Invesco Mortgage Capital Inc · NYSE:IVR

Invesco Mortgage Capital — 16th Annual Credit Suisse Financial Services Forum (February 2015)

15 slides from Invesco Mortgage Capital's conference presentation, Feb 10, 2015

1. Slide 1: Invesco Mortgage Capital Inc. 16th Annual Credit Suisse Financial Services Forum

   Invesco Mortgage Capital Inc. 16th Annual Credit Suisse Financial Services Forum February 10, 2015 Richard King President & Chief Executive Officer John Anzalone Chief Investment Officer

2. Slide 2: Forward-looking statements

   Forward-looking statements This presentation, and comments made in the associated conference today, may include “forward-looking statements” within the meaning of the U.S. securities laws as defined in the Private Securities Litigation Reform Act of 1995, and such statements are intended to be cover

3. Slide 3: IVR Executive Summary

   IVR Executive Summary Objectives  Attractive investment income  Stable book value Disciplines  Singular focus on mortgage income opportunities  Active approach to seeking return and managing risk  Seek to protect capital through detailed loan-level diligence Resources  Focused, experienced, pr

4. Slide 4: IVR Strategy: Reduced sensitivity to changes in interest rates

   IVR Strategy Active approach to seeking return and managing risk Reduced sensitivity to changes in interest rates  Higher cash flow stability in our assets makes it easier to hedge risk  Reduction of 30 year mortgage backed securities (MBS) dramatically reduced prepayment risk and cash flow variab

5. Slide 5: IVR Strategy: Increased exposure to newly underwritten loans

   IVR Strategy Active approach to seeking return and managing risk Increased exposure to newly underwritten loans  Examples of credit assets we purchase – High credit quality commercial mortgage backed securities (CMBS) with cash flow stability – Retained subordinates on residential securitizations –

6. Slide 6: IVR Strategy: One-third of equity invested in CRE debt

   IVR Strategy Active approach to seeking return and managing risk 1/3rd of our equity is invested in debt backed by Commercial Real Estate (CRE)(1)  Strong fundamentals support CRE loans and CMBS – Improving rents and occupancy rates – CRE valuations are supported by – the domestic economy – the low

7. Slide 7: The IVR Portfolio

   The IVR Portfolio

8. Slide 8: Portfolio Update

   Portfolio Update 8 Highlights:  Highly diversified portfolio – Residential & commercial – Agency & credit – New issue & legacy  2/3rds of equity allocated to credit – Fundamentals remain strong – Significantly less convexity risk than agency MBS  Limited exposure to interest rates – Modeled equit

9. Slide 9: Agency MBS

   Agency MBS 9 Highlights:  Decreased interest rate risk – 30 year exposure reduced from 72% of agencies to less than 50% over the last 4 quarters – 15 year and hybrid ARMs make up 46% of agencies, up from 28% a year ago  Convexity risk has been reduced – Fixed rate MBS is up in coupon, seasoned, an

10. Slide 10: Residential Mortgage Credit

    Residential Mortgage Credit 10 Highlights:  Senior Re-remics – Limited duration – Short cashflow – Top of capital structure  Legacy Residential Mortgage Backed Securities (RMBS) – Limited duration – Top of capital structure – Upside exposure to improved fundamentals  Re-performing RMBS – Limited

11. Slide 11: Commercial Mortgage Credit

    Commercial Mortgage Credit Highlights:  Legacy CMBS – 2005-7 mezzanine and junior AAA, short duration, improving fundamentals  Post 2010 A/BBB – 2010-13 production, relatively strong underwriting – Underlying property price appreciation  Post 2010 AAA/AA – Predominantly 2012-14 production with su

12. Slide 12: Financing & Hedging

    Financing & Hedging Highlights:  Diversified funding mix of repo, preferred stock, convertibles, securitizations and FHLBI advances  26 active repo counterparties  Weighted average remaining maturity of our liabilities is 345 days, up from 60 days at 12/31/13 12 (1) Average cost of funds is calcu

13. Slide 13: Investor Outcomes

    Investor Outcomes Attractive dividend and stable book value is our shareholder value proposition Over the long run our dividend has built shareholder value  IVR has paid an aggregate of $6.85 per share in quarterly dividends for the 3 years ending 12/31/14  In the 3 years ending 9/30/14 – IVR book

14. Slide 14: Appendix — Non-GAAP Financial Information

    Appendix — Non-GAAP Financial Information In addition to the results presented in accordance with U.S. GAAP, this presentation contains the non-GAAP financial measures of “core earnings”. The Company’s management uses core earnings in its internal analysis of results and believes this information is

15. Slide 15: Appendix — Non-GAAP Financial Information

    Appendix — Non-GAAP Financial Information 15 Source: Invesco Mortgage Capital, as of September 30, 2014

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