Invesco Mortgage Capital : Q1 2026 Invesco Mortgage Capital Inc. Earnings Conference Call

About this update from Invesco Mortgage Capital Inc

Invesco Mortgage Capital Inc. First Quarter 2026 Earnings Call May 1, 2026 Kevin Collins Chief Executive Officer Dave Lyle President Mark Gregson Chief Financial Officer Brian Norris Chief Investment Officer Q1 2026 Results Q1 26 ($0.28) Q4 25 $0.68 Financial Results Investment Allocation Earnings available for distribution per common share1 $0.55 $0.56 Common stock dividends per share $0.36 $0.36 Book value per common share2 $8.08 $8.72 Economic return2 (3.2%) 8.0% Debt-to-equity ratio 6.1x 7.0x Economic debt-to-equity ratio1 7.5x 7.0x Company Activity Net income (loss) per common share Agency RMBS 70.2% $7.3 billion Agency CMBS 11.9% Agency CMO 1.0% Agency TBA 16.9% Raised $133.6 million, net of issuance costs, through our at-the-market common stock program Repurchased Series C Preferred Stock with a carrying value of $1.6 million Held $493.1 million of unrestricted cash and unencumbered investments at quarter end Earnings available for distribution and economic debt-to-equity ratio are non-GAAP financial measures. Refer to Appendix for additional information Refer to Appendix for additional information Past performance is not a guarantee of future results Macro Environment The yield curve bear flattened as increased inflationary pressures reduced expectations for near-term easing of monetary policy, leading to a sharp reversal in the recent downward trend of interest rate volatility Treasury Yields Money Market Rates 5.5% 5.0% 4.5% 4.0% 3.5% 5.0% 4.5% 4.0% 3.0% 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr 3/31/2025 12/31/2025 3/31/2026 3.5% 3/25 6/25 9/25 12/25 3/26 Agency MBS Repo 1 Month SOFR 3 Month SOFR Federal Funds Futures 4.5% Interest Rate Volatility (basis points) 140 4.0% 120 3.5% 100 3.0% 80 2.5% 3/26 9/26 3/27 9/27 3/28 9/28 3/31/2025 12/31/2025 3/31/2026 Current 60 3/25 6/25 9/25 12/25 3/26 3M X 10Y Swaption Volatility 3Y X 10Y Swaption Volatility Agency RMBS Market Agency mortgages performed well in January, supported by the GSE MBS purchase program announcement, but underperformed into quarter end as the Middle East conflict led to increased interest rate volatility Performance vs. Treasuries1 (basis points) 300 Specified Pool Pay-ups ($200k max, in points) $2.5 200 $2.0 100 $1.5 0 $1.0 (100) (200) 3/25 6/25 9/25 12/25 3/26 Spread to Treasuries2 (basis points) 150 125 100 75 $0.5 $0.0 3/25 6/25 9/25 12/25 3/26 FNMA 4.5% FNMA 5.0% FNMA 5.5% FN...

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