Invesco Mortgage Capital (US:IVR)2021-11-04 14:58Financial Data and Key Metrics Changes - Earnings available for distribution for Q3 2021 came in at $0.10 per share, with book value ending the quarter at $3.25 per share, representing an increase of 1.2% [7][8] - The economic return for the quarter was 4%, combining the increase in book value with a $0.09 dividend [7] Business Line Data and Key Metrics Changes - The portfolio remains predominantly agency-focused, with $8.8 billion in agency mortgages and an additional $1.5 billion notional in TBA [7] - The weighted average yield on Agency RMBS holdings improved by 7 basis points to 2.11% as of quarter end, while prepayments remained low at 7.3% CPR for the quarter [19] Market Data and Key Metrics Changes - Monthly purchases of agency mortgages by commercial banks declined to approximately $28 billion per month, down from an average of $46 billion in the first half of the year [13] - The difference between the yield on the 30-year and 5-year U.S. treasuries fell by 12 basis points during the quarter [10] Company Strategy and Development Direction - The company is focused on maintaining a conservative leverage and liquidity position to capitalize on attractive investment opportunities as they arise [23] - The strategy includes rotating into more attractive alternatives within the agency mortgage sector while managing exposure to elevated pay-ups [18] Management's Comments on Operating Environment and Future Outlook - Management expressed caution regarding the near-term outlook due to the decrease in purchases by the Federal Reserve and the likely increase in seasonally driven supply [9] - The company anticipates that spreads could return closer to 2019 levels, which may prompt a reassessment of leverage [28] Other Important Information - The company held $788 million of unrestricted cash and unencumbered investments at quarter end, indicating a strong liquidity position [8] - The economic leverage, including TBA exposure, ticked modestly lower to 6.5x debt to equity [22] Q&A Session Summary Question: Follow-up on specified pool pay-ups and higher coupon specified pools - Management remains cautious on higher coupon specified pools, indicating potential pressure on pay-ups moving forward [26] Question: Discussion on leverage and market spread widening - Management noted that they would consider increasing leverage if spreads widen further, anticipating a return to levels seen in 2019 [28]