Slides
Page 1
Invesco Mortgage Capital Inc. Third Quarter 2026 Earnings Call October 30, 2026 Kevin Collins Chief Executive Officer David Lyle President Brian Norris Chief Investment Officer Mark Gregson Chief Financial Officer
Page 2
Important notices 2 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 Agency RMBS, Agency CMBS and residential and commercial real estate markets), the market for our target assets, our expected 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, spreads, prepayment trends, financing sources, cost of funds, our anticipated 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 for the year ended December 31, 2025, which may be updated by subsequently filed quarterly reports on Form 10-Q or current reports on Form 8-K, and, 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. Non-GAAP financial measures This presentation includes certain non-GAAP financial measures, including earnings available for distribution. We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate our non- GAAP metrics, such as earnings available for distribution, or effective net interest income, differently than our peers making comparative analysis difficult.
Page 3
3 Our approach Our team Investors with extensive experience managing agency mortgage securities across a wide range of market environments. Our target assets We invest in Agency RMBS and CMBS that benefit from implicit or explicit U.S. government backing through Ginnie Mae, Fannie Mae or Freddie Mac, resulting in minimal credit risk and high liquidity1. These securities have historically offered higher yields than Treasury bonds2, consistent monthly cash flows and access to financing across market cycles. Our impact We seek to enable high income-oriented investors to achieve attractive risk-adjusted returns through disciplined investment in Agency MBS, while supporting the availability of mortgage financing for U.S. homeowners. Our business We invest in Agency RMBS and CMBS assets through secured funding markets. We actively hedge interest rate risk and seek to generate net interest income for distribution to our stockholders, serving as an income vehicle for investors seeking exposure to Agency mortgage assets. Our competitive advantage In addition to our team’s extensive expertise managing agency mortgage investments, we benefit from the insights of a global investment manager3, which informs our views on macroeconomic conditions, interest-rate dynamics and broader market risks. Our deep counterparty relationships further enhance our ability to source, finance, and hedge attractive investment opportunities.
Page 4
4 Note: Financial information included throughout this presentation is in millions as of and/or for the periods noted, unless otherwise indicated. Per share amounts are per share of common stock. Income and loss per share amounts are based on weighted average common shares outstanding during the period. Economic debt-to-equity and earnings available for distribution are non- GAAP financial measures. Refer to slides 19 and 20 for additional information. Detailed footnotes are included at the end of this presentation. Past performance is not a guarantee of future results. Third quarter highlights $6.74 Book value per share1 (11.6)% Economic return2 $51.0M Common equity issued through ATM program $0.36 Common dividends per share $(0.92) Net income (loss) per share $735.2M Total common equity3 8.3x Economic debt-to-equity ratio $0.47 Earnings available for distribution per share 23.7% Dividend yield4 Key metrics Performance Capital highlights
Page 5
Treasury yields increased notably as investors reassessed the outlook for economic growth given a supportive labor market, strong earnings, and optimism surrounding AI- driven investment Expectations for near-term monetary policy shifted materially tighter as persistent above-target inflation reinforced the FOMC’s hawkish stance, leading to sharply higher interest rate volatility Money market rates 5 Treasury yields Fed Funds futures Interest rate volatility1 (basis points) Macro environment 9/30/2025 6/30/2026 9/30/2026 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr 3.0% 4.0% 5.0% 6.0% Agency MBS Repo 1 Month SOFR 3 Month SOFR 9/25 12/25 3/26 6/26 9/26 3.5% 4.0% 4.5% 9/30/2025 6/30/2026 9/30/2026 Current 9/26 3/27 9/27 3/28 9/28 3/29 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 3M x 10Y Swaption Volatility3Y x 10Y Swaption Volatility 9/25 12/25 3/26 6/26 9/26 60 80 100 120 Data as of September 30, 2026 Sources: Bloomberg L.P., J.P. Morgan and Federal Reserve Economic Data Detailed footnotes are included at the end of this presentation
Page 6
Dollar roll implied financing rate3 Agency CMBS spread to Treasuries2 (basis points) Agency RMBS spread to Treasuries1 (basis points) Specified pool pay-ups ($200k max, in points) Agency RMBS spreads widened as interest rate volatility spiked higher, leading to significant underperformance relative to Treasuries Specified pool pay-ups continued to decline as prepayment protection became less valuable given the sharp increase in 30 year mortgage rates Agency CMBS spread widening was relatively limited 6 Agency MBS market 9/25 12/25 3/26 6/26 9/26 20 30 40 50 60 FN 4.5% FN 5.0% FN 5.5% FN 6.0% 1M SOFR 9/25 12/25 3/26 6/26 9/26 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% FN 4.5% FN 5.0% FN 5.5% FN 6.0% 9/25 12/25 3/26 6/26 9/26 $0.0 $0.5 $1.0 $1.5 $2.0 $2.5 9/25 12/25 3/26 6/26 9/26 50 75 100 125 Data as of September 30, 2026 Sources: Bloomberg L.P. and J.P. Morgan Detailed footnotes are included at the end of this presentation
Page 7
Investment portfolio decreased 2.3% to $8.0 billion in Q3 2026 • Higher interest rates and wider spreads resulted in a decline in market value • Net purchased $429 million during the quarter to invest proceeds from ATM issuance and paydowns • Rotated a portion of Agency TBA into specified pools given improved relative value as pay- ups declined • Reduced Agency CMBS allocation in favor of 2.5% and 3.0% coupon Agency RMBS as spreads widened in lower coupons 7 Portfolio allocation As of September 30, 2026 As of June 30, 2026 Investment type FMV % FMV % Agency RMBS specified pools $6,626 83.2% $5,984 73.4% Agency TBA1 660 8.3% 1,201 14.7% Agency CMBS 681 8.5% 902 11.1% Agency CMO — —% 64 0.8% Total investment portfolio $7,967 100.0% $8,151 100.0% 15.4% 26.2% 26.4% 20.1% 11.1% 0.8%0.5% 1.8% 14.8% 25.1% 26.6% 21.9% 0.8% 8.5% June 30, 2026 September 30, 2026 Agency RMBS 30yr 2.5% Agency RMBS 30yr 3.0% Agency RMBS 30yr 4.5% Agency RMBS 30yr 5.0% Agency RMBS 30yr 5.5% Agency RMBS 30yr 6.0% Agency RMBS 30yr 6.5% Agency CMBS Agency CMO Detailed footnotes are included at the end of this presentation
Page 8
Funding characteristics • Financed Agency RMBS and CMBS investments with repurchase agreements across 23 counterparties • Debt-to-equity ratio4 of 7.6x and economic debt-to-equity ratio5 of 8.3x Cost of funds protection • Hedged 76% of borrowing costs with interest rate swaps • Hedged 23% of borrowing costs with U.S. Treasury futures Implied financing rates on higher coupon Agency TBA remain below repo funding levels 8 Financing As of September 30, 2026 As of June 30, 2026 Funding Type Amount % Rate Amount % Rate Repurchase Agreements $6,843 91.0% 3.97% $6,210 83.8% 3.76% Agency TBA1 674 9.0% N/A 1,200 16.2% N/A Total Funding $7,517 100.0% $7,410 100.0% Cost of Funds2 3.85% 3.73% $5.2 $5.6 $5.3 $6.2 $6.8 $3.4 $3.8 $4.1 $4.8 $5.2 $1.0 $1.1 $1.0 $1.3 $1.6 Repurchase AgreementsInterest Rate SwapsU.S. Treasury Futures September 30, 2025 December 31, 2025 March 31, 2026 June 30, 2026 September 30, 2026 Cost of funds protection3 (in billions) Detailed footnotes are included at the end of this presentation
Page 9
Hedge portfolio • Totaled $6.8 billion and covered 99% of our repurchase agreements as of September 30, 2026 compared to 97% at June 30, 2026 • Allocation to interest rate swaps remained near 80% as persistently negative swap spreads improved hedged returns Interest rate swaps • Increased pay fixed swaps to $5.2 billion Treasury futures • Increased U.S. Treasury futures to $1.6 billion • Hedges consist of 10 year, 10 year Ultra, and 30 year contracts 9 Interest rate risk management As of September 30, 2026 As of June 30, 2026 Remaining maturities Notional Swap pay rate2 WAVG years to maturity Notional Swap pay rate2 WAVG years to maturity Less than 3 years $1,200 1.52% 1.6 $1,925 1.28% 1.7 3 to 5 years 1,330 1.58% 4.1 1,150 1.14% 4.2 5 to 7 years 600 3.71% 6.4 545 3.66% 6.6 7 to 10 years 925 4.16% 9.3 595 3.98% 9.2 10+ years 1,130 3.62% 18.9 550 2.44% 20.5 Total interest rate swaps $5,185 2.72% 7.9 $4,765 1.99% 6.0 Hedge portfolio composition As of September 30, 2026 As of June 30, 2026 Instrument type Notional % Duration1 Notional % Duration1 Interest rate swaps $5,185 76.4% 6.2 $4,765 78.8% 5.0 U.S. Treasury futures 1,605 23.6% 8.3 1,280 21.2% 8.0 Total hedge portfolio $6,790 100.0% 6.7 $6,045 100.0% 5.6 Interest rate swaps Detailed footnotes are included at the end of this presentation
Page 10
10 Interest rate (basis points) Estimated percentage change in book value per common share As of September 30, 2026 As of June 30, 2026 +75 (4.0)% (6.4)% +50 (2.3)% (3.5)% +25 (1.0)% (1.3)% -25 0.5% 0.1% -50 0.4% (1.1)% -75 (0.6)% (3.8)% Option-adjusted spread (basis points) Estimated percentage change in book value per common share As of September 30, 2026 As of June 30, 2026 +20 (11.8)% (9.5)% +10 (5.9)% (4.8)% -10 6.0% 4.8% -20 12.0% 9.7% Sensitivity to instantaneous interest rate changes1 Sensitivity to instantaneous MBS spread changes2 We seek to limit the impact of changes in interest rates by dynamically hedging, primarily through interest rate swaps and U.S. Treasury futures We generate income primarily through the spread on our Agency RMBS and CMBS investments We seek diversification across the Agency RMBS coupons and specified pool characteristics, and through exposure to Agency CMBS Sensitivity analysis Detailed footnotes are included at the end of this presentation
Page 11
Historical information
Page 12
12 Historical overview 5.4% (0.5)% 2.6% (4.8)% 8.7% 8.0% (3.2)% 3.8% (11.6)% Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 (15)% (10)% (5)% 0% 5% 10% 15% Economic return $0.40 $0.40 $0.34 $0.34 $0.34 $0.36 $0.36 $0.36 $0.36 Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 $0.00 $0.10 $0.20 $0.30 $0.40 $0.50 Common dividends per share $857 $731 $759 $709 $769 $798 $876 $990 $903 $569 $551 $581 $534 $596 $627 $706 $821 $735 $288 $180 $178 $175 $173 $171 $170 $169 $168 Common Equity Preferred Equity % Preferred (RHS) Sep 2024 Dec 2024 Mar 2025 Jun 2025 Sep 2025 Dec 2025 Mar 2026 Jun 2026 Sep 2026 $0.0B $0.2B $0.4B $0.6B $0.8B $1.0B 0% 10% 20% 30% 40% 50% Stockholders' equity1,2 3.4% 3.5% 3.2% 3.7% 3.1% 2.9% 2.7% 2.7% 2.6% 2.1% 2.3% 2.1% 2.1% 1.9% 1.8% 1.6% 1.7% 1.8% 1.3% 1.2% 1.1% 1.6% 1.2% 1.1% 1.1% 1.0% 0.8% Management Fee G&A Expenses Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 0% 1% 2% 3% 4% Expenses as % of average common equity3 Detailed footnotes are included at the end of this presentation
Page 13
$5.9 $5.4 $5.9 $5.2 $5.7 $6.3 $7.3 $8.2 $8.0 $5.1 $4.5 $5.0 $4.2 $4.8 $5.3 $5.1 $6.0 $6.6 $0.7 $0.8 $0.9 $0.9 $0.9 $0.9 $0.9 $0.9 $0.7$1.2 $1.2 $0.7 Agency RMBSㅤ Agency CMBSㅤ Agency TBAㅤ Agency CMOㅤ Sep 2024 Dec 2024 Mar 2025 Jun 2025 Sep 2025 Dec 2025 Mar 2026 Jun 2026 Sep 2026 $0.0B $2.0B $4.0B $6.0B $8.0B $10.0B 13 Historical portfolio metrics Investment portfolio1 6.1x 6.7x 7.1x 6.5x 6.7x 7.0x 7.5x 7.5x 8.3x 6.1x 6.3x 7.6x Debt-to-Equity Ratio Economic Debt-to-Equity Ratio Sep 2024 Dec 2024 Mar 2025 Jun 2025 Sep 2025 Dec 2025 Mar 2026 Jun 2026 Sep 2026 5.0x 6.0x 7.0x 8.0x 9.0x Debt-to-equity and economic debt-to-equity ratio2 Agency RMBS coupon allocation3 Agency RMBS 3-month CPR4 11.3% 8.1% 13.8% 14.5% 13.2% 15.2% 15.6% 14.8% 21.2% 17.5% 16.2% 22.5% 18.4% 20.0% 22.9% 25.9% 28.0% 29.7% 29.7% 27.4% 24.6% 26.3% 28.4% 24.5% 25.6% 28.9% 30.1% 30.0% 29.0% 27.8% 32.7% 29.6% 29.8% 28.1% 24.2% 19.0% 22.8% 24.0% 8.8% 7.6% 4.8% 4.1% 2.5% 3.0% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% Sep 2024 Dec 2024 Mar 2025 Jun 2025 Sep 2025 Dec 2025 Mar 2026 Jun 2026 Sep 2026 0% 20% 40% 60% 80% 100% 3-month CPR Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 4% 6% 8% 10% 12% 14% Detailed footnotes are included at the end of this presentation
Page 14
$521 $389 $372 $362 $423 $453 $493 $548 $401 61% 53% 49% 51% 55% 57% 56% 55% 44% CUB CUB as % of Total Equity (RHS) Sep 2024 Dec 2024 Mar 2025 Jun 2025 Sep 2025 Dec 2025 Mar 2026 Jun 2026 Sep 2026 $0M $200M $400M $600M $800M 15% 30% 45% 60% 75% 14 Historical operating metrics Cash and unencumbered investments (“CUB”)1 Average earning asset yields2 Cost of funds and effective cost of funds3 Net interest rate margin4 and effective interest rate margin5 2.03% 2.47% 2.18% 2.12% 2.14% 2.24% 2.31% 2.33% 2.67% 5.30% 5.13% 4.46% 4.62% 4.52% 4.20% 3.92% 3.73% 3.85% Cost of Funds Effective Cost of Funds Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 (2)% 0% 2% 4% 6% 8% 5.31% 5.60% 5.45% 5.56% 5.42% 5.31% 5.36% 5.15% 5.23% Average Earning Asset Yields Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 4.5% 5.0% 5.5% 6.0% 6.5% 3.28% 3.13% 3.27% 3.44% 3.28% 3.07% 3.05% 2.82% 2.56% 0.01% 0.47% 0.99% 0.94% 0.90% 1.11% 1.44% 1.42% 1.38% Net Interest Rate MarginEffective Interest Rate Margin Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 (2)% 0% 2% 4% 6% 8% Detailed footnotes are included at the end of this presentation
Page 15
Supplemental information
Page 16
16 Portfolio details Fair value % of total portfolio Market yield1 Duration2 WAVG loan age3 WAVG pay-up to TBA4 1-month CPR5 Agency CMBS $681 8.5% 5.56% 6.1 29 - 0.0% Agency RMBS: 2.5% Coupon 39 0.5% 5.90% 6.9 60 0.63 1.4% 3.0% Coupon 142 1.8% 5.98% 6.7 56 0.62 6.4% 4.5% Coupon 1,181 14.8% 6.12% 6.2 34 0.59 7.0% 5.0% Coupon 1,996 25.1% 6.13% 5.9 22 0.71 6.5% 5.5% Coupon 1,959 24.6% 6.15% 5.3 23 0.81 7.6% 6.0% Coupon 1,309 16.4% 6.20% 4.5 26 0.89 11.2% Total Agency RMBS $6,626 83.2% 6.14% 5.5 26 0.75 7.8% Agency TBA6: 5.5% Coupon 158 2.0% 6.34% 5.4 - - - 6.0% Coupon 442 5.5% 6.37% 4.7 - - - 6.5% Coupon 60 0.8% 6.39% 4.0 - - - Total Agency TBA $660 8.3% 6.37% 4.8 - - - Total investment portfolio $7,967 100.0% 6.11% 5.5 - - - Detailed footnotes are included at the end of this presentation
Page 17
17 Balance sheets $ in thousands, except share amounts, unaudited 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Mortgage-backed securities, at fair value $7,306,996 $6,949,909 $6,026,208 $6,276,609 $5,749,238 Cash and cash equivalents 215,078 73,381 52,598 56,040 58,539 Restricted cash 211,453 167,155 138,323 110,391 122,181 Due from counterparties 13,648 — 25,749 — — Investment related receivable 33,099 30,650 26,804 27,848 29,017 Derivative assets, at fair value 13,845 16,510 1,119 4,412 738 Other assets 684 1,014 399 594 1,232 Total assets $7,794,803 $7,238,619 $6,271,200 $6,475,894 $5,960,945 Repurchase agreements 6,842,947 6,210,403 5,339,373 5,619,255 5,150,081 Derivative liabilities, at fair value 15,491 882 28,730 — 680 Dividends payable 13,092 12,008 10,490 25,845 24,121 Investment related payable — — 6 — 427 Accrued interest payable 13,791 12,512 10,738 28,664 9,114 Collateral held payable — 6,703 14 — 797 Accounts payable and accrued expenses 2,212 2,289 1,789 1,580 1,623 Due to affiliate 3,902 3,501 3,706 3,006 4,521 Total liabilities $6,891,435 $6,248,298 $5,394,846 $5,678,350 $5,191,364 Preferred Stock 162,628 163,049 164,191 165,756 167,602 Common Stock 1,091 1,024 875 718 709 Additional paid in capital 4,512,341 4,461,196 4,343,365 4,209,977 4,202,575 Retained earnings (distributions in excess of earnings) (3,772,692) (3,634,948) (3,632,077) (3,578,907) (3,601,305) Total stockholders’ equity $903,368 $990,321 $876,354 $797,544 $769,581 Total liabilities and stockholders' equity $7,794,803 $7,238,619 $6,271,200 $6,475,894 $5,960,945 Other supplemental data: Total common shares outstanding 109,103,682 102,386,106 87,485,972 71,790,532 70,945,571 Book value per common share $6.74 $8.03 $8.08 $8.72 $8.41 Detailed footnotes are included at the end of this presentation
Page 18
18 Statements of operations $ in thousands, except share amounts, unaudited Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Interest income $98,961 $85,408 $79,641 $77,901 $72,916 Interest expense 65,035 55,308 52,593 56,643 55,302 Net interest income $33,926 $30,100 $27,048 $21,258 $17,614 Gain (loss) on investments, net (402,062) (21,226) (54,940) 22,914 49,540 Gain (loss) on derivative instruments, net 277,682 31,584 12,879 11,887 (9,218) Total other income (loss) $(124,380) $10,358 $(42,061) $34,801 $40,322 Management fee - related party 3,626 3,329 2,974 2,806 2,662 General and administrative 1,557 2,125 1,917 1,759 1,803 Total expenses $5,183 $5,454 $4,891 $4,565 $4,465 Net income (loss) $(95,637) $35,004 $(19,904) $51,494 $53,471 Dividends to preferred stockholders (3,153) (3,165) (3,190) (3,221) (3,261) Gain (loss) on repurchase and retirement of preferred stock (7) 3 (27) (30) (2) Net income (loss) attributable to common stockholders $(98,797) $31,842 $(23,121) $48,243 $50,208 Basic weighted average number of common shares outstanding 107,656,590 94,904,498 81,870,574 70,997,971 67,582,202 Net income (loss) attributable to common stockholders per share: Basic $(0.92) $0.34 $(0.28) $0.68 $0.74 Diluted $(0.92) $0.34 $(0.28) $0.68 $0.74 Detailed footnotes are included at the end of this presentation
Page 19
Calculation of non-GAAP measures $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Total interest expense $65,035 $55,308 $52,593 $56,643 $55,302 Contractual net interest (income) expense on interest rate swaps1 (19,950) (20,757) (21,578) (26,396) (29,138) Effective interest expense2 $45,085 $34,551 $31,015 $30,247 $26,164 Cost of funds 3.85 % 3.73 % 3.92 % 4.20 % 4.52 % Effective cost of funds3,4 2.67 % 2.33 % 2.31 % 2.24 % 2.14 % Net interest income $33,926 $30,100 $27,048 $21,258 $17,614 Contractual net interest income (expense) on interest rate swaps1 19,950 20,757 21,578 26,396 29,138 Effective net interest income5 $53,876 $50,857 $48,626 $47,654 $46,752 Net interest rate margin 1.38 % 1.42 % 1.44 % 1.11 % 0.90 % Effective interest rate margin3 2.56 % 2.82 % 3.05 % 3.07 % 3.28 % Effective cost of funds / Effective interest rate margin $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Repurchase agreements $6,842,947 $6,210,403 $5,339,373 $5,619,255 $5,150,081 Agency TBA6 674,136 1,199,557 1,247,065 — — Total funding $7,517,083 $7,409,960 $6,586,438 $5,619,255 $5,150,081 Stockholders' equity $903,368 $990,321 $876,354 $797,544 $769,581 Debt-to-equity 7.6x 6.3x 6.1x 7.0x 6.7x Economic debt-to-equity3 8.3x 7.5x 7.5x 7.0x 6.7x Debt-to-equity / Economic debt-to-equity 19Detailed footnotes are included at the end of this presentation
Page 20
Calculation of non-GAAP measures, continued $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Net income (loss) attributable to common stockholders $(98,797) $31,842 $(23,121) $48,243 $50,208 Adjustments: (Gain) loss on investments, net 402,062 21,226 54,940 (22,914) (49,540) Realized (gain) loss on derivative instruments, net (275,006) 32,412 (23,324) 18,863 49,189 Unrealized (gain) loss on derivative instruments, net 17,274 (43,239) 32,023 (4,354) (10,833) TBA Dollar Roll Income1 4,755 4,857 4,166 — — (Gain) loss on repurchase and retirement of preferred stock 7 (3) 27 30 2 Earnings available for distribution2 $50,295 $47,095 $44,711 $39,868 $39,026 Earnings available for distribution per common share2,3 $0.47 $0.50 $0.55 $0.56 $0.58 Reconciliation to net income (loss) attributable to common stockholders $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Effective net interest income $53,876 $50,857 $48,626 $47,654 $46,752 TBA dollar roll income1 4,755 4,857 4,166 — — Total expenses (5,183) (5,454) (4,891) (4,565) (4,465) Dividends to preferred stockholders (3,153) (3,165) (3,190) (3,221) (3,261) Earnings available for distribution2 $50,295 $47,095 $44,711 $39,868 $39,026 Components of earnings available for distribution 20Detailed footnotes are included at the end of this presentation
Page 21
Footnotes 21 Slide 3 1. Agency MBS ranked second among U.S. Fixed Income markets in average daily trading volume in 2025 at $354.0B, after U.S. Treasuries at $1,055.5B and ahead of corporate bonds at $57.9B. Source: SIFMA 2. Based on year-end yield-to-maturity data for the Bloomberg L.P. U.S. Treasury Index and the Bloomberg L.P. U.S. Mortgage Backed Securities Index from 2016 through 2025. Over this 10 year period, the Bloomberg L.P. U.S. Mortgage Backed Securities Index had an average year-end yield- to-maturity of 3.42%, compared with 2.69% for the Bloomberg L.P. U.S. Treasury Index. Source: Barclays 3. Invesco Mortgage Capital Inc. is externally managed and advised by Invesco Advisers Inc., a subsidiary of Invesco Ltd. (NYSE: IVZ), an independent global investment management company. Slide 4 1. Calculated as total stockholders' equity less the liquidation preference of preferred stock, divided by total common shares outstanding. 2. Calculated as the change in book value per common share for the period plus dividends declared per common share during the period, divided by the beginning book value per common share. 3. Calculated as total stockholders' equity less the liquidation preference of preferred stock. 4. Calculated as annualized common dividends per share divided by period-end common stock share price. Slide 5 1. Forward-looking expectations of future interest rate volatility based on market pricing of a swaption, which is an option to enter an interest rate swap at a future date. A 3M x 10Y swaption provides the right to enter a 10 year interest rate swap starting in 3 months. A 3Y x 10Y swaption provides the right to enter a 10 year interest rate swap starting in 3 years. Slide 6 1. 30 year Agency RMBS current coupon zero volatility spread to U.S. Treasuries. 2. Fannie DUS 10/9.5 spread to U.S. Treasuries. 3. Represents the rate at which the economics of rolling a TBA contract forward are equivalent to holding MBS. Slide 7 1. Represents the implied market value of Agency TBA. Under U.S. GAAP, Agency TBA are treated as derivative instruments and recorded on the balance sheet at net carrying value, which represents the difference between implied market value and implied cost basis. Slide 8 1. Represents the implied cost basis of Agency TBA. Agency TBA are a form of off-balance sheet financing because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. 2. Calculated by dividing annualized interest expense for the three-month period by the weighted average month-end balance of repurchase agreement borrowings for the period. 3. Reflects carrying value of repurchase agreement borrowings and notional amounts of interest rate swaps and U.S. Treasury futures. 4. Calculated as the ratio of repurchase agreement borrowings to total stockholders' equity. 5. Represents a non-GAAP financial measure and is calculated as the ratio of (i) total repurchase agreement borrowings and TBAs at implied cost basis to (ii) total stockholders' equity. Refer to slide 19 for additional information. Slide 9 1. Measure of the sensitivity of a security's value to changes in interest rates, expressed in years. 2. Represents period-end weighted average fixed pay rate.
Page 22
Footnotes, continued 22 Slide 10 1. Represents the estimated impact of an instantaneous parallel shift in the U.S. Treasury yield curve on book value per common share. 2. Represents the estimated impact of an instantaneous change in Agency MBS spreads on book value per common share. Slide 12 1. Preferred stock presented at liquidation preference. 2. Percentage of preferred stock calculated as the liquidation preference of preferred stock divided by total stockholders' equity. 3. Calculated as annualized total expenses divided by average common equity. Average common equity is calculated as the average month-end balance of total stockholders' equity less the liquidation preference of preferred stock. Slide 13 1. Includes Agency TBA at implied market value. 2. Represents a non-GAAP financial measure. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. 3. Represents period-end fair value of Agency RMBS specified pools and implied market value of Agency TBA. 4. T h e t h r e e ‑ m o n t h c o n s t a n t p r e p a y m e n t r a t e ( “ C P R ” ) i s e x p r e s s e d a s a n a n n u a l i z e d p e r c e n t a g e o f outstanding principal, based on the observed one-month prepayment speeds for the Agency RMBS portfolio as of each month end. Slide 14 1. Represents the total of unrestricted cash and unencumbered investments. 2. Calculated by dividing annualized interest income by weighted average month-end earning assets based on amortized cost. 3. Represents a non-GAAP financial measure and is calculated as annualized U.S. GAAP interest expense adjusted for contractual interest income or expense on interest rate swaps, divided by weighted average month-end balance of repurchase agreement borrowings. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. 4. Calculated as the average earning asset yield less the cost of funds. 5. Represents a non-GAAP financial measure and is calculated as the average earning asset yield less the effective cost of funds. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. Slide 16 1. Represents the annualized yield calculated using the security’s end of period market price and expected cash flows, including projected mortgage prepayment behavior and zero interest rate and spread volatility. 2. Measure of the sensitivity of a security's value to changes in interest rates, expressed in years. Incorporates the impact of expected changes in cash flows from embedded options in mortgage-backed securities. 3. Represents the weighted average seasoning of the underlying loans, measured in months since origination. 4. Represents the weighted average price premium paid for specified pool securities above corresponding forward-settling TBA securities, reflecting compensation for prepayment protection and other characteristics. 5. Represents the weighted average actual one-month annualized CPR for September 2026 for securities held as of September 30, 2026. 6. Represents the implied market value of Agency TBA.
Page 23
Footnotes, continued 23 Slide 19 1. Reported as a component of gain (loss) on derivative instruments, net on the statements of operations. 2. Represents a non-GAAP financial measure and is calculated as total U.S. GAAP interest expense adjusted for contractual interest income or expense on interest rate swaps. 3. Represents a non-GAAP financial measure. 4. Does not include an adjustment for U.S. Treasury futures that are used to hedge a portion of interest rate risk. 5. Represents a non-GAAP financial measure and is calculated as U.S. GAAP net interest income adjusted for contractual interest income or expense on interest rate swaps. 6. Represents the implied cost basis of TBA. Slide 20 1. Represents the price differential between the TBA price for current month settlement compared to the TBA price for forward month settlement. Amount excludes TBA mark-to-market adjustments. TBA dollar roll income is included in earnings available for distribution because it is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, over the forward settlement period. Reported as a component of gain (loss) on derivative instruments, net on the statements of operations. 2. Represents a non-GAAP financial measure. 3. Calculated as earnings available for distribution divided by the basic weighted average number of common shares outstanding for the period.