ivr-20220630
Invesco Mortgage Capital Inc.
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SEC Document
SEC Filing
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Table of Contents


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
_______________________________________________ 
FORM 10-Q 
_______________________________________________
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended 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)
_______________________________________________
Maryland26-2749336
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
1555 Peachtree Street, N.E., Suite 1800,
Atlanta,Georgia30309
(Address of Principal Executive Offices)(Zip Code)
(404) 892-0896
(Registrant’s Telephone Number, Including Area Code) 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934:
Title of Each ClassTrading SymbolName of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareIVRNew York Stock Exchange
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock IVR PrBNew York Stock Exchange
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock IVR PrCNew York Stock Exchange
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes      No  
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes      No  
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer   Accelerated filer 
Non-Accelerated filer 
  Smaller reporting company 
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes      No  
As of July 31, 2022, there were 33,024,318 outstanding shares of common stock of Invesco Mortgage Capital Inc.


Table of Contents

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



Table of Contents

PART I
ITEM 1.     FINANCIAL STATEMENTS
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
  
As of
 $ in thousands, except share amountsJune 30, 2022December 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 equivalents202,182 357,134 
Restricted cash128,604 219,918 
Due from counterparties10,231 7,985 
Investment related receivable15,996 16,766 
Derivative assets, at fair value4,289 270 
Other assets27,964 37,509 
Total assets 4,304,431 8,443,841 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements3,262,530 6,987,834 
Derivative liabilities, at fair value37,284 14,356 
Dividends payable29,722 29,689 
Accrued interest payable1,807 1,171 
Collateral held payable5,728 280 
Accounts payable and accrued expenses1,919 1,887 
Due to affiliate5,978 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 capital3,819,670 3,819,375 
Accumulated other comprehensive income22,749 37,286 
Retained earnings (distributions in excess of earnings)(3,295,198)(2,882,824)
Total stockholders’ equity959,463 1,402,135 
Total liabilities and stockholders' equity4,304,431 8,443,841 

The accompanying notes are an integral part of these condensed consolidated financial statements.
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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
 
 Three Months Ended June 30,Six Months Ended June 30,
$ in thousands, except share data2022202120222021
Interest income
Mortgage-backed and other securities43,994 42,634 85,631 82,068 
Commercial loan561 520 1,098 1,096 
Total interest income44,555 43,154 86,729 83,164 
Interest expense
Repurchase agreements (1)
3,455 (3,177)1,351 (4,837)
Total interest expense3,455 (3,177)1,351 (4,837)
Net interest income41,100 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, net181,742 (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 party4,619 5,455 9,893 10,339 
General and administrative2,519 2,147 4,543 4,140 
Total expenses7,138 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 stock1,491  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.
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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 thousands2022202120222021
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 stock1,491  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.

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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 amountsCommon Stock
SharesAmountSharesAmountSharesAmount
Balance at December 31, 20216,200,000 149,860 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, 20226,200,000 149,860 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, 20226,156,180 148,801 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.







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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 amountsCommon Stock
SharesAmountSharesAmountSharesAmountSharesAmount
Balance at December 31, 20205,600,000 135,356 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, 20215,600,000 135,356 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 1 — — — 1 
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.
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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
  Six Months Ended June 30,
$ in thousands20222021
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), net2,333 20,389 
Realized and unrealized (gain) loss on derivative instruments, net(405,752)(109,798)
(Gain) loss on investments, net829,264 259,237 
Increase (decrease) in provision for credit losses (1,768)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received37 24 
Other amortization(9,702)(10,427)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets2,182 (1,108)
Increase (decrease) in operating liabilities374 (39)
Net cash provided by (used in) operating activities80,779 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, net8,524 2,425 
Principal payments from mortgage-backed securities264,791 416,524 
Proceeds from sale of mortgage-backed securities17,264,232 9,755,377 
Proceeds from the sale of U.S. Treasury securities468,051  
Settlement (termination) of forwards, swaps, swaptions and TBAs, net424,661 126,303 
Net change in due from counterparties and collateral held payable on derivative instruments(3,897)(942)
Net cash provided by (used in) investing activities3,481,785 (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 agreements35,949,170 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 agreements7,099 (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 period577,052 392,584 
Cash, cash equivalents and restricted cash, end of period330,786 488,050 
Supplement Disclosure of Cash Flow Information
Interest paid10,713 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 paid29,722 26,071 
Net change in investment related receivable (payable)(791)(5)
Offering costs not paid310 647 
Change in foreign currency translation adjustment on other investments293 23 

The accompanying notes are an integral part of these condensed consolidated financial statements.
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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
Note 1 – Organization and Business Operations
Invesco Mortgage Capital Inc. (the “Company” or “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS”) and other mortgage-related assets.
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.
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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 thousandsCarrying AmountCompany's Maximum Risk of Loss
Non-Agency CMBS43,644 43,644 
Non-Agency RMBS8,262 8,262 
Investments in unconsolidated ventures3,622 3,622 
Total55,528 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 thousandsPrincipal/ Notional
Balance
Unamortized
Premium
(Discount)
Amortized
Cost
Unrealized
Gain/
(Loss), net
Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate3,870,377 (62,776)3,807,601 (5,150)3,802,451 4.07 %
Total Agency RMBS pass-through3,870,377 (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 %
Total4,672,399 (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.

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December 31, 2021
$ in thousandsPrincipal/Notional
Balance
Unamortized
Premium
(Discount)
Amortized
Cost
Unrealized
Gain/
(Loss), net
Fair
Value
Period-
end
Weighted
Average
Yield (1)
Agency RMBS:
30 year fixed-rate7,514,229 246,183 7,760,412 (58,889)7,701,523 2.07 %
Total Agency RMBS pass-through7,514,229 246,183 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 CMBS61,427 (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 %
Total8,203,415 (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, 2022December 31, 2021
$ in thousandsAvailable-for-sale SecuritiesSecurities under Fair Value OptionTotal
Fair Value
Available-for-sale SecuritiesSecurities under Fair Value OptionTotal
Fair Value
Agency RMBS:
30 year fixed-rate 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 CMBS43,644  43,644 62,909  62,909 
Non-Agency RMBS6,275 1,987 8,262 7,288 1,782 9,070 
Total49,919 3,865,246 3,915,165 70,197 7,734,062 7,804,259 
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