Invesco Mortgage Capital Inc. — Third Quarter 2026 Earnings Summary

Financial Performance:

• Reported a net loss of $98.8 million ($0.92 per share) for the quarter ended September 30, 2026, compared to net income of $31.8 million ($0.34 per share) in Q2 2026.
• Earnings available for distribution were $50.3 million ($0.47 per share), down from $47.1 million ($0.50 per share) in Q2 2026.
• Total interest income was $99.0 million, up from $85.4 million in Q2 2026.
• Total interest expense was $65.0 million, up from $55.3 million in Q2 2026.
• Net interest income was $33.9 million, an increase of $3.8 million from Q2 2026.
• Total expenses were $5.2 million, a decrease of $0.3 million from Q2 2026.
• Book value per common share declined to $6.74 from $8.03 as of June 30, 2026, a decrease of $1.29.
• Economic return for the quarter was (11.6)%, compared to 3.8% in Q2 2026.
• GAAP debt-to-equity ratio increased to 7.6x from 6.3x as of June 30, 2026.
• Economic debt-to-equity ratio increased to 8.3x from 7.5x as of June 30, 2026.
• Effective interest expense was $45.1 million, up from $34.6 million in Q2 2026.
• Effective net interest income was $53.9 million, up from $50.9 million in Q2 2026.
• Average earning assets were $7,574.3 million, up from $6,631.0 million in Q2 2026.
• Average borrowings were $6,754.7 million, up from $5,927.7 million in Q2 2026.
• Average net interest rate margin was 1.38%, down from 1.42% in Q2 2026.
• Effective interest rate margin was 2.56%, down from 2.82% in Q2 2026.

Guidance and Future Outlook:

• Management maintains a constructive outlook for both Agency RMBS and Agency CMBS sectors.
• Recent spread widening is viewed as enhancing relative value and prospective return potential for target assets.
• Agency RMBS is expected to benefit from increased participation by GSEs, banks, money managers, and other institutional investors.
• Agency CMBS remains attractive due to elevated yields, stable cash flow characteristics, and diversification benefits.
• Management anticipates that a de-escalation of geopolitical tensions in the Middle East and moderation in interest rate volatility could provide tailwinds.
• The Company intends to maintain prudent leverage, ample liquidity, and strategic portfolio diversification to navigate uncertainty.

Business Segments and Product Lines:

• The $8.0 billion investment portfolio at quarter-end consisted of $6.6 billion in Agency RMBS, $0.7 billion in Agency TBA, and $0.7 billion in Agency CMBS.
• Agency RMBS holdings totaled $6.6 billion, representing 83.2% of the portfolio, with a period-end weighted average yield of 5.34%.
• Agency CMBS holdings totaled $681.2 million, representing 8.5% of the portfolio, down from $901.9 million (11.1%) in Q2 2026.
• Agency TBA holdings totaled $660.0 million, representing 8.3% of the portfolio, down from $1.2 billion (14.7%) in Q2 2026.
• During the latter part of the quarter, the Company reduced its Agency CMBS allocation and redeployed proceeds into Agency RMBS opportunities.
• The portfolio includes 30-year fixed-rate pass-through coupons ranging from 2.5% to 6.0%, with the 5.0% and 5.5% coupons comprising the largest portions (25.1% and 24.6% respectively).
• Agency CMO holdings were eliminated, dropping from $64.4 million (0.8%) in Q2 2026 to zero in Q3 2026.

Market and Competitive Landscape:

• Financial conditions tightened as investors priced in additional Federal Reserve rate hikes.
• Short-term Treasury yields rose on expectations for monetary policy tightening, while longer-term yields increased on growth expectations and fiscal deficit concerns.
• Interest rate volatility rose from subdued levels in Q2, contributing to materially wider Agency RMBS spreads and modestly wider Agency CMBS spreads.
• Financing markets remained orderly despite elevated market volatility.
• The Company noted that spread widening created increasingly attractive risk-adjusted return potential within the Agency RMBS sector.

Risks and Challenges:

• Portfolio generated negative returns relative to Treasuries due to wider Agency RMBS and CMBS spreads.
• Book value declined by 16.1% to $6.74 at quarter end.
• Uncertainty remains elevated regarding inflation, monetary policy, and geopolitical developments.
• The Company faces risks related to interest rate volatility and market spreads.
• Forward-looking statements involve risks, uncertainties, and assumptions regarding market conditions, asset performance, and liquidity.

Management Commentary and Tone:

• Kevin Collins, Chief Executive Officer, stated that economic growth remained resilient but financial conditions tightened.
• Management emphasized that the portfolio's negative returns were partially offset by improvements in swap spreads.
• Collins highlighted the Company's strong liquidity position, diversified financing relationships, and disciplined risk-management framework as key strengths during market uncertainty.
• The tone reflected a focus on maintaining prudent leverage and strategic diversification to seek attractive risk-adjusted returns and long-term shareholder value.

Other Key Points:

• Declared monthly common stock dividends totaling $0.36 per share, unchanged from Q2 2026.
• Declared a Series C Preferred Stock dividend of $0.46875 per share.
• Issued 6,706,923 shares of common stock for net proceeds of $51.0 million through its at-the-market program.
• Repurchased and retired 17,415 shares of Series C Preferred Stock with a carrying value of $421,000.
• Maintained a balance of unrestricted cash and unencumbered investments totaling $401.3 million.
• Average earning asset yields were 5.23% for the quarter, compared to 5.15% in Q2 2026.
• Average cost of funds was 3.85% for the quarter, compared to 3.73% in Q2 2026.
• The Company's investment portfolio includes interest rate swaps with a total notional amount of $5.185 billion as of September 30, 2026.
• Treasury futures contracts included short positions totaling $1.605 billion as of September 30, 2026.