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 November 2, 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 November 2, 2011, issued by Invesco Mortgage Capital Inc.
|
($ in millions, except per share amounts)
|
||
Q3 ‘11
|
Q2 ‘11
|
|
(unaudited)
|
(unaudited)
|
|
Average Earning Assets (at fair value)
|
$13,324.2
|
$10,165.9
|
Average Borrowed Funds
|
11,466.6
|
8,893.6
|
Average Equity
|
1,847.3
|
1,567.1
|
Interest Income
|
138.3
|
109.0
|
Interest Expense
|
50.5
|
34.2
|
Net Interest Income
|
87.8
|
74.8
|
Other Income
|
3.1
|
6.5
|
Operating Expenses
|
8.7
|
6.9
|
Net Income
|
$82.2
|
$74.4
|
Average Portfolio Yield
|
4.15%
|
4.29%
|
Average Cost of Funds
|
1.76%
|
1.54%
|
Debt to Equity Ratio
|
6.3
|
5.2
|
Return on Average Equity
|
17.79%
|
18.99%
|
Book Value per Share (Diluted)
|
$16.47
|
$19.34
|
Earnings per share (Basic and Diluted)
|
$0.79
|
$0.99
|
Dividend
|
$0.80
|
$0.97
|
|
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||
|
|
|
|
September 30,
|
|
September 30,
|
||||||||
$ in thousands, except per share data
|
2011
|
|
2010
|
|
2011
|
|
2010
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Revenues
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Interest income
|
|
138,291
|
|
|
36,067
|
|
|
315,808
|
|
|
83,284
|
||
|
Interest expense
|
|
50,452
|
|
|
8,873
|
|
|
100,237
|
|
|
18,904
|
||
|
Net interest income
|
|
87,839
|
|
|
27,194
|
|
|
215,571
|
|
|
64,380
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Gain (loss) on sale of investments
|
|
3,637
|
|
|
(311)
|
|
|
8,442
|
|
|
1,064
|
||
|
Equity in earnings (loss) and fair value change in unconsolidated
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
ventures
|
|
(993)
|
|
|
3,793
|
|
|
2,738
|
|
|
5,888
|
|
|
Loss on other-than-temporarily impaired securities
|
|
-
|
|
|
(124)
|
|
|
-
|
|
|
(510)
|
||
|
Unrealized loss on interest rate swaps
|
|
(453)
|
|
|
(9)
|
|
|
(655)
|
|
|
(44)
|
||
|
Realized and unrealized credit default swap income
|
|
858
|
|
|
-
|
|
|
4,649
|
|
|
-
|
||
|
Total other income
|
|
3,049
|
|
|
3,349
|
|
|
15,174
|
|
|
6,398
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Management fee – related party
|
|
7,884
|
|
|
2,039
|
|
|
17,612
|
|
|
5,094
|
||
|
General and administrative
|
|
829
|
|
|
885
|
|
|
2,855
|
|
|
2,839
|
||
|
Total expenses
|
|
8,713
|
|
|
2,924
|
|
|
20,467
|
|
|
7,933
|
||
|
Net income
|
|
82,175
|
|
|
27,619
|
|
|
210,278
|
|
|
62,845
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to non-controlling interest
|
|
1,091
|
|
|
1,433
|
|
|
3,948
|
|
|
3,860
|
||
|
Net income attributable to common shareholders
|
|
81,084
|
|
|
26,186
|
|
|
206,330
|
|
|
58,985
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
(basic/diluted)
|
|
0.79
|
|
|
1.01
|
|
|
2.70
|
|
|
2.74
|
|
|
Dividends declared per common share
|
|
0.80
|
|
|
1.00
|
|
|
2.77
|
|
|
2.52
|
||
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
Basic
|
|
103,028
|
|
|
26,047
|
|
|
76,311
|
|
|
21,552
|
|
|
|
Diluted
|
|
104,472
|
|
|
27,478
|
|
|
77,750
|
|
|
22,981
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except per share amounts
|
As of
|
|||||
|
|
September 30,
|
|
December 31,
|
||
ASSETS
|
2011
|
|
2010
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
14,336,951
|
|
|
5,578,333
|
|
Cash
|
|
56,914
|
|
|
63,552
|
|
Restricted cash
|
|
254,587
|
|
|
101,144
|
|
Investment related receivable
|
|
430,053
|
|
|
7,601
|
|
Investments in unconsolidated ventures, at fair value
|
|
110,907
|
|
|
54,725
|
|
Accrued interest receivable
|
|
55,713
|
|
|
22,503
|
|
Derivative assets, at fair value
|
|
1,580
|
|
|
33,255
|
|
Other assets
|
|
1,812
|
|
|
1,287
|
|
|
Total assets
|
|
15,248,517
|
|
|
5,862,400
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
12,181,845
|
|
|
4,344,659
|
|
Derivative liability, at fair value
|
|
388,886
|
|
|
37,850
|
|
Dividends and distributions payable
|
|
93,449
|
|
|
49,741
|
|
Investment related payable
|
|
640,766
|
|
|
372,285
|
|
Accrued interest payable
|
|
10,780
|
|
|
2,579
|
|
Accounts payable and accrued expenses
|
|
916
|
|
|
1,065
|
|
Due to affiliate
|
|
8,092
|
|
|
3,407
|
|
|
Total liabilities
|
|
13,324,734
|
|
|
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, 115,387,548 and 49,854,196 shares issued and
|
|
|
|
|
|
|
outstanding, at September 30, 2011 and December 31, 2010, respectively
|
|
1,154
|
|
|
499
|
Additional paid in capital
|
|
2,299,309
|
|
|
1,002,809
|
|
Accumulated other comprehensive income (loss)
|
|
(386,187)
|
|
|
24,015
|
|
Distributions in excess of earnings
|
|
(15,648)
|
|
|
(8,173)
|
|
|
Total shareholders’ equity
|
|
1,898,628
|
|
|
1,019,150
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
25,155
|
|
|
31,664
|
|
|
Total equity
|
|
1,923,783
|
|
|
1,050,814
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
15,248,517
|
|
|
5,862,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
2,360,188
|
|
128,782
|
|
2,488,970
|
|
43,399
|
|
2,532,369
|
|
4.33
|
%
|
|
3.13
|
%
|
|
|
30 year fixed-rate
|
|
5,701,102
|
|
400,866
|
|
6,101,968
|
|
110,900
|
|
6,212,868
|
|
5.17
|
%
|
|
3.94
|
%
|
|
|
ARM
|
|
92,785
|
|
1,850
|
|
94,635
|
|
2,087
|
|
96,722
|
|
3.53
|
%
|
|
3.14
|
%
|
|
|
Hybrid ARM
|
|
1,267,544
|
|
28,045
|
|
1,295,589
|
|
23,359
|
|
1,318,948
|
|
3.31
|
%
|
|
2.81
|
%
|
|
|
|
Total Agency
|
|
9,421,619
|
|
559,543
|
|
9,981,162
|
|
179,745
|
|
10,160,907
|
|
4.69
|
%
|
|
3.59
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
MBS-CMO
|
|
629,502
|
|
(487,871)
|
|
141,631
|
|
1,769
|
|
143,400
|
|
3.30
|
%
|
|
6.24
|
%
|
|
|
Non-Agency MBS(3)
|
|
3,061,712
|
|
(316,705)
|
|
2,745,007
|
|
(79,399)
|
|
2,665,608
|
|
5.84
|
%
|
|
6.39
|
%
|
|
|
CMBS
|
|
1,492,384
|
|
(21,422)
|
|
1,470,962
|
|
(103,926)
|
|
1,367,036
|
|
5.48
|
%
|
|
5.66
|
%
|
|
Total
|
|
14,605,217
|
|
(266,455)
|
|
14,338,762
|
|
(1,811)
|
|
14,336,951
|
|
4.70
|
%
|
|
4.11
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
(1) Net weighted average coupon (“WAC”) is presented net of servicing and other fees.
|
|
|
|
|
|
|
||||||||||||
(2) Average yield incorporates future prepayment and loss assumptions.
|
|
|
|
|
|
|
||||||||||||
(3) The Non-agency MBS held by the Company is 84.3% fixed rate and 15.7% floating rate, based on fair value.
|
|
|
|
$ in thousands
|
September 30, 2011
|
|
% of Non-Agency
|
|
June 30, 2011
|
|
% of Non-Agency
|
|
|
|
Re-REMIC Senior
|
1,640,916
|
|
61.6%
|
|
1,074,303
|
|
46.3%
|
|
|
Prime
|
708,575
|
|
26.6%
|
|
820,792
|
|
35.4%
|
|
|
Alt-A
|
304,551
|
|
11.4%
|
|
412,640
|
|
17.8%
|
|
|
Subprime
|
11,566
|
|
0.4%
|
|
12,686
|
|
0.5%
|
|
|
Total Non-Agency
|
2,665,608
|
|
100.0%
|
|
2,320,421
|
|
100.0%
|
|
|
September 30, 2011
|
|
June 30, 2011
|
||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
9.1
|
|
20.5
|
|
7.7
|
|
12.8
|
30 year Agency RMBS
|
9.8
|
|
16.2
|
|
9.2
|
|
13.0
|
Agency Hybrid ARM RMBS
|
14.9
|
|
NA
|
|
5.6
|
|
N/A
|
Non-Agency RMBS
|
8.1
|
|
NA
|
|
11.5
|
|
N/A
|
Overall
|
8.7
|
|
NA
|
|
8.1
|
|
N/A
|
|
$ in thousands
|
|
|
September 30, 2011
|
|
|
|
December 31, 2010
|
|
||||
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Average
|
|
|
|
|
|
Average
|
|
|
|
|
Amount
|
|
Interest
|
|
|
Amount
|
|
Interest
|
|
||
|
|
|
Outstanding
|
|
Rate
|
|
|
Outstanding
|
|
Rate
|
|
||
|
Agency RMBS
|
|
|
9,044,073
|
|
0.29
|
%
|
|
|
3,483,440
|
|
0.33
|
%
|
|
Non-Agency RBS
|
|
|
2,114,019
|
|
1.51
|
%
|
|
|
459,979
|
|
1.76
|
%
|
|
CMBS
|
|
|
1,023,753
|
|
1.44
|
%
|
|
|
401,240
|
|
1.30
|
%
|
|
Total
|
|
|
12,181,845
|
|
0.60
|
%
|
|
|
4,344,659
|
|
0.57
|
%
|
|
|
|
|
|
|
|
Fixed Interest Rate
|
|
|
Counterparty
|
Notional
|
Maturity Date
|
|
in Contract
|
|
|
|||
The Bank of New York Mellon
|
|
175,000
|
|
08/05/2012
|
|
|
2.07%
|
|
|
The Bank of New York Mellon
|
|
100,000
|
|
05/24/2013
|
|
|
1.83%
|
|
|
The Bank of New York Mellon
|
|
200,000
|
|
06/15/2013
|
|
|
1.73%
|
|
|
SunTrust Bank
|
|
100,000
|
|
07/15/2014
|
|
|
2.79%
|
|
|
Deutsche Bank AG
|
|
200,000
|
|
01/15/2015
|
|
|
1.08%
|
|
|
Deutsche Bank AG
|
|
250,000
|
|
02/15/2015
|
|
|
1.14%
|
|
|
Credit Suisse International
|
|
100,000
|
|
02/24/2015
|
|
|
3.26%
|
|
|
Credit Suisse International
|
|
100,000
|
|
03/24/2015
|
|
|
2.76%
|
|
|
Wells Fargo Bank, N.A.
|
|
100,000
|
|
07/15/2015
|
|
|
2.85%
|
|
|
Wells Fargo Bank, N.A.
|
|
50,000
|
|
07/15/2015
|
|
|
2.44%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
01/24/2016
|
|
|
2.12%
|
|
|
The Bank of New York Mellon
|
|
300,000
|
|
01/24/2016
|
|
|
2.13%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
04/05/2016
|
|
|
2.48%
|
|
|
Citibank, N.A.
|
|
300,000
|
|
04/15/2016
|
|
|
1.67%
|
|
|
The Bank of New York Mellon
|
|
500,000
|
|
04/15/2016
|
|
|
2.24%
|
|
|
Credit Suisse International
|
|
500,000
|
|
04/15/2016
|
|
|
2.27%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
05/16/2016
|
|
|
2.31%
|
|
|
Goldman Sachs Bank USA
|
|
500,000
|
|
05/24/2016
|
|
|
2.34%
|
|
|
Wells Fargo Bank, N.A.
|
|
250,000
|
|
06/15/2016
|
|
|
2.67%
|
|
|
Goldman Sachs Bank USA
|
|
250,000
|
|
06/15/2016
|
|
|
2.67%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
06/24/2016
|
|
|
2.51%
|
|
|
Citibank, N.A.
|
|
500,000
|
|
10/15/2016
|
|
|
1.93%
|
|
|
Deutsche Bank AG
|
|
150,000
|
|
02/05/2018
|
|
|
2.90%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
100,000
|
|
04/05/2018
|
|
|
3.10%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
200,000
|
|
05/15/2018
|
|
|
2.93%
|
|
|
Wells Fargo Bank, N.A.
|
|
200,000
|
|
03/15/2021
|
|
|
3.14%
|
|
|
Citibank, N.A.
|
|
200,000
|
|
05/25/2021
|
|
|
2.83%
|
|
|
Total
|
|
6,925,000
|
|
|
|
|
2.29%
|
|
|