Invesco Mortgage Capital Inc.
2009 Second Quarter Investor Call
August 11, 2009
Richard J. King
President & Chief Executive Officer
John M. Anzalone
Chief Investment Officer
Donald R. Ramon
Chief Financial Officer
Forward-Looking Statements
This presentation, and comments made in the associated conference call today, may include “forward-looking statements.” Forward-looking statements include statements with respect to our beliefs, plans, objectives, goals, targets, expectations, anticipations, assumptions, estimates, intentions and future performance. Forward-looking statements also include statements regarding our ability to acquire and finance targeted assets, our ability to realize an attractive return from our investments and/or to mitigate our risk from those investments and our related financing arrangements, and our ability to realize returns from agency RMBS that are similar to our non-agency RMBS when financed with repurchase agreements. In addition, words such as “believe,” “expect,” “anticipate,” “intend,” “plan,” “estimate,” “project,” “forecast,” and future or conditional verbs such as “will,” “may,” “could,” “should,” and “would,” as well as any other statement that necessarily depends on future events, are intended to identify forward-looking statements.
Forward-looking statements are not guarantees, and they involve risks, uncertainties and assumptions. There can be no assurance that actual results will not differ materially from our expectations. We caution investors not to rely unduly on any forward-looking statements and urge you to carefully consider the risks described in our our registration statement on Form S-11 and subsequent Forms 10-Q, filed with the Securities and Exchange Commission.
You may obtain these reports from the SEC’s website at www.sec.gov. We expressly disclaim any obligation to update the information in any public disclosure if any forward-looking statement later turns out to be inaccurate.
Discussion Topics
1.
Business Overview
2.
Investment Portfolio
3.
Questions and Answers
Business Overview
Externally managed by Invesco Institutional (N.A.) Inc.
Worldwide Fixed Income
Invesco Real Estate
WL Ross
Completed IPO in July ’09 raising $201.2mn net of
offering costs
Acquired $829.4mn portfolio
Obtained $630.6mn repo financing for Agency RMBS
Obtained $40.1mn financing under TALF for CMBS
Entered into swaps with $275.0mn notional value
Investment Strategy
RMBS and CMBS with attractive risk-adjusted yields
Obtain government financing when available
Maintain a short duration gap
Diversify balance sheet risk for assets and liabilities
Discussion Topics
1.
Business Overview
2.
Investment Portfolio
3.
Questions and Answers
Portfolio Composition (1)
(1) Portfolio information as of July 17, 2009
Agency RMBS
Agency Hybrids
Predominantly Interest-Only Pools
7 CPR in July ‘09
15 Year Fixed Rate Collateral
Purchased in lieu of Agency Hybrids
Seasoned and Loan Balance Paper
10 CPR in July ‘09
30 Year Fixed Rate Collateral
Concentration in Higher Coupons (6% and 6.5%)
Every Pool is Prepay Protected
14 CPR in July ’09
Slower CPR protects $105 premium paid for Agency RMBS
Non-Agency RMBS
Credit
Mix of Prime and Alt-A Collateral
Focus on 2005 and 2006 Vintages
Senior or Super-Senior Tranches
No exposure to Option ARM Collateral
Positive Yields in “Worst Case” Stress Scenario
Prepayments
Average Purchase Price was $61.35
Our Non-Agency RMBS Paid 18 CPR in July
Expect Prepays to slow to 8-12 CPR
Yields and Financing
Average Projected Yield of 17.5%
No Leverage
* There is no guarantee that the above results will be realized.
CMBS
6.04% Average Yield
3.91% Cost of Financing
Financed through the Fed’s TALF Program
5 Year Term, Maturing in July 2014
2.13% Net Interest Margin
Collateral
Average Purchase Price was $95
All of our Purchases are from the 2005 Vintage
CMBS positions are Match Funded
Expenses and Dividend Policy
G&A Expense
Management fee 1.5% of equity
Public company expense range 1.7% - 1.9%
D&O Insurance, Auditing, Accounting, Tax, Legal, CFO, etc.
Higher than IPO estimates due to reduced offering size
Dividend Strategy
Quarterly dividends beginning with Q3 ’09
Target 100% of taxable income annually
Questions and Answers
2009 Second Quarter Investor Call
August 11, 2009
