Group 1 - Mortgage REITs have a long history, gaining popularity in the late 1960s and early 1970s as large banks and mortgage brokers established their own [1] - The iREIT® Tracker provides comprehensive data on over 250 tickers, including quality scores, buy targets, and trim targets, aimed at enhancing investment research [1] - The introduction of the iREIT Buy Zone Ratings Tracker allows members to screen for value, enhancing investment decision-making [2] Group 2 - A promotional offer includes a 2-week free trial and a complimentary book, aimed at attracting new members to the iREIT® platform [4]

Q1 2025 SUPPLEMENTAL REPORTING INFORMATION Table of Contents | Press Release | Page | 1 | | --- | --- | --- | | Highlights | Page | 7 | | Commercial and Residential Lending Segment | Page | 10 | | Infrastructure Lending Segment | Page | 18 | | Property Segment | Page | 19 | | Investing and Servicing Segment | Page | 22 | | Capitalization | Page | 24 | | Appendix | Page | 30 | (i) Cover photo: $190M first mortgage participation in The Perigon, Miami Beach PRESS RELEASE – Closed $1.3 Billion After Quarter End ...

– Quarterly GAAP Earnings of $0.33 and Distributable Earnings (DE) of $0.45 per Diluted Share –– Invested $2.3 Billion, Including $1.4 Billion in Commercial Lending and Record $0.7 Billion in Infrastructure Lending –– Closed $1.3 Billion After Quarter End, Including $0.9 Billion in Commercial Lending –– Issued $500 Million of Corporate Debt, Extending Average Maturity to 3.7 Years –– Current Liquidity of $1.5 Billion –– Paid Quarterly Dividend of $0.48 per Share for Over a Decade –MIAMI BEACH, Fla., May 9, ...

Financial Data and Key Metrics Changes - For Q1 2025, the company reported a GAAP net loss of $0.56 per share and a distributable loss of $0.25 per share [11] - Distributable earnings prior to realized losses were $0.08 per share, with earnings from REO investments contributing a distributable loss of $0.03 per share [11] - The held for investment loan portfolio decreased to $5.9 billion at March 31 from $6.1 billion at December 31, primarily due to loan resolutions [12] Business Line Data and Key Metrics Changes - The company fully realized five loans, receiving $7 million in proceeds from repayments and resolutions, which improved liquidity and reduced leverage [8] - Hospitality exposure was reduced by $326 million, reflecting a strategic move in light of economic headwinds [9] - A $214 million facility was closed to finance non-performing loans through the REO stage, indicating progress in the multifamily REO strategy [9][15] Market Data and Key Metrics Changes - The company noted widening spreads in the real estate capital markets and a pause in transactions by institutional participants due to heightened uncertainty from U.S. tariff and foreign policy volatility [6][7] - The economic and political climate is impacting capital markets and investor sentiment, which may affect the company's operational strategies [10][16] Company Strategy and Development Direction - The company is focused on enhancing liquidity, reducing leverage, and optimizing outcomes on watch list loans, with strategies including loan sales and discounted payoffs [11][12] - Management is considering various paths for loan resolutions, including divesting, extending, recapitalizing, or taking assets over as REO, depending on market conditions [10] - The company aims to achieve $2 billion in realizations over the year, with $600 million already completed [60] Management's Comments on Operating Environment and Future Outlook - Management acknowledged the ongoing higher rate environment and its headwinds to broader real estate recovery, while expressing optimism about achieving strategic goals [7][10] - The company is navigating a period of uncertainty and volatility, with plans to remain pragmatic and proactive in its approach [16] - Management believes that fundamentals at the property level remain strong, despite the challenges in the broader market [59] Other Important Information - The company reported total liquidity of $136 million as of March 31, which includes cash and undrawn credit capacity [16] - The company has extended repo facilities with Wells Fargo and Goldman Sachs, indicating constructive relationships with repo counterparties [35] Q&A Session Summary Question: Update on two large multifamily loans - Management is still anticipating payoffs for the two loans maturing on July 31 and August 1, but may need to evaluate other options due to market volatility [18][19] Question: Current thoughts on term loan B - The term loan matures in August 2026, and management is evaluating options including amending and extending the loan or exploring private credit solutions [21] Question: Update on repo counterparties - The company has extended its repo facilities with Wells Fargo and Goldman Sachs, and is evaluating capacity size based on current financing needs [34][35] Question: Summary statistics for the overall portfolio - The portfolio is transitioning, with a significant reduction in construction assets and an increase in cash-flowing multifamily exposure [41][45] Question: Total REO expected this year and liquidity implications - The company is actively working on monetizing current REO assets and expects to take on additional multifamily assets, with no initial liquidity outflow anticipated from the new financing facility [50][51] Question: Consideration of splitting the company into separate entities - Management is considering various strategies for REO but currently has no plans to split the company into separate entities focused on development and mortgage REIT operations [55]

Financial Data and Key Metrics Changes - For Q1 2025, the company reported a GAAP net loss of $0.56 per share and a distributable loss of $0.25 per share [10] - Distributable earnings prior to realized losses were $0.08 per share, with earnings from REO investments contributing a distributable loss of $0.03 per share [10] - The held for investment loan portfolio decreased to $5.9 billion at March 31 from $6.1 billion at December 31, primarily due to loan resolutions [11] Business Line Data and Key Metrics Changes - The company fully realized five loans, receiving $67 million in proceeds from repayments and resolutions, which improved liquidity and reduced leverage [7] - Hospitality exposure was reduced by $326 million, reflecting a strategic move in light of economic headwinds [8] - A $214 million facility was closed to finance non-performing loans through the REO stage, indicating progress in the multifamily REO strategy [8][14] Market Data and Key Metrics Changes - The company noted widening spreads in the real estate capital markets and a pause in transactions by institutional participants due to heightened uncertainty [6] - The economic and political climate is impacting capital markets and investor sentiment, which may affect the company's operational momentum [9] Company Strategy and Development Direction - The company is focused on enhancing liquidity, reducing leverage, and optimizing outcomes on watch list loans through various strategies including loan sales and discounted payoffs [10] - The management is considering various paths for loan resolutions, including divesting, extending, recapitalizing, or taking assets over as REO depending on market conditions [9] - The company aims to manage liquidity effectively while preparing for future liability maturities and seeking to improve asset performance [58] Management's Comments on Operating Environment and Future Outlook - Management acknowledged the ongoing volatility in U.S. tariffs and foreign policy, which has created uncertainty in the economy and commercial real estate [5] - Despite the challenges, management expressed optimism about achieving strategic goals and improving liquidity through realizations [6][58] - The company is preparing for potential economic headwinds and recessionary fears while remaining proactive in its strategies [9] Other Important Information - The company reported total liquidity of $136 million as of March 31, which includes cash and undrawn credit capacity [15] - The company has a target of $2 billion in realizations for the year, with $600 million achieved so far [58] Q&A Session Summary Question: Update on large multifamily loans - Management confirmed that two large multifamily loans are still in process, with maturities approaching [17][18] Question: Thoughts on term loan B - Management is evaluating options for the term loan B, including amending and extending the existing loan or exploring private credit solutions [19][20] Question: Repo counterparties update - Management extended the Wells Fargo facility for another year and the Goldman Sachs repo facility for two years, indicating constructive relationships with repo lenders [31][32] Question: Portfolio statistics and liquidity implications - Management discussed the transitional nature of the portfolio, with a focus on improving liquidity and managing funding commitments [40][41] Question: Total REO expected this year - Management indicated that the REO strategy is fluid, with potential monetization of assets in the near term and ongoing evaluations of additional REO acquisitions [48][49]

Financial Data and Key Metrics Changes - The company reported a positive economic return of 2.6% for the quarter, consisting of a $0.34 dividend and a modest $0.11 decline in book value to $8.81 [9][10] - The estimated book value per common share as of April 30 is between $7.74 and $8.06, reflecting a decline in April due to market volatility [10][26] - The leverage ratio was reduced from 7.1x to the mid-6s, indicating a cautious approach in response to market conditions [24][26] Business Line Data and Key Metrics Changes - The agency RMBS portfolio increased by 9.5% quarter over quarter, with investments focused on higher coupon securities [19] - The company rotated its allocations from lower coupons to higher coupons, capitalizing on attractive valuations [20] - Agency CMBS exposure remained at approximately 15% of the total investment portfolio, with new purchases yielding low double-digit ROEs [21] Market Data and Key Metrics Changes - U.S. Treasury yields declined by 20 to 40 basis points across the yield curve during the first quarter, driven by concerns over economic growth [12][13] - The Fed funds futures market is now pricing in deeper cuts, with expectations for the target rate to be reduced three to four times in 2025 [14] - Agency mortgages underperformed treasuries in April due to increased interest rate volatility and market sell-offs [9][23] Company Strategy and Development Direction - The company remains focused on higher coupon Agency RMBS, anticipating improved demand from banks and overseas investors as interest rate volatility declines [20][26] - The strategy includes increasing allocations to specified pools with predictable prepayment characteristics, particularly those with low credit score borrowers [20] - The company is cautious on agency mortgages in the near term but maintains a favorable long-term outlook due to expected improvements in investor demand [10][26] Management's Comments on Operating Environment and Future Outlook - Management noted tightening financial conditions and increased uncertainty regarding monetary and fiscal policies, impacting market sentiment [6][10] - The outlook for the second half of the year is cautiously optimistic, with expectations for improved demand for Agency RMBS as the economic environment stabilizes [16][26] - Management emphasized the importance of maintaining liquidity and reducing leverage to navigate current market volatility [24][26] Other Important Information - The company has been disciplined in adding exposure to Agency CMBS, focusing on relative value and risk diversification [21] - The funding market for assets has remained stable, with repo spreads consistent and haircuts unchanged [15] - The company has sold remaining credit investments, focusing entirely on agency assets [65] Q&A Session Summary Question: Can you discuss the decision to take down leverage? - The company reduced leverage by about 0.5 turns due to increased uncertainty regarding monetary, fiscal, and trade policy, which could impact mortgage demand [29][30] Question: What are the current returns on an incremental basis? - Levered ROEs are in the low 20s on higher coupons, indicating attractive spreads [32] Question: Can you comment on changes to the hedge portfolio in April? - The hedge ratio was increased due to uncertainty about near-term monetary policy, maintaining a mix of swaps and treasuries [35][36] Question: How does the smaller portfolio size impact the dividend level? - The company is comfortably covering the dividend despite the portfolio size reduction, with supportive ROEs from reinvestments [38] Question: How do current opportunities in agency compare to previous peaks? - The opportunity in mortgages is attractive, but there is caution regarding potential inflation and its impact on monetary policy adjustments [41][42] Question: What is the outlook for forward rates and the hedge portfolio? - There is uncertainty about future cuts, with a conservative approach to managing the hedge portfolio and leverage [50][52] Question: Are there opportunities in commercial credit? - The company has been hesitant to add credit exposure and has sold remaining credit investments, focusing solely on agency assets [64][65]

Financial Data and Key Metrics Changes - Earnings available for distribution improved by 11% and book value increased by 7.4% with an economic return of 9.2% for the quarter [6][13] - GAAP net income for the first quarter was $145.9 million or $1.77 per share, while economic net interest income was $72.3 million [13][14] - The yield on average interest-earning assets was 5.9% and the average cost of funds was 4.4%, resulting in a net interest spread of 1.5% [14] Business Line Data and Key Metrics Changes - Third-party loans under management by Palisades Advisory Services increased by 43% year over year, reaching nearly $24 billion [7] - The company managed a total of nearly $37 billion in assets, including on-balance sheet assets and those managed for others [7] - The company executed impactful balance sheet moves, including cash-out refinancing that unlocked $187 million [8][27] Market Data and Key Metrics Changes - National home price growth was 3.9% year over year, with varying performance across regions [21] - Existing home sales declined to a 4 million unit annualized pace, marking the slowest first quarter since 2009 [21] - Delinquency rates remained stable at 8.9%, with prepayments decreasing to 5.5% [23] Company Strategy and Development Direction - The company aims to build a hybrid mortgage REIT that is resilient and diversified, focusing on diversifying the portfolio and growing recurring fee income [11][30] - The strategy includes adding Agency RMBS assets and evaluating MSR opportunities to generate attractive returns [29][30] - The company is focused on disciplined risk management and thoughtful portfolio construction [30] Management's Comments on Operating Environment and Future Outlook - Management noted that despite market volatility, the company is holding steady and expects to continue growing third-party loans under management [10] - The outlook for the third-party business remains positive, with expectations for growth depending on the mortgage market [42] - Management expressed caution regarding capital deployment due to ongoing macroeconomic uncertainty [29] Other Important Information - The company ended the quarter with $697 million in total cash and unencumbered assets [14] - The company refinanced two structured repo lines, extending maturities and lowering costs, which released an additional $100 million in cash [26][55] Q&A Session Summary Question: Clarification on book value performance - Management indicated that book value was down about 40 basis points as of the beginning of the second quarter [33] Question: Timing for deploying freed-up investment capital - Approximately 33% to 40% of the $187 million has been deployed, with a focus on building liquidity [35][36] Question: Outlook for third-party business growth - Management is bullish on growth potential, depending on the mortgage market and new client acquisitions [42] Question: Sensitivity to higher delinquency rates - Management noted that delinquencies in the RPL portfolio are stable and not a major concern, while monitoring trends in non-QM portfolios [60][63] Question: Details on new loan facilities and advance rates - Management did not disclose specific advance rates but confirmed that the facilities are structured repo facilities with banking relationships [64][66]

Financial Data and Key Metrics Changes - Earnings available for distribution improved by 11% and book value increased by 7.4% with an economic return of 9.2% for the quarter [6] - GAAP net income for the first quarter was $145.9 million or $1.77 per share, while GAAP book value at the end of the quarter was $21.17 per share [13] - Economic net interest income for the first quarter was $72.3 million with a yield on average interest-earning assets of 5.9% and an average cost of funds of 4.4%, resulting in a net interest spread of 1.5% [14] Business Line Data and Key Metrics Changes - Third-party loans under management by Palisades Advisory Services increased by 43% year over year, reaching nearly $24 billion [7] - The company executed impactful balance sheet moves, including cash-out refinancing that unlocked $187 million [8] - The company settled $100 million in residential transition loans during the quarter, expecting mid-teen levered returns [9] Market Data and Key Metrics Changes - National home price growth was 3.9% year over year, with varying performance across regions [22] - Existing home sales declined to a 4 million unit annualized pace, marking the slowest first quarter since 2009 [22] - Delinquency rates remained stable at 8.9% for the re-performing loan portfolio, with prepayments at 5.5% [24] Company Strategy and Development Direction - The company aims to build a hybrid mortgage REIT that is resilient and diversified, focusing on diversifying the portfolio and growing recurring fee income [11][32] - The strategy includes adding Agency RMBS assets and evaluating MSR opportunities to generate attractive returns [31] - The company is focused on disciplined risk management and thoughtful portfolio construction to support attractive risk-adjusted returns [32] Management's Comments on Operating Environment and Future Outlook - Management noted that despite market volatility, the company is holding steady and expects to continue growing third-party loans under management [10] - The current book value is estimated to be flat to slightly down, with a focus on building liquidity [10][36] - Management expressed cautious optimism regarding the growth potential of the third-party business, depending on the mortgage market [42] Other Important Information - The company ended the quarter with $697 million in total cash and unencumbered assets, enhancing liquidity [14] - The company refinanced two structured repo lines, extending maturities and lowering costs, which unlocked additional cash for investment [27] Q&A Session Summary Question: Clarification on book value performance - Management indicated that book value was down about 40 basis points as of the latest update [35] Question: Timing for deploying freed-up investment capital - Approximately 33% to 40% of the $187 million has been deployed, with a focus on building liquidity [36][37] Question: Outlook for third-party business growth - Management is bullish on growth potential, depending on the mortgage market and client acquisition [42] Question: Sensitivity to higher delinquency rates - Management noted that delinquencies in the re-performing loan portfolio are stable and not considered high for that product type [58][62] Question: Details on new loan facilities and advance rates - Management did not disclose specific advance rates but confirmed that the facilities are structured repo facilities with limited mark-to-market features [63][65]

Q1 2025 Highlights - Book value per share increased by 74% from $1972 in Q4 2024 to $2117 in Q1 2025[13] - Earnings Available for Distribution (EAD) was $041 per share[13] - Economic Return was 92%[13] - Dividends declared were $037 per share[13] Securitization and Investments - Sponsored a $288 million Non-QM securitization (CIM 2025-I1)[13] - Re-securitized $646 million of loans extracting $187 million of capital for reinvestment[13] - Purchased $149 million of Agency specified pools in March[13] - Settled $100 million of residential transition loans (RTL) during the quarter with an 89% net rate[13] Financing and Hedging - Extended a maturing non-mark-to-market facility to February 2027[13] - Refinanced a maturing non-mark-to-market secured repo facility at a lower interest rate[13] - Converted the remaining $500 million swaption position into a 1-year swap with a fixed pay rate of 345%[13] - Added $155 million of SOFR swap futures with a par equivalent pay fixed rate of 384%[13] - Purchased a $10 billion 2-year interest rate cap with a strike rate of 395%[13] Portfolio and Loan Performance - Total Current Unpaid Principal Balance (UPB) of residential mortgage loans is $113 billion[23] - Weighted Average Loan Size is $110K[23] - Weighted Average Coupon is 601%[23] - 60+ Days Delinquency rate is 92%[23]

Core Viewpoint - Invesco Mortgage Capital Inc. reported its financial results for Q1 2025, highlighting a challenging market environment with a modest economic return of 2.6% despite negative market sentiment and increased interest rate volatility [2][4][11]. Financial Performance - The company achieved a net income attributable to common stockholders of $16.3 million, translating to earnings per common share of $0.26, compared to a net loss of $5.5 million in Q4 2024 [11][30]. - Earnings available for distribution per common share increased to $0.64 from $0.53 in the previous quarter [11][44]. - The economic return for the quarter was 2.6%, consisting of a $0.34 dividend and a $0.11 decline in book value per common share [2][7]. Portfolio Composition - As of March 31, 2025, the investment portfolio totaled $5.9 billion, primarily composed of $5.0 billion in Agency RMBS and $0.9 billion in Agency CMBS [3][31]. - The debt-to-equity ratio increased to 7.1x from 6.7x at the end of 2024 [3][12]. Market Conditions - The performance of Agency RMBS was consistent with Treasuries, but there was a notable underperformance in April due to heightened interest rate volatility and deteriorating risk sentiment [4][5]. - The company remains cautious about the near-term market outlook due to elevated policy uncertainty [4]. Dividends and Capital Activities - A common stock dividend of $0.34 per share was declared, payable on April 25, 2025 [22]. - The company sold 4,212,057 shares of common stock for net proceeds of $36 million during the quarter [23]. Key Financial Metrics - Total interest income for Q1 2025 was $73.8 million, while total interest expense was $55.0 million, resulting in a net interest income of $18.8 million [10][32]. - The average net interest rate margin improved to 0.99% from 0.47% in the previous quarter [10][12].