Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q1 2021 Earnings Presentation
11 slides from Invesco Mortgage Capital's earnings presentation, May 5, 2021
Slide 1: Invesco Mortgage Capital Inc. First Quarter 2021 Earnings Call
Invesco Mortgage Capital Inc. First Quarter 2021 Earnings Call May 6, 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 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 Litigat
Slide 3: Q1 2021 Results
Q1 2021 Results Investment Allocation(1) ▪ Financial results – Net loss per common share of $0.09 – Core earnings per common share (2) of Agency $0.11 RMBS $10.7 99% – Book value per common share of $3.65 at billion quarter end – Dividend per common share of $0.09 Credit Portfolio – Economic return
Slide 4: Macro Environment
Macro Environment Financial markets continued to be influenced by the COVID-19 pandemic, as massive monetary stimulus led to a steeper yield curve, attractive funding rates and muted volatility 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% 1.0 % 0.1% 0.1
Slide 5: Agency RMBS Market
Agency RMBS Market Significant Fed and commercial bank demand tightened spreads despite historically fast prepayment speeds and modestly weaker TBA dollar roll market Agency MBS Performance vs. Swaps (bps) Specified Pool Payups (150k Max, in Points) 300 300 6.0 6.0 250 250 200 200 150 150 4.0 4.0 10
Slide 6: Agency RMBS Investments
Agency RMBS Investments Specified Pool and TBA Allocation ▪ Increased investment in Agency RMBS to High LTV/Low TBA $10.5 billion in Q1 2021 FICO 15% 8% – Purchased $7.0 billion of 30 year specified pools Investment – Reduced notional of 30 year TBAs by $200 million New Property production 13% – Sol
Slide 7: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation ▪ 65% of credit investments are rated single-A or higher(1) Joint Ventures 11% ▪ Majority of non-Agency CMBS investments are collateralized by loans benefitting from property Commercial type diversification and improved underwriting Loan $138 Non-A
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection (in billions)(1) ▪ Financed Agency RMBS purchases with repurchase agreements across 18 counterparties ▪ All credit assets are unlevered $8.2 ▪ Period end weighted average interest rate for $7.2 $7.2 $7.2 $7.2 $5.2 $4.6 $6.2 $5.2 $6.0 $6.3 $6.3 $6.3 $6.3 o
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 We calculate core earnings as U.S. GAAP net income (loss) attributable to common stockholders adjusted for (gain) loss on investments, net; realized (gain) loss on derivative instruments, net; unrealized (gain) loss on derivative instruments, net; TBA dollar
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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