Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q1 2024 Earnings Presentation
15 slides from Invesco Mortgage Capital's earnings presentation, May 9, 2024
Slide 1: First Quarter 2024 Earnings Call
Invesco Mortgage Capital Inc. First Quarter 2024 Earnings Call May 9, 2024 John Anzalone Kevin Collins Lee Phegley David Lyle Brian Norris Chief Executive Officer President Chief Financial Officer Chief Operating Officer Chief Investment Officer
Slide 2: Cautionary Notice Regarding Forward-Looking Statements
Cautionary Notice Regarding Forward-Looking Statements This presentation and comments made in the associated conference call, may include statements and information that constitute “forward-looking statements” within the meaning of the U.S. securities laws as defined in the Private Securities Litiga
Slide 3: Q1 2024 Results
Q1 2024 Results Investment Allocation1 Financial results • Net income per common share of $0.49 • Earnings available for distribution per common share2 of $0.86 Credit Portfolio 0.4% $5.0 Agency RMBS • Book value per common share of $10.083 92.8% Agency CMO billion • Dividend per common share of $0.
Slide 4: Macro Environment
Macro Environment Interest rates rose across the yield curve as economic growth and inflation remained resilient; Expectations for cuts in the Federal Funds target rate have declined from over six cuts in 2024 to less than two Treasury Yields Money Market Rates 6.0% 6.0% 5.0% 5.5% 4.0% 5.0% 3.0% 4.5
Slide 5: Agency RMBS Market
Agency RMBS Market Valuations rebounded from a poor start to the year as interest rate volatility declined, but have been pressured lower in April as inflation data remained elevated Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 100 $2.0 $1.5 0 $1.0 -100 $0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Allocation • Agency RMBS investment portfolio declined 6% to $4.6 9/30/23 12/31/23 3/31/24 30% billion in Q1 2024 ◦ Sold $0.2 billion net in specified pools to fund purchases in Agency CMBS 20% ◦ Sales concentrated in lower coupon holdings given less attractive valuati
Slide 7: Agency CMBS Investments
Agency CMBS Investments Allocation • Added $264 million of Fannie Mae Delegated Underwriting and Servicing MBS (Fannie DUS) and Freddie Mac Multi-Family Participation Certificates Freddie Multi PCs (Freddie Multi PCs) 26% • Benefit from a guarantee of principal and interest from the issuing agency o
Slide 8: Agency CMO and Credit Investments
Agency CMO and Credit Investments Agency CMO Allocation Credit Allocation 30 Year 3.5% 30 Year 2.0% 17% 10% Non-Agency RMBS 43% 30 Year 3.0% $75 $18 13% million million Non-Agency CMBS 30 Year 2.5% 57% 60% • Q1 2024 Agency CMO characteristics • 70% of credit securities are rated double-A or higher ◦
Slide 9: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Swap Portfolio Composition (in billions) Notional Amount Fixed Floating Years Maturities ($ millions) Pay Rate2 Receive Rate2 to Maturity2 $6.0 100% $5.0 90% Less than 3 years 740 1.62% 5.34% 2.0 $4.0 80% 3 to 5 years 1,375 0.29% 5.34% 3.6 $3.0 70% 5 to
Slide 10: Interest Rate Margin
Interest Rate Margin Asset Yields and Funding Rates1 Interest Rate Margin2 6.0% 6.0% 5.0% 5.0% 5.84% 5.30% 5.51% 4.0% 5.03% 4.0% 3.0% 4.05% 3.0% 2.0% 1.08% 2.0% 0.48% 1.0% 0.11% -0.05% -0.12% 1.0% 0.0% 0.0% -1.0% Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Q1-23 Q2-23 Q3-23 Q4-23 Q1-24 Swap Pay Rate Swap Rec
Slide 11: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information The Company's business objective is to provide attractive risk-adjusted returns to its stockholders, primarily through dividends and secondarily through capital appreciation. The Company uses earnings available for distribution as a measure of its investment
Slide 12: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information The table below provides a reconciliation of U.S. GAAP net income (loss) attributable to common stockholders to earnings available for distribution for the following periods: Three Months Ended $ in thousands, except per share data March 31, 2024 December 31
Slide 13: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information The table below provides the components of earnings available for distribution for the following periods: Three Months Ended $ in thousands, except per share data March 31, 2024 December 31, 2023 September 30, 2023 Interest income $ 68,583 $ 62,082 $ 75,132
Slide 14: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information The table below reconciles U.S. GAAP net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods: Three Months Ended March 31, December 31, September 30, June 30, March 31, 202
Slide 15: Appendix - Definitions
Appendix - Definitions Agency CMO – Interest Only - An interest only security is created by separating the principal and interest portions of the payments on the underlying loan pool and selling them as distinct products. The investor in the interest only security benefits when the prepayment rate o
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