Invesco Mortgage Capital : Q4 2025 Invesco Mortgage Capital Inc. Earnings Conference Call

About this update from Invesco Mortgage Capital Inc

Invesco Mortgage Capital Inc. Fourth Quarter 2025 Earnings Call January 30, 2026 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 share 1 Common stock dividend per share Book value per common share 2 Economic return 2 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 Earnings available for distribution is a non-GAAP financial measure. 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 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. Treasuries 1 (basis points) 300 200 100 0 (100) 12/24 3/25 6/25 9/25 12/25 Spread to Treasuries 2 (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 30 year current coupon hedged performance vs. Treasuries 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 Protection 1 (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 $0.0 Dec-24 Mar-25 Jun-25 Sept-25 Dec-25 60% 50% 40% Maturities 2 Treasury Futures Notional ($ millions) Interest Rate Swap Notional ($ millions) Interest Rate Swap Pay Rate 3 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 ratio 4 of 7.0x Chart reflects carrying value of repurchase agreement borrowings and total hedge notional amount of interest rate swaps and U.S. Treasury futures 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 Represents period-end weighted average as of December 31, 2025 Economic debt-to-equity ratio is a non-GAAP financial measure As of December 31, 2025 As of December 31, 2024 Common Stock Preferred Stock Common Stock Preferred Stock IVR IVR-PC IVR IVR-PC 71.8 million 6.9 million 61.7 million 7.2 million $8.41 $24.45 $8.05 $24.24 $8.72 $25.00 $8.92 $25.00 $0.36 $0.46875 $0.40 $0.46875 17.1% 7.7% 19.9% 7.7% $627 million $171 million $551 million $180 million 79% 21% 75% 25% Capital Structure NYSE Ticker Shares Outstanding Share Price Book Value per share 1 Quarterly Dividend per share Annualized Dividend Yield 2 Stockholders' Equity 3 % Stockholders' Equity Refer to Appendix for further information on book value per common share. Book value per share of preferred stock equals liquidation value per share Calculated as annualized dividend per share divided by period end share price, by class respectively 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. Attention : This is an excerpt of the original content. To continue reading it, access the original document here .

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