Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q2 2021 Earnings Presentation
12 slides from Invesco Mortgage Capital's earnings presentation, Aug 5, 2021
Slide 1: Invesco Mortgage Capital Inc. Second Quarter 2021 Earnings Call
Invesco Mortgage Capital Inc. Second Quarter 2021 Earnings Call August 5, 2021 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: Q2 2021 Results
Q2 2021 Results Investment Allocation(1) ▪ Financial results – Net loss per common share of $0.34 – Earnings available for distribution per Agency common share(2) of $0.10 RMBS $10.3 99% – Book value per common share of $3.21 at billion quarter end – Dividend per common share of $0.09 Credit – Econo
Slide 4: Macro Environment
Macro Environment Long-dated Treasury yields and swap spreads declined sharply, amidst a hawkish shift in the Federal Reserve and increasing concerns on the impact of the Delta variant on the economic recovery Treasury Yields Money Market Rates 3.0% 3.0 % 0.4% 0.4% 0.3% 0.3% 2.0% 2.0 % 0.2% 0.2% 1.0
Slide 5: Agency RMBS Market
Agency RMBS Market An increased probability of an earlier than expected tapering of asset purchases led to lower valuations on lower coupons, while higher coupons were negatively impacted by lower mortgage rates Agency MBS Performance vs. Swaps Specified Pool Payups (basis points) ($150k max, in poi
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution (in billions) ▪ Reduced investment in Agency RMBS by 3.2% to $10.2 billion given headwinds for the sector $5.8 3/31/2021 – Rotated $2.4 billion of lower yielding, higher pay-up pools 6/30/2021 into higher yielding, lower pay-up pools to reduce pay-up $4.1
Slide 7: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation ▪ 90% of credit investments are rated single-A or Joint Ventures higher(1) 13% ▪ Majority of non-Agency CMBS investments are collateralized by loans benefitting from property Commercial type diversification and improved underwriting Loan $108 Non-A
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection (in billions)(1)(2) ▪ Financed Agency RMBS investments with repurchase agreements across 18 $8.2 counterparties $7.9 $7.2 $6.3 $6.3 ▪ All credit assets are unlevered $5.2 $5.3 $4.6 ▪ Hedged 67% of our borrowing costs with a net $5.3 billion notional of pa
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 Six Months Ended $ in thousands, except per share data June 30,
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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