Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — The Citizens JMP Financial Services Conference (November 2024)
13 slides from Invesco Mortgage Capital's conference presentation, Nov 12, 2024
Slide 1: Review of Third Quarter 2024 Earnings Call Presentation
Review of Third Quarter 2024 Earnings Call Presentation Dated November 6, 2024 November 12, 2024 Invesco Mortgage Capital Inc. David Lyle Chief Operating Officer Brian Norris Chief Investment Officer The Citizens JMP Financial Services Conference
Slide 2: Cautionary Notice Regarding Forward-Looking Statements
Cautionary Notice Regarding Forward-Looking Statements 2 This presentation 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 Litigation Reform Act of 1995, and such statements are in
Slide 3: Q3 2024 Results
Agency RMBS 87.0% Agency CMBS 11.5% Agency CMO 1.2% Credit Portfolio 0.3% Agency RMBS 85.1% Agency CMBS 4.4% Agency CMO 8.5% Credit Portfolio 2.0% $857 million Q3 2024 Results 3 Investment Allocation1 Equity Allocation $5.9 billion Financial results • Net income per common share of $0.63 • Earnings
Slide 4: Macro Environment
$2.2 $2.4 $2.6 $2.8 1/24 3/24 5/24 7/24 9/24 Fed MBS Holdings US Bank MBS Holdings 4.5% 4.7% 4.9% 5.1% 5.3% 5.5% 5.7% 1/24 3/24 5/24 7/24 9/24 Agency MBS Repo 1 Month SOFR 3 Month SOFR Macro Environment Interest rates fell across the yield curve as investors anticipated monetary policy easing, and s
Slide 5: Agency RMBS
Spread to Treasuries2 (basis points) 90 105 120 135 150 1/24 3/24 5/24 7/24 9/24 -2.0% 0.0% 2.0% 4.0% 6.0% 1/24 3/24 5/24 7/24 9/24 FN 5.5% FN 6.0% G2 5.5% G2 6.0% 1M SOFR $0.0 $0.5 $1.0 $1.5 $2.0 1/24 3/24 5/24 7/24 9/24 FN 4.0% FN 4.5% FN 5.0% FN 5.5% Performance vs. Treasuries1 (basis points) -10
Slide 6: Agency RMBS Investments
Agency RMBS Investments 0% 10% 20% 30% 4.0% 4.5% 5.0% 5.5% 6.0% 12/31/23 6/30/24 9/30/24 6 Coupon Allocation • Agency RMBS investment portfolio increased 12% to $5.1 billion in Q3 2024 ◦ Invested proceeds of ATM issuance into higher coupon specified pools ◦ Rotated $200 million Agency TBA into 30-ye
Slide 7: Agency CMBS Investments
40 50 60 70 80 1/24 3/24 5/24 7/24 9/24 11/24 Agency CMBS Investments 7 Allocation • Added $214 million of Fannie DUS and $61 million of Freddie Multi PCs in Q3 2024 • Agency CMBS benefits from: ◦ Guarantee of principal and interest from the issuing agency or federally chartered corporation ◦ Less s
Slide 8: Agency CMO and Credit Investments
Agency CMO and Credit Investments 8 • Non-Agency CMBS investment is collateralized by loans benefitting from property type diversification • Favorable subordination levels support credit investment valuations Agency CMO Allocation Non-Agency CMBS 56% Non-Agency RMBS 44% $18 million 30 Year 2.0% 9% 3
Slide 9: Financing & Hedging
Financing & Hedging 1. Chart reflects carrying value of repurchase agreement borrowings and total hedge notional (notional amount of interest rate swaps and U.S. Treasury futures) 2. Represents period-end weighted average as of September 30, 2024 3. Economic debt-to-equity ratio is a non-GAAP financ
Slide 10: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information 10 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 investm
Slide 11: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information 11 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: $ in thousands, except per share data September 30, 2024 June 30, 2024 September
Slide 12: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information 12 The table below provides the components of earnings available for distribution for the following periods: $ in thousands, except per share data September 30, 2024 June 30, 2024 September 30, 2023 Interest income $ 73,825 $ 68,028 $ 75,132 Interest expense
Slide 13: Appendix - Definitions
Appendix - Definitions 13 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 security benefits when the prepayment rat
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