Maryland
|
001-34385
|
262749336
|
||
(State or other jurisdiction
of incorporation)
|
(Commission File Number)
|
(IRS Employer
Identification No.)
|
1555 Peachtree Street, NE, Atlanta, Georgia
|
30309
|
|
(Address of principal executive offices)
|
(Zip Code)
|
¨
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
|
¨
|
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
|
¨
|
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
|
¨
|
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
|
Item 2.02
|
Results of Operations and Financial Condition.
|
Item 9.01
|
Financial Statements and Exhibits.
|
(d)
|
Exhibits.
|
Exhibit No.
|
|
Description
|
99.1
|
|
Press Release, dated July 27, 2011, issued by Invesco Mortgage Capital Inc.
|
Invesco Mortgage Capital Inc. | |||
|
By:
|
/s/ Donald R. Ramon | |
Donald R. Ramon | |||
Chief Financial Officer | |||
Exhibit No.
|
|
Description
|
99.1
|
|
Press Release, dated July 27, 2011, issued by Invesco Mortgage Capital Inc.
|
($ in millions, except per share amounts)
|
||
Q2 ‘11
|
Q1 ‘11
|
|
(unaudited)
|
(unaudited)
|
|
Average Earning Assets (at fair value)
|
$10,165.9
|
$6,413.5
|
Average Borrowed Funds
|
8,893.6
|
5,406.9
|
Average Equity
|
1,567.1
|
1,156.2
|
Interest Income
|
109.0
|
68.5
|
Interest Expense
|
34.2
|
15.6
|
Net Interest Income
|
74.8
|
52.9
|
Other Income
|
6.5
|
5.6
|
Operating Expenses
|
6.9
|
4.8
|
Net Income
|
$74.4
|
$53.7
|
Average Portfolio Yield
|
4.29%
|
4.27%
|
Cost of Funds
|
1.54%
|
1.15%
|
Debt to Equity Ratio
|
5.2
|
3.7
|
Return on Average Equity
|
18.99%
|
18.58%
|
Book Value per Share (Diluted)
|
$19.34
|
$21.24
|
Earnings per share (Basic and Diluted)
|
$0.99
|
$1.01
|
Dividend
|
$0.97
|
$1.00
|
|
|
|
Three Months Ended
|
|
Six Months Ended
|
|||||||||
|
|
|
|
June 30,
|
|
June 30,
|
||||||||
$ in thousands, except per share data
|
2011
|
|
2010
|
|
2011
|
|
2010
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Revenues
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Interest income
|
|
108,981
|
|
|
29,207
|
|
|
177,517
|
|
|
47,217
|
||
|
Interest expense
|
|
34,207
|
|
|
6,379
|
|
|
49,785
|
|
|
10,031
|
||
|
Net interest income
|
|
74,774
|
|
|
22,828
|
|
|
127,732
|
|
|
37,186
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Gain on sale of investments
|
|
3,605
|
|
|
642
|
|
|
4,805
|
|
|
1,375
|
||
|
Equity in earnings and fair value change in unconsolidated limited
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
partnerships
|
|
1,873
|
|
|
1,649
|
|
|
3,731
|
|
|
2,095
|
|
|
Loss on other-than-temporarily impaired securities
|
|
-
|
|
|
(262)
|
|
|
-
|
|
|
(386)
|
||
|
Unrealized loss on interest rate swaps
|
|
(197)
|
|
|
(10)
|
|
|
(202)
|
|
|
(35)
|
||
|
Realized and unrealized credit default swap income
|
|
1,259
|
|
|
-
|
|
|
3,791
|
|
|
-
|
||
|
Total other income
|
|
6,540
|
|
|
2,019
|
|
|
12,125
|
|
|
3,049
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Management fee – related party
|
|
5,753
|
|
|
1,771
|
|
|
9,728
|
|
|
3,055
|
||
|
General and administrative
|
|
1,157
|
|
|
1,017
|
|
|
2,026
|
|
|
1,954
|
||
|
Total expenses
|
|
6,910
|
|
|
2,788
|
|
|
11,754
|
|
|
5,009
|
||
|
Net income
|
|
74,404
|
|
|
22,059
|
|
|
128,103
|
|
|
35,226
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to non-controlling interest
|
|
1,406
|
|
|
1,309
|
|
|
2,857
|
|
|
2,427
|
||
|
Net income attributable to common shareholders
|
|
72,998
|
|
|
20,750
|
|
|
125,246
|
|
|
32,799
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
(basic/diluted)
|
|
0.99
|
|
|
0.91
|
|
|
2.00
|
|
|
1.70
|
|
|
Dividends declared per common share
|
|
0.97
|
|
|
0.74
|
|
|
1.97
|
|
|
1.52
|
||
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
Basic
|
|
73,486
|
|
|
22,808
|
|
|
62,731
|
|
|
19,266
|
|
|
|
Diluted
|
|
74,929
|
|
|
24,239
|
|
|
64,167
|
|
|
20,695
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except per share amounts
|
As of
|
|||||
|
|
June 30,
|
|
December 31,
|
||
ASSETS
|
2011
|
|
2010
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
12,155,861
|
|
|
5,578,333
|
|
Cash
|
|
66
|
|
|
63,552
|
|
Restricted cash
|
|
134,037
|
|
|
101,144
|
|
Investment related receivable
|
|
121,120
|
|
|
7,601
|
|
Investments in unconsolidated limited partnerships, at fair value
|
|
48,177
|
|
|
54,725
|
|
Accrued interest receivable
|
|
46,295
|
|
|
22,503
|
|
Derivative assets, at fair value
|
|
19,131
|
|
|
33,255
|
|
Other assets
|
|
2,063
|
|
|
1,287
|
|
|
Total assets
|
|
12,526,750
|
|
|
5,862,400
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
9,560,766
|
|
|
4,344,659
|
|
Derivative liability, at fair value
|
|
139,129
|
|
|
37,850
|
|
Dividends and distributions payable
|
|
72,575
|
|
|
49,741
|
|
Investment related payable
|
|
910,552
|
|
|
372,285
|
|
Accrued interest payable
|
|
9,853
|
|
|
2,579
|
|
Accounts payable and accrued expenses
|
|
1,645
|
|
|
1,065
|
|
Due to affiliate
|
|
6,863
|
|
|
3,407
|
|
|
Total liabilities
|
|
10,701,383
|
|
|
4,811,586
|
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
Preferred Stock: par value $0.01 per share; 50,000,000 shares
|
|
|
|
|
|
|
|
authorized, 0 shares issued and outstanding
|
|
-
|
|
|
-
|
Common Stock: par value $0.01 per share; 450,000,000 shares
|
|
|
|
|
|
|
|
authorized, 92,945,506 and 49,854,196 shares issued and
|
|
|
|
|
|
|
outstanding, at June 30, 2011 and December 31, 2010, respectively
|
|
929
|
|
|
499
|
Additional paid in capital
|
|
1,889,173
|
|
|
1,002,809
|
|
Accumulated other comprehensive income (loss)
|
|
(89,838)
|
|
|
24,015
|
|
Distributions in excess of earnings
|
|
(4,423)
|
|
|
(8,173)
|
|
|
Total shareholders’ equity
|
|
1,795,841
|
|
|
1,019,150
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
29,526
|
|
|
31,664
|
|
|
Total equity
|
|
1,825,367
|
|
|
1,050,814
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
12,526,750
|
|
|
5,862,400
|
|
|
|
|
|
|
|
June 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|||
|
|
|
|
|
|
Unamortized
|
|
|
|
Unrealized
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
|
Principal
|
|
Premium
|
|
Amortized
|
|
Gain/
|
|
Fair
|
|
Average
|
|
|
Average
|
|
$ in thousands
|
|
Balance
|
|
(Discount)
|
|
Cost
|
|
(Loss)
|
|
Value
|
|
Coupon (1)
|
|
|
Yield (2)
|
|
||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
15 year fixed-rate
|
|
1,996,178
|
|
106,361
|
|
2,102,539
|
|
15,732
|
|
2,118,271
|
|
4.43
|
%
|
|
3.24
|
%
|
|
|
30 year fixed-rate
|
|
4,672,172
|
|
320,753
|
|
4,992,925
|
|
45,550
|
|
5,038,475
|
|
5.26
|
%
|
|
3.99
|
%
|
|
|
ARM
|
|
118,688
|
|
2,981
|
|
121,669
|
|
1,094
|
|
122,763
|
|
3.60
|
%
|
|
3.22
|
%
|
|
|
Hybrid ARM
|
|
1,233,212
|
|
27,161
|
|
1,260,373
|
|
11,102
|
|
1,271,475
|
|
3.34
|
%
|
|
2.98
|
%
|
|
|
|
Total Agency
|
|
8,020,250
|
|
457,256
|
|
8,477,506
|
|
73,478
|
|
8,550,984
|
|
4.73
|
%
|
|
3.64
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
MBS-CMO
|
|
353,790
|
|
(278,533)
|
|
75,257
|
|
3,530
|
|
78,787
|
|
3.17
|
%
|
|
6.23
|
%
|
||
Non-Agency MBS
|
|
2,757,121
|
|
(408,616)
|
|
2,348,505
|
|
(28,085)
|
|
2,320,420
|
|
4.46
|
%
|
|
5.90
|
%
|
||
CMBS
|
|
1,229,100
|
|
(6,617)
|
|
1,222,483
|
|
(16,813)
|
|
1,205,670
|
|
5.42
|
%
|
|
5.49
|
%
|
||
Total
|
|
12,360,261
|
|
(236,510)
|
|
12,123,751
|
|
32,110
|
|
12,155,861
|
|
4.70
|
%
|
|
4.28
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
(1) Net weighted average coupon (“WAC”) is presented net of servicing and other fees.
|
||||||||||||||||||
(2) Average yield incorporates future prepayment and loss assumptions.
|
June 30, 2011
|
|
March 31, 2011
|
|||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
7.7
|
|
12.8
|
|
9.0
|
|
16.1
|
30 year Agency RMBS
|
9.2
|
|
13.0
|
|
13.4
|
|
19.8
|
Agency Hybrid ARM RMBS
|
5.6
|
|
N/A
|
|
6.4
|
|
N/A
|
Non-Agency RMBS
|
11.5
|
|
N/A
|
|
14.0
|
|
N/A
|
Overall
|
8.1
|
|
N/A
|
|
11.1
|
|
N/A
|
|
$ in thousands
|
|
|
June 30, 2011
|
|
|
|
December 31, 2010
|
|
||||
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Average
|
|
|
|
|
|
Average
|
|
|
|
|
Amount
|
|
Interest
|
|
|
Amount
|
|
Interest
|
|
||
|
|
|
Outstanding
|
|
Rate
|
|
|
Outstanding
|
|
Rate
|
|
||
|
Agency RMBS
|
|
|
7,174,858
|
|
0.23
|
%
|
|
|
3,483,440
|
|
0.33
|
%
|
|
Non-Agency RBS
|
|
|
1,510,666
|
|
1.44
|
%
|
|
|
459,979
|
|
1.76
|
%
|
|
CMBS
|
|
|
875,242
|
|
1.28
|
%
|
|
|
401,240
|
|
1.30
|
%
|
|
Total
|
|
|
9,560,766
|
|
0.52
|
%
|
|
|
4,344,659
|
|
0.57
|
%
|
Remaining Interest Rate Swap Term
|
|
Notional
|
|
Average
|
|
|
Average
|
|
|
Amount
|
Fixed Pay
|
|
Maturity
|
|
|
||||
$ in thousands
|
Rate
|
|
(Years)
|
|
|
||||
1 year or less
|
|
-
|
|
-
|
|
|
-
|
|
|
Greater than 1 year and less than 3 years
|
|
475,000
|
|
1.88
|
%
|
|
1.7
|
|
|
Greater than 3 years and less than 5 years
|
|
5,100,000
|
|
2.25
|
%
|
|
4.7
|
|
|
Greater than 5 years
|
|
1,350,000
|
|
2.59
|
%
|
|
7.2
|
|
|
Total
|
|
6,925,000
|
|
2.29
|
%
|
|
4.9
|
|
|