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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 8-K
 
CURRENT REPORT
Pursuant to Section 13 OR 15(d) of The Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): August 8, 2024
  ivrwordmarkmainimage08.jpg
Invesco Mortgage Capital Inc.

(Exact name of registrant as specified in its charter)

Maryland001-3438526-2749336
(State or other jurisdiction
of incorporation)		(Commission File Number)(IRS Employer
Identification No.)
1331 Spring Street, N.W., Suite 2500,
Atlanta,Georgia30309
(Address of principal executive offices)(Zip Code)
Registrant’s telephone number, including area code: (404) 892-0896
n/a
(Former name or former address, if changed since last report.)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):  
☐Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading SymbolName of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareIVRNew York Stock Exchange
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock IVR PrBNew York Stock Exchange
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock IVR PrCNew York Stock Exchange
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐


Item 2.02
Results of Operations and Financial Condition.
On August 8, 2024, Invesco Mortgage Capital Inc. (the “registrant”) issued a press release announcing its financial results for the quarter ended June 30, 2024 (the “Release”).

The Release is attached to this Report as Exhibit 99.1 and the information contained in the Release is incorporated into this Item 2.02 by this reference. The information contained in this Item 2.02 is being “furnished” and shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (“Exchange Act”), or otherwise subject to the liabilities of that section. The information in this Item 2.02 shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended, or into any filing or other document pursuant to the Exchange Act, except as otherwise expressly stated in such filing.


Item 8.01Other Events.
On August 8, 2024, the registrant issued a press release announcing that as of August 2, 2024, its book value per common share is estimated to be in the range of $9.21 to $9.59.(1)

(1)Book value per common share as of August 2, 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 ($106.2 million and $182.9 million as of August 2, 2024, respectively), divided by total common shares outstanding of 54.8 million.


Item 9.01Financial Statements and Exhibits.
 
(d)Exhibits.
 
Exhibit No.
Description
99.1
104Cover Page Interactive Data File (embedded within the Inline XBRL document)






SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

 
Invesco Mortgage Capital Inc.

By: /s/ R. Lee Phegley, Jr.
R. Lee Phegley, Jr.
Chief Financial Officer


Date: August 8, 2024
 


Exhibit 99.1
ivrwordmarkmainimage08a.jpg
Press Release
For immediate release


Greg Seals,
Investor Relations
404-439-3323

Invesco Mortgage Capital Inc. Reports Second Quarter 2024 Financial Results
Atlanta - August 8, 2024 -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the “Company”) today announced financial results for the quarter ended June 30, 2024.
•Net loss per common share of $0.38 compared to net income of $0.49 in Q1 2024
•Earnings available for distribution per common share(1) of $0.86 unchanged from Q1 2024
•Common stock dividend of $0.40 per common share, unchanged from Q1 2024
•Book value per common share(2) of $9.27 compared to $10.08 as of March 31, 2024
•Economic return(3) of (4.1)% compared to 4.8% in Q1 2024

Update from John Anzalone, Chief Executive Officer
“Agency RMBS valuations were negatively impacted during the second quarter as persistent uncertainty regarding near-term monetary policy led to an increase in interest rate volatility. In addition, interest rates rose and swap spreads tightened as investor expectations for an increased pace of Treasury supply took hold. Against this backdrop, our higher coupon Agency RMBS investments underperformed, contributing to an 8.0% decline in book value per common share to $9.27. Combined with our $0.40 common stock dividend, this resulted in an economic return of (4.1)% for the quarter. As of August 2, 2024, our book value per common share is estimated to be between $9.21 and $9.59.(4)
“Our debt-to-equity ratio ended the second quarter at 5.6x, unchanged from March 31st, while our economic debt-to-equity ratio(1) increased from 5.6x to 5.9x. As of the end of the quarter, our $5.0 billion investment portfolio primarily consisted of $4.6 billion Agency RMBS (including Agency TBA) and $0.4 billion Agency CMBS, and we continued to maintain a sizeable balance of unrestricted cash and unencumbered investments totaling $446 million.
“Earnings available for distribution for the period continued to be supported by attractive interest income on our target assets, favorable funding and low-cost, pay-fixed swaps. For the quarter, earnings available for distribution per common share was $0.86, unchanged from the first quarter.
“Recent economic data confirmed the disinflationary trend has resumed, increasing the likelihood of a near-term easing of monetary policy. Given our expectations for a steeper yield curve and a decline in interest rate volatility, our outlook for Agency RMBS remains positive. In particular, we believe investors in higher coupon Agency RMBS stand to benefit from attractive valuations, favorable funding and strong liquidity as market conditions improve.”



(1) Earnings available for distribution (and by calculation, earnings available for distribution per common share) and economic debt-to-equity ratio 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 June 30, 2024 and March 31, 2024 is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($106.2 million and $183.6 million as of June 30, 2024, respectively, and $107.3 million and $186.2 million as of March 31, 2024, respectively), divided by total common shares outstanding.
(3) Economic return for the quarter ended June 30, 2024 is defined as the change in book value per common share from March 31, 2024 to June 30, 2024 of ($0.81); plus dividends declared of $0.40 per common share; divided by the March 31, 2024 book value per common share of $10.08. 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.
(4) Book value per common share as of August 2, 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 ($106.2 million and $182.9 million as of August 2, 2024, respectively), divided by total common shares outstanding of 54.8 million.
1

Key performance indicators for the quarters ended June 30, 2024 and March 31, 2024 are summarized in the table below.
($ in millions, except share amounts)Q2 2024Q1 2024Variance
Average Balances(unaudited)(unaudited)
Average earning assets (at amortized cost)$4,847.1 $4,972.2 ($125.1)
Average borrowings$4,252.0 $4,419.8 ($167.8)
Average stockholders' equity (1)
$817.2 $823.2 ($6.0)
U.S. GAAP Financial Measures
Total interest income$68.0 $68.6 ($0.6)
Total interest expense$59.4 $61.6 ($2.2)
Net interest income$8.6 $7.0 $1.6 
Total expenses$4.9 $4.7 $0.2 
Net income (loss) attributable to common stockholders($18.8)$23.7 ($42.5)
Average earning asset yields5.61 %5.52 %0.09 %
Average cost of funds5.59 %5.57 %0.02 %
Average net interest rate margin0.02 %(0.05)%0.07 %
Period-end weighted average asset yields (2)
5.45 %5.41 %0.04 %
Period-end weighted average cost of funds5.46 %5.47 %(0.01)%
Period-end weighted average net interest rate margin(0.01)%(0.06)%0.05 %
Book value per common share (3)
$9.27 $10.08 ($0.81)
Earnings (loss) per common share (basic)($0.38)$0.49 ($0.87)
Earnings (loss) per common share (diluted)($0.38)$0.49 ($0.87)
Debt-to-equity ratio5.6 x5.6 x0.0 x
Non-GAAP Financial Measures (4)
Earnings available for distribution$42.3 $41.8 $0.5 
Effective interest expense$16.1 $16.3 ($0.2)
Effective net interest income$51.9 $52.3 ($0.4)
Effective cost of funds1.52 %1.47 %0.05 %
Effective interest rate margin4.09 %4.05 %0.04 %
Earnings available for distribution per common share$0.86 $0.86 $0.00 
Economic debt-to-equity ratio5.9 x5.6 x0.3 x
(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 ($106.2 million and $183.6 million as of June 30, 2024, respectively, and $107.3 million and $186.2 million as of March 31, 2024, 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.
2

Portfolio Composition
The following table summarizes the Company's MBS portfolio as of June 30, 2024 and March 31, 2024.
As of
June 30, 2024March 31, 2024
$ in thousandsFair ValuePercentage of PortfolioPeriod-end Weighted Average YieldFair ValuePercentage of PortfolioPeriod-end Weighted Average Yield
Agency RMBS:
30 year fixed-rate pass-through coupon:
4.0%562,192 11.6 %4.66 %764,780 15.3 %4.64 %
4.5%868,511 17.9 %4.95 %892,872 17.8 %4.95 %
5.0%876,344 18.1 %5.35 %1,001,505 20.0 %5.34 %
5.5%965,700 20.0 %5.59 %992,970 19.8 %5.59 %
6.0%1,087,049 22.5 %6.02 %996,925 19.9 %6.03 %
Total 30 year fixed-rate pass-through4,359,796 90.1 %5.40 %4,649,052 92.8 %5.35 %
Agency-CMO74,711 1.5 %9.94 %74,701 1.5 %9.64 %
Agency CMBS384,593 8.0 %4.97 %265,512 5.3 %4.94 %
Non-Agency CMBS10,264 0.2 %8.91 %10,188 0.2 %9.58 %
Non-Agency RMBS7,463 0.2 %9.44 %7,651 0.2 %9.05 %
Total MBS portfolio4,836,827 100.0 %5.45 %5,007,104 100.0 %5.41 %
The following table presents certain characteristics of the Company's borrowings as of June 30, 2024 and March 31, 2024.
As of
$ in thousandsJune 30, 2024March 31, 2024
Amount OutstandingWeighted Average Interest RateWeighted Average Remaining Maturity (days)Amount OutstandingWeighted Average Interest RateWeighted Average Remaining Maturity (days)
Agency RMBS repurchase agreements3,945,401 5.46 %204,189,856 5.47 %21
Agency CMBS repurchase agreements315,074 5.46 %17204,052 5.47 %16
Total borrowings4,260,475 5.46 %194,393,908 5.47 %20
The following table summarizes certain characteristics of TBAs accounted for as derivatives as of June 30, 2024. We did not have any TBAs outstanding as of March 31, 2024.
$ in thousandsAs of June 30, 2024
Notional
Amount		Implied
Cost Basis		Implied
Market Value		Net
Carrying Value
5.5% TBA Purchase Contracts 200,000 199,945 198,420 (1,525)
3

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 June 30, 2024 and March 31, 2024.
$ in thousandsAs of June 30, 2024
MaturitiesNotional
Amount		Weighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
Less than 3 years180,000 0.48 %5.33 %1.6
3 to 5 years1,375,000 0.29 %5.33 %3.3
5 to 7 years1,150,000 0.55 %5.33 %6.1
7 to 10 years565,000 3.87 %5.33 %9.7
Greater than 10 years645,000 2.25 %5.33 %18.8
Total3,915,000 1.22 %5.33 %7.5
$ in thousandsAs of March 31, 2024
MaturitiesNotional
Amount		Weighted Average Fixed Pay RateWeighted Average Floating Receive RateWeighted Average Years to Maturity
Less than 3 years740,000 1.62 %5.34 %2.0
3 to 5 years1,375,000 0.29 %5.34 %3.6
5 to 7 years1,150,000 0.55 %5.34 %6.3
7 to 10 years285,000 3.68 %5.34 %9.8
Greater than 10 years715,000 2.39 %5.34 %20.1
Total4,265,000 1.17 %5.34 %7.2
Capital Activities
Dividends
As previously announced on June 24, 2024, the Company declared a common stock dividend of $0.40 per share paid on July 26, 2024 to its stockholders of record as of the close of business on July 5, 2024. The Company declared the following dividends on August 7, 2024: a Series B Preferred Stock dividend of $0.4844 per share and a Series C Preferred Stock dividend of $0.46875 per share payable on September 27, 2024 to its stockholders of record on September 5, 2024.
Issuances of Common Stock
The Company sold 1,761,155 shares of common stock for net proceeds of $16.1 million during the second quarter through its at-the-market program.
In July 2024, the Company sold 4,173,536 shares of common stock for net proceeds of $37.9 million through its at-the-market program, which exhausted the shares available to be sold through the program.
Repurchases of Preferred Stock
During the three months ended June 30, 2024, the Company repurchased and retired 44,661 shares of Series B Preferred Stock and 105,492 shares of Series C Preferred Stock, respectively, for a total cost of $3.4 million.



4

About Invesco Mortgage Capital Inc.
Invesco Mortgage Capital Inc. is a real estate investment trust that primarily focuses on investing in, financing and managing mortgage-backed securities and other mortgage-related assets. Invesco Mortgage Capital Inc. is externally managed and advised by Invesco Advisers, Inc., a registered investment adviser and an indirect wholly-owned subsidiary of Invesco Ltd., a leading independent global investment management firm.

Earnings Call

Members of the investment community and the general public are invited to listen to the Company’s earnings conference call on Friday, August 9, 2024, at 9:00 a.m. ET, by calling one of the following numbers:

North America Toll Free:    888-982-7409
International:        1-212-287-1625
Passcode:         Invesco

An audio replay will be available until 5:00 pm ET on August 23, 2024 by calling:

888-566-0411 (North America) or 1-203-369-3041 (International)

The presentation slides that will be reviewed during the call will be available on the Company’s website at www.invescomortgagecapital.com.

Cautionary Notice Regarding Forward-Looking Statements

This press release, the related 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 Act of 1995, and such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements include our views on the risk positioning of our portfolio, domestic and global market conditions (including the mortgage-backed securities, residential and commercial real estate markets), the market for our target assets, our financial performance, including our earnings available for distribution, economic return, comprehensive income and changes in our book value, our intention and ability to pay dividends, our ability to continue performance trends, the stability of portfolio yields, interest rates, credit spreads, prepayment trends, financing sources, cost of funds, our leverage and equity allocation. In addition, words such as “believes,” “expects,” “anticipates,” “intends,” “plans,” “estimates,” “projects,” “forecasts,” 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 identified under the captions “Risk Factors,” “Forward-Looking Statements” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in our annual report on Form 10-K and quarterly reports on Form 10-Q, which are available on the Securities and Exchange Commission’s website at www.sec.gov.

All written or oral forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice. We expressly disclaim any obligation to update the information in any public disclosure if any forward-looking statement later turns out to be inaccurate.


5

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
 Three Months EndedSix Months Ended
$ in thousands, except share dataJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Interest income68,028 68,583 71,428 136,611 140,715 
Interest expense59,393 61,580 59,022 120,973 108,748 
Net interest income8,635 7,003 12,406 15,638 31,967 
Other income (loss)
Gain (loss) on investments, net(45,212)(66,153)(99,679)(111,365)(47,723)
(Increase) decrease in provision for credit losses(263)(39)(169)(302)(169)
Equity in earnings (losses) of unconsolidated ventures— (193)— (193)2 
Gain (loss) on derivative instruments, net28,262 93,161 96,624 121,423 51,729 
Other investment income (loss), net— — 27 — (66)
Total other income (loss)(17,213)26,776 (3,197)9,563 3,773 
Expenses
Management fee – related party2,945 2,861 3,168 5,806 6,147 
General and administrative1,943 1,796 1,963 3,739 4,052 
Total expenses4,888 4,657 5,131 9,545 10,199 
Net income (loss)(13,466)29,122 4,078 15,656 25,541 
Dividends to preferred stockholders(5,508)(5,585)(5,840)(11,093)(11,702)
Gain on repurchase and retirement of preferred stock208 193 364 401 364 
Net income (loss) attributable to common stockholders(18,766)23,730 (1,398)4,964 14,203 
Earnings (loss) per share:
Net income (loss) attributable to common stockholders
Basic(0.38)0.49 (0.03)0.10 0.35 
Diluted(0.38)0.49 (0.03)0.10 0.35 




6

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(Unaudited)

 
Three Months EndedSix Months Ended
$ in thousandsJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Net income (loss)(13,466)29,122 4,078 15,656 25,541 
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net(150)(202)(131)(352)(607)
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses263 39 169 302 169 
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to interest expense— — (3,201)— (7,695)
Currency translation adjustments on investment in unconsolidated venture— — — — (10)
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net— — — — 123 
Total other comprehensive income (loss)113 (163)(3,163)(50)(8,020)
Comprehensive income (loss)(13,353)28,959 915 15,606 17,521 
Dividends to preferred stockholders(5,508)(5,585)(5,840)(11,093)(11,702)
Gain on repurchase and retirement of preferred stock208 193 364 401 364 
Comprehensive income (loss) attributable to common stockholders(18,653)23,567 (4,561)4,914 6,183 



7

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONDENSED CONSOLIDATED BALANCE SHEETS
(Unaudited)
As of
$ in thousands, except share amountsJune 30, 2024December 31, 2023
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $4,450,061 and $4,712,185, respectively; net of allowance for credit losses of $622 and $320, respectively)
4,836,827 5,045,306 
U.S. Treasury securities, at fair value— 11,214 
Cash and cash equivalents58,775 76,967 
Restricted cash124,667 121,670 
Due from counterparties1,279 — 
Investment related receivable35,599 26,604 
Derivative assets, at fair value8,991 939 
Other assets391 1,509 
Total assets5,066,529 5,284,209 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Repurchase agreements4,260,475 4,458,695 
Derivative liabilities, at fair value1,525 — 
Dividends payable20,255 19,384 
Accrued interest payable20,536 15,787 
Collateral held payable— 2,475 
Accounts payable and accrued expenses1,306 1,296 
Due to affiliate3,216 3,907 
Total liabilities4,307,313 4,501,544 
Commitments and contingencies (See Note 14) (1)
Stockholders' equity:
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 4,247,989 and 4,385,997 shares issued and outstanding, respectively ($106,200 and $109,650 aggregate liquidation preference, respectively)
102,678 106,014 
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 7,344,030 and 7,545,439 shares issued and outstanding, respectively ($183,601 and $188,636 aggregate liquidation preference, respectively)
177,603 182,474 
Common Stock, par value $0.01 per share; 67,000,000 shares authorized; 50,637,604 and 48,460,626 shares issued and outstanding, respectively
506 484 
Additional paid in capital 4,030,745 4,011,138 
Accumulated other comprehensive income648 698 
Retained earnings (distributions in excess of earnings)(3,552,964)(3,518,143)
Total stockholders’ equity759,216 782,665 
Total liabilities and stockholders' equity5,066,529 5,284,209 
(1)See Note 14 of the Company's condensed consolidated financial statements filed in Item 1 of the Company's Quarterly Report on Form 10-Q for the quarter ended June 30, 2024.


8

Non-GAAP Financial Measures
The table below shows the non-GAAP financial measures the Company uses to analyze its operating results and the most directly comparable U.S. GAAP measures. The Company believes these non-GAAP measures are useful to investors in assessing its performance as discussed further below.
Non-GAAP Financial MeasureMost Directly Comparable U.S. GAAP Measure
Earnings available for distribution (and by calculation, earnings available for distribution per common share)Net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share)
Effective interest expense (and by calculation, effective cost of funds)Total interest expense (and by calculation, cost of funds)
Effective net interest income (and by calculation, effective interest rate margin)Net interest income (and by calculation, net interest rate margin)
Economic debt-to-equity ratioDebt-to-equity ratio
The non-GAAP financial measures used by the Company's management should be analyzed in conjunction with U.S. GAAP financial measures and should not be considered substitutes for U.S. GAAP financial measures. In addition, the non-GAAP financial measures may not be comparable to similarly titled non-GAAP financial measures of its peer companies.

Earnings Available for Distribution
The Company's business objective is to provide attractive risk-adjusted returns to its stockholders, primarily through dividends and secondarily through capital appreciation. The Company uses earnings available for distribution as a measure of its investment portfolio’s ability to generate income for distribution to common stockholders and to evaluate its progress toward meeting this objective. The Company calculates earnings available for distribution as U.S. GAAP net income (loss) attributable to common stockholders adjusted for (gain) loss on investments, net; realized (gain) loss on derivative instruments, net; unrealized (gain) loss on derivative instruments, net; TBA dollar roll income; gain on repurchase and retirement of preferred stock; foreign currency (gains) losses, net and amortization of net deferred (gain) loss on de-designated interest rate swaps.
By excluding the gains and losses discussed above, the Company believes the presentation of earnings available for distribution provides a consistent measure of operating performance that investors can use to evaluate its results over multiple reporting periods and, to a certain extent, compare to its peer companies. However, because not all of the Company's peer companies use identical operating performance measures, the Company's presentation of earnings available for distribution may not be comparable to other similarly titled measures used by its peer companies. The Company excludes the impact of gains and losses when calculating earnings available for distribution because (i) when analyzed in conjunction with its U.S. GAAP results, earnings available for distribution provides additional detail of its investment portfolio’s earnings capacity and (ii) gains and losses are not accounted for consistently under U.S. GAAP. Under U.S. GAAP, certain gains and losses are reflected in net income whereas other gains and losses are reflected in other comprehensive income. For example, a portion of the Company's mortgage-backed securities are classified as available-for-sale securities, and changes in the valuation of these securities are recorded in other comprehensive income on its condensed consolidated balance sheets. The Company elected the fair value option for its mortgage-backed securities purchased on or after September 1, 2016, and changes in the valuation of these securities are recorded in other income (loss) in the condensed consolidated statements of operations. In addition, certain gains and losses represent one-time events. The Company may add and has added additional reconciling items to its earnings available for distribution calculation as appropriate.
To maintain qualification as a REIT, U.S. federal income tax law generally requires that the Company distribute at least 90% of its REIT taxable income annually, determined without regard to the deduction for dividends paid and excluding net capital gains. The Company has historically distributed at least 100% of its REIT taxable income. Because the Company views earnings available for distribution as a consistent measure of its investment portfolio's ability to generate income for distribution to common stockholders, earnings available for distribution is one metric, but not the exclusive metric, that the Company's board of directors uses to determine the amount, if any, and the payment date of dividends on common stock. However, earnings available for distribution should not be considered as an indication of the Company's taxable income, a guaranty of its ability to pay dividends or as a proxy for the amount of dividends it may pay, as earnings available for distribution excludes certain items that impact its cash needs.
9

Earnings available for distribution is an incomplete measure of the Company's financial performance and there are other factors that impact the achievement of the Company's business objective. The Company cautions that earnings available for distribution should not be considered as an alternative to net income (determined in accordance with U.S. GAAP), or as an indication of the Company's cash flow from operating activities (determined in accordance with U.S. GAAP), a measure of the Company's liquidity, or as an indication of amounts available to fund its cash needs.
The table below provides a reconciliation of U.S. GAAP net income (loss) attributable to common stockholders to earnings available for distribution for the following periods:
 Three Months EndedSix Months Ended
$ in thousands, except per share dataJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Net income (loss) attributable to common stockholders(18,766)23,730 (1,398)4,964 14,203 
Adjustments:
(Gain) loss on investments, net45,212 66,153 99,679 111,365 47,723 
Realized (gain) loss on derivative instruments, net (1)
22,344 (48,682)(26,946)(26,338)64,954 
Unrealized (gain) loss on derivative instruments, net (1)
(7,335)808 (6,241)(6,527)1,218 
TBA dollar roll income (2)
1,078 — — 1,078 697 
Gain on repurchase and retirement of preferred stock(208)(193)(364)(401)(364)
Foreign currency (gains) losses, net (3)
— — (27)— 66 
Amortization of net deferred (gain) loss on de-designated interest rate swaps (4)
— — (3,201)— (7,695)
Subtotal61,091 18,086 62,900 79,177 106,599 
Earnings available for distribution42,325 41,816 61,502 84,141 120,802 
Basic income (loss) per common share(0.38)0.49 (0.03)0.10 0.35 
Earnings available for distribution per common share (5)
0.86 0.86 1.45 1.72 2.95 

(1)    U.S. GAAP gain (loss) on derivative instruments, net on the condensed consolidated statements of operations includes the following components:
 Three Months EndedSix Months Ended
$ in thousandsJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Realized gain (loss) on derivative instruments, net(22,344)48,682 26,946 26,338 (64,954)
Unrealized gain (loss) on derivative instruments, net7,335 (808)6,241 6,527 (1,218)
Contractual net interest income (expense) on interest rate swaps43,271 45,287 63,437 88,558 117,901 
Gain (loss) on derivative instruments, net28,262 93,161 96,624 121,423 51,729 

(2)    A TBA dollar roll is a series of derivative transactions where TBAs with the same specified issuer, term and coupon but different settlement dates are simultaneously bought and sold. The TBA settling in the later month typically prices at a discount to the TBA settling in the earlier month. TBA dollar roll income represents the price differential between the TBA price for current month settlement versus the TBA price for forward month settlement. The Company includes TBA dollar roll income in earnings available for distribution because it is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, over the forward settlement period. TBA dollar roll income is a component of gain (loss) on derivative instruments, net on the Company's condensed consolidated statements of operations.

(3)    Foreign currency gains (losses), net includes foreign currency transaction gains and losses and the reclassification of currency translation adjustments that were previously recorded in accumulated other comprehensive income and is included in other investment income (loss), net on the condensed consolidated statements of operations.


10

(4)    U.S. GAAP interest expense on the condensed consolidated statements of operations includes the following components:
 Three Months EndedSix Months Ended
$ in thousandsJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Interest expense on repurchase agreement borrowings59,393 61,580 62,223 120,973 116,443 
Amortization of net deferred (gain) loss on de-designated interest rate swaps— — (3,201)— (7,695)
Total interest expense59,393 61,580 59,022 120,973 108,748 

(5)    Earnings available for distribution per common share is equal to earnings available for distribution divided by the basic weighted average number of common shares outstanding.
The table below shows the components of earnings available for distribution for the following periods:
Three Months EndedSix Months Ended
$ in thousandsJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Effective net interest income (1)
51,906 52,290 72,642 104,196 142,173 
TBA dollar roll income1,078 — — 1,078 697 
Equity in earnings (losses) of unconsolidated ventures— (193)— (193)2 
(Increase) decrease in provision for credit losses(263)(39)(169)(302)(169)
Total expenses(4,888)(4,657)(5,131)(9,545)(10,199)
Subtotal47,833 47,401 67,342 95,234 132,504 
Dividends to preferred stockholders(5,508)(5,585)(5,840)(11,093)(11,702)
Earnings available for distribution42,325 41,816 61,502 84,141 120,802 
(1)See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure.

Effective Interest Expense/Effective Cost of Funds/Effective Net Interest Income/Effective Interest Rate Margin
The Company calculates effective interest expense (and by calculation, effective cost of funds) as U.S. GAAP total interest expense adjusted for contractual net interest income (expense) on its interest rate swaps that is recorded as gain (loss) on derivative instruments, net and the amortization of net deferred gains (losses) on de-designated interest rate swaps that is recorded as interest expense. The Company views its interest rate swaps as an economic hedge against increases in future market interest rates on its borrowings. The Company adds back the net payments or receipts on its interest rate swap agreements to its total U.S. GAAP interest expense because the Company uses interest rate swaps to add stability to interest expense. The Company excludes the amortization of net deferred gains (losses) on de-designated interest rate swaps from its calculation of effective interest expense because the Company does not consider the amortization a current component of its borrowing costs.
The Company calculates effective net interest income (and by calculation, effective interest rate margin) as U.S. GAAP net interest income adjusted for contractual net interest income (expense) on its interest rate swaps that is recorded as gain (loss) on derivative instruments, net and amortization of net deferred gains (losses) on de-designated interest rate swaps that is recorded as interest expense.
The Company believes the presentation of effective interest expense, effective cost of funds, effective net interest income and effective interest rate margin measures, when considered together with U.S. GAAP financial measures, provides information that is useful to investors in understanding the Company's borrowing costs and operating performance.
11

The following table reconciles total interest expense to effective interest expense and cost of funds to effective cost of funds for the following periods:
Three Months Ended
 June 30, 2024March 31, 2024June 30, 2023
$ in thousandsReconciliationCost of Funds / Effective Cost of FundsReconciliationCost of Funds / Effective Cost of FundsReconciliationCost of Funds / Effective Cost of Funds
Total interest expense59,393 5.59 %61,580 5.57 %59,022 4.93 %
Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps
— — %— — %3,201 0.27 %
Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net(43,271)(4.07)%(45,287)(4.10)%(63,437)(5.30)%
Effective interest expense
16,122 1.52 %16,293 1.47 %(1,214)(0.10)%
Six Months Ended June 30,
 20242023
$ in thousandsReconciliationCost of Funds / Effective Cost of FundsReconciliationCost of Funds / Effective Cost of Funds
Total interest expense120,973 5.58 %108,748 4.56 %
Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps — — %7,695 0.32 %
Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net(88,558)(4.08)%(117,901)(4.95)%
Effective interest expense
32,415 1.50 %(1,458)(0.07)%
The following table reconciles net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods:
Three Months Ended
 June 30, 2024March 31, 2024June 30, 2023
$ in thousandsReconciliationNet Interest Rate Margin / Effective Interest Rate MarginReconciliationNet Interest Rate Margin / Effective Interest Rate MarginReconciliationNet Interest Rate Margin / Effective Interest Rate Margin
Net interest income8,635 0.02 %7,003 (0.05)%12,406 0.48 %
Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps— — %— — %(3,201)(0.27)%
Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net43,271 4.07 %45,287 4.10 %63,437 5.30 %
Effective net interest income
51,906 4.09 %52,290 4.05 %72,642 5.51 %
12

Six Months Ended June 30,
 20242023
$ in thousandsReconciliationNet Interest Rate Margin / Effective Interest Rate MarginReconciliationNet Interest Rate Margin / Effective Interest Rate Margin
Net interest income15,638 (0.02)%31,967 0.78 %
Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps— — %(7,695)(0.32)%
Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net88,558 4.08 %117,901 4.95 %
Effective net interest income104,196 4.06 %142,173 5.41 %
Economic Debt-to-Equity Ratio
The following tables show the allocation of the Company's stockholders' equity to its target assets, the Company's debt-to-equity ratio, and the Company's economic debt-to-equity ratio as of June 30, 2024 and March 31, 2024. The Company's debt-to-equity ratio is calculated in accordance with U.S. GAAP and is the ratio of total debt to total stockholders' equity.
The Company presents an economic debt-to-equity ratio, a non-GAAP financial measure of leverage that considers the impact of the off-balance sheet financing of its investments in TBAs that are accounted for as derivative instruments under U.S. GAAP. The Company includes its TBAs at implied cost basis in its measure of leverage because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on-balance sheet liabilities. Similarly, a contract for the forward sale of Agency RMBS has substantially the same effect as selling the underlying Agency RMBS and reducing the Company's on-balance sheet funding commitments. The Company believes that presenting its economic debt-to-equity ratio, when considered together with its U.S. GAAP financial measure of debt-to-equity ratio, provides information that is useful to investors in understanding how management evaluates at-risk leverage and gives investors a comparable statistic to those of other mortgage REITs who also invest in TBAs and present a similar non-GAAP measure of leverage.
As of June 30, 2024
$ in thousandsAgency RMBSAgency CMBS
Credit Portfolio (1)
Total
Mortgage-backed securities4,434,507 384,593 17,727 4,836,827 
Cash and cash equivalents (2)
54,428 4,347 — 58,775 
Restricted cash (3)
109,485 15,182 — 124,667 
Derivative assets, at fair value (3)
7,896 1,095 — 8,991 
Other assets35,665 1,474 130 37,269 
Total assets4,641,981 406,691 17,857 5,066,529 
Repurchase agreements3,945,401 315,074 — 4,260,475 
Derivative liabilities, at fair value (3)
1,525 — — 1,525 
Other liabilities40,686 3,918 709 45,313 
Total liabilities3,987,612 318,992 709 4,307,313 
Total stockholders' equity (allocated)654,369 87,699 17,148 759,216 
Debt-to-equity ratio (4)
6.0 3.6 — 5.6 
Economic debt-to-equity ratio (5)
6.3 3.6 — 5.9 
(1)Investments in non-Agency CMBS and non-Agency RMBS are included in credit portfolio.
(2)Cash and cash equivalents is allocated based on the Company's financing strategy for each asset class.
(3)Restricted cash and derivative assets and liabilities are allocated based on the hedging strategy for each asset class.
(4)Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.
(5)Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis ($199.9 million as of June 30, 2024) to total stockholders' equity.

13

As of March 31, 2024
$ in thousandsAgency RMBSAgency CMBS
Credit Portfolio (1)
Total
Mortgage-backed securities4,723,751 265,512 17,841 5,007,104 
Cash and cash equivalents (2)
56,716 3,174 — 59,890 
Restricted cash (3)
125,860 14,755 — 140,615 
Derivative assets, at fair value (3)
117 14 — 131 
Other assets22,569 1,033 131 23,733 
Total assets4,929,013 284,488 17,972 5,231,473 
Repurchase agreements4,189,856 204,052 — 4,393,908 
Other liabilities48,061 3,245 687 51,993 
Total liabilities4,237,917 207,297 687 4,445,901 
Total stockholders' equity (allocated)691,096 77,191 17,285 785,572 
Debt-to-equity ratio (4)
6.1 2.6 — 5.6 
Economic debt-to-equity ratio (5)
6.1 2.6 — 5.6 
(1)Investments in non-Agency CMBS, non-Agency RMBS and an unconsolidated joint venture are included in credit portfolio.
(2)Cash and cash equivalents is allocated based on the Company's financing strategy for each asset class.
(3)Restricted cash and derivative assets are allocated based on the hedging strategy for each asset class.
(4)Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.
(5)Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis to total stockholders' equity. The Company did not have any TBAs outstanding as of March 31, 2024.

Average Balances
The table below presents information related to the Company's average earning assets, average earning asset yields, average borrowings and average cost of funds for the following periods:
Three Months EndedSix Months Ended
$ in thousandsJune 30,
2024		March 31,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Average earning assets (1)
4,847,1254,972,2425,285,7944,909,6845,265,654
Average earning asset yields (2)
5.61 %5.52 %5.41 %5.56 %5.34 %
Average borrowings (3)
4,251,9534,419,7574,791,7204,335,8554,764,748
Average cost of funds (4)
5.59 %5.57 %4.93 %5.58 %4.56 %
(1)Average balances for each period are based on weighted month-end balances.
(2)Average earning asset yields for each period are calculated by dividing interest income, including amortization of premiums and discounts, by average earning assets based on the amortized cost of the investments. All yields are annualized.
(3)Average borrowings for each period are based on weighted month-end balances.
(4)Average cost of funds is calculated by dividing annualized interest expense, including amortization of net deferred gain (loss) on de-designated interest rate swaps, by average borrowings.
14
v3.24.2.u1
Cover
Aug. 08, 2024
Entity Information [Line Items]  
Document Type 8-K
Document Period End Date Aug. 08, 2024
Entity Registrant Name Invesco Mortgage Capital Inc.
Entity Incorporation, State or Country Code MD
Entity File Number 001-34385
Entity Tax Identification Number 26-2749336
Entity Address, Address Line One 1331 Spring Street, N.W., Suite 2500,
Entity Address, City or Town Atlanta,
Entity Address, State or Province GA
Entity Address, Postal Zip Code 30309
City Area Code 404
Local Phone Number 892-0896
Written Communications false
Soliciting Material false
Pre-commencement Tender Offer false
Pre-commencement Issuer Tender Offer false
Entity Emerging Growth Company false
Entity Central Index Key 0001437071
Amendment Flag false
Common Stock, par value $0.01 per share  
Entity Information [Line Items]  
Title of 12(b) Security Common Stock, par value $0.01 per share
Trading Symbol IVR
Security Exchange Name NYSE
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock  
Entity Information [Line Items]  
Title of 12(b) Security 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Trading Symbol IVR PrB
Security Exchange Name NYSE
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock  
Entity Information [Line Items]  
Title of 12(b) Security 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Trading Symbol IVR PrC
Security Exchange Name NYSE
Invesco Mortgage Capital (NYSE:IVR-C)
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