ATLANTA, May 8, 2024 /PRNewswire/ -- Invesco Mortgage Capital Inc. (NYSE:IVR) (the "Company") today announced financial results for the quarter ended March 31, 2024. Net income per common share of $0.49 compared to $0.46 in Q4 2023 Earnings available for distribution per common share(1) of $0.86 compared to $0.95 in Q4 2023 Common stock dividend of $0.40 per common share, unchanged from Q4 2023 Book value per common share(2) of $10.08 compared to $10.00 as of December 31, 2023 Economic return(3) of 4.8% compared to 4.7% in Q4 2023 Update from John Anzalone, Chief Executive Officer "Interest rates rose across the yield curve during the first quarter, as stronger than expected economic growth and inflation in the U.S. led to a dramatic re-pricing of the market's expectations of future monetary policy. Interest rate volatility declined notably during the quarter as market expectations and projections from the Federal Reserve converged. Against this backdrop, our higher coupon Agency RMBS outperformed lower coupons given their more significant exposure to the decline in volatility. In addition, we benefited from wider spreads on our swap portfolio. These factors led to a positive economic return of 4.8% for the quarter, consisting of an 0.8% increase in our book value per common share to $10.08 combined with our $0.40 common stock dividend. As of May 3, 2024, our book value per common share is estimated to be between $9.64 and $10.04.(4) "Our debt-to-equity ratio ended the first quarter at 5.6x, down modestly from 5.7x as of year-end. As of the end of the quarter, 94.3% of our $5.0 billion investment portfolio was invested in Agency RMBS, 5.3% was invested in Agency CMBS and 0.4% was invested in credit assets. We maintained a sizeable balance of unrestricted cash and unencumbered investments totaling $451 million. "Earnings available for distribution ("EAD") for the period was supported by attractive interest income on our target assets, favorable funding and low-cost, pay-fixed swaps. For the quarter, EAD per common share was $0.86 compared to $0.95 for the fourth quarter of 2023, primarily reflecting a decline in effective net interest income(1) in connection with adjustments to our swap portfolio. "Given the increase in market volatility in April, we remain cautious on the near-term outlook for the Agency RMBS sector as the market adjusts to shifting expectations around the timing of monetary policy adjustments. Our recent allocation to fixed-rate Agency CMBS reduces our exposure to near-term interest rate volatility while providing attractive returns with favorable funding. Over the longer term, however, the potential normalization of monetary policy and a steeper yield curve should be supportive of Agency RMBS. We believe Agency RMBS investors stand to benefit from attractive valuations, favorable funding and robust liquidity as the macro environment evolves." (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 $184.9 million as of May 3, 2024, respectively), divided by total common shares outstanding of 48.8 million. Key performance indicators for the quarters ended March 31, 2024 and December 31, 2023 are summarized in the table below. ($ 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. Portfolio Composition The following table summarizes the Company's MBS portfolio as of March 31, 2024 and December 31, 2023. As of March 31, 2024 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 4,649,052 92.8 % 5.35 % 4,952,474 98.3 % 5.33 % Agency-CMO 74,701 1.5 % 9.64 % 74,758 1.3 % 9.74 % Agency CMBS 265,512 5.3 % 4.94 % — — % N/A Non-Agency CMBS 10,188 0.2 % 9.58 % 9,935 0.2 % 9.58 % Non-Agency RMBS 7,651 0.2 % 9.05 % 8,139 0.2 % 9.10 % Total MBS portfolio 5,007,104 100.0 % 5.41 % 5,045,306 100.0 % 5.42 % The following table presents certain characteristics of the Company's borrowings as of March 31, 2024 and December 31, 2023. As of $ in thousands March 31, 2024 December 31, 2023 Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (days) Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (days) Agency RMBS repurchase agreements 4,189,856 5.47 % 21 4,458,695 5.53 % 20 Agency CMBS repurchase agreements 204,052 5.47 % 16 — N/A N/A Total borrowings 4,393,908 5.47 % 20 4,458,695 5.53 % 20 The tables below present certain characteristics of the Company's interest rate swaps whereby the Company pays interest at a fixed rate and receives floating interest based on the secured overnight financing rate ("SOFR") as of March 31, 2024 and December 31, 2023. $ in thousands As of March 31, 2024 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 740,000 1.62 % 5.34 % 2.0 3 to 5 years 1,375,000 0.29 % 5.34 % 3.6 5 to 7 years 1,150,000 0.55 % 5.34 % 6.3 7 to 10 years 285,000 3.68 % 5.34 % 9.8 Greater than 10 years 715,000 2.39 % 5.34 % 20.1 Total 4,265,000