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| 8-K - FORM 8-K - Invesco Mortgage Capital Inc. | d236075d8k.htm |
 Invesco Mortgage
Capital Inc. JMP Securities Financial Services and
Real Estate Conference
September 2011
Exhibit 99.1 |
 1
Past performance is not a guarantee of future results
Forward-looking statements
This presentation, and comments made in the associated Q&A session, may include
“forward-looking statements”
within the meaning of the U.S. securities laws. Forward-looking statements include
statements with respect to our beliefs, plans, objectives, goals, targets,
expectations, anticipations, assumptions, estimates, intentions and future performance.
In addition, words such as “anticipates,” “believes,”
“intends,”
“projects,”
“expects”
and “plans,”
and future or conditional verbs such as “will,”
“may,”
“could,”
“should,”
and “would,”
as well as any other statements 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 most recent Form 10-K 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. For all forward-looking statements, we claim the “safe
harbor”
provided by Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934.
All material presented is compiled from sources believed to be reliable and current, but
accuracy cannot be guaranteed.
This is not to be construed as an offer to buy or sell any securities and should not be
relied upon as the sole factor in an investment-making decision. As with all
investments, there are associated inherent risks.
Please obtain and review all financial material carefully before investing. All
data is as of September 23, 2011, unless otherwise noted.
The opinions expressed are based on current market conditions and are subject to change
without notice. |
 2
Past performance is not a guarantee of future results
Portfolio Update
Market value as of September 23, 2011
CMBS
9.68%
Non-Agency
18.47%
Agency 15's
16.64%
Agency 30's
44.94%
Agency Hybrids
9.81%
Other
0.46%
IVR Asset Composition |
 3
Past performance is not a guarantee of future results
Agency MBS
Comments
Uncertainty
over
future
prepayment
speeds
has
caused
empirical
duration
(over
30
days
minus
10
year
swaps
-EMP)
and
model
option
adjusted
durations
(OAD)
to
de-couple
–
Our
prepayment
history
suggest
durations
that
are
longer
than
empirical
or
model
durations
–
Payups
on
specified
pool
collateral
have
continued
to
expand
which
is
positive
(see
low
loan
balance
example
above)
Prepayment
speeds
on
our
book
have
remained
very
stable
even
as
rates
have
fallen
We
believe
our
collateral
remains
very
well
positioned
for
this
interest
rate
environment
We
are
predominantly
invested
in
loan
balance
stories
(48%),
with
the
balance
invested
in
pools
backed
by
high
LTV
and
low
FICO
borrowers,
investor
properties
and
seasoned
paper. |
 4
Past performance is not a guarantee of future results
Non-Agency Composition
Comments
Non-Agency RMBS allocations have continued to focus on Senior Re-REMICs
Senior Re-REMIC focus reduces price volatility while improving expected returns and
overall enhancement levels
Legacy non-agency book has declined as a percent of overall exposure
Housing performance to date has been consistent with underwriting assumptions
No OTTI has been recorded in 2011
Vintage reflects year of transaction issuance date
As of September 23, 2011
60.5%
26.3%
12.7%
0.5%
Re-REMIC Senior
Prime
Alt-A
Subprime
Non-Agency Asset Type
1.0%
2.2%
5.1%
10.7%
25.7%
0.0%
0.0%
7.1%
48.3%
2003
2004
2005
2006
2007
2008
2009
2010
2011
Vintage |
 5
Past performance is not a guarantee of future results
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
2004
2005
2006
2007
2008
2009
2010
2011
Asset Quality by Vintage
2.0 BBB
2.0 A
2.0 AA
Freddie K MF
AJ
AM
Senior
CMBS Composition
Comments
Commercial real estate fundamentals continue to show signs of stabilization
We believe our CMBS asset selection is concentrated in the highest quality bonds in each
respective sub-sector and vintage -
Our bonds have outperformed their peer group as credit
tiering has become more pronounced
We believe as investors move towards quality, the credit curve will steepen further, causing
our bonds to be among the most resilient during periods of volatility
With low rates and limited growth, we believe our bonds are well
positioned as they offer
attractive yields and positive downside scenarios
2010 and early 2011 CMBS 2.0 investments provide access to newly
originated loans which we
believe benefit from lower leverage and higher debt service coverage ratios than those
underwritten at the peak of the real estate market
Vintage reflects year of underlying loan origination |
 6
Past performance is not a guarantee of future results
Repo Market Update
Agency RMBS
Agency haircuts remain at ~5%
Weighted average financing rate is ~28 bps
Non Agency RMBS
Non-Agency haircut is ~19%
Weighted average spread to LIBOR is ~125 bps
CMBS
IVR’s average CMBS haircut is ~18%
Weighted average spread to LIBOR is ~110 bps
As of September 23, 2011 |
  7
Past performance is not a guarantee of future results
Interest Rate Hedges
Comments
Average swap ~4.5 years
Hedging strategy has been to maintain a model duration gap of 0.5 to 1.0 years
No additional swaps have been added since 6/30/11
Hedge ratio approximately 55 -
60% of total repo
($ in thousands)
Maturity
Notional
Weighted
Average Pay
Rate
2012
175,000
2.07%
2013
300,000
1.76%
2014
100,000
2.79%
2015
800,000
1.89%
2016
4,700,000
2.27%
2018
450,000
2.96%
2021
400,000
2.99%
6,925,000
$
2.29% |