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 February 22, 2012, 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 February 22, 2012, issued by Invesco Mortgage Capital Inc.
|
($ in millions, except per share amounts)
|
||
Q4 ‘11
|
Q3 ‘11
|
|
(unaudited)
|
(unaudited)
|
|
Average Earning Assets (at fair value)
|
$13,979.4
|
$13,324.2
|
Average Borrowed Funds
|
12,126.9
|
11,466.6
|
Average Equity
|
1,921.7
|
1,847.3
|
Interest Income
|
137.5
|
138.3
|
Interest Expense
|
55.0
|
50.5
|
Net Interest Income
|
82.5
|
87.8
|
Other Income
|
3.6
|
3.1
|
Operating Expenses
|
9.6
|
8.7
|
Net Income
|
$76.5
|
$82.2
|
Average Portfolio Yield
|
3.94%
|
4.15%
|
Average Cost of Funds
|
1.81%
|
1.76%
|
Debt to Equity Ratio
|
6.4
|
6.3
|
Return on Average Equity
|
15.93%
|
17.79%
|
Book Value per Share (Diluted)
|
$16.41
|
$16.47
|
Earnings per share (Basic and Diluted)
|
$0.66
|
$0.79
|
Dividend
|
$0.65
|
$0.80
|
|
|
|
Three Months Ended
|
|
Year ended Months Ended
|
|||||||||
|
|
|
|
December 31,
|
|
December 31,
|
||||||||
$ in thousands, except per share data
|
2011
|
|
2010
|
|
2011
|
|
2010
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Revenues
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Interest income
|
|
137,545
|
|
|
50,945
|
|
|
453,352
|
|
|
134,229
|
||
|
Interest expense
|
|
55,004
|
|
|
10,652
|
|
|
155,241
|
|
|
29,556
|
||
|
Net interest income
|
|
82,541
|
|
|
40,293
|
|
|
298,111
|
|
|
104,673
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Gain (loss) on sale of investments
|
|
2,517
|
|
|
2,392
|
|
|
10,959
|
|
|
3,456
|
||
|
Equity in earnings (loss) and fair value change in unconsolidated
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
ventures
|
|
563
|
|
|
2,388
|
|
|
3,301
|
|
|
8,276
|
|
|
Loss on other-than-temporarily impaired securities
|
|
-
|
|
|
-
|
|
|
-
|
|
|
(510)
|
||
|
Unrealized loss on interest rate swaps
|
|
(109)
|
|
|
(46)
|
|
|
(764)
|
|
|
(90)
|
||
|
Realized and unrealized credit default swap income
|
|
659
|
|
|
13
|
|
|
5,308
|
|
|
13
|
||
|
Total other income
|
|
3,630
|
|
|
4,747
|
|
|
18,804
|
|
|
11,145
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Management fee – related party
|
|
8,647
|
|
|
2,986
|
|
|
26,259
|
|
|
8,080
|
||
|
General and administrative
|
|
1,003
|
|
|
1,174
|
|
|
3,859
|
|
|
4,013
|
||
|
Total expenses
|
|
9,650
|
|
|
4,160
|
|
|
30,118
|
|
|
12,093
|
||
|
Net income
|
|
76,521
|
|
|
40,880
|
|
|
286,797
|
|
|
103,725
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to non-controlling interest
|
|
934
|
|
|
1,466
|
|
|
4,882
|
|
|
5,326
|
||
|
Net income attributable to common shareholders
|
|
75,587
|
|
|
39,414
|
|
|
281,915
|
|
|
98,399
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
(basic/diluted)
|
|
0.66
|
|
|
1.00
|
|
|
3.27
|
|
|
3.78
|
|
|
Dividends declared per common share
|
|
0.65
|
|
|
0.97
|
|
|
3.42
|
|
|
3.49
|
||
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
Basic
|
|
115,392
|
|
|
39,354
|
|
|
86,365
|
|
|
26,039
|
|
|
|
Diluted
|
|
116,835
|
|
|
40,785
|
|
|
87,804
|
|
|
27,468
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except per share amounts
|
As of
|
|||||
|
|
December 31,
|
|
December 31,
|
||
ASSETS
|
2011
|
|
2010
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
14,214,149
|
|
|
5,578,333
|
|
Cash
|
|
197,224
|
|
|
63,552
|
|
Restricted cash
|
|
74,496
|
|
|
101,144
|
|
Investment related receivable
|
|
160,424
|
|
|
7,601
|
|
Investments in unconsolidated ventures, at fair value
|
|
68,793
|
|
|
54,725
|
|
Accrued interest receivable
|
|
54,167
|
|
|
22,503
|
|
Derivative assets, at fair value
|
|
1,339
|
|
|
33,255
|
|
Other assets
|
|
1,575
|
|
|
1,287
|
|
|
Total assets
|
|
14,772,167
|
|
|
5,862,400
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
12,253,038
|
|
|
4,344,659
|
|
Derivative liability, at fair value
|
|
396,780
|
|
|
37,850
|
|
Dividends and distributions payable
|
|
75,933
|
|
|
49,741
|
|
Investment related payable
|
|
107,032
|
|
|
372,285
|
|
Accrued interest payable
|
|
12,377
|
|
|
2,579
|
|
Accounts payable and accrued expenses
|
|
556
|
|
|
1,065
|
|
Due to affiliate
|
|
9,038
|
|
|
3,407
|
|
|
Total liabilities
|
|
12,854,754
|
|
|
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, 115,395,695 and 49,854,196 shares issued and
|
|
|
|
|
|
|
outstanding, at December 31, 2011 and 2010, respectively
|
|
1,154
|
|
|
499
|
Additional paid in capital
|
|
2,299,543
|
|
|
1,002,809
|
|
Accumulated other comprehensive income (loss)
|
|
(393,291)
|
|
|
24,015
|
|
Distributions in excess of earnings
|
|
(15,068)
|
|
|
(8,173)
|
|
|
Total shareholders’ equity
|
|
1,892,338
|
|
|
1,019,150
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
25,075
|
|
|
31,664
|
|
|
Total equity
|
|
1,917,413
|
|
|
1,050,814
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
14,772,167
|
|
|
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
|
2,289,495
|
|
123,610
|
|
2,413,105
|
|
36,454
|
|
2,449,559
|
|
4.18
|
%
|
|
2.85
|
%
|
|
|
30 year fixed-rate
|
6,055,045
|
|
410,257
|
|
6,465,302
|
|
116,309
|
|
6,581,611
|
|
4.95
|
%
|
|
3.66
|
%
|
|
|
ARM
|
113,413
|
|
2,398
|
|
115,811
|
|
2,065
|
|
117,876
|
|
3.40
|
%
|
|
3.07
|
%
|
|
|
Hybrid ARM
|
1,321,339
|
|
30,516
|
|
1,351,855
|
|
22,630
|
|
1,374,485
|
|
3.29
|
%
|
|
2.59
|
%
|
|
|
|
Total Agency
|
9,779,292
|
|
566,781
|
|
10,346,073
|
|
177,458
|
|
10,523,531
|
|
4.53
|
%
|
|
3.33
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
MBS-CMO
|
765,172
|
|
(592,342)
|
|
172,830
|
|
(4,368)
|
|
168,462
|
|
2.86
|
%
|
|
3.52
|
%
|
|
|
Non-Agency RMBS(3)
|
2,719,797
|
|
(252,135)
|
|
2,467,662
|
|
(108,434)
|
|
2,359,228
|
|
4.57
|
%
|
|
5.07
|
%
|
|
|
CMBS
|
1,250,607
|
|
(21,805)
|
|
1,228,802
|
|
(65,874)
|
|
1,162,928
|
|
5.38
|
%
|
|
5.60
|
%
|
|
Total
|
14,514,868
|
|
(299,501)
|
|
14,215,367
|
|
(1,218)
|
|
14,214,149
|
|
4.52
|
%
|
|
3.83
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
(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 RMBS held by the Company is 9.8% fixed rate, 5.2% floating rate and 85.0% variable rate based on fair value.
|
December 31, 2011
|
|
September 30, 2011
|
|||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
11.2
|
|
25.6
|
|
9.1
|
|
20.5
|
30 year Agency RMBS
|
12.1
|
|
20.6
|
|
9.8
|
|
16.2
|
Agency Hybrid ARM RMBS
|
19.4
|
|
NA
|
|
14.9
|
|
N/A
|
Non-Agency RMBS (1)
|
14.8
|
|
NA
|
|
8.1
|
|
N/A
|
Overall
|
13.3
|
|
NA
|
|
8.7
|
|
N/A
|
(1) For the three months ended December 31, 2011, the calculation of CPR for Non-Agency RMBS has been modified to reflect voluntary prepayments and recoveries upon default and is adjusted for the effect of additional subordination on Re-REMIC Senior investments. If the same calculation were to be applied for the three months ended September 30, 2011, the non-Agency RMBS CPR would have been 17.7 and the overall CPR would have been 12.4.
|
$ in thousands
|
|
|
December 31, 2011
|
|
|
|
December 31, 2010
|
|
|||||
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Average
|
|
|
|
|
|
Average
|
|
|
|
|
Amount
|
|
Interest
|
|
|
Amount
|
|
Interest
|
|
||
|
|
|
Outstanding
|
|
Rate
|
|
|
Outstanding
|
|
Rate
|
|
||
|
Agency RMBS
|
|
|
9,491,538
|
|
0.38
|
%
|
|
|
3,483,440
|
|
0.33
|
%
|
|
Non-Agency RBS
|
|
|
1,916,620
|
|
1.79
|
%
|
|
|
459,979
|
|
1.76
|
%
|
|
CMBS
|
|
|
844,880
|
|
1.55
|
%
|
|
|
401,240
|
|
1.30
|
%
|
|
Total
|
|
|
12,253,038
|
|
0.68
|
%
|
|
|
4,344,659
|
|
0.57
|
%
|
|
|
|
|
|
|
|
Fixed Interest Rate
|
|
|
Counterparty
|
Notional
|
Maturity Date
|
|
in Contract
|
|
|
|||
The Bank of New York Mellon
|
|
175,000
|
|
8/5/2012
|
|
|
2.07%
|
|
|
The Bank of New York Mellon
|
|
100,000
|
|
5/24/2013
|
|
|
1.83%
|
|
|
The Bank of New York Mellon
|
|
200,000
|
|
6/15/2013
|
|
|
1.73%
|
|
|
SunTrust Bank
|
|
100,000
|
|
7/15/2014
|
|
|
2.79%
|
|
|
Deutsche Bank AG
|
|
200,000
|
|
1/15/2015
|
|
|
1.08%
|
|
|
Deutsche Bank AG
|
|
250,000
|
|
2/15/2015
|
|
|
1.14%
|
|
|
Credit Suisse International
|
|
100,000
|
|
2/24/2015
|
|
|
3.26%
|
|
|
Credit Suisse International
|
|
100,000
|
|
3/24/2015
|
|
|
2.76%
|
|
|
Wells Fargo Bank, N.A.
|
|
100,000
|
|
7/15/2015
|
|
|
2.85%
|
|
|
Wells Fargo Bank, N.A.
|
|
50,000
|
|
7/15/2015
|
|
|
2.44%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
1/24/2016
|
|
|
2.12%
|
|
|
The Bank of New York Mellon
|
|
300,000
|
|
1/24/2016
|
|
|
2.13%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
4/5/2016
|
|
|
2.48%
|
|
|
Citibank, N.A.
|
|
300,000
|
|
4/15/2016
|
|
|
1.67%
|
|
|
The Bank of New York Mellon
|
|
500,000
|
|
4/15/2016
|
|
|
2.24%
|
|
|
Credit Suisse International
|
|
500,000
|
|
4/15/2016
|
|
|
2.27%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
5/16/2016
|
|
|
2.31%
|
|
|
Goldman Sachs Bank USA
|
|
500,000
|
|
5/24/2016
|
|
|
2.34%
|
|
|
Wells Fargo Bank, N.A.
|
|
250,000
|
|
6/15/2016
|
|
|
2.67%
|
|
|
Goldman Sachs Bank USA
|
|
250,000
|
|
6/15/2016
|
|
|
2.67%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
6/24/2016
|
|
|
2.51%
|
|
|
Citibank, N.A.
|
|
500,000
|
|
10/15/2016
|
|
|
1.93%
|
|
|
Deutsche Bank AG
|
|
150,000
|
|
2/5/2018
|
|
|
2.90%
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
100,000
|
|
4/5/2018
|
|
|
3.10%
|
|
|
JPMorgan Chase Bank, N.A.
|
|
200,000
|
|
5/15/2018
|
|
|
2.93%
|
|
|
Wells Fargo Bank, N.A.
|
|
200,000
|
|
3/15/2021
|
|
|
3.14%
|
|
|
Citibank, N.A.
|
|
200,000
|
|
5/25/2021
|
|
|
2.83%
|
|
|
Total
|
|
6,925,000
|
|
|
|
|
2.29%
|
|
|
|
|
|
Three Months ended
|
|
Year ended Months ended
|
||||||||
|
|
|
December 31,
|
|
December 31,
|
||||||||
|
$ in thousands
|
2011
|
|
2010
|
|
2011
|
|
2010
|
|||||
|
Average Balances*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate, at fair value (Including CMOs)
|
|
2,559,040
|
|
|
1,681,252
|
|
|
2,279,661
|
|
|
811,966
|
|
|
30 year fixed-rate, at fair value
|
|
6,316,786
|
|
|
1,863,523
|
|
|
4,603,117
|
|
|
874,214
|
|
|
ARM, at fair value
|
|
102,512
|
|
|
20,542
|
|
|
87,033
|
|
|
11,819
|
|
|
Hybrid ARM, at fair value
|
|
1,329,884
|
|
|
46,490
|
|
|
1,009,829
|
|
|
83,878
|
|
Non-Agency RMBS, at fair value
|
|
2,435,012
|
|
|
817,112
|
|
|
2,030,195
|
|
|
622,575
|
|
|
CMBS, at fair value
|
|
1,236,181
|
|
|
445,937
|
|
|
988,105
|
|
|
262,182
|
|
|
Average MBS portfolio
|
|
13,979,415
|
|
|
4,874,856
|
|
|
10,997,939
|
|
|
2,666,634
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Portfolio Yields (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate, (Including CMOs)
|
|
2.65%
|
|
|
2.58%
|
|
|
2.96%
|
|
|
2.87%
|
|
|
30 year fixed-rate
|
|
3.46%
|
|
|
2.97%
|
|
|
3.54%
|
|
|
3.37%
|
|
|
ARM
|
|
2.84%
|
|
|
2.51%
|
|
|
2.96%
|
|
|
2.48%
|
|
|
Hybrid ARM
|
|
2.46%
|
|
|
1.50%
|
|
|
2.55%
|
|
|
0.93%
|
|
Non-Agency RMBS
|
|
6.31%
|
|
|
10.25%
|
|
|
6.88%
|
|
|
10.94%
|
|
|
CMBS
|
|
6.05%
|
|
|
4.47%
|
|
|
5.54%
|
|
|
4.68%
|
|
|
Average MBS portfolio
|
|
3.94%
|
|
|
4.18%
|
|
|
4.12%
|
|
|
5.03%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Borrowings*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
9,179,788
|
|
|
3,079,239
|
|
|
7,146,066
|
|
|
1,570,211
|
|
|
Non-Agency RMBS
|
|
1,994,379
|
|
|
526,445
|
|
|
1,536,245
|
|
|
339,209
|
|
|
CMBS
|
|
952,777
|
|
|
315,682
|
|
|
791,212
|
|
|
194,505
|
|
Total borrowed funds
|
|
12,126,944
|
|
|
3,921,366
|
|
|
9,473,523
|
|
|
2,103,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Cost of Funds (2):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
0.32%
|
|
|
0.28%
|
|
|
0.27%
|
|
|
0.27%
|
|
|
Non-Agency RMBS
|
|
1.67%
|
|
|
1.58%
|
|
|
1.47%
|
|
|
1.59%
|
|
|
CMBS
|
|
1.53%
|
|
|
1.89%
|
|
|
1.35%
|
|
|
2.77%
|
|
|
Unhedged cost of funds
|
|
0.64%
|
|
|
0.58%
|
|
|
0.56%
|
|
|
0.71%
|
|
|
Hedged cost of funds
|
|
1.81%
|
|
|
1.09%
|
|
|
1.64%
|
|
|
1.40%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Equity (3):
|
|
1,921,684
|
|
|
924,151
|
|
|
1,625,794
|
|
|
590,177
|
|
|
Average debt/equity ratio (average during period)
|
|
6.31x
|
|
|
4.24x
|
|
|
5.83x
|
|
|
3.56x
|
|
|
Debt/equity ratio (as of period end)
|
|
6.39x
|
|
|
4.13x
|
|
|
6.39x
|
|
|
4.13x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Average amounts for each period are based on weighted month end balances, all percentages are annualized.
|
||||||||||||
|
(1) Average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by our average of the investment balance at fair value.
|
||||||||||||
|
(2) Average cost of funds is calculated by dividing interest expense, by our average borrowings.
|
||||||||||||
|
(3) Average equity is calculated based on a weighted balance basis.
|