INVESCO MORTGAGE CAPITAL INC

Welcome to Invesco Mortgage Capital Inc's fourth 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 will turn the call over to Jack Bateman and Investor Relations. Mr. Bateman, you may begin the call.

Thank you and welcome to the Invesco Mortgage Capital fourth 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 risk, 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 Q4 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 Anzalone.

John? 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 President Kevin Collins, our CFO, Lee Feigley, and our COO, Dave Lyle. The fourth quarter was characterized by challenging market conditions as the Federal Reserve responded to surging inflation by signaling a significantly more hawkish policy stance. The yield curve flattened during the quarter as the market began to price in more aggressive rate increases by the FOMC. As we enter 2022, the yield curve has flattened further and interest rates moved higher as the market responded to even higher inflation prints by pricing in not only more rate increases, but faster reductions in the Fed's $2.5 trillion agency mortgage holdings. Given the increased interest rate volatility, the flatter curve and hawkish pivot by the Fed, mortgages significantly underperformed during the fourth quarter, leading to a decline in our book value of 10.5% during the quarter. This decrease combined with our dividend gave us an economic return for the fourth quarter of negative 7.7%. Our book value declined an additional 9% during January as the spread widening in agency mortgages accelerated and the payouts on specified pool collateral collapsed amid much higher mortgage rates. Our liquidity position remains strong as we held $871 million of unrestricted cash and unencumbered investments at year end. Earnings available for distribution should continue to be supported by relatively attractive dollar rolls, as well as by an attractive reinvestment environment characterized by wider spreads and continued strong funding markets. We remain cautious on agency mortgage valuations as the ultimate pace of Fed portfolio dispositions remains highly uncertain. I'll stop here and let Brian go through the portfolio.