Invesco Mortgage Capital (IVR) - 2022 Q2 - Earnings Call Presentation

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]