Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q3 2024 Earnings Presentation
13 slides from Invesco Mortgage Capital's earnings presentation, Nov 6, 2024
Slide 1: Third Quarter 2024 Earnings Call
Invesco Mortgage Capital Inc. Third Quarter 2024 Earnings Call November 6, 2024 John Anzalone Kevin Collins Mark Gregson David Lyle Brian Norris Chief Executive Officer President Interim 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 2024 Results
Q3 2024 Results Investment Allocation1 Financial results • Net income per common share of $0.63 • Earnings available for distribution per common share of $0.682 Credit Portfolio Agency RMBS 0.3% • Book value per common share of $9.373 $5.9 87.0% Agency CMO billion • Dividend per common share of $0.4
Slide 4: Macro Environment
Macro Environment Interest rates fell across the yield curve as investors anticipated monetary policy easing, and spreads on repurchase agreements moved sharply wider at quarter end before normalizing in October Treasury Yields Money Market Rates 5.0% 5.7% 5.5% 4.5% 5.3% 4.0% 5.1% 4.9% 3.5% 4.7% 3.0
Slide 5: Agency RMBS Market
Agency RMBS Market Valuations improved in the 3rd quarter as interest rates fell and the yield curve steepened, but have weakened recently due to increased interest rate volatility Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 100 $2.0 50 $1.5 0 $1.0 -50 $0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Allocation • Agency RMBS investment portfolio increased 12% to $5.1 12/31/23 6/30/24 9/30/24 30% billion in Q3 2024 ◦ Invested proceeds of ATM issuance into higher coupon specified pools 20% ◦ Rotated $200 million Agency TBA into 30-year 6% specified pools 10% ◦ Sold l
Slide 7: Agency CMBS Investments
Agency CMBS Investments Allocation • Added $214 million of Fannie DUS and $61 million of Freddie Multi PCs in Q3 2024 • Agency CMBS benefits from: Freddie Multi PCs ◦ Guarantee of principal and interest from the 26% issuing agency or federally chartered corporation ◦ Less sensitive to interest rate
Slide 8: Agency CMO and Credit Investments
Agency CMO and Credit Investments Agency CMO Allocation Credit Allocation 30 Year 3.5% 30 Year 2.0% 18% 9% Non-Agency RMBS 44% $18 30 Year 3.0% $73 14% million million Non-Agency CMBS 30 Year 2.5% 56% 59% • Q3 2024 Agency CMO characteristics • Non-Agency CMBS investment is collateralized by loans be
Slide 9: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Swap Portfolio Composition (in billions) Notional Amount Fixed Floating Years Maturities ($ millions) Pay Rate2 Receive Rate2 to Maturity2 $6.0 100% $5.0 90% Less than 3 years 1,730 1.93% 4.96% 2.1 $4.0 80% 3 to 5 years 575 0.33% 4.96% 3.4 $3.0 70% 5 to
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 September 30, 2024 June 30
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: $ 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 66
Slide 13: 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 security benefits when the prepayment rate o
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