Slide 1: Second Quarter 2025 Earnings Call
Invesco Mortgage Capital Inc. Second Quarter 2025 Earnings Call July 25, 2025 John Anzalone Kevin Collins Mark Gregson 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: Q2 2025 Results
Q2 2025 Results Financial Results Investment Allocation Q2 25 Q1 25 Net income (loss) per common share ($0.40) $0.26 Agency RMBS Earnings available for distribution per $0.58 $0.64 81.4% common share1 $5.2 Common stock dividend per share $0.34 $0.34 billion Agency CMO Book value per common share2 $8
Slide 4: Macro Environment
Macro Environment The yield curve steepened in the second quarter as futures markets priced in additional cuts to the Fed Funds target rate, reflecting expectations of slower economic growth driven by trade policy concerns Treasury Yields Money Market Rates 5.0% 5.7% 4.5% 5.3% 4.0% 4.9% 3.5% 4.5% 3.
Slide 5: Agency RMBS Market
Agency RMBS Market Valuations declined in April as trade policy changes unsettled financial markets but rebounded notably by quarter end, supported by a downward trend in interest rate volatility in May and June Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points)
Slide 6: Agency RMBS Investments
Agency RMBS Investments • Agency RMBS investment portfolio decreased 15.1% to $4.2 Coupon Allocation 12/31/24 3/31/25 6/30/25 billion in Q2 2025 40% ◦ Net sold $0.8 billion in April to reduce leverage as trade policy uncertainty led to extreme market volatility 30% ◦ Sales were focused in low pay-up
Slide 7: Agency CMBS Investments
Agency CMBS Investments • Agency CMBS benefits from: Allocation ◦ Guarantee of principal and interest from the issuing agency or federally chartered corporation Freddie Multi PCs 19% ◦ Lower sensitivity to interest rate volatility than Agency RMBS given prepayment protection and balloon payments at
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Hedge Portfolio Composition (in billions) Treasury Futures Interest Rate $6.0 100% Notional Swap Notional Interest Rate Swap Maturities2 ($ millions) ($ millions) Pay Rate3 $5.0 90% $4.0 80% Less than 3 years - 1,380 0.31% $3.0 70% 3 to 5 years - 375 0.3
Slide 9: Capital Structure
Capital Structure Improved capital structure and reduced cost of capital by issuing common stock and repurchasing preferred stock As of June 30, 2025 As of June 30, 2024 Common Stock Preferred Stock Common Stock Preferred Stock NYSE Ticker IVR IVR-PC IVR IVR-PB IVR-PC Shares Outstanding 66.3 million
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 – Reconciliation of GAAP to Non-GAAP Financial Information
Appendix – Reconciliation of GAAP to Non-GAAP Financial Information Three Months Ended $ in thousands June 30, 2025 March 31, 2025 June 30, 2024 Net income (loss) attributable to common stockholders $ (26,567) $ 16,289 $ (18,766) Adjustments: (Gain) loss on investments, net 5,268 (82,158) 45,212 Rea
Slide 12: Appendix - Definitions
Appendix - Definitions Agency CMBS - Commercial mortgage-backed securities (“CMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie” or “FN”) or the Fe