Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q1 2022 Earnings Presentation
12 slides from Invesco Mortgage Capital's earnings presentation, May 5, 2022
Slide 1: Invesco Mortgage Capital Inc. First Quarter 2022 Earnings Call
Invesco Mortgage Capital Inc. First Quarter 2022 Earnings Call May 5, 2022 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 press release, the related 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 th
Slide 3: Q1 2022 Results
Q1 2022 Results Investment Allocation(1) ▪ Financial results – Net loss per common share of $0.72 – Earnings available for distribution per common share(2) of $0.12 $8.1 Agency RMBS – Book value per common share for the first 92% US Treasuries billion quarter of 2022 decreased 28.5% to $2.08 6% and
Slide 4: Macro Environment
Macro Environment The Federal Reserve’s accelerated timeline for monetary policy tightening combined with an escalation of geopolitical risks has flattened the yield curve Treasury Yields Money Market Rates 3.0% 3.0% 0.9% 0.9% 0.8% 0.8% 0.7% 0.7% 2.0% 2.0% 0.6% 0.6% 0.5% 0.5% 0.4% 0.4% 1.0% 1.0% 0.3
Slide 5: Agency RMBS Market
Agency RMBS Market Agency RMBS underperformance intensified as the Federal Reserve’s net purchases ended and investors began to price in expectations of a swifter pace of balance sheet normalization Agency MBS Performance vs. Swaps Specified Pool Pay-ups (basis points) ($150k max, in points) 0 0 4.0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution ▪ Agency RMBS investment portfolio decreased by ($ billions) 3/31/2021 20.2% to $7.5 billion $5.8 12/31/2021 – Reduced investments through $1.5 billion of 30-year 3/31/2022 specified pool sales and $0.2 billion of paydowns $4.4 $4.1 – Improved prospective
Slide 7: Active Management
Active Management ▪ Since March 31, 2021, we’ve reduced our Agency Net Sales & Paydowns ($ billions) RMBS investments through sales and paydowns 1.2 by $4.0 billion (approximately 38%) 1.0 ▪ Sales accelerated during the 4 th quarter as the 0.8 Federal Reserve pivoted towards a significantly 0.6 more
Slide 8: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation ▪ 90% of credit securities are rated single-A or Joint Ventures 5% higher(1) ▪ Majority of non-Agency CMBS investments are Commercial collateralized by loans benefitting from property Loan 24% type diversification and improved underwriting $98 foll
Slide 9: Financing & Hedging
Financing & Hedging Cost of Funds Protection(1)(2) ▪ Financed Agency RMBS investments with (in billions) repurchase agreements across 18 $8.2 $7.9 $7.9 counterparties $7.0 $6.3 ▪ All credit assets are unlevered $5.8 $5.3 $5.3 $4.6 $4.5 ▪ Hedged 78% of our borrowing costs with a net $4.5 billion noti
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 avai lable for distribution for the following periods: Three Months Ended $ in thousands, except per share data March 31, 2022 December 3
Slide 12: Appendix - Definitions
Appendix - Definitions Agency RMBS – Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae") or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae
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