total 55,528  55,528 
Refer to Note 4 - "Mortgage-Backed Securities" and Note 5 - "Other Assets" for additional details regarding these investments.
Note 4 – Mortgage-Backed Securities
The following tables summarize our MBS portfolio by asset type as of June 30, 2022 and December 31, 2021.
June 30, 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 3,870,377  (62,776) 3,807,601  (5,150) 3,802,451  4.07  %
Total Agency RMBS pass-through 3,870,377  (62,776) 3,807,601  (5,150) 3,802,451  4.07  %
Agency-CMO (2)
427,319  (369,955) 57,364  3,444  60,808  9.29  %
Non-Agency CMBS 44,652  (2,084) 42,568  1,076  43,644  8.44  %
Non-Agency RMBS (3)(4)(5)
330,051  (321,699) 8,352  (90) 8,262  8.58  %
Total 4,672,399  (756,514) 3,915,885  (720) 3,915,165  4.21  %
(1)Period-end weighted average yield is based on amortized cost as of June 30, 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 65.7% fixed rate, 33.4% 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 interest-only securities ("non-Agency IO") which represent 97.3% of principal/notional balance, 43.8% of amortized cost and 25.7% of fair value.

8

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 June 30, 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 June 30, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option.
June 30, 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 —  3,802,451  3,802,451  —  7,701,523  7,701,523 
Total Agency RMBS pass-through —  3,802,451  3,802,451  —  7,701,523  7,701,523 
Agency-CMO —  60,808  60,808  —  30,757  30,757 
Non-Agency CMBS 43,644  —  43,644  62,909  —  62,909 
Non-Agency RMBS 6,275  1,987  8,262  7,288  1,782  9,070 
Total 49,919  3,865,246  3,915,165  70,197  7,734,062  7,804,259 
The components of the carrying value of our MBS portfolio at June 30, 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 $13.8 million at June 30, 2022 (December 31, 2021: $16.6 million).
June 30, 2022
$ in thousands MBS Interest-Only Securities Total
Principal/notional balance 3,923,868  748,531  4,672,399 
Unamortized premium 18,221  —  18,221 
Unamortized discount (87,224) (687,511) (774,735)
Gross unrealized gains (1)
24,782  4,799  29,581 
Gross unrealized losses (1)
(27,414) (2,887) (30,301)
Fair value 3,852,233  62,932  3,915,165 
9

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 and six months ended June 30, 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 June 30, 2022 and December 31, 2021.
$ in thousands June 30, 2022 December 31, 2021
Less than one year 5,994  23,150 
Greater than one year and less than five years 37,724  891,510 
Greater than or equal to five years 3,871,447  6,889,599 
Total 3,915,165  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 June 30, 2022 and December 31, 2021.
June 30, 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 2,145,400  (27,400) 19  —  —  —  2,145,400  (27,400) 19 
Total Agency RMBS pass-through (1)
2,145,400  (27,400) 19  —  —  —  2,145,400  (27,400) 19 
Agency-CMO (1)
13,239  (997) 3,245  (358) 16,484  (1,355)
Non-Agency RMBS (2)
572  (21) 1,888  (1,525) 13  2,460  (1,546) 15 
Total 2,159,211  (28,418) 24  5,133  (1,883) 14  2,164,344  (30,301) 38 
(1)Fair value option has been elected for all Agency securities in an unrealized loss position.
(2)Includes non-Agency IO with a fair value of $1.9 million for which the fair value option has been elected. Such securities have unrealized losses of $1.5 million.
10

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) —  —  —  21,810  (1,389)
Non-Agency RMBS (2)
767  (1,132) 1,042  (1,073) 1,809  (2,205) 14 
Total 6,861,576  (63,262) 64  1,042  (1,073) 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 a 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 June 30, 2022 and December 31, 2021, we did not have an allowance for credit losses recorded on our condensed consolidated balance sheets. We recorded an $830,000 and a $1.8 million decrease in the provision for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2021, respectively. The following table presents a roll-forward of our allowance for credit losses.
Three Months Ended June 30, Six Months Ended June 30,
$ in thousands 2021 2021
Beginning allowance for credit losses (830) (1,768)
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 830  1,768 
Ending allowance for credit losses —  — 
The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2022 and 2021.
Three Months Ended June 30, Six Months Ended June 30,
$ in thousands 2022 2021 2022 2021
Gross realized gains on sale of MBS 5,348  —  5,348  201 
Gross realized losses on sale of MBS (540,404) (118,006) (859,374) (235,054)
Net unrealized gains (losses) on MBS accounted for under the fair value option 224,464  189,804  58,997  (22,108)
Net unrealized gains (losses) on commercial loan 87  822  (37) (2,276)
Net unrealized gains (losses) on U.S. Treasury securities 19,827  —  —  — 
Net realized gains (losses) on U.S. Treasury securities (34,198) —  (34,198) — 
Total gain (loss) on investments, net (324,876) 72,620  (829,264) (259,237)
11

The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and six months ended June 30, 2022 and 2021.
For the three months ended June 30, 2022
$ in thousands Coupon
Interest
Net (Premium
Amortization)/Discount
Accretion
Interest
Income
Agency RMBS 40,927  422  41,349 
Non-Agency CMBS 668  509  1,177 
Non-Agency RMBS 310  (132) 178 
U.S. Treasury securities 1,213  (25) 1,188 
Other 102  —  102 
Total 43,220  774  43,994 
For the three months ended June 30, 2021
$ in thousands Coupon
Interest
Net (Premium
Amortization)/Discount
Accretion
Interest
Income
Agency RMBS 50,003  (9,450) 40,553 
Non-Agency CMBS 1,036  845  1,881 
Non-Agency RMBS 467  (274) 193 
Other — 
Total 51,513  (8,879) 42,634 

For the six months ended June 30, 2022
$ in thousands Coupon
Interest
Net (Premium
Amortization)/Discount
Accretion
Interest
Income
Agency RMBS 87,525  (6,506) 81,019 
Non-Agency CMBS 1,405  1,012  2,417 
Non-Agency RMBS 640  (283) 357 
U.S. Treasury securities 1,773  (41) 1,732 
Other 106  —  106 
Total 91,449  (5,818) 85,631 
For the six months ended June 30, 2021
$ in thousands Coupon
Interest
Net (Premium
Amortization)/Discount
Accretion
Interest
Income
Agency RMBS 99,558  (21,934) 77,624 
Non-Agency CMBS 2,341  1,723  4,064 
Non-Agency RMBS 1,091  (724) 367 
Other 13  —  13 
Total 103,003  (20,935) 82,068 

12

Note 5 – Other Assets
The following table summarizes our other assets as of June 30, 2022 and December 31, 2021.
$ in thousands June 30, 2022 December 31, 2021
Commercial loan, held-for-investment 23,478  23,515 
Investments in unconsolidated ventures 3,622  12,476 
Prepaid expenses and other assets 864  1,518 
Total 27,964  37,509 
In February 2022, we agreed to extend the contractual maturity of our commercial loan investment from February 2022 to June 2022. In June 2022, we agreed to further extend the contractual maturity to September 2022. The loan had a principal balance of $23.9 million as of June 30, 2022 and December 31, 2021 and a weighted average coupon rate of 9.56% as of June 30, 2022 and 8.60% as of December 31, 2021. We account for this loan under the fair value option and, accordingly, there are no capitalized origination costs or fees associated with the loan. We recorded an unrealized gain of $87,000 and an unrealized loss of $37,000 on this loan in our condensed consolidated statements of operations during the three and six months ended June 30, 2022, respectively (June 30, 2021: unrealized gain $822,000 and unrealized loss $2.3 million, respectively).
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 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.
Note 6 – Borrowings
We finance the majority of our investment portfolio through repurchase agreements. The following tables summarize certain characteristics of our borrowings at June 30, 2022 and December 31, 2021. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements.
$ in thousands June 30, 2022
Weighted
Weighted Average
Average Remaining
Amount Interest Maturity
Outstanding Rate (days)
Repurchase Agreements - Agency RMBS 3,262,530  1.38  % 22
Total Borrowings 3,262,530  1.38  % 22
$ 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. 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 June 30, 2022.
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Note 7 - Collateral Positions
The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and TBAs as of June 30, 2022 and December 31, 2021. 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, 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. 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 June 30, 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 June 30, 2022 December 31, 2021
Repurchase Agreements:
Agency RMBS 3,467,386  7,326,175 
Cash —  3,527 
Total repurchase agreements collateral pledged 3,467,386  7,329,702 
Derivative Instruments:
Cash 10,231  4,458 
Restricted cash 128,604  219,918 
Total derivative instruments collateral pledged 138,835  224,376 
Total collateral pledged:
Agency RMBS 3,467,386  7,326,175 
Cash 10,231  7,985 
Restricted cash 128,604  219,918 
Total collateral pledged 3,606,221  7,554,078 
As of
Collateral Held June 30, 2022 December 31, 2021
Repurchase Agreements:
Cash 3,573  — 
Non-cash collateral 12,544  248 
Total repurchase agreements collateral held 16,117  248 
Derivative instruments:
Cash 2,155  280 
Total derivative instruments collateral held 2,155  280 
Total collateral held:
Cash 5,728  280 
Non-cash collateral 12,544  248 
Total collateral held 18,272  528 

14

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 106% as of June 30, 2022 (December 31, 2021: 105%).
Interest Rate Swaps
As of June 30, 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 8 – 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 June 30, 2022
Interest Rate Swaps (1) (2)
8,050,000  8,725,000  (7,400,000) 9,375,000 
Currency Forward Contracts 13,596  20,359  (27,783) 6,172 
TBA Purchase Contracts 1,600,000  17,006,500  (17,295,500) 1,311,000 
TBA Sale Contracts —  (18,156,500) 17,295,500  (861,000)
Total 9,663,596  7,595,359  (7,427,783) 9,831,172 
(1)Does not include interest rate swaps with forward start dates with a notional amount of $1.0 billion and $1.3 billion as of June 30, 2022 and December 31, 2021, respectively.
(2)Notional amount as of June 30, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $3.6 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 7 - "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 month 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
15

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 $4.8 million and $10.0 million as a decrease (June 30, 2021: $5.4 million and $10.8 million as a decrease) to interest expense for the three and six months ended June 30, 2022, respectively. During the next 12 months, we estimate that $17.4 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2022, $20.1 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 June 30, 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 June 30, 2022
Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity
Less than 3 years 650,000  0.06  % 1.50  % 2.1
3 to 5 years 900,000  0.11  % 1.50  % 3.1
5 to 7 years 1,925,000  0.29  % 1.50  % 5.4
7 to 10 years 1,825,000  0.52  % 1.50  % 8.1
Greater than 10 years 500,000  1.92  % 1.50  % 19.7
Total 5,800,000  0.45  % 1.50  % 6.8
$ 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 June 30, 2022, we held $1.0 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of June 30, 2022, these interest rate swaps had a weighted average maturity of 17.0 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%).
As of June 30, 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 June 30, 2022
Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity
Less than 3 years 1,200,000  1.50  % 3.32  % 2.0
3 to 5 years 600,000  1.50  % 2.73  % 4.4
5 to 7 years 1,175,000  1.50  % 2.67  % 6.3
7 to 10 years 325,000  1.50  % 2.61  % 9.3
Greater than 10 years 275,000  1.50  % 2.72  % 30.0
Total 3,575,000  1.50  % 2.90  % 6.6
16

$ 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 June 30, 2022, we had $6.2 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 June 30, 2022 and December 31, 2021.
$ in thousands As of June 30, 2022
Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value
TBA Purchase Contracts (1)
1,311,000  1,324,001  1,323,965  (36)
TBA Sale Contracts (2)
(861,000) (857,442) (864,683) (7,241)
Net TBA Derivatives 450,000  466,559  459,282  (7,277)
(1)Net carrying value of TBA purchase contracts includes $4.2 million of derivative assets and $4.3 million of derivative liabilities.
(2)Net carrying value of TBA sale contracts includes $7.2 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)
17

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 June 30, 2022 and December 31, 2021.
$ in thousands
Derivative Assets Derivative Liabilities
As of June 30, 2022 As of December 31, 2021 As of June 30, 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 25,771  11,405 
Currency Forward Contracts 53  270  Currency Forward Contracts —  — 
TBAs 4,236  —  TBAs 11,513  2,951 
Total Derivative Assets 4,289  270  Total Derivative Liabilities 37,284  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 and six months ended June 30, 2022 and 2021.
$ in thousands
Three Months Ended June 30, 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 209,913  13,566  (2,966) 220,513 
Currency Forward Contracts 486  —  (177) 309 
TBAs (69,167) —  30,087  (39,080)
Total 141,232  13,566  26,944  181,742 
$ in thousands
Three Months Ended June 30, 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 (166,365) (4,572) (32,786) (203,723)
Currency Forward Contracts (13) —  (142) (155)
TBAs 10,431  —  7,163  17,594 
Total (155,947) (4,572) (25,765) (186,284)
$ in thousands
Six Months Ended June 30, 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 553,222  14,850  (14,365) 553,707 
Currency Forward Contracts 679  —  (218) 461 
TBAs (129,240) —  (4,326) (133,566)
Total 424,661  14,850  (18,909) 420,602 
$ in thousands
Six Months Ended June 30, 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 161,162  (9,121) (11,705) 140,336 
Interest Rate Swaptions (553) —  —  (553)
Currency Forward Contracts (552) —  1,113  561 
TBAs (33,754) —  (5,913) (39,667)
Total 126,303  (9,121) (16,505) 100,677 

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Note 9 – 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 June 30, 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 $25.8 million at June 30, 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.
As of June 30, 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)
4,289  —  4,289  (3,742) (547) — 
Total Assets 4,289  —  4,289  (3,742) (547) — 
Liabilities
Derivatives (1) (2)
(11,513) —  (11,513) 3,742  6,999  (772)
Repurchase Agreements (3)
(3,262,530) —  (3,262,530) 3,262,530  —  — 
Total Liabilities (3,274,043) —  (3,274,043) 3,266,272  6,999  (772)
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)