Invesco Mortgage Capital Inc. Reports First Quarter 2024 Financial Results

(1) Earnings available for distribution (and by calculation, earnings available for distribution per common share) and effective net interest income are non-Generally Accepted Accounting Principles ("GAAP") financial measures. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and reconciliations to the most comparable U.S. GAAP measures.

(2) Book value per common share as of March 31, 2024 and December 31, 2023 is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($107.3 million and $186.2 million as of March 31, 2024, respectively, and $109.7 million and $188.6 million as of December 31, 2023, respectively), divided by total common shares outstanding.

(3) Economic return for the quarter ended March 31, 2024 is defined as the change in book value per common share from December 31, 2023 to March 31, 2024 of $0.08; plus dividends declared of $0.40 per common share; divided by the December 31, 2023 book value per common share of $10.00. Economic return for the quarter ended December 31, 2023 is defined as the change in book value per common share from September 30, 2023 to December 31, 2023 of $0.07; plus dividends declared of $0.40 per common share; divided by the September 30, 2023 book value per common share of $9.93.

(4) Book value per common share as of May 3, 2024 is adjusted to exclude a pro rata portion of the current quarter's common stock dividend (which for purposes of this calculation is assumed to be the same as the previous quarter) and is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($106.4 million and $184.9 million as of May 3, 2024, respectively), divided by total common shares outstanding of 48.8 million.

($ in millions, except share amounts)

Q1 2024

Q4 2023

Variance

Average Balances

(unaudited)

(unaudited)

Average earning assets (at amortized cost)

$4,972.2

$4,401.5

$570.7

Average borrowings

$4,419.8

$3,736.4

$683.4

Average stockholders' equity ⁽¹⁾

$823.2

$790.2

$33.0

U.S. GAAP Financial Measures

Total interest income

$68.6

$62.1

$6.5

Total interest expense

$61.6

$53.8

$7.8

Net interest income

$7.0

$8.3

($1.3)

Total expenses

$4.7

$4.8

($0.1)

Net income (loss) attributable to common stockholders

$23.7

$22.3

$1.4

Average earning asset yields

5.52 %

5.64 %

(0.12) %

Average cost of funds

5.57 %

5.76 %

(0.19) %

Average net interest rate margin

(0.05) %

(0.12) %

0.07 %

Period-end weighted average asset yields ⁽²⁾

5.41 %

5.42 %

(0.01) %

Period-end weighted average cost of funds

5.47 %

5.53 %

(0.06) %

Period-end weighted average net interest rate margin

(0.06) %

(0.11) %

0.05 %

Book value per common share ⁽³⁾

$10.08

$10.00

$0.08

Earnings (loss) per common share (basic)

$0.49

$0.46

$0.03

Earnings (loss) per common share (diluted)

$0.49

$0.46

$0.03

Debt-to-equity ratio

               5.6x  

               5.7x  

             (0.1x)

Non-GAAP Financial Measures ⁽⁴⁾

Earnings available for distribution

$41.8

$45.8

($4.0)

Effective interest expense

$16.3

$5.7

$10.6

Effective net interest income

$52.3

$56.4

($4.1)

Effective cost of funds

1.47 %

0.61 %

0.86 %

Effective interest rate margin

4.05 %

5.03 %

(0.98) %

Earnings available for distribution per common share

$0.86

$0.95

($0.09)

Economic debt-to-equity ratio

               5.6x  

               5.7x  

             (0.1x)

(1) Average stockholders' equity is calculated based on the weighted month-end balance of total stockholders' equity excluding equity attributable to preferred stockholders.

(2) Period-end weighted average asset yields are based on amortized cost as of period-end and incorporate future prepayment and loss assumptions when appropriate.

(3) Book value per common share is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($107.3 million and $186.2 million as of March 31, 2024, respectively, and $109.7 million and $188.6 million as of December 31, 2023, respectively), divided by total common shares outstanding.

(4) Earnings available for distribution (and by calculation, earnings available for distribution per common share), effective interest expense (and by calculation, effective cost of funds), effective net interest income (and by calculation, effective interest rate margin), and economic debt-to-equity ratio are non-GAAP financial measures. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable U.S. GAAP measures of net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share), total interest expense (and by calculation, cost of funds), net interest income (and by calculation, net interest rate margin) and debt-to-equity ratio.

As of

December 31, 2023

$ in thousands

Fair Value

Percentage of Portfolio

Period-end Weighted Average Yield

Fair Value

Percentage of Portfolio

Period-end Weighted Average Yield

Agency RMBS:

30 year fixed-rate pass-through coupon:

4.0 %

764,780

15.3 %

4.64 %

876,337

17.4 %

4.65 %

4.5 %

892,872

17.8 %

4.95 %

1,017,191

20.2 %

4.95 %

5.0 %

1,001,505

20.0 %

5.34 %

1,028,036

20.4 %

5.34 %

5.5 %

992,970

19.8 %

5.59 %

1,016,707

20.2 %

5.59 %

6.0 %

996,925

19.9 %

6.03 %

1,014,203

20.1 %

6.03 %

Total 30 year fixed-rate pass-through