Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q4 2021 Earnings Presentation
12 slides from Invesco Mortgage Capital's earnings presentation, Feb 18, 2022
Slide 1: Fourth Quarter 2021 Earnings Call
Invesco Mortgage Capital Inc. Fourth Quarter 2021 Earnings Call February 18, 2022 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 press release, the related 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 th
Slide 3: Q4 2021 Results
Q4 2021 Results Investment Allocation(1) ▪ Financial results – Net loss per common share of $0.23 – Earnings available for distribution per Agency common share(2) of $0.10 RMBS $9.5 99% – Book value per common share of $2.91 at billion quarter end – Dividend per common share of $0.09 Credit – Econom
Slide 4: Macro Environment
Macro Environment Treasury yield curve flattened 60 bps between the 2-yr and 30-yr as the market priced in a more hawkish Fed response to inflationary pressures. Treasury Yields Money Market Rates 3.0% 3.0% 0.2% 0.2% 2.0% 2.0% 0.1% 0.1% 1.0% 1.0% 0.0% 0.0% 0.0% 0.0% 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr
Slide 5: Agency RMBS Market
Agency RMBS Market Agency RMBS valuations suffered in the fourth quarter as an accelerated timeline for the reduction in asset purchases and run-off of the Fed’s balance sheet was anticipated by investors. Agency MBS Performance vs. Swaps Specified Pool Pay-ups (basis points) ($150k max, in points)
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution (in billions) ▪ Agency RMBS investment portfolio decreased by 12/31/2020 8.7% to $9.4 billion 9/30/2021 – Reduced investments through $0.7 billion of 30-year 2.0% $4.5 $4.5 12/31/2021 specified pool sales and $0.2 billion of paydowns $4.4 $3.8 $4.0 – Impro
Slide 7: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation ▪ 90% of credit securities are rated single-A or Joint Ventures 12% higher(1) ▪ Majority of non-Agency CMBS investments are collateralized by loans benefitting from property Commercial type diversification and improved underwriting Loan $108 Non-Ag
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection(1)(2) ▪ Financed Agency RMBS investments with (in billions) repurchase agreements across 18 counterparties $8.2 $7.2 $7.9 $7.9 $7.0 ▪ All credit assets are unlevered $6.3 $6.3 $5.3 $5.3 $4.6 ▪ Hedged 66% of our borrowing costs with a net $4.6 billion noti
Slide 9: IVR Value Proposition
IVR Value Proposition ▪ Seek to provide attractive risk-adjusted returns generated by real estate-related investments, primarily through dividends and secondarily through capital appreciation ▪ Enable investors to: – Capitalize on opportunities in our target assets, including residential and commerc
Slide 10: 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 11: 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 avai lable for distribution for the following periods: Three Months Ended Year Ended $ in thousands, except per share data December 31, 2
Slide 12: Appendix - Definitions
Appendix - Definitions Agency RMBS – 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
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