Invesco Mortgage Capital Inc · NYSE:IVR
Invesco Mortgage Capital — Q3 2026 Earnings Presentation
23 slides from Invesco Mortgage Capital's earnings presentation, Oct 30, 2026
Slide 1: Third Quarter 2026 Earnings Call
Invesco Mortgage Capital Inc. Third Quarter 2026 Earnings Call October 30, 2026 Kevin Collins Chief Executive Officer David Lyle President Brian Norris Chief Investment Officer Mark Gregson Chief Financial Officer
Slide 2: Important notices
Important notices Forward looking statements This 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. securities laws as defined in the Private Securities Litigation Reform
Slide 3: Our approach
Our approach Our team Our business Investors with extensive experience managing agency mortgage We invest in Agency RMBS and CMBS assets through secured securities across a wide range of market environments. funding markets. We actively hedge interest rate risk and seek to generate net interest inco
Slide 4: Third quarter highlights
Third quarter highlights Key metrics Performance Capital highlights $6.74 (11.6)% $51.0M Book value per share1 Economic return2 Common equity issued through ATM program $0.36 $(0.92) $735.2M Common dividends Net income (loss) per share Total common equity3 per share 8.3x $0.47 23.7% Economic debt-to
Slide 5: Macro environment
Macro environment Treasury yields Money market rates Treasury yields increased 6.0% 4.5% notably as investors reassessed the outlook for 5.0% economic growth given a 4.0% supportive labor market, 4.0% strong earnings, and optimism surrounding AI- 3.0% 3.5% 0 yr 5 yr 10 yr 15 yr 20 yr 25 yr 30 yr 9/2
Slide 6: Agency MBS market
Agency MBS market Agency RMBS spread to Treasuries1 Specified pool pay-ups Agency RMBS spreads (basis points) ($200k max, in points) widened as interest rate 125 $2.5 volatility spiked higher, $2.0 leading to significant 100 $1.5 underperformance relative to $1.0 Treasuries 75 $0.5 $0.0 Specified po
Slide 7: Portfolio allocation
Portfolio allocation 26.2% 26.4% 26.6% Investment portfolio decreased 25.1% 2.3% to $8.0 billion in Q3 2026 21.9% 20.1% • Higher interest rates and wider spreads resulted in a decline in 15.4% 14.8% market value 11.1% • Net purchased $429 million 8.5% during the quarter to invest 0.5% 1.8% 0.8% 0.8%
Slide 8: Financing
Financing As of September 30, 2026 As of June 30, 2026 Funding Type Amount % Rate Amount % Rate Funding characteristics Repurchase Agreements $6,843 91.0% 3.97% $6,210 83.8% 3.76% • Financed Agency RMBS and Agency TBA1 674 9.0% N/A 1,200 16.2% N/A CMBS investments with repurchase agreements across T
Slide 9: Interest rate risk management
Interest rate risk management Hedge portfolio composition Hedge portfolio As of September 30, 2026 As of June 30, 2026 • Totaled $6.8 billion and Instrument type Notional % Duration1 Notional % Duration1 covered 99% of our repurchase Interest rate swaps $5,185 76.4% 6.2 $4,765 78.8% 5.0 agreements a
Slide 10: Sensitivity analysis
Sensitivity analysis Sensitivity to instantaneous interest rate changes1 We seek to limit the impact of Estimated percentage change in book value per common share changes in interest rates by Interest rate (basis points) As of September 30, 2026 As of June 30, 2026 dynamically hedging, primarily +75
Slide 11: Historical information
Historical information
Slide 12: Historical overview
Historical overview Economic return Common dividends per share 15% $0.50 8.7% $0.40 $0.40 10% 8.0% $0.40 $0.36 $0.36 $0.36 $0.36 5.4% $0.34 $0.34 $0.34 3.8% 5% 2.6% $0.30 0% (0.5)% $0.20 (5)% (3.2)% (4.8)% (10)% $0.10 (11.6)% (15)% $0.00 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 2024 202
Slide 13: Historical portfolio metrics
Historical portfolio metrics Investment portfolio1 Debt-to-equity and economic debt-to-equity ratio2 $10.0B 9.0x 8.3x $8.2 $8.0 $8.0B $7.3 $0.7 $6.3 $1.2 8.0x 7.5x 7.5x $5.9 $5.9 $5.7 $0.7 $5.4 $1.2 $0.9 7.1x 7.0x $6.0B $5.2 $0.9 $0.7 $0.9 $0.9 $0.9 6.7x 6.7x 7.6x $0.8 $0.9 7.0x 6.5x 6.3x $4.0B 6.1x
Slide 14: Historical operating metrics
Historical operating metrics Cash and unencumbered investments (“CUB”)1 Average earning asset yields2 $800M 75% 6.5% 61% 55% 57% 56% 55% $600M 53% 60% 6.0% 51% 49% 5.60% 44% 5.56% 5.45% 5.42% 5.31% 5.31% 5.36% $400M 45% 5.5% 5.23% 5.15% $521 $493 $548 $200M $423 $453 30% $389 $372 $362 $401 5.0% $0M
Slide 15: Supplemental information
Supplemental information
Slide 16: Portfolio details
Portfolio details % of total WAVG WAVG pay-up Fair value portfolio Market yield1 Duration2 loan age3 to TBA4 1-month CPR5 Agency CMBS $681 8.5% 5.56% 6.1 29 - 0.0% Agency RMBS: 2.5% Coupon 39 0.5% 5.90% 6.9 60 0.63 1.4% 3.0% Coupon 142 1.8% 5.98% 6.7 56 0.62 6.4% 4.5% Coupon 1,181 14.8% 6.12% 6.2 34
Slide 17: Balance sheets
Balance sheets $ in thousands, except share amounts, unaudited 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Mortgage-backed securities, at fair value $7,306,996 $6,949,909 $6,026,208 $6,276,609 $5,749,238 Cash and cash equivalents 215,078 73,381 52,598 56,040 58,539 Restricted cash 211,453 167
Slide 18: Statements of operations
Statements of operations $ in thousands, except share amounts, unaudited Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Interest income $98,961 $85,408 $79,641 $77,901 $72,916 Interest expense 65,035 55,308 52,593 56,643 55,302 Net interest income $33,926 $30,100 $27,048 $21,258 $17,614 Gain (loss) on inve
Slide 19: Calculation of non-GAAP measures
Calculation of non-GAAP measures Effective cost of funds / Effective interest rate margin $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Total interest expense $65,035 $55,308 $52,593 $56,643 $55,302 Contractual net interest (income) expense on interest rate swaps1 (19,950) (20,757) (21,578)
Slide 20: Calculation of non-GAAP measures, continued
Calculation of non-GAAP measures, continued Components of earnings available for distribution $ in thousands Q3 2026 Q2 2026 Q1 2026 Q4 2025 Q3 2025 Effective net interest income $53,876 $50,857 $48,626 $47,654 $46,752 TBA dollar roll income1 4,755 4,857 4,166 — — Total expenses (5,183) (5,454) (4,8
Slide 21: Footnotes
Footnotes Slide 3 Slide 6 1. Agency MBS ranked second among U.S. Fixed Income markets in average daily trading volume in 1. 30 year Agency RMBS current coupon zero volatility spread to U.S. Treasuries. 2025 at $354.0B, after U.S. Treasuries at $1,055.5B and ahead of corporate bonds at $57.9B. Source
Slide 22: Footnotes, continued
Footnotes, continued Slide 10 Slide 14 1. Represents the estimated impact of an instantaneous parallel shift in the U.S. Treasury yield curve 1. Represents the total of unrestricted cash and unencumbered investments. on book value per common share. 2. Calculated by dividing annualized interest incom
Slide 23: Footnotes, continued
Footnotes, continued Slide 19 1. Reported as a component of gain (loss) on derivative instruments, net on the statements of operations. 2. Represents a non-GAAP financial measure and is calculated as total U.S. GAAP interest expense adjusted for contractual interest income or expense on interest rat
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