Maryland
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001-34385
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262749336
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||
(State or other jurisdiction
of incorporation)
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(Commission File Number)
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(IRS Employer
Identification No.)
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1555 Peachtree Street, NE, Atlanta, Georgia
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30309
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(Address of principal executive offices)
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(Zip Code)
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¨
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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¨
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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¨
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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¨
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Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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Item8.01
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Other Events.
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Item 9.01
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Financial Statements and Exhibits.
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(d)
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Exhibits.
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Exhibit No.
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|
Description
|
99.1
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|
Press Release, dated December 13, 2011, issued by Invesco Mortgage Capital Inc.
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Invesco Mortgage Capital Inc. | |||
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By:
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/s/ Donald R. Ramon | |
Chief Financial Officer | |||
Exhibit No.
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|
Description
|
99.1
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|
Press Release, dated December 13, 2011, issued by Invesco Mortgage Capital Inc.
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|
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|
|
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Net
|
|
|
|
||||
|
|
|
|
|
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Unamortized
|
|
|
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Unrealized
|
|
|
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Weighted
|
|
|
|
|
|
|
|
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Principal
|
|
Premium
|
|
Amortized
|
|
Gain/
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|
Fair
|
|
Average
|
|
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Average
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$ in thousands
|
|
Balance
|
|
(Discount)
|
|
Cost
|
|
(Loss)
|
|
Value
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|
Coupon (1)
|
|
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Yield (2)
|
|
||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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||||
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15 year fixed-rate
|
|
2,305,589
|
|
124,372
|
|
2,429,961
|
|
25,855
|
|
2,455,816
|
|
4.20
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%
|
|
2.88
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%
|
|
|
30 year fixed-rate
|
|
5,936,963
|
|
401,144
|
|
6,338,107
|
|
88,423
|
|
6,426,530
|
|
4.99
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%
|
|
3.68
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%
|
|
|
ARM
|
|
90,654
|
|
1,816
|
|
92,470
|
|
1,766
|
|
94,236
|
|
3.52
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%
|
|
3.19
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%
|
|
|
Hybrid ARM
|
|
1,321,654
|
|
30,466
|
|
1,352,120
|
|
19,431
|
|
1,371,551
|
|
3.29
|
%
|
|
2.58
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%
|
|
|
|
Total Agency
|
|
9,654,860
|
|
557,798
|
|
10,212,658
|
|
135,475
|
|
10,348,133
|
|
4.56
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%
|
|
3.34
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%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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||
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MBS-CMO
|
|
671,764
|
|
(565,105)
|
|
106,659
|
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(7,960)
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|
98,699
|
|
2.97
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%
|
|
3.61
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%
|
|
|
Non-Agency MBS
|
|
2,764,112
|
|
(255,130)
|
|
2,508,982
|
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(104,641)
|
|
2,404,341
|
|
4.63
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%
|
|
5.12
|
%
|
|
|
CMBS
|
|
1,345,431
|
|
(22,331)
|
|
1,323,100
|
|
(71,255)
|
|
1,251,845
|
|
5.47
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%
|
|
5.68
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%
|
|
Total
|
|
14,436,167
|
|
(284,768)
|
|
14,151,399
|
|
(48,381)
|
|
14,103,018
|
|
4.58
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%
|
|
3.87
|
%
|
||
|
|
|
|
|
|
|
|
|
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|
|
|
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|
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||
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
||
(1) Net weighted average coupon is presented net of servicing and other fees.
|
|
|
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||||||||||||
(2) Average yield incorporates future prepayment and loss assumptions.
|
|
|
|
|
|
|
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Amount
|
|
Weighted
Average
|
|
|
$ in thousands
|
Outstanding
|
|
Interest
|
|
|
Agency RMBS
|
|
9,203,621
|
0.31
|
%
|
|
Non-Agency RMBS
|
|
2,003,229
|
1.73
|
%
|
|
CMBS
|
|
967,274
|
1.52
|
%
|
|
Total
|
|
12,174,124
|
0.64
|
%
|