Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q4 2023 Earnings Presentation
14 slides from Invesco Mortgage Capital's earnings presentation, Feb 23, 2024
Slide 1: Invesco Mortgage Capital Inc. Fourth Quarter 2023 Earnings Call
Invesco Mortgage Capital Inc. Fourth Quarter 2023 Earnings Call February 23, 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: Q4 2023 Results
Q4 2023 Results Investment Allocation1 Financial results • Net income per common share of $0.46 • Earnings available for distribution per common share2 of $0.95 US Treasury 0.2% • Book value per common share of $10.003 $5.1 Credit Portfolio Agency RMBS 0.4% billion 97.9% • Dividend per common share
Slide 4: Macro Environment
Macro Environment Interest rates rallied across the yield curve as economic data supported market expectations for a soft landing; Futures market pricing in at least one 25 basis point cut in the Fed Funds target rate in the first half of 2024 Treasury Yields Money Market Rates 6.0% 6.0% 5.5% 5.0% 5
Slide 5: Agency RMBS Market
Agency RMBS Market Valuations were pressured lower in October due to elevated interest rate volatility before rebounding sharply into year-end; Specified pool pay-ups improved as interest rates declined Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 200 $2.0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution • Reduced Agency RMBS investment portfolio 7% to $5.0 12/31/22 9/30/23 12/31/23 40% billion in Q4 2023 ◦ Sold $0.5 billion net in specified pools as elevated 30% interest rate and spread volatility in October warranted a modest reduction in risk 20% ◦ Impr
Slide 7: Agency CMO and Credit Investments
Agency CMO and Credit Investments Agency CMO Allocation Credit Allocation Joint Ventures 30 Year 3.5% 30 Year 2.0% 3% 17% 9% Non-Agency RMBS 30 Year 3.0% $75 44% $19 13% million million Non-Agency CMBS 53% 30 Year 2.5% 61% • Q4 2023 Agency CMO characteristics • 68% of credit securities are rated dou
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Swap Portfolio Composition (in billions) Notional Amount Fixed Floating Years $6.0 100% Maturities ($ millions) Pay Rate2 Receive Rate2 to Maturity2 $5.0 90% $4.0 80% Less than 3 years 950 2.55% 5.38% 1.6 $3.0 70% 3 to 5 years 1,375 0.29% 5.38% 3.8 $2.0
Slide 9: Interest Rate Margin
Interest Rate Margin Asset Yields and Funding Rates1 Interest Rate Margin2 6.0% 6.0% 5.0% 5.0% 5.85% 5.84% 5.30% 5.51% 4.0% 5.03% 4.0% 3.0% 1.98% 3.0% 2.0% 1.08% 2.0% 0.48% 1.0% 0.11% -0.12% 1.0% 0.0% 0.0% -1.0% Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Q4-22 Q1-23 Q2-23 Q3-23 Q4-23 Swap Pay Rate Swap Rece
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 December 31, 2023 Septembe
Slide 12: 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 December 31, 2023 September 30, 2023 December 31, 2022 Interest income $ 62,082 $ 75,132 $ 58,0
Slide 13: 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 December 31, September 30, June 30, March 31, December 31,
Slide 14: 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
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