Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q3 2022 Earnings Presentation
11 slides from Invesco Mortgage Capital's earnings presentation, Nov 3, 2022
Slide 1: Invesco Mortgage Capital Inc. Third Quarter 2022 Earnings Call
Invesco Mortgage Capital Inc. Third Quarter 2022 Earnings Call November 3, 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 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: Q3 2022 Results
Q3 2022 Results Investment Allocation1 Financial results • Net loss per common share of $2.78 • Earnings available for distribution per common share2 of $1.39 • Book value per common share of $12.80 Credit Portfolio $4.5 • Dividend per common share of $0.65 2% billion Agency RMBS 97% • Economic retu
Slide 4: Macro Environment
Macro Environment As elevated inflation persisted, the acceleration of monetary policy tightening by the Federal Reserve pushed interest rates higher; Fed and bank holdings of Agency MBS declined modestly Treasury Yields Money Market Rates 5.0% 5.0% 4.0% 4.0% 3.0% 3.0% 2.0% 2.0% 1.0% 1.0% 0.0% 0 yr
Slide 5: Macro Environment
Macro Environment Heightened interest rate volatility and the Fed’s tightening of monetary policy weighed on Agency RMBS valuations; specified pool pay-ups continued to decline as 30-year mortgage rates surpassed 6% Agency RMBS Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution ($ billions) • Agency RMBS investment portfolio increased to $4.4 billion 9/30/21 6/30/22 9/30/22 ◦ Increased average earning asset yields by rotating $1.3 billion $4.0 lower coupon investments into more attractive higher coupon investments $3.0 ◦ Rotated
Slide 7: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation Credit Securities by Rating1 Joint Ventures 5% A 24% Commercial Loan 33% AA $72 59% $45 million million Non-Agency Other CMBS 13% 52% AAA Non-Agency 4% RMBS 10% • 87% of credit securities are rated single-A or higher1 • Majority of non-Agency CMBS
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 • Financed Agency RMBS investments with repurchase agreements (in billions) across 17 counterparties $10.0 $8.0 • All credit assets are unlevered $6.0 • Hedged 80% of our borrowing costs with a net $3.1 billion notional $4.0 pay fixed / receive floating
Slide 9: 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 10: 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 September 30, 2022 June 30
Slide 11: 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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