Invesco Mortgage Capital Inc. (NYSE:IVR) Q2 2020 Results Conference Call August 00, 2020 09:00 AM ET Company Participants Jack Bateman - Investor Relations John Anzalone - Chief Executive Officer Kevin Collins - President Brian Norris - Chief Investment Officer Conference Call Participants Doug Harter - Credit Suisse Eric Hagen - Keefe, Bruyette, & Woods Trevor Cranston - JMP Securities Jason Stewart - JonesTrading Operator Welcome to the Invesco Mortgage Capital Inc., Second Quarter 2020 Investors Conferen ...

[PART I FINANCIAL INFORMATION](index=3&type=section&id=PART%20I%20FINANCIAL%20INFORMATION) [Item 1. Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) The financial statements for the period ended June 30, 2020, reflect a material adverse change, with total assets plummeting to **$1.9 billion** and a net loss of **$1.9 billion** due to the COVID-19 pandemic Condensed Consolidated Balance Sheet Summary (in thousands) | Account | June 30, 2020 | December 31, 2019 | | :--- | :--- | :--- | | **Total Assets** | **$1,949,472** | **$22,346,545** | | Mortgage-backed securities, at fair value | $1,584,158 | $21,771,786 | | Cash and cash equivalents | $270,161 | $172,507 | | **Total Liabilities** | **$791,680** | **$19,414,646** | | Repurchase agreements | $— | $17,532,303 | | Secured loans | $740,000 | $1,650,000 | | **Total Stockholders' Equity** | **$1,157,792** | **$2,931,899** | Condensed Consolidated Statements of Operations Summary (in thousands) | Metric | Six Months Ended June 30, 2020 | Six Months Ended June 30, 2019 | | :--- | :--- | :--- | | Total Interest Income | $216,872 | $389,295 | | Total Interest Expense | $86,130 | $242,255 | | **Net Interest Income** | **$130,742** | **$147,040** | | Total Other Loss | ($2,007,846) | $33,247 | | **Net Income (Loss)** | **($1,905,031)** | **$157,126** | | Net Income (Loss) Attributable to Common Stockholders | ($1,927,244) | $134,913 | | **Diluted EPS** | **($11.91)** | **$1.08** | - The company experienced unprecedented market conditions due to the COVID-19 pandemic, resulting in a net loss of **$1.9 billion** for the six months ended June 30, 2020. Stockholders' equity declined from **$2.9 billion** at the end of 2019 to **$1.2 billion**[23](index=23&type=chunk) - To generate liquidity and reduce leverage amidst an unusually high number of margin calls, the company sold **$23.1 billion** of MBS and GSE CRTs and repaid **$17.5 billion** of repurchase agreements and **$910.0 million** of secured loans during the first six months of 2020. The investment portfolio shrank from **$21.9 billion** to **$1.6 billion**[24](index=24&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=36&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the severe impact of the COVID-19 pandemic, leading to forced deleveraging, **$23.1 billion** in asset sales, and an **80.5%** drop in book value per share - Due to the COVID-19 pandemic, the company was unable to fund margin calls starting March 23, 2020. This prompted massive asset sales of **$23.1 billion** to generate liquidity, which were used to repay **$17.5 billion** of repurchase agreements and **$910.0 million** of secured loans[168](index=168&type=chunk) - As of July 31, 2020, the company had resumed investing in Agency securities. The total investment portfolio was approximately **$3.3 billion**, consisting of **68% Agency RMBS**, **30% commercial credit**, and **2% residential credit**. Total debt included **$2.1 billion** in repurchase agreements and **$305.0 million** in secured loans[170](index=170&type=chunk) Book Value Per Common Share | Date | Total Adjusted Equity (in thousands) | Common Stock Outstanding (in thousands) | Book Value Per Share | | :--- | :--- | :--- | :--- | | **June 30, 2020** | **$575,292** | **181,327** | **$3.17** | | **December 31, 2019** | **$2,349,399** | **144,256** | **$16.29** | - Book value per common share decreased by **80.5%** to **$3.17** as of June 30, 2020, from **$16.29** at the end of 2019. This was primarily due to significant realized and unrealized losses on derivatives and investments resulting from the market disruption[210](index=210&type=chunk) [Results of Operations](index=45&type=section&id=Results%20of%20Operations) For the six months ended June 30, 2020, the company reported a net loss of **$1.9 billion**, driven by significant losses on investments and derivative instruments Key Operational Results (Six Months Ended June 30) | Metric (in thousands) | 2020 | 2019 | | :--- | :--- | :--- | | Net Interest Income | $130,742 | $147,040 | | Gain (loss) on investments, net | ($1,061,849) | $570,564 | | Gain (loss) on derivative instruments, net | ($911,122) | ($546,193) | | Net Income (Loss) | ($1,905,031) | $157,126 | - Realized net losses on investment sales for the first six months of 2020 were **$409.0 million**, largely due to involuntary liquidations by repurchase agreement counterparties at distressed prices after the company was unable to meet margin calls[238](index=238&type=chunk) - The company realized a net loss of **$904.7 million** on the termination of interest rate swaps during the first six months of 2020, as it terminated all outstanding swaps in March in response to market conditions and its reduced portfolio size[206](index=206&type=chunk)[247](index=247&type=chunk) [Liquidity and Capital Resources](index=56&type=section&id=Liquidity%20and%20Capital%20Resources) The company's liquidity was severely impacted by the COVID-19 crisis, leading to forced asset sales, with **$271.6 million** in cash and **$554.3 million** in unencumbered investments as of June 30, 2020 - Financing activities used a net **$18.2 billion** in cash for the first six months of 2020, primarily due to the net repayment of **$17.5 billion** in repurchase agreements and **$910.0 million** in secured loans[277](index=277&type=chunk)[278](index=278&type=chunk) - As of June 30, 2020, the company held **$271.6 million** in cash and had **$554.3 million** of unencumbered investments. The company resumed investing in Agency RMBS in July 2020, financed with a moderate amount of new repurchase agreement borrowings[275](index=275&type=chunk)[280](index=280&type=chunk) [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=59&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company faces significant interest rate, prepayment, and market value risks, amplified by COVID-19, with no interest rate hedges as of June 30, 2020, but resumed hedging in July - The company had no interest rate hedges in place as of June 30, 2020, due to limited interest rate sensitivity after its portfolio repositioning. It resumed using interest rate swaps in July 2020 to hedge new Agency RMBS purchases[296](index=296&type=chunk)[297](index=297&type=chunk) Interest Rate Sensitivity Analysis (as of June 30, 2020) | Change in Interest Rates | Percentage Change in Projected Net Interest Income | Percentage Change in Projected Portfolio Value | | :--- | :--- | :--- | | +1.00% | (1.93)% | (2.88)% | | +0.50% | (1.00)% | (1.47)% | | -0.50% | 1.54% | 0.90% | | -1.00% | 1.12% | 1.12% | - Credit risk has increased due to the COVID-19 pandemic. The significant decrease in economic activity could adversely affect the value of mortgage assets, and borrowers may experience difficulties meeting obligations, leading to increased delinquencies and defaults[319](index=319&type=chunk) [Item 4. Controls and Procedures](index=62&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded that the company's disclosure controls and procedures were effective as of June 30, 2020, with no material changes to internal controls - Based on an evaluation as of June 30, 2020, the principal executive officer and principal financial officer concluded that the company's disclosure controls and procedures were effective[322](index=322&type=chunk) - No changes occurred in the company's internal control over financial reporting during the quarter ended June 30, 2020, that have materially affected or are reasonably likely to materially affect internal controls[324](index=324&type=chunk) [PART II OTHER INFORMATION](index=63&type=section&id=PART%20II%20OTHER%20INFORMATION) [Item 1. Legal Proceedings](index=63&type=section&id=Item%201.%20Legal%20Proceedings) As of June 30, 2020, the company was not involved in any material legal proceedings arising in the ordinary course of business - The company reports no involvement in any material legal proceedings as of June 30, 2020[327](index=327&type=chunk) [Item 1A. Risk Factors](index=63&type=section&id=Item%201A.%20Risk%20Factors) The COVID-19 pandemic significantly amplified risk factors, including funding access, margin calls, dividend payments, and fair value determination amid market volatility - The COVID-19 pandemic has caused severe volatility and forced sales of securities, leading to higher than historical levels of margin calls and potentially unfavorable sale terms[330](index=330&type=chunk) - The inability to renew or roll repurchase agreements on acceptable terms could force the company to dispose of assets at significantly lower prices, causing significant losses. This risk is heightened by market volatility from the pandemic[333](index=333&type=chunk) - Significant margin calls resulting from counterparties marking down asset values have had, and could continue to have, a material adverse effect on results, liquidity, and the ability to make distributions[335](index=335&type=chunk) - The company's ability to pay dividends has been and may continue to be adversely affected. The board reduced the quarterly common stock dividend in Q2 2020 to enhance liquidity[336](index=336&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=66&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) The company did not repurchase any shares of its common stock during the three months ended June 30, 2020 - No common stock was repurchased during the second quarter of 2020[347](index=347&type=chunk)

Invesco Mortgage Capital Inc. (NYSE:IVR) Q1 2020 Earnings Conference Call June 23, 2020 9:00 AM ET Company Participants John Anzalone - Chief Executive Officer Kevin Collins - President Brian Norris - Chief Investment Officer David Lyle - Chief Operating Officer Lee Phegley - Chief Financial Officer Brandon Burke - Investor Relations Conference Call Participants Eric Hagen - KBW Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Operator Welcome to the Invesco Mortgage Capital Inc. first quarter 2 ...

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, 2020 | | | OR | | ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | | | For the transition period from to ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2019 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 Mortgage Capital Inc. (Exact name of registrant as specified in its charter) | Maryland | 26-2749336 | | --- | --- | | ...

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, 2019 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 ...

PART I FINANCIAL INFORMATION [Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) This section presents the unaudited condensed consolidated financial statements, showing total assets increased to $22.0 billion and net income reached $134.9 million for the six months ended June 30, 2019 [Condensed Consolidated Balance Sheets](index=3&type=section&id=Condensed%20Consolidated%20Balance%20Sheets) Total assets increased to $22.0 billion, primarily driven by mortgage-backed securities and financed by repurchase agreements, with stockholders' equity rising to $2.7 billion | Balance Sheet Highlights ($ in thousands) | June 30, 2019 | December 31, 2018 | | :--- | :--- | :--- | | **Total Assets** | **$22,038,078** | **$17,813,505** | | Mortgage-backed securities, at fair value | $21,536,047 | $17,396,642 | | **Total Liabilities** | **$19,367,977** | **$15,526,808** | | Repurchase agreements | $17,075,065 | $13,602,484 | | **Total Stockholders' Equity** | **$2,670,101** | **$2,286,697** | [Condensed Consolidated Statements of Operations](index=4&type=section&id=Condensed%20Consolidated%20Statements%20of%20Operations) Net income attributable to common stockholders was $134.9 million, influenced by a $570.6 million net gain on investments offset by a $546.2 million net loss on derivatives | ($ in thousands, except per share) | Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | | :--- | :--- | :--- | | Net Interest Income | $147,040 | $158,831 | | Gain (loss) on investments, net | $570,564 | $(196,747) | | Gain (loss) on derivative instruments, net | $(546,193) | $200,536 | | Net Income Attributable to Common Stockholders | $134,913 | $121,479 | | Diluted EPS | $1.08 | $1.08 | [Condensed Consolidated Statements of Comprehensive Income](index=5&type=section&id=Condensed%20Consolidated%20Statements%20of%20Comprehensive%20Income) Comprehensive income attributable to common stockholders significantly improved to $232.1 million, driven by net income and unrealized gains on mortgage-backed securities | ($ in thousands) | Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | | :--- | :--- | :--- | | Net Income | $157,126 | $145,526 | | Total other comprehensive income (loss) | $97,200 | $(173,759) | | Comprehensive income (loss) | $254,326 | $(28,233) | | Comprehensive income (loss) attributable to common stockholders | $232,113 | $(50,089) | [Condensed Consolidated Statements of Equity](index=6&type=section&id=Condensed%20Consolidated%20Statements%20of%20Equity) Total stockholders' equity increased to $2.67 billion, primarily due to net income, other comprehensive income, and common stock issuance proceeds - Stockholders' equity grew to **$2.67 billion** at June 30, 2019, up from **$2.29 billion** at the start of the year[18](index=18&type=chunk) - Key drivers of the equity increase were net income (**$157.1 million**), other comprehensive income (**$97.2 million**), and net proceeds from common stock issuance (**$266.7 million** for the six months)[18](index=18&type=chunk)[24](index=24&type=chunk) [Condensed Consolidated Statements of Cash Flows](index=8&type=section&id=Condensed%20Consolidated%20Statements%20of%20Cash%20Flows) Net cash provided by operating activities was $157.0 million, while investing activities used $3.7 billion, largely funded by $3.6 billion from financing activities | ($ in thousands) | Six Months Ended June 30, 2019 | | :--- | :--- | | Net cash provided by operating activities | $157,002 | | Net cash (used in) investing activities | $(3,749,403) | | Net cash provided by financing activities | $3,611,675 | | **Net change in cash** | **$19,274** | [Notes to Condensed Consolidated Financial Statements](index=9&type=section&id=Notes%20to%20Condensed%20Consolidated%20Financial%20Statements) The notes detail the $21.5 billion MBS and CRT portfolio, financed by $17.1 billion in repurchase agreements, and the use of $12.5 billion notional interest rate swaps for hedging - The company's investment portfolio of MBS and GSE CRT securities totaled **$21.5 billion** at fair value as of June 30, 2019, a substantial increase from **$17.4 billion** at year-end 2018[41](index=41&type=chunk)[42](index=42&type=chunk) - Total borrowings stood at **$18.7 billion**, consisting of **$17.1 billion** in repurchase agreements and **$1.65 billion** in secured loans[85](index=85&type=chunk) - The company uses derivative instruments to manage risk, with interest rate swaps having a notional amount of **$12.5 billion** as of June 30, 2019[106](index=106&type=chunk)[110](index=110&type=chunk) - A public offering of **16.1 million** shares of common stock was completed on February 7, 2019, generating net proceeds of approximately **$249.5 million**[159](index=159&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=38&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses portfolio management, a 6.2% increase in book value per common share to $16.21, and core earnings of $0.46 per share for Q2 2019 - Book value per common share increased **6.2%** to **$16.21** as of June 30, 2019, from **$15.27** at December 31, 2018, primarily due to interest rate spread tightening[236](index=236&type=chunk) - The company shifted its portfolio, increasing holdings of 30-year fixed-rate Agency RMBS and Agency CMBS, funded by a **$249.5 million** common stock offering and sales of ARM and Hybrid ARM securities[188](index=188&type=chunk)[212](index=212&type=chunk)[213](index=213&type=chunk) - Core earnings, a non-GAAP measure, were **$0.46** per common share for Q2 2019, compared to **$0.41** for Q2 2018[301](index=301&type=chunk) - The company's repurchase agreement debt-to-equity ratio, a non-GAAP leverage measure, was **7.4x** as of June 30, 2019[323](index=323&type=chunk)[325](index=325&type=chunk) [Quantitative and Qualitative Disclosures About Market Risk](index=69&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company identifies and manages market risks including interest rate and prepayment risk, with sensitivity analysis detailing their impact on portfolio value and net interest income - The main components of market risk are interest rate, principal prepayment, and market value risk[365](index=365&type=chunk) Interest Rate Sensitivity Analysis | Change in Interest Rates | % Change in Projected Net Interest Income | % Change in Projected Portfolio Value | | :--- | :--- | :--- | | +1.00% | (9.49)% | (1.28)% | | +0.50% | (1.53)% | (0.44)% | | -0.50% | (3.43)% | (0.14)% | | -1.00% | (24.02)% | (0.88)% | - The company actively manages risk through asset selection, sector allocation, regulating portfolio value-at-risk, and maintaining liquidity[373](index=373&type=chunk) [Controls and Procedures](index=72&type=section&id=Item%204.%20Controls%20and%20Procedures) Disclosure controls and procedures were deemed effective as of June 30, 2019, with no material changes to internal control over financial reporting - Management concluded that disclosure controls and procedures were effective as of June 30, 2019[389](index=389&type=chunk) - No material changes to internal control over financial reporting occurred during the quarter ended June 30, 2019[391](index=391&type=chunk) PART II OTHER INFORMATION [Legal Proceedings](index=73&type=section&id=Item%201.%20Legal%20Proceedings) The company was not involved in any material legal proceedings as of June 30, 2019 - The company reports no involvement in material legal proceedings as of the end of the quarter[394](index=394&type=chunk) [Risk Factors](index=73&type=section&id=Item%201A.%20Risk%20Factors) No material changes to previously disclosed risk factors were reported for the period - No material changes to the previously disclosed risk factors were reported for the period[395](index=395&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=73&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) The company did not repurchase any shares of its common stock during the three months ended June 30, 2019 - No common stock was repurchased during the second quarter of 2019[396](index=396&type=chunk) [Defaults Upon Senior Securities](index=73&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) The company reported no defaults upon senior securities - None[397](index=397&type=chunk) [Other Information](index=73&type=section&id=Item%205.%20Other%20Information) The company reported no other information - None[399](index=399&type=chunk) [Exhibits](index=75&type=section&id=Item%206.%20Exhibits) This section provides a list of exhibits filed with the Form 10-Q, incorporated by reference

Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q _______________________________________________ (Mark One) ý QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2019 OR o 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 (Exact Name of Registrant as Specified in Its Charter) _ ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (Mark One) ý ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2018 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 (Exact name of registrant as specified in its charter) (State or other jurisdiction of incorporation or organization) Maryland ...