Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — JMP Securities Financial Services and Real Estate Conference 2011
8 slides from Invesco Mortgage Capital's conference presentation, Sep 26, 2011
Slide 1: Invesco Mortgage Capital Inc. – JMP Securities Financial Services and Real Estate Conference
Exhibit 99.1 Invesco Mortgage Capital Inc. JMP Securities Financial Services and Real Estate Conference September 2011
Slide 2: Forward-looking statements
Forward-looking statements This presentation, and comments made in the associated Q&A session, may include “forward-looking statements” within the meaning of the U.S. securities laws. Forward-looking statements include statements with respect to our beliefs, plans, objectives, goals, targets, expect
Slide 3: Portfolio Update: IVR Asset Composition
Portfolio Update IVR Asset Composition Other Agency Hybrids 0.46% CMBS 9.81% 9.68% Non-Agency 18.47% Agency 30's 44.94% Agency 15's 16.64% Market value as of September 23, 2011 Past performance is not a guarantee of future results 2
Slide 4: Agency MBS
Agency MBS Comments Uncertainty over future prepayment speeds has caused empirical duration (over 30 days minus 10 year swaps -EMP) and model option adjusted durations (OAD) to de-couple – Our prepayment history suggest durations that are longer than empirical or model durations – Payups on specifie
Slide 5: Non-Agency Composition
Non-Agency Composition Non-Agency Asset Type Vintage 60.5% 48.3% 25.7% 26.3% 12.7% 10.7% 7.1% 5.1% 1.0% 2.2% 0.5% 0.0% 0.0% Re-REMIC Senior Prime Alt-A Subprime 2003 2004 2005 2006 2007 2008 2009 2010 2011 Comments Non-Agency RMBS allocations have continued to focus on Senior Re-REMICs Senior Re-REM
Slide 6: CMBS Composition
CMBS Composition Asset Quality by Vintage 30.0% 25.0% 2.0 BBB 20.0% 2.0 A 2.0 AA 15.0% Freddie K MF 10.0% AJ 5.0% AM Senior 0.0% 2004 2005 2006 2007 2008 2009 2010 2011 Comments Commercial real estate fundamentals continue to show signs of stabilization We believe our CMBS asset selection is concent
Slide 7: Repo Market Update
Repo Market Update Agency RMBS Agency haircuts remain at ~5% Weighted average financing rate is ~28 bps Non Agency RMBS Non-Agency haircut is ~19% Weighted average spread to LIBOR is ~125 bps CMBS IVR’s average CMBS haircut is ~18% Weighted average spread to LIBOR is ~110 bps As of September 23, 201
Slide 8: Interest Rate Hedges
Interest Rate Hedges ($ in thousands) Weighted Average Pay Maturity Notional Rate 2012 175,000 2.07% 2013 300,000 1.76% 2014 100,000 2.79% 2015 800,000 1.89% 2016 4,700,000 2.27% 2018 450,000 2.96% 2021 400,000 2.99% $ 6,925,000 2.29% Comments Average swap ~4.5 years Hedging strategy has been to mai
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