Q2 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

Company Activity

• Issued $2.2 million of common stock under the at-the-market program

• Repurchased Series C Preferred Stock with a carrying value of $2.3 million

• Held $362 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 Macro Environment

The yield curve steepened in the second quarter as futures markets priced in additional cuts to the Fed Funds target rate, reflecting expectations of slower economic growth driven by trade policy concerns

Treasury Yields Money Market Rates

5.0%

4.5%

4.0%

3.5%

5.7%

5.3%

4.9%

4.5%

3.0%

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

6/30/2024 3/31/2025 6/30/2025

4.1%

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

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%

6/25 12/25 6/26 12/26 6/27 12/27

6/30/2024 3/31/2025 6/30/2025 Current

$2.0

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

Fed MBS Holdings US Bank MBS Holdings

Agency RMBS Market

Valuations declined in April as trade policy changes unsettled financial markets but rebounded notably by quarter end, supported by a downward trend in interest rate volatility in May and June

Performance vs. Treasuries1

(basis points)

150

100

50

0

-50

-100

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

Spread to Treasuries2

(basis points)

150

135

120

105

90

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

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

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

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%

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

FN 5.0% FN 5.5% FN 6.0% FN 6.5% 1M SOFR