Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q2 2023 Earnings Presentation
12 slides from Invesco Mortgage Capital's earnings presentation, Aug 4, 2023
Slide 1: Second Quarter 2023 Earnings Call
Invesco Mortgage Capital Inc. Second Quarter 2023 Earnings Call August 4, 2023 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: Q2 2023 Results
Q2 2023 Results Investment Allocation1 Financial results • Net loss per common share of $0.03 • Earnings available for distribution per common share2 of $1.45 • Book value per common share of $11.98 Credit Portfolio $5.5 1% billion Agency RMBS 98% • Dividend per common share of $0.40 Agency CMO 1% •
Slide 4: Macro Environment
Macro Environment Interest rates retraced first quarter declines as concerns regarding the banking industry, debt ceiling negotiations and a potential recession dissipated; Fed Funds futures priced in “higher for longer” policy Treasury Yields Money Market Rates 5.0% 6.0% 5.0% 4.0% 4.0% 3.0% 2.0% 1.
Slide 5: Macro Environment
Macro Environment Agency RMBS performance improved as interest rate volatility declined; Specified pool pay-ups were pressured lower by higher interest rates and a faster than expected pace of sales from FDIC portfolio Agency RMBS Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($2
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution 12/31/22 3/31/23 6/30/23 • Agency RMBS investment portfolio increased 1% to $5.5 40% billion in Q2 2023 ◦ Purchased a net $259 million of specified pools to 30% invest proceeds from the Q2 2023 at-the-market common stock issuance program 20% ◦ Remained foc
Slide 7: Credit and Agency CMO Investments
Credit and Agency CMO Investments Credit Allocation Agency CMO Allocation Joint Ventures 1% 30 Year 2.0% Non-Agency 30 Year 3.5% 9% RMBS 18% 18% $45 30 Year 3.0% $78 million 13% million 30 Year 2.5% Non-Agency 60% CMBS 81% • 87% of credit securities are rated single-A or higher • Q2 2023 Agency CMO
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Asset Yields and Funding Rates2 (in billions) 6.0% $6.0 100% 5.0% $5.0 80% $4.0 4.0% 60% $3.0 3.0% 40% $2.0 2.0% $1.0 20% 1.0% $0.0 0% 0.0% Jun-22 Sept-22 Dec-22 Mar-23 Jun-23 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Repurchase Agreements Swaps Hedge Ratio (RH
Slide 9: Interest Rate Swaps
Interest Rate Swaps Notional Amount 1 Floating Receive Rate1 1,2 Payer Maturities ($ millions) Fixed Pay Rate Years to Maturity Less than 3 years $ 2,050 0.18% 5.09% 1.9 3 to 5 years 1,475 0.27% 5.09% 4.2 5 to 7 years 850 0.38% 5.09% 5.7 7 to 10 years 1,425 0.55% 5.09% 7.3 10+ years 500 1.92% 5.09%
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 available for distribution for the following periods: Three Months Ended $ in thousands, except per share data June 30, 2023 March 31, 20
Slide 12: 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 stream benefits when the prepayment rate on
Invesco Mortgage Capital — Q2 2023 Earnings Presentation on 6ix