Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2026

Schedule of Fair Values Measured on Recurring Basis

The following tables present our assets and liabilities measured at fair value on a recurring basis.


	As of March 31, 2026
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	Total at Fair Value
Assets:
Mortgage-backed securities (1)	—	6,026,208	—	6,026,208

Derivative assets (2)	—	1,119	—	1,119

Total assets	—	6,027,327	—	6,027,327
Liabilities:
Derivative liabilities (2)	2,983	25,747	—	28,730
Total liabilities	2,983	25,747	—	28,730


	As of December 31, 2025
	Fair Value Measurements Using:
$ in thousands	Level 1	Level 2	Level 3	Total at Fair Value
Assets:
Mortgage-backed securities (1)	—	6,276,609	—	6,276,609

Derivative assets (2)	2,177	2,235	—	4,412

Total assets	2,177	6,278,844	—	6,281,021

(1)For more detail about the fair value of our MBS, refer to Note 3 - “Mortgage-Backed Securities”.

(2)Derivative assets and derivative liabilities include U.S. Treasury futures contracts as Level 1 measurements and interest rate swaps and TBAs as Level 2 measurements.

Schedule of Carrying Values and Estimated Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets as of March 31, 2026 and December 31, 2025.


	As of
	March 31, 2026		December 31, 2025
$ in thousands	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value
Financial liabilities:
Repurchase agreements	5,339,373	5,339,293	5,619,255	5,619,716
Total	5,339,373	5,339,293	5,619,255	5,619,716

Invesco Mortgage Capital Inc. 10-Q