Invesco Mortgage Capital Inc. (NYSE:IVR) Q3 2023 Earnings Conference Call November 7, 2023 9:00 AM ET

Company Participants

Greg Seals - Investor Relations

John Anzalone - Chief Executive Officer

Kevin Collins - President

Lee Phegley - Chief Financial Officer

David Lyle - Chief Operating Officer

Brian Norris - Chief Investment Officer

Conference Call Participants

Trevor Cranston - JMP Securities

Matthew Erdner - JonesTrading

Operator

Welcome to Invesco Mortgage Capital Inc.'s Third Quarter 2023 Investor Conference Call. All participants will be in a listen-only mode until the question-and-answer session. [Operator Instructions] As a reminder, this call is being recorded.

Now, I would like to turn the call over to Greg Seals in Investor Relations. Mr. Seals, you may begin the call.

Greg Seals

Thanks, Operator, and to all of you joining us on Invesco Mortgage Capital's quarterly earnings call. In addition to today's press release, we have provided a presentation that covers the topics we plan to address today. The press release and presentation are available on our Web site at invescomortgagecapital.com. This information can be found by going to the Investor Relations section of the Web site.

Our presentation today will include forward-looking statements and certain non-GAAP financial measures. Please review the disclosures on slide two of the presentation regarding these statements and measures as well as the appendix for the appropriate reconciliations to GAAP.

Finally, Invesco Mortgage Capital is not responsible for and does not edit nor guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our Web site. Again, welcome, and thank you for joining us today.

I'll now turn the call over to John Anzalone. John?

John Anzalone

Good morning, and welcome to Invesco Mortgage Capital's third quarter earnings call. I'll make some brief comments before turning the call over to our Chief Investment Officer, Brian Norris, who will discuss the current portfolio in more detail. Also joining us on the call are President, Kevin Collins; our CFO, Lee Phegley; and our COO, David Lyle.

The market environment was extremely challenging during the third quarter given shifting expectations for fiscal and monetary policy. Interest rate volatility remained elevated, while treasury yields increased to their highest level since 2007. This backdrop was particularly difficult for agency mortgages, as [trends reached] (ph) multiyear wides across the coupon stack, and specified pool payouts declined. These conditions contributed to a 17% decline in our book value per share for the quarter. Elevated volatility and rising interest rates continued into the first few weeks of the fourth quarter, accelerating agency mortgage underperformance.