Q1 2025 Invesco Mortgage Capital Inc. Earnings Conference Call

John Anzalone

Chief Executive Officer

Kevin Collins

President

Mark Gregson

Chief Financial Officer

David Lyle

Chief Operating Officer

Brian Norris

Chief Investment Officer

Non-Agency RMBS

0.1%

Agency CMO

1.2%

Agency CMBS

15.0%

• Issued $36.0 million of common stock under the at-the-market program

• Repurchased Series C Preferred Stock with a carrying value of $2.2 million

• Held $372 million of unrestricted cash and unencumbered investments at quarter end

1. Earnings available for distribution is a non-GAAP financial measure. Refer to Appendix for additional information

2. Refer to Appendix for additional information

Past performance is not a guarantee of future results $5.9 billion

Agency RMBS

83.7%

Macro Environment

Interest rates declined across the yield curve and expectations for monetary policy adjusted lower as trade wars threatened the global economy, increasing the risk of a recession in the U.S.

Treasury Yields Money Market Rates

5.0%

4.5%

4.0%

3.5%

3.0%

0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr

3/31/2024 12/31/2024 3/31/2025 4/30/2025

5.7%

5.3%

4.9%

4.5%

4.1%

4/24 6/24 8/24 10/24 12/24 2/25 4/25

Agency MBS Repo 1 Month SOFR 3 Month SOFR

Federal Funds Futures

4.5%

Agency MBS Holdings

(in trillions)

$2.8

4.0% $2.6

3.5% $2.4

3.0% $2.2

2.5%

4/25 10/25 4/26 10/26 4/27 10/27

3/31/2024 12/31/2024 3/31/2025 4/30/2025 Current

$2.0

4/24 6/24 8/24 10/24 12/24 2/25 4/25

Fed MBS Holdings US Bank MBS Holdings

Agency RMBS Market

Valuations improved to start the year as interest rate volatility trended lower but deteriorated as trade policy uncertainty led to a broader selloff in risk assets

Performance vs. Treasuries1

(basis points)

150

100

50

0

-50

-100

4/24 6/24 8/24 10/24 12/24 2/25 4/25

Spread to Treasuries2

(basis points)

150

135

120

105

90

4/24 6/24 8/24 10/24 12/24 2/25 4/25

1. 30 year current coupon hedged performance vs. Treasuries

2. 30 year current coupon zero volatility spread to Treasuries

Specified Pool Pay-ups

($200k max, in points)

$2.0

$1.5

$1.0

$0.5

$0.0

4/24 6/24 8/24 10/24 12/24 2/25 4/25

FN 5.0% FN 5.5% FN 6.0% FN 6.5%

Dollar Roll Implied Financing Rate

6.5%

5.5%

4.5%

3.5%

2.5%

4/24 6/24 8/24 10/24 12/24 2/25 4/25

FN 5.0% FN 5.5% FN 6.0%

FN 6.5% 1M SOFR