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OFFON

INVESCO MORTGAGE CAPITAL INC.

(IVR)
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Invesco Mortgage Capital : Q1 2021 Invesco Mortgage Capital Inc. Earnings Conference Call

05/06/2021 | 08:15am EDT

Invesco Mortgage Capital Inc. First Quarter 2021 Earnings Call

May 6, 2021

John Anzalone

Kevin Collins

Lee Phegley

David Lyle

Brian Norris

Chief Executive Officer

President

Chief Financial Officer

Chief Operating Officer

Chief Investment Officer

Cautionary Notice Regarding

Forward-Looking Statements

This presentation and comments made in the associated conference call may include statements and information that constitute"forward-looking statements" within the meaning of the U.S. securities laws as defined in the Private Securities Litigation Reform Act of 1995, and such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements include our views on the risk positioning of our portfolio, domestic and global market conditions (including the residential and commercial real estate market), the ongoing spread and the economic and operational impact of the COVID-19 pandemic, the market for our target assets, our financial performance, including our core earnings, economic return, comprehensive income and changes in our book value, our intention and ability to pay dividends, our ability to continue performance trends, the stability of portfolio yields, interest rates, credit spreads, prepayment trends, financing sources, cost of funds, our leverage

and equity allocation. In addition, words such as "believes," "expects," "anticipates," "intends," "plans," "estimates," "projects," "forecasts," and future or conditional verbs such as "will," "may," "could," "should," and "would" as well as any other statement that necessarily depends on future events, are intended to identify forward-looking statements.

Forward-looking statements are not guarantees, and they involve risks, uncertainties and assumptions. There can be no assurance that actual results will not differ materially from our expectations. We caution investors not to rely unduly on any forward-looking statements and urge you to carefully consider the risks identified under the captions "Risk Factors," "Forward-Looking Statements" and "Management's Discussion and

Analysis of Financial Condition and Results of Operations" in our annual report on Form 10-K and quarterly reports on Form 10-Q, which are

available on the Securities and Exchange Commission's website at www.sec.gov. All written or oral forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice. We expressly disclaim any obligation to update the information in any public disclosure if any forward-looking statement later turns out to be inaccurate.

All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. As with all investments there are associated inherent risks. Please read all financial material carefully before investing. The opinions expressed herein are based on current market conditions and are subject to change without notice.

Invesco Mortgage Capital Inc.

2

Q1 2021 Results

Investment Allocation(1)

Agency

RMBS

$10.799% billion

Credit

Portfolio

1%

Equity Allocation

Agency

RMBS

91%

$1.5 billion

Credit

Portfolio

9%

  • Financial results
    • Net loss per common share of $0.09
    • Core earnings per common share(2) of $0.11
    • Book value per common share of $3.65 at quarter end
    • Dividend per common share of $0.09
    • Economic return of (3.1%)
  • Investment activity
    • Invested proceeds from capital raises into Agency RMBS specified pools and TBAs
    • Held $693 million of unrestricted cash and unencumbered investments at quarter end
    • Increased investment in Agency RMBS specified pools by $0.9 billion to $9.0 billion
    • Decreased investment in TBAs by a notional amount of $200 million to $1.5 billion
  1. Agency RMBS includes specified pools at fair value and TBAs at implied cost. Credit portfolio includes non-Agency CMBS, non-Agency RMBS, a commercial loan and investments in joint ventures.
  2. Core earnings per common share is a non-GAAP financial measure. Refer to page 10 for additional detail. Past performance is not a guarantee of future results.

3

Macro Environment

Financial markets continued to be influenced by the COVID-19 pandemic, as massive monetary stimulus led to a steeper yield curve, attractive funding rates and muted volatility

Treasury Yields

3.0%

3.0 %

2.0%

2.0 %

1.0%

1.0 %

0.0%

0.0 %

0 yr

5 yr

10 yr

15 yr

20 yr

25 yr

30 yr

3/31/2020

12/31/2020

3/31/2021

Money Market Rates

0.4%

0.4%

0.3%

0.3%

0.2%

0.2%

0.1%

0.1%

0.0%

0.0%

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

Q1

Agency MBS Repo

1 Month Libor

OIS 3 Months

3 Month Libor

Volatility

US Bank and Federal Reserve MBS Holdings

($ trillions)

50

80

2.8

2.8

40

60

2.6

2.6

30

2.4

2.4

40

20

2.2

2.2

10

20

2.0

2.0

0

0

1.8

1.8

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

Q1

CBOE SPX Volatility Index (VIX)

ML Option Volatility Estimate Index (RHS)

Q1

US Bank MBS Holdings

FOMC Agency MBS Holdings

Data as of 3/31/21

Sources: Bloomberg and JP Morgan

4

Agency RMBS Market

Significant Fed and commercial bank demand tightened spreads despite historically fast prepayment speeds and modestly weaker TBA dollar roll market

Agency MBS Performance vs. Swaps (bps)

Specified Pool Payups

(150k Max, in Points)

300

300

6.0

6.0

250

250

200

200

150

150

4.0

4.0

100

100

50

50

0

0

-50

-50

2.0

2.0

-100

-100

-150

-150

-200

-200

0.0

0.0

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

MBS 2%

MBS 2.5%

MBS 3%

Q1

FNMA 30yr 2% MLB

FNMA 30yr 2.5% MLB

FNMA 30yr 3% MLB

Generic Prepayment Speeds (CPR)

Dollar Roll Implied Financing Rate

60

60

3%

3%

50

50

40

40

1%

1%

30

30

20

20

-1%

-1%

10

10

0

0

-3%

-3%

1/20

2/20

3/20

4/20

5/20

6/20

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

7/20

8/20

9/20

10/20

11/20

12/20

1/21

2/21

3/21

Q1

FNMA 30Y 2%

FNMA 30Y 2.5%

FNMA 30Y 3%

Q1

FNMA 2%

FNMA 2.5%

FNMA 3%

Data as of 3/31/21

Sources: Bloomberg and JP Morgan

5

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

Invesco Mortgage Capital Inc. published this content on 06 May 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 06 May 2021 12:14:04 UTC.


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Financials (USD)
Sales 2021 170 M - -
Net income 2021 60,0 M - -
Net Debt 2021 - - -
P/E ratio 2021 22,1x
Yield 2021 8,84%
Capitalization 1 207 M 1 207 M -
Capi. / Sales 2021 7,08x
Capi. / Sales 2022 8,08x
Nbr of Employees -
Free-Float 99,8%
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Technical analysis trends INVESCO MORTGAGE CAPITAL INC.
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TrendsBullishBullishBullish
Income Statement Evolution
Consensus
Sell
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Mean consensus UNDERPERFORM
Number of Analysts 5
Average target price 3,06 $
Last Close Price 4,30 $
Spread / Highest target -24,4%
Spread / Average Target -28,8%
Spread / Lowest Target -36,0%
EPS Revisions
Managers and Directors
NameTitle
John M. Anzalone Chief Executive Officer
Kevin Michael Collins President
Richard Lee Phegley Chief Financial Officer
Edward Jack Hardin Chairman
David Bradley Lyle Chief Operating Officer
Sector and Competitors