Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q2 2024 Earnings Presentation
15 slides from Invesco Mortgage Capital's earnings presentation, Aug 9, 2024
Slide 1: Second Quarter 2024 Earnings Call
Invesco Mortgage Capital Inc. Second Quarter 2024 Earnings Call August 9, 2024 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: Q2 2024 Results
Q2 2024 Results Investment Allocation1 Financial results • Net loss per common share of $0.38 • Earnings available for distribution per common share of $0.862 Credit Portfolio 0.4% Agency RMBS • Book value per common share of $9.273 $5.0 90.5% Agency CMO billion • Dividend per common share of $0.40
Slide 4: Macro Environment
Macro Environment Interest rates rose across the yield curve as investor expectations for looser fiscal policy took hold; Spreads on repurchase agreements widened given concerns about increased Treasury supply Treasury Yields Money Market Rates 5.0% 5.8% 5.6% 4.0% 5.4% 5.2% 3.0% 5.0% 0 yr 5 yr 10 yr
Slide 5: Agency RMBS Market
Agency RMBS Market Valuations rebounded from a poor start to the quarter as the disinflationary trend in economic data resumed, but weakened into quarter end given an increase in interest rate volatility Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 200 $1.
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Allocation • Agency RMBS investment portfolio declined slightly to $4.6 12/31/23 3/31/24 6/30/24 30% billion in Q2 2024 ◦ Sold $158 million net in specified pools ◦ Sales concentrated in lower coupon holdings given 20% less attractive valuations lower in the coupon sta
Slide 7: Agency CMBS Investments
Agency CMBS Investments Allocation • Added $120 million of Fannie Mae Delegated Underwriting and Servicing MBS (Fannie DUS) and Freddie Mac Multi-Family Participation Certificates (Freddie Multi PCs) in Q2 2024 Freddie Multi PCs 29% • Benefit from a guarantee of principal and interest from the issui
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% 17% 9% Non-Agency RMBS 42% 30 Year 3.0% $75 $18 14% million million Non-Agency CMBS 30 Year 2.5% 58% 60% • Q2 2024 Agency CMO characteristics • 70% of credit securities are rated double-A or higher ◦
Slide 9: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Swap Portfolio Composition (in billions) Notional Amount Fixed Floating Years Maturities ($ millions) Pay Rate2 Receive Rate2 to Maturity2 $6.0 100% $5.0 90% Less than 3 years 180 0.48% 5.33% 1.6 $4.0 80% 3 to 5 years 1,375 0.29% 5.33% 3.3 $3.0 70% 5 to
Slide 10: Interest Rate Margin
Interest Rate Margin Asset Yields and Funding Rates1 Interest Rate Margin2 6.0% 6.0% 5.0% 5.0% 5.84% 5.51% 4.0% 5.03% 4.0% 3.0% 4.05% 4.09% 3.0% 2.0% 2.0% 0.48% 1.0% 0.11% -0.05% 0.02% -0.12% 1.0% 0.0% 0.0% -1.0% Jun-23 Sep-23 Dec-23 Mar-24 Jun-24 Q2-23 Q3-23 Q4-23 Q1-24 Q2-24 Swap Pay Rate Swap Rec
Slide 11: 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 12: 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 June 30, 2024 March 31, 20
Slide 13: 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 June 30, 2024 March 31, 2024 June 30, 2023 Interest income $ 68,028 $ 68,583 $ 71,428 Interest expense 59,393 61,5
Slide 14: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information The table below reconciles U.S. GAAP net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods: Three Months Ended June 30, March 31, December 31, September 30, June 30, 2024
Slide 15: 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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