Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q2 2026 Earnings Presentation
23 slides from Invesco Mortgage Capital's earnings presentation, Jul 31, 2026
Slide 1: Second Quarter 2026 Earnings Call
Invesco Mortgage Capital Inc. Second Quarter 2026 Earnings Call July 31, 2026 Kevin Collins Chief Executive Officer David Lyle President Brian Norris Chief Investment Officer Mark Gregson Chief Financial Officer
Slide 2: Important notices
Important notices 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 Litigation Reform
Slide 3: Our approach
Our approach Our team Our business Investors with extensive experience managing agency mortgage We invest in Agency RMBS and CMBS assets through secured securities across a wide range of market environments. funding markets. We actively hedge interest rate risk and seek to generate net interest inco
Slide 4: Second quarter highlights
Second quarter highlights Key metrics Performance Capital highlights $8.03 3.8% $118.0M Book value per share1 Economic return2 Common equity issued through ATM program $0.36 $0.34 $821.8M Common dividends Net income (loss) per share Total common equity3 per share 7.5x $0.50 18.2% Economic debt-to-eq
Slide 5: Macro environment
Macro environment Treasury yields Money market rates The Treasury yield curve 5.5% 5.0% bear flattened as 2-year 5.0% yields rose significantly while 4.5% 4.5% 10- and 30-year yields were moderately higher 4.0% 4.0% 3.5% Expectations for the Fed 3.0% 3.5% 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr 6/25
Slide 6: Agency MBS market
Agency MBS market Agency RMBS spread to Treasuries1 Specified pool pay-ups Higher coupon Agency (basis points) ($200k max, in points) RMBS performed well during 150 $2.5 the quarter as moderating $2.0 125 interest rate volatility, $1.5 supportive supply and 100 $1.0 demand technicals, and an $0.5 at
Slide 7: Portfolio allocation
Portfolio allocation 25.9% 26.2% 26.3% 26.4% Investment portfolio increased 12.4% to $8.2 billion in Q2 2026 20.1% • Net purchased $1.1 billion 18.4% 16.5% during the quarter to invest 15.4% proceeds from ATM issuance 11.9% 11.1% and paydowns • Purchases primarily consisted of Agency RMBS specified
Slide 8: Financing
Financing As of June 30, 2026 As of March 31, 2026 Funding Type Amount % Rate Amount % Rate Funding characteristics Repurchase Agreements $6,210 83.8% 3.76% $5,339 81.1% 3.80% • Financed Agency RMBS and CMBS investments with Agency TBA1 1,200 16.2% N/A 1,247 18.9% N/A repurchase agreements across To
Slide 9: Hedging portfolio
Hedging portfolio Hedge portfolio composition Hedge portfolio As of June 30, 2026 As of March 31, 2026 • Our hedge portfolio totaled Instrument type Notional % Duration1 Notional % Duration1 $6.0 billion and covered 97% of Interest rate swaps $4,765 78.8% 5.0 $4,115 80.6% 5.0 our repurchase agreemen
Slide 10: Sensitivity analysis
Sensitivity analysis Sensitivity to instantaneous interest rate changes1 We seek to limit the impact of Estimated percentage change in book value per common share changes in interest rates by Interest rate (basis points) As of June 30, 2026 As of March 31, 2026 dynamically hedging, primarily +75 (6.
Slide 11: Historical information
Historical information
Slide 12: Historical overview
Historical overview Economic return Common dividends per share 15% $0.50 10% 8.7% $0.40 $0.40 $0.40 8.0% $0.40 $0.36 $0.36 $0.36 5.4% $0.34 $0.34 $0.34 5% 3.8% 2.6% $0.30 0% (0.5)% $0.20 (5)% (3.2)% (4.1)% (4.8)% (10)% $0.10 (15)% $0.00 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 2024 2024
Slide 13: Historical portfolio metrics
Historical portfolio metrics Investment portfolio1 Debt-to-equity and economic debt-to-equity ratio2 $10.0B $8.2 8.0x 7.5x 7.5x $8.0B $7.3 $6.3 $1.2 7.1x $5.9 $5.9 7.0x $5.7 $1.2 $0.9 $6.0B $5.4 $5.2 6.7x 6.7x $5.0 $0.9 7.0x 6.5x $0.7 $0.9 $0.9 $0.9 $0.8 6.3x $0.9 6.1x 6.1x $4.0B 5.9x $5.1 $5.3 $5.1
Slide 14: Historical operating metrics
Historical operating metrics Cash and unencumbered investments (“CUB”)1 Average earning asset yields2 $800M 70% 6.5% 61% 59% 57% 56% 55% $600M 55% 60% 6.0% 53% 5.61% 5.60% 51% 5.56% 49% 5.45% 5.42% 5.31% 5.31% 5.36% $400M 50% 5.5% 5.15% $521 $548 $446 $453 $493 $200M $389 $372 $362 $423 40% 5.0% $0M
Slide 15: Supplemental information
Supplemental information
Slide 16: Portfolio details
Portfolio details % of total WAVG WAVG pay-up Fair value portfolio Market yield1 Duration2 loan age3 to TBA4 1-month CPR5 Agency CMBS $902 11.1% 4.68% 6.3 27 - 0.0% Agency CMO $64 0.8% 6.05% (0.2) 67 - 7.8% Agency RMBS: 4.5% Coupon 1,257 15.4% 5.08% 5.7 30 0.61 9.3% 5.0% Coupon 1,591 19.5% 5.15% 4.9
Slide 17: Balance sheets
Balance sheets $ in thousands, except share amounts, unaudited 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 Mortgage-backed securities, at fair value $6,949,909 $6,026,208 $6,276,609 $5,749,238 $5,185,559 Cash and cash equivalents 73,381 52,598 56,040 58,539 59,396 Restricted cash 167,155 138,
Slide 18: Statements of comprehensive income (loss)
Statements of comprehensive income (loss) $ in thousands, except share amounts, unaudited Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Interest income $85,408 $79,641 $77,901 $72,916 $70,624 Interest expense 55,308 52,593 56,643 55,302 52,895 Net interest income $30,100 $27,048 $21,258 $17,614 $17,729 Ga
Slide 19: Calculation of non-GAAP measures
Calculation of non-GAAP measures Effective cost of funds / Effective interest rate margin $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Total interest expense $55,308 $52,593 $56,643 $55,302 $52,895 Contractual net interest (income) expense on interest rate swaps1 (20,757) (21,578) (26,396)
Slide 20: Calculation of non-GAAP measures, continued
Calculation of non-GAAP measures, continued Components of earnings available for distribution $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Effective net interest income $50,857 $48,626 $47,654 $46,752 $46,360 TBA dollar roll income1 4,857 4,166 — — — Total expenses (5,454) (4,891) (4,565)
Slide 21: Footnotes
Footnotes Slide 3 Slide 6 1. Agency MBS ranked second among U.S. Fixed Income markets in average daily trading volume in 1. 30-year Agency RMBS current coupon zero volatility spread to U.S. Treasuries. 2025 at $354.0B, after U.S. Treasuries at $1,055.5B and ahead of corporate bonds at $57.9B Source:
Slide 22: Footnotes, continued
Footnotes, continued Slide 10 Slide 14 1. Represents the estimated impact of an instantaneous parallel shift in the U.S. Treasury yield curve 1. Represents the total of unrestricted cash and unencumbered investments. on book value per common share. 2. Calculated by dividing annualized interest incom
Slide 23: Footnotes, continued
Footnotes, continued Slide 19 1. Reported as a component of gain (loss) on derivative instruments, net on the statements of comprehensive income. 2. Represents a non-GAAP financial measure and is calculated as total U.S. GAAP interest expense adjusted for contractual interest income or expense on in
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