| --- | --- | --- | --- | --- | --- | |-------|---------------------------------------------------------------------------------|-------------------------|------------------------------------------------|-------------------------|---------------------------------------| | | | | | | | | | | | | | | | | | | | | | | | Third Quarter 2022 Earnings Call November 3, 2022 Invesco Mortgage Capital Inc. | | | | | | | | | | | | | | John Anzalone Chief Executive Officer | Kevin Collins President | Lee Phegley Chief Fin ...

Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 _______________________________________________ FORM 10-Q _______________________________________________ (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-34385 Inve ...

Financial Data and Key Metrics Changes - The book value declined during the quarter, ending at $16.16, but showed improvement in the third quarter with a high single-digit increase through the end of July [7][10] - The net interest margin expanded due to wider spreads on new investments in higher coupon mortgages and favorable funding rates [9] - The weighted average yield on Agency RMBS investments improved from 2.54% at the end of Q1 to 4.07% at the end of Q2 [19] Business Line Data and Key Metrics Changes - The company reduced overall exposure to agency mortgages, decreasing economic leverage from 6.5 times to 3.9 times [7][23] - The allocation to credit securities declined from $98 million to $52 million during the quarter, with non-Agency CMBS representing 55% of the remaining portfolio [21] Market Data and Key Metrics Changes - The S&P 500 Index declined approximately 17% over the quarter, while the Bloomberg US Aggregate Bond Index declined roughly 4.4% [6] - US commercial banks slowed their purchases of agency mortgages during Q2, leading to significantly lower demand for the sector [14] Company Strategy and Development Direction - The company aims to improve its capital structure by repurchasing preferred shares and reducing leverage to mitigate volatility in book value [28][30] - The focus is on higher coupon investments due to attractive valuations and reduced supply from lower origination volume [25] Management Comments on Operating Environment and Future Outlook - Management noted that while conditions in the Agency RMBS market are becoming more favorable, challenges remain due to elevated market volatility and reduced demand from commercial banks and the Federal Reserve [24][25] - The company remains cautious but sees today's valuations and production coupons as attractive entry points for long-term investors [26] Other Important Information - The liquidity position remains strong with $677 million of unrestricted cash and unencumbered assets at quarter end [8] - The economic leverage increased modestly to approximately 4.4 times debt to equity at the end of July [23] Q&A Session Summary Question: Portfolio construction and capital structure to mute volatility - Management has lowered leverage and repurchased preferred shares to reduce volatility in common equity [28][30] Question: Range for a normalized capital structure - The target for preferred shares is historically in the low 20s percentage range [32] Question: Trade-off between protecting book value and missing spread tightening - Management is comfortable keeping leverage low to offset market volatility, with earnings available for distribution well supported [36] Question: Dividend and earnings level considerations - The company retained about 40% of earnings available for distribution to support book value, with future dividend decisions to be made by the Board [38][39]

Financial Results - The company reported a net loss per common share of $3.52[7] - Earnings available for distribution per common share were $1.40[7] - The book value per common share was $16.16[7] - A dividend per common share of $0.90 was declared[7] - The company experienced an economic return of (17.9)%[7] Portfolio Allocation - The investment allocation was heavily weighted towards Agency RMBS at 97% with a total investment of $4.4 billion[5] - Agency IO accounted for 1% of the investment allocation[5] - The credit portfolio represented 2% of the investment allocation[5] - Equity allocation in Agency RMBS was 86% with a total equity of $1.0 billion[6] - Agency IO accounted for 6% of the equity allocation[6] - The credit portfolio represented 8% of the equity allocation[6] Company Activity - The company increased its net interest margin by 0.63% to 2.86% by rotating the Agency RMBS portfolio into higher coupon investments[7] - Exposure to Agency RMBS was reduced due to elevated market volatility[7] - The debt-to-equity leverage ratio decreased to 3.4x from 5.2x[7] - The economic debt-to-equity ratio declined to 3.9x from 6.5x[7] - The company held $677.1 million of unrestricted cash and unencumbered investments at the end of the quarter[7] - Approximately 30% of the company's preferred stock outstanding was repurchased through August 4, 2022[7] Agency RMBS Investments - The Agency RMBS investment portfolio decreased to $4.3 billion[21] - The company increased its net interest margin by rotating $3.2 billion of lower coupon investments into more attractive higher coupon investments[21] - Specified pool exposure was reduced by $1.7 billion via sales of lower coupon investments[21] - TBA exposure was reduced by $1.1 billion[21] Credit Investment Characteristics - The credit investment portfolio totaled $79 million[23] - Non-Agency CMBS accounted for 55% of the credit investment portfolio[23] - Non-Agency RMBS accounted for 10% of the credit investment portfolio[23] - Commercial loans accounted for 30% of the credit investment portfolio[23] - Joint ventures accounted for 5% of the credit investment portfolio[23] - Credit securities by rating totaled $52 million[24] - 88% of credit securities are rated single-A or higher[24] Financing & Hedging - The company hedged 67% of its borrowing costs with a net $2.2 billion notional pay fixed / receive floating interest rate swaps[27]

Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 _______________________________________________ FORM 10-Q _______________________________________________ (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-34385 Invesco M ...

Invesco Mortgage Capital Inc. First Quarter 2022 Earnings Call May 5, 2022 John Anzalone Chief Executive Officer Lee Phegley Chief Financial Officer Kevin Collins President David Lyle Chief Operating Officer Brian Norris Chief Investment Officer Cautionary Notice Regarding Forward-Looking Statements This press release, the related 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 ...

Invesco Mortgage Capital Inc. (NYSE:IVR) Q1 2022 Earnings Conference Call May 5, 2022 9:00 AM ET Company Participants Jack Bateman - Investor Relations John Anzalone - Chief Executive Officer Brian Norris - Chief Investment Officer Kevin Collins - President Lee Phegley - Chief Financial Officer Dave Lyle - Chief Operating Officer Conference Call Participants John Kilichowski - Credit Suisse Jason Stewart - Jones Trading Operator Welcome to Invesco Mortgage Capital Inc.'s First Quarter 2022 Investor Conferen ...

Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 _______________________________________________ FORM 10-Q _______________________________________________ (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-34385 Invesco ...

Invesco Mortgage Capital Inc. Fourth Quarter 2021 Earnings Call February 18, 2022 John Anzalone Chief Executive Officer Lee Phegley Chief Financial Officer Kevin Collins President David Lyle Chief Operating Officer Brian Norris Chief Investment Officer Cautionary Notice Regarding Forward-Looking Statements This press release, the related presentation and comments made in the associated conference call, may include statements and information that constitute "forward-looking statements" within the meaning of ...

Invesco Mortgage Capital Inc. (NYSE:IVR) Q4 2021 Earnings Conference Call February 18, 2022 9:00 AM ET Company Participants Jack Bateman – Investor Relations John Anzalone – Chief Executive Officer Brian Norris – Chief Investment Officer Conference Call Participants Doug Harter – Credit Suisse Trevor Cranston – JMP Securities Derek Hewett – Bank of America Operator Welcome to Invesco Mortgage Capital Inc.'s Fourth Quarter 2021 Investor Conference Call. [Operator Instructions] As a reminder, this call is bei ...