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Third Quarter 2025 Earnings Call October 31, 2025 Invesco Mortgage Capital Inc. John Anzalone Chief Executive Officer Kevin Collins President Mark Gregson Chief Financial Officer David Lyle Chief Operating Officer Brian Norris Chief Investment Officer
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Cautionary Notice Regarding Forward-Looking Statements 2 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 Agency RMBS, Agency CMBS and residential and commercial real estate markets), the market for our target assets, our financial performance, including our earnings available for distribution, 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, liquidity, capital structure 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. Invesco Mortgage Capital Inc.
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Q3 2025 Results 3 Investment Allocation 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 Financial Results Agency RMBS 83.1% Agency CMBS 15.7% Agency CMO 1.2% $5.7 billion Company Activity • Raised $36.1 million, net of issuance costs, through our at-the-market common stock program • Repurchased Series C Preferred Stock with a carrying value of $2.2 million • Held $423.4 million of unrestricted cash and unencumbered investments at quarter end Q3 25 Q2 25 Net income (loss) per common share $0.74 ($0.40) Earnings available for distribution per common share1 $0.58 $0.58 Common stock dividend per share $0.34 $0.34 Book value per common share2 $8.41 $8.05 Economic return2 8.7% (4.8%) Debt-to-equity ratio 6.7x 6.5x
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3.5% 4.0% 4.5% 5.0% 5.5% 9/24 12/24 3/25 6/25 9/25 Agency MBS Repo 1 Month SOFR 3 Month SOFR 65 80 95 110 125 9/24 12/24 3/25 6/25 9/25 3M X 10Y Swaption Volatility 3Y X 10Y Swaption Volatility Macro Environment Interest rates declined modestly in the third quarter as employment data signaled a weakening labor market despite robust economic growth and improving financial conditions 4 Treasury Yields Money Market Rates 3.0% 3.5% 4.0% 4.5% 5.0% 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr 9/30/2024 6/30/2025 9/30/2025 Federal Funds Futures 2.5% 3.0% 3.5% 4.0% 4.5% 9/25 3/26 9/26 3/27 9/27 3/28 9/30/2024 6/30/2025 9/30/2025 Current Data as of 9/30/2025 Sources: Bloomberg, JP Morgan and Federal Reserve Economic Data Interest Rate Volatility (basis points)
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Spread to Treasuries2 (basis points) 60 80 100 120 140 9/24 12/24 3/25 6/25 9/25 2.5% 3.5% 4.5% 5.5% 6.5% 9/24 12/24 3/25 6/25 9/25 FN 5.0% FN 5.5% FN 6.0% FN 6.5% 1M SOFR $0.0 $0.5 $1.0 $1.5 $2.0 9/24 12/24 3/25 6/25 9/25 FN 5.0% FN 5.5% FN 6.0% FN 6.5% Performance vs. Treasuries1 (basis points) -100 -50 0 50 100 150 200 9/24 12/24 3/25 6/25 9/25 Agency RMBS Market Agency mortgages performed well during the third quarter as interest rate volatility continued to decline, while higher coupon specified pool pay-ups improved given lower mortgage rates 5 Specified Pool Pay-ups ($200k max, in points) Dollar Roll Implied Financing Rate 1. 30 year current coupon hedged performance vs. Treasuries 2. 30 year current coupon zero volatility spread to Treasuries Data as of 9/30/2025 Sources: Bloomberg, JP Morgan
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Agency RMBS Investments 6 Coupon Allocation • Agency RMBS investment portfolio increased 13.2% to $4.8 billion in Q3 2025 ◦ Net purchased $647 million during the quarter to invest proceeds from ATM issuance, re-invest paydowns, and maintain leverage ◦ Purchases were focused in specified pools priced near par with attractively valued prepayment characteristics ◦ Higher coupon specified pool pay-ups improved as the decline in mortgage rates resulted in increased value of prepayment protection • Q3 2025 specified pool characteristics ◦ 10.3% CPR ◦ Weighted average coupon of 5.4% ◦ Amortized cost to principal balance ratio of 99.1% ◦ Period-end weighted average specified pool pay-up of 0.9 points Specified Pool Allocation 0% 10% 20% 30% 40% 50% TBA Loan Balance Geographic Location Low Credit Score High LTV Investment Property 9/30/24 6/30/25 9/30/25 Agency RMBS investment portfolio includes specified pools at fair value and TBAs at implied market value 0% 10% 20% 30% 40% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 9/30/24 6/30/25 9/30/25
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40 50 60 70 9/24 12/24 3/25 6/25 9/25 Agency CMBS Investments 7 Allocation • Agency CMBS investment portfolio of $0.9 billion at quarter end • Agency CMBS risk premiums continued to decline with broader financial markets • 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 Spread to Treasuries (basis points) Fannie DUS 10/9.5 spread data as of 9/30/2025 Source: JP Morgan Fannie DUS 80.7% Freddie Multi PCs 19.3% $899.5 million
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Financing & Hedging 1. Chart reflects carrying value of repurchase agreement borrowings and total hedge notional amount of interest rate swaps and U.S. Treasury futures 2. Grouped according to weighted average years to maturity for interest rate swaps and average remaining years to maturity of the delivery basket for U.S. Treasury futures 3. Represents period-end weighted average as of September 30, 2025 4. Economic debt-to-equity ratio is a non-GAAP financial measure. Refer to Appendix for additional information 8 Cost of Funds Protection1 (in billions) • Financed Agency RMBS and Agency CMBS investments with repurchase agreements across 20 counterparties • Hedged 85% of borrowing costs with interest rate swaps and U.S. Treasury futures • Debt-to-equity ratio and economic debt-to-equity ratio4 of 6.7x Maturities2 Treasury Futures Notional ($ millions) Interest Rate Swap Notional ($ millions) Interest Rate Swap Pay Rate3 Less than 3 years - 1,555 0.31% 3 to 5 years - 450 0.47% 5 to 7 years - 500 0.61% 7 to 10 years 810 430 4.13% 10+ years 190 445 1.99% Total $1,000 $3,380 1.08% Hedge Portfolio Composition 40% 50% 60% 70% 80% 90% 100% $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 $6.0 Sept-24 Dec-24 Mar-25 Jun-25 Sept-25 Repurchase Agreements Hedge Notional Hedge Ratio (RHS)
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Capital Structure 9 As of September 30, 2025 As of September 30, 2024 Common Stock Preferred Stock Common Stock Preferred Stock NYSE Ticker IVR IVR-PC IVR IVR-PB IVR-PC Shares Outstanding 70.9 million 6.9 million 60.7 million 4.2 million 7.3 million Share Price $7.56 $24.36 $9.39 $24.62 $24.05 Book Value per share1 $8.41 $25.00 $9.37 $25.00 $25.00 Quarterly Dividend per share $0.34 $0.46875 $0.40 $0.4844 $0.46875 Annualized Dividend Yield2 18.0% 7.7% 17.0% 7.9% 7.8% Stockholders’ Equity3 $596 million $173 million $569 million $106 million $182 million % Stockholders’ Equity 78% 22% 66% 13% 21% 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 B and Series C Preferred Stock
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Appendix - Non-GAAP Financial Information 10 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. 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 (i) when analyzed in conjunction with its U.S. GAAP results, earnings available for distribution provides additional detail of its investment portfolio’s earnings capacity and (ii) gains and losses were not 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 stat ements of operations. In addition, certain gains and losses represent one-time events. The Company may add and has added additional reconciling items to its earnings available for distribution calculation as appropriate. 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, determined without regard to the deduction for dividends paid and excluding net capital gains. Because the Company views earnings available for distrib ution 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.
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Appendix - Reconciliation of GAAP to Non-GAAP Financial Information 11 $ in thousands September 30, 2025 June 30, 2025 Net income (loss) attributable to common stockholders $ 50,208 $ (26,567) Adjustments: (Gain) loss on investments, net (49,540) 5,268 Realized (gain) loss on derivative instruments, net 49,189 47,608 Unrealized (gain) loss on derivative instruments, net (10,833) 11,939 (Gain) loss on repurchase and retirement of preferred stock 2 (57) Earnings available for distribution $ 39,026 $ 38,191 The table below shows the components of earnings available for distribution: $ in thousands, except per share data September 30, 2025 June 30, 2025 Net interest income 17,614$ 17,729$ Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net 29,138 28,631 Total expenses (4,465) (4,872) Dividends to preferred stockholders (3,261) (3,297) Earnings available for distribution $ 39,026 $ 38,191 Earnings available for distribution per common share1 $ 0.58 $ 0.58 Three Months Ended Three Months Ended The table below provides a reconciliation of U.S. GAAP net income (loss) attributable to common stockholders to earnings available for distribution: 1. Earnings available for distribution per common share is equal to earnings available for distribution divided by the basic weighted average number of common shares outstanding.
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Appendix - Definitions 12 Agency CMBS – Commercial mortgage-backed securities (“CMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie” or “FN”) or the Federal Home Loan Mortgage Corporation (“Freddie”) Agency CMO – Collateralized mortgage obligations created from Agency RMBS pools that divide cash flows into different tranches, where each tranche has a different priority for receiving principal and interest payments. All of our Agency CMOs are interest only securities, which are created by separating the principal and interest payments on the underlying loan pool so that the owner receives cash flows based on the interest payments only Agency RMBS – Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie” or “FN”) or the Federal Home Loan Mortgage Corporation (“Freddie”) Book value per common share – Total stockholders' equity ($769.6 million as of September 30, 2025 and $709.4 million as of June 30, 2025) less the liquidation preference of the Company’s preferred stock ($173.3 million as of September 30, 2025 and $175.5 million as of June 30, 2025), divided by total common shares outstanding (70.9 million as of September 30, 2025 and 66.3 million as of June 30, 2025) CPR – The constant prepayment rate is the standard measure of prepayment speeds, also known as the conditional prepayment rate Dollar roll implied financing rate – The reinvestment rate at which an investor is indifferent between rolling a TBA contract forward and holding MBS Economic debt-to-equity ratio – A non-GAAP financial measure calculated as the ratio of total repurchase agreements ($5.2 billion as of September 30, 2025) a nd TBAs at implied cost basis (none as of September 30, 2025) to total stockholders' equity ($769.6 million as of September 30, 2025) Economic return – Economic return for quarter ended September 30, 2025 is defined as the change in book value per common share from June 30, 20 25 to September 30, 2025 of $0.36 plus dividends declared of $0.34 per common share; divided by the June 30, 2025 book value per common share of $8.05. Economic ret urn for the quarter ended June 30, 2025 is defined as the change in book value per common share from March 31, 2025 to June 30, 2025 of ($0.76); plus dividends declared of $0.34 per common share; divided by the March 31, 2025 book value per common share of $8.81. Interest Rate Volatility – The forward-looking expectation of future interest rate volatility based on market pricing of a swaption, which is an option to enter into an interest rate swap at a future date. A 3m x 10yr swaption provides the right to enter into a 10-year interest rate swap starting in 3 months. A 3y x 10y swaption provides the right to enter into a 10-year interest rate swap starting in 3 years. Secured Overnight Financing Rate (SOFR) – A broad measure of the cost of borrowing cash overnight collateralized by Treasury securities