INVESCO MORTGAGE CAPITAL INC

Welcome to Invesco Mortgage Capital, Inc.' 's third quarter 2021 investor conference call. All participants will be in a listen-only mode until the question and answer session. At that time, to ask a question, press the star followed by the one on your telephone. As a reminder, this call is being recorded. Now I would like to turn the call over to Jack Bateman in investor relations. Mr. Bateman, you may begin the call.

Thank you. and welcome to the Invesco Mortgage Capital third quarter 2021 earnings call. The management team and I are delighted you've joined us, and we look forward to sharing with you our prepared remarks and conducting a question and answer session. Before turning the call over to our CEO, John Anzalone, I wanted to provide a reminder that statements made in this conference call and the related presentation may include forward-looking statements which reflect management's expectations about future events and our overall plans and performance. These forward-looking statements are made as of today and are not guarantees. They involve risks, uncertainties, and assumptions, and there can be no assurance that actual results will not differ materially from our expectations. For discussion of these risks and uncertainties, please see the risks described in our most recent annual report on Form 10-K and subsequent filings with the SEC. Invesco makes no obligation to update any forward-looking statement. We may also discuss non-GAAP financial measures during today's call. Reconciliations of these non-GAAP financial measures may be found at the end of our earnings presentation. To view the slide presentation today, you may access our website at InvescoMortgageCapital.com and click on the Q3 2021 Earnings Presentation link under Investor Relations. Again, welcome, and thank you for joining us today. I'll now turn the call over to John Angelo. John?

Good morning, and welcome to Invesco Mortgage Capital's third 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, our CFO, Lee Fegley, and our COO, Dave Lyle. I am pleased to announce earnings available for distribution for the third quarter came in at $0.10 per share. Book value ended the quarter at $3.25 per share, which represents an increase of 1.2%. This increase in book value, combined with our $0.09 dividend, produced an economic return of 4% for the quarter. The portfolio remains predominantly agency-focused, with substantially all of our entire $8.8 billion portfolio, plus $1.5 billion notional in TVA, invested in agency mortgages. Our liquidity position remains strong, as we held $788 million of unrestricted cash and unencumbered investments at quarter ends. After underperforming sharply during the second quarter, agency mortgage performance stabilized during the quarter as positive performance from higher coupons generally offset underperformance from the bottom of the coupon stack. Higher coupons benefited from slowing speeds as signs of prepayment burnout spurred investor demand. Lower coupons struggled as the market readied for the onset of asset purchase tapering by the Federal Reserve. Looking ahead, we believe that earnings available for distribution will continue to be supported by attractive dollar rolls and slow speeds on our specified pool collateral, as well as by an attractive reinvestment environment characterized by wider spreads and continued strong funding markets. While the near-term technical picture for mortgage remains supportive of valuations, we are cautious over the next several quarters as the decrease in purchases by the Federal Reserve and the likely increase in seasonally driven supply remains headwinds. I'll stop here and let Brian go through the portfolio in more detail.