Invesco Mortgage Capital Inc. (NYSE:IVR) Q4 2022 Earnings Conference Call February 22, 2023 9:00 AM ET

Company Participants

Matt Seitz - Investor Relations

John Anzalone - Chief Executive Officer

Brian Norris - Chief Investment Officer

Conference Call Participants

Doug Harter - Credit Suisse

Trevor Cranston - JMP Securities

Operator

Welcome to Invesco Mortgage Capital Inc.'s Fourth Quarter 2022 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 Matt Seitz in Investor Relations. Mr. Seitz, you may begin the call.

Matt Seitz

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 website, invescomortgagecapital.com. This information can be found by going to the Investor Relations section of the website.

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 website. 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 fourth quarter earnings call. I'll give some brief comments before turning the call over to our Chief Investment Officer, Brian Norris, to discuss the current portfolio in more detail. Also joining us on the call to participate in the Q&A are our President, Kevin Collins, and our COO, Dave Lyle.

Financial conditions began to ease during the fourth quarter, despite a pair of 75 basis point increases to the Fed funds target rate, as investors began to anticipate an end to the FOMC's tightening cycle.

While still at elevated levels, inflation, as seen through the CPI and PPI indices, is well below its recent highs and has begun to ease. Risk markets responded favorably, as equity markets improved, most credit spreads tightened and volatility measures moderated.

After facing the most challenging environment in over a decade during the first three quarters of 2022, mortgage performance rebounded during the fourth quarter and into the first quarter of 2023, with current coupon agencies outperforming treasuries as interest rate volatility came off its recent highs.