Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q3 2023 Earnings Presentation
13 slides from Invesco Mortgage Capital's earnings presentation, Nov 7, 2023
Slide 1: Third Quarter 2023 Earnings Call
Invesco Mortgage Capital Inc. Third Quarter 2023 Earnings Call November 7, 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: Q3 2023 Results
Q3 2023 Results Investment Allocation1 Financial results • Net loss per common share of $1.62 • Earnings available for distribution per common share2 of $1.51 • Book value per common share of $9.93 Credit Portfolio $5.4 1% billion Agency RMBS 98% • Dividend per common share of $0.40 Agency CMO 1% •
Slide 4: Macro Environment
Macro Environment Interest rates increased sharply across the yield curve as investors priced in “higher for longer” monetary policy; Fed and bank balance sheet runoff continued, increasing supply of Agency MBS to the market Treasury Yields Money Market Rates 6.0% 6.0% 5.0% 5.0% 4.0% 4.0% 3.0% 3.0%
Slide 5: Agency RMBS performance was volatile intra-quarter; valuations pressured lower
Macro Environment Agency RMBS performance was volatile intra-quarter; Valuations were pressured lower due to elevated interest rate volatility and poor supply and demand dynamics Agency RMBS Performance vs. Treasuries1 Specified Pool Pay-ups (basis points) ($200k max, in points) 200 $2.0 100 $1.5 0
Slide 6: Agency RMBS Investments
Agency RMBS Investments Coupon Distribution 12/31/22 6/30/23 9/30/23 • Agency RMBS investment portfolio decreased 1% to $5.4 40% billion in Q3 2023 ◦ Purchased a net $238 million of specified pools to 30% invest proceeds from at-the-market common stock issuance program 20% ◦ Remained focused in high
Slide 7: Credit and Agency CMO Investments
Credit and Agency CMO Investments Credit Allocation Agency CMO Allocation Joint Ventures 2% 30 Year 2.0% 30 Year 3.5% 9% Non-Agency 17% RMBS 23% $34 30 Year 3.0% $78 13% million million Non-Agency 30 Year 2.5% CMBS 61% 75% • 83% of credit securities are rated double-A or higher • Q3 2023 Agency CMO
Slide 8: Financing & Hedging
Financing & Hedging Cost of Funds Protection1 Asset Yields and Funding Rates2 (in billions) 6.0% $6.0 120% 5.0% $5.0 100% $4.0 80% 4.0% $3.0 60% 3.0% $2.0 40% 2.0% $1.0 20% 1.0% $0.0 0% 0.0% Sept-22 Dec-22 Mar-23 Jun-23 Sept-23 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Repurchase Agreements Swaps Hedge Rat
Slide 9: Interest Rate Swaps
Interest Rate Swaps Notional Amount Payer Maturities ($ millions) Fixed Pay Rate1 Floating Receive Rate1 1 Years to Maturity Less than 3 years $ 950 0.32% 5.31% 2.1 3 to 5 years 1,975 0.35% 5.31% 4.2 5 to 7 years 1,175 0.46% 5.31% 6.6 7 to 10 years 750 1.10% 5.31% 7.5 10+ years 1,050 2.18% 5.31% 20.
Slide 10: Agency RMBS Investments – October Update
Agency RMBS Investments – October Update Coupon Distribution 6/30/23 9/30/23 10/31/23 • Given the sharp increase in interest rate volatility Agency 40% RMBS significantly underperformed swap hedges since quarter end 30% • As a result, management took the following actions in 20% October to mitigate
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 Septem ber 30, 2023 June 3
Slide 13: 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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