Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q1 2023 Earnings Presentation
11 slides from Invesco Mortgage Capital's earnings presentation, May 10, 2023
Slide 1: Invesco Mortgage Capital Inc. First Quarter 2023 Earnings Call
Invesco Mortgage Capital Inc. First Quarter 2023 Earnings Call May 10, 2023 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: Q1 2023 Results
Q1 2023 Results Investment Allocation1 Financial results • Net income per common share of $0.39 • Earnings available for distribution per common share2 of $1.50 • Book value per common share of $12.61 Credit Portfolio $5.4 1% Agency RMBS billion 98% • Dividend per common share of $0.40 Agency CMO 1%
Slide 4: Macro Environment
Macro Environment Interest rate volatility remained elevated during the first quarter of 2023, as economic data raised concerns about the pace of disinflation while turmoil in the banking industry sparked a flight to quality in March Treasury Yields Money Market Rates 5.0% 6.0% 5.0% 4.0% 4.0% 3.0% 2
Slide 5: Macro Environment
Macro Environment After strong performance in January, Agency RMBS valuations were pressured lower as the banking turmoil in March led to concerns of forced liquidations and broader contagion Agency RMBS Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 0 $2.0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution 9/30/22 12/31/22 3/31/23 • Agency RMBS investment portfolio increased 14% to $5.4 40% billion in Q1 2023 ◦ Purchased a net $667 million of specified pools to 30% invest proceeds from the Q1 2023 at-the-market program and increase leverage 20% ◦ Remained fo
Slide 7: Credit and Agency CMO Investments
Credit and Agency CMO Investments Credit Allocation Agency CMO Allocation Joint Ventures 1% 30 Year 2.0% Non-Agency 30 Year 3.5% 9% RMBS 18% 18% $45 30 Year 3.0% $81 million 13% million 30 Year 2.5% Non-Agency 60% CMBS 81% • 87% of credit securities are rated single-A or higher • Q1 2023 Agency CMO
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 • Financed Agency RMBS investments with repurchase agreements (in billions) across 18 counterparties $6.0 • All credit assets are unlevered $4.0 • Hedged 93% of our borrowing costs with a net $4.5 billion notional pay fixed / receive floating interest ra
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 March 31, 2023 December 31
Slide 11: 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 stream benefits when the prepayment rate on
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