Q4 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

Q4 2025 Results Q4 25

$0.68

Q3 25

$0.74

$0.56

$0.58

$0.36

$0.34

$8.72

8.0%

7.0x

$8.41

8.7%

6.7x

Financial Results Investment Allocation

Net income (loss) per common share

Earnings available for distribution per common share1

Common stock dividend per share Book value per common share2Economic return2

Debt-to-equity ratio

Agency CMO

1.1%

Agency CMBS

14.3%

$6.3 billion

Agency RMBS

84.6%

Company Activity

• Raised $7.2 million, net of issuance costs, through our at-the-market common stock program

• Repurchased Series C Preferred Stock with a carrying value of $1.8 million

• Held $453.3 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 modestly as monetary policy anchored the front-end amid resilient economic growth; the notable decline in interest rate volatility continued

Treasury Yields Money Market Rates

5.0%

4.5%

4.0%

3.5%

5.0%

4.5%

4.0%

3.5%

3.0%

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

12/31/2024 9/30/2025 12/31/2025

3.0%

12/24 3/25 6/25 9/25 12/25

Agency MBS Repo 1 Month SOFR 3 Month SOFR

Federal Funds Futures

4.5%

4.0%

3.5%

3.0%

Interest Rate Volatility

(basis points) 125

110

95

80

2.5%

12/25 6/26 12/26 6/27 12/27 6/28

12/31/2025 9/30/2025 12/31/2024 Current

65

12/24 3/25 6/25 9/25 12/25

3M X 10Y Swaption Volatility 3Y X 10Y Swaption Volatility

Agency RMBS Market

Agency mortgages outperformed Treasuries, supported by the sustained decline in interest rate volatility; higher coupon specified pool pay-ups improved given strong demand for prepayment protection

Performance vs. Treasuries1

(basis points)

300

200

100

0

(100)

12/24 3/25 6/25 9/25 12/25

Spread to Treasuries2

(basis points)

140

120

100

80

Specified Pool Pay-ups

($200k max, in points)

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

12/24 3/25 6/25 9/25 12/25

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

Dollar Roll Implied Financing Rate

5.5%

4.5%

3.5%

60

12/24 3/25 6/25 9/25 12/25

1. 30 year current coupon hedged performance vs. Treasuries

2. 30 year current coupon zero volatility spread to Treasuries

Data as of 1/7/2026

2.5%

12/24 3/25 6/25 9/25 12/25

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

5

Agency RMBS Investments Coupon Allocation

40%

32.7%

28.0%

28.9%

28.1%

25.9%

26.3% 25.6%

24.2%

18.4%

14.5% 15.6% 14.8%

8.1%

4.8% 4.1%

30%

20%

10%

0%

12/31/24 9/30/25 12/31/25

• Agency RMBS investment portfolio increased 11.1% to $5.3 billion in Q4 2025

  • Net purchased $669 million during the quarter to invest proceeds from ATM issuance, re-invest paydowns, and modestly increase leverage

  • Purchases were primarily focused in 5.0% and 5.5% specified pools due to attractive relative value

  • Higher coupon specified pool pay-ups improved given strong demand for prepayment protection

• Q4 2025 specified pool characteristics

4.0% 4.5% 5.0% 5.5% 6.0% 6.5%

Specified Pool Allocation

• 11.5% CPR

• Weighted average coupon of 5.4%

  50%

  40%

  30%

  12/31/24 9/30/25 12/31/25
  
  

• Amortized cost to principal balance ratio of 99.4%

• Period-end weighted average specified pool pay-up of

0.9 points

43.2%

41.4%

39.8%

29.3%

26.3% 26.1%

16.3% 16.6% 17.7%

15.7% 16.4%

11.2%

20%

10%

0%

TBA Loan Balance Geographic

Location

Low Credit Score High LTV

Agency RMBS investment portfolio includes specified pools at fair value and TBAs at implied market value

Agency CMBS Investments Allocation

• Agency CMBS investment portfolio of $898 million at quarter end

  Freddie Multi PCs 19.3%

  Spread to Treasuries

  (basis points)

  70

  $898 million

  Fannie DUS 80.7%

• Risk premiums modestly increased due to slightly elevated supply

• Agency CMBS benefits from:

  • Guarantee of principal and interest from the issuing agency or federally chartered corporation

  • Lower sensitivity to interest rate volatility than Agency RMBS given prepayment protection and balloon payments at maturity

  • Favorable financing terms with multiple counterparties

    60

    50

    40

    12/24 3/25 6/25 9/25 12/25

    
    
    
    
    

    Fannie DUS 10/9.5 spread data as of 12/31/2025 7

    Source: JP Morgan

    Financing & Hedging Cost of Funds Protection1

    (in billions)

    $5.4

    $5.6

    $5.2

    $4.9

    $4.7

    $4.9

    $4.5

    $4.6

    $4.3

    $4.4

    
    
    

    $6.0

    $5.0

    $4.0

    $3.0

    100%

    90%

    80%

    70%

    Hedge Portfolio Composition

    $2.0

    $1.0

    $0.0

    Dec-24 Mar-25 Jun-25 Sept-25 Dec-25

    60%

    50%

    40%

    Maturities2	Treasury Futures Notional ($ millions)	Interest Rate Swap Notional ($ millions)	Interest Rate Swap Pay Rate3
    Less than 3 years	-	2,155	1.21%
    3 to 5 years	-	950	0.54%
    7 to 10 years	875	305	4.12%
    10+ years	215	410	1.83%

    Total $1,090 $3,820 1.34%

    Repurchase Agreements Hedge Notional

    Hedge Ratio (RHS)
    
    

• Financed Agency RMBS and Agency CMBS investments with repurchase agreements across 20 counterparties

• Hedged 87% of borrowing costs with interest rate swaps and U.S. Treasury futures

• Debt-to-equity ratio and economic debt-to-equity ratio4 of 7.0x

1. Chart reflects carrying value of repurchase agreement borrowings and total hedge notional amount of interest rate swaps and U.S. Treasury futures

2. Grouped according to weighted average years to maturity for interest rate swaps and average remaining years to maturity of the delivery basket for U.S. Treasury futures

3. Represents period-end weighted average as of December 31, 2025

4. Economic debt-to-equity ratio is a non-GAAP financial measure

Capital Structure

NYSE Ticker Shares Outstanding Share Price

Book Value per share1Quarterly Dividend per share Annualized Dividend Yield2Stockholders' Equity3

% Stockholders' Equity

1. Refer to Appendix for further information on book value per common share. Book value per share of preferred stock equals liquidation value per share

2. Calculated as annualized dividend per share divided by period end share price, by class respectively

3. Common stockholders' equity is calculated as total stockholders' equity less liquidation preference of Series C Preferred Stock

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 portfolio's ability to generate income for distribution to common stockholders and to evaluate its progress toward meeting this objective. The Company calculates earnings available for distribution 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 roll income and (gain) loss on repurchase and retirement of preferred stock. The Company may add and has added additional reconciling items to its earnings available for distribution calculation as appropriate.

By excluding the gains and losses discussed above, the Company believes the presentation of earnings available for distribution provides a consistent measure of operating performance that investors can use to evaluate its results over multiple reporting periods and, to a certain extent, compare to its peer companies. However, because not all of the Company's peer companies use identical operating performance measures, the Company's presentation of earnings available for distribution may not be comparable to other similarly titled measures used by its peer companies. The Company excludes the impact of gains and losses when calculating earnings available for distribution because when analyzed in conjunction with its U.S. GAAP results, earnings available for distribution provides additional detail of its investment portfolio's earnings capacity. In addition, certain gains and losses represent one-time events.

Furthermore, gains and losses have not been accounted for consistently under U.S. GAAP. Under U.S. GAAP, certain gains and losses may be reflected in net income whereas other gains and losses may be reflected in other comprehensive income. For example, a portion of the Company's mortgage-backed securities were historically classified as available-for-sale securities, and changes in the valuation of these securities were recorded in other comprehensive income on its condensed consolidated balance sheets. The Company elected the fair value option for its mortgage-backed securities purchased on or after September 1, 2016, and changes in the valuation of these securities are recorded in other income (loss) in the condensed consolidated statements of operations.

To maintain qualification as a REIT, U.S. federal income tax law generally requires that the Company distribute at least 90% of its REIT taxable income annually. Because the Company views earnings available for distribution as a consistent measure of its investment portfolio's ability to generate income for distribution to common stockholders, earnings available for distribution is one metric, but not the exclusive metric, that the Company's board of directors uses to determine the amount, if any, and the payment date of dividends on common stock. However, earnings available for distribution should not be considered as an indication of the Company's taxable income, a guaranty of its ability to pay dividends or as a proxy for the amount of dividends it may pay, as earnings available for distribution excludes certain items that impact its cash needs.

Earnings available for distribution is an incomplete measure of the Company's financial performance and there are other factors that impact the achievement of the Company's business objective. The Company cautions that earnings available for distribution should not be considered as an alternative to net income (determined in accordance with U.S. GAAP) or as an indication of the Company's cash flow from operating activities (determined in accordance with U.S. GAAP), a measure of the Company's liquidity, or as an indication of amounts available to fund its cash needs.