Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q4 2020 Earnings Presentation
11 slides from Invesco Mortgage Capital's earnings presentation, Feb 23, 2021
Slide 1: Invesco Mortgage Capital Inc. Fourth Quarter 2020 Earnings Call
Invesco Mortgage Capital Inc. Fourth Quarter 2020 Earnings Call February 23, 2021 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 Litigat
Slide 3: Q4 2020 Results
Q4 2020 Results Investment Allocation(1) ▪ Financial results – Net income per common share of $0.59 – Core earnings per common share(2) of Agency RMBS $0.10 $10.0 98% – Book value per common share of $3.86 billion – Dividend per common share of $0.08 – Economic return of 13.5% Credit Portfolio 2% ▪
Slide 4: Macro Environment
Macro Environment Financial markets continued to be influenced by the COVID-19 pandemic, as massive monetary stimulus led to a steeper yield curve, attractive funding rates and muted volatility Treasury Yields Money Market Rates 3.0% 3.0 % 2.0% 2.0% 1.5% 1.5% 2.0% 2.0 % 1.0% 1.0% 1.0% 1.0 % 0.5% 0.5
Slide 5: Agency RMBS Market
Agency RMBS Market Significant Fed and commercial bank demand tightened spreads despite historically fast prepayment speeds and modestly weaker TBA dollar roll market Agency MBS Zero Vol Spread to Treasury Specified Pool Payups (150k Max, in Points) 200 200 6.0 6.0 150 150 4.0 4.0 100 100 2.0 2.0 50
Slide 6: Agency RMBS Investments
Agency RMBS Investments Specified Pool and TBA Allocation ▪ Increased investment in Agency RMBS by High LTV/Low TBA $3.4 billion in Q4 2020 18% FICO 9% – Purchased $3.1 billion of 30 year specified pools Investment – Added $800 million notional in 30 year TBAs Property Loan 15% – Sold $491 million o
Slide 7: Credit Investment Characteristics
Credit Investment Characteristics Credit Allocation ▪ 72% of credit investments are rated single-A or higher(1) Joint Ventures 10% ▪ Majority of non-Agency CMBS investments are collateralized by loans benefitting from property type diversification and improved underwriting Commercial $161 Non-Agency
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection (in billions)(1) ▪ Financed Agency RMBS purchases with repurchase agreements across 17 counterparties ▪ All credit assets are unlevered $7.2 $7.2 ▪ Repaid remaining secured loans in the third $6.2 $6.0 $6.3 $0.3 $5.2 $4.6 $5.2 quarter ▪ Weighted average i
Slide 9: IVR Value Proposition
IVR Value Proposition ▪ Seek to provide attractive risk-adjusted returns generated by real estate-related investments, primarily through dividends and secondarily through capital appreciation ▪ Enable investors to: – Capitalize on opportunities in our target assets, including residential and commerc
Slide 10: Appendix - Non-GAAP Financial Information
Appendix - Non-GAAP Financial Information We calculate core earnings as U.S. GAAP net income (loss) attributable to common stockholders adjusted for (gain) loss on investments, net; realized (gain) loss on derivative instruments, net; unrealized (gain) loss on derivative instruments, net; TBA dollar
Slide 11: 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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