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 May 7, 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 May 7, 2012, issued by Invesco Mortgage Capital Inc.
|
($ in millions, except per share amounts)
|
||
Q1 ‘12
|
Q4 ‘11
|
|
(unaudited)
|
||
Average Earning Assets (at fair value)
|
$15,256.9
|
$13,979.4
|
Average Borrowed Funds
|
12,977.3
|
12,126.9
|
Average Equity
|
2,082.5
|
1,921.7
|
Interest Income
|
142.0
|
137.5
|
Interest Expense
|
55.3
|
55.0
|
Net Interest Income
|
86.7
|
82.5
|
Other Income
|
7.2
|
3.6
|
Operating Expenses
|
9.8
|
9.6
|
Net Income
|
84.1
|
$76.5
|
Average Portfolio Yield
|
3.72%
|
3.94%
|
Average Cost of Funds
|
1.70%
|
1.81%
|
Debt to Equity Ratio
|
6.0
|
6.4
|
Return on Average Equity
|
16.16%
|
15.93%
|
Book Value per Share (Diluted)
|
$18.42
|
$16.41
|
Earnings per share (Basic and Diluted)
|
$0.72
|
$0.66
|
Dividend
|
$0.65
|
$0.65
|
|
|
|
Three Months Ended
|
|||||
|
|
|
|
March 31,
|
||||
$ in thousands, except per share data
|
2012
|
|
2011
|
|||||
|
|
|
|
|
|
|
|
|
|
Revenues
|
|
|
|
|
|
||
|
Interest income
|
|
141,960
|
|
|
68,536
|
||
|
Interest expense
|
|
55,285
|
|
|
15,578
|
||
|
Net interest income
|
|
86,675
|
|
|
52,958
|
||
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
||
|
Gain on sale of investments
|
|
6,045
|
|
|
1,200
|
||
|
Equity in earnings and fair value change in unconsolidated
|
|
|
|
|
|
||
|
|
ventures
|
|
1,009
|
|
|
1,858
|
|
|
Unrealized loss on interest rate swaps
|
|
(509)
|
|
|
(5)
|
||
|
Realized and unrealized credit default swap income
|
|
657
|
|
|
2,532
|
||
|
Total other income
|
|
7,202
|
|
|
5,585
|
||
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
||
|
Management fee – related party
|
|
8,639
|
|
|
3,975
|
||
|
General and administrative
|
|
1,130
|
|
|
868
|
||
|
Total expenses
|
|
9,769
|
|
|
4,843
|
||
|
Net income
|
|
84,108
|
|
|
53,700
|
||
|
|
|
|
|
|
|
|
|
|
Net income attributable to non-controlling interest
|
|
1,026
|
|
|
1,452
|
||
|
Net income attributable to common shareholders
|
|
83,082
|
|
|
52,248
|
||
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
||
|
|
(basic/diluted)
|
|
0.72
|
|
|
1.01
|
|
|
Dividends declared per common share
|
|
0.65
|
|
|
1.00
|
||
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
||
|
|
Basic
|
|
115,398
|
|
|
51,857
|
|
|
|
Diluted
|
|
116,846
|
|
|
53,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except per share amounts
|
As of
|
|||||
|
|
March 31,
|
|
December 31,
|
||
ASSETS
|
2012
|
|
2011
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
15,577,764
|
|
|
14,214,149
|
|
Cash
|
|
155,803
|
|
|
197,224
|
|
Restricted cash
|
|
16,068
|
|
|
74,496
|
|
Investment related receivable
|
|
35,081
|
|
|
160,424
|
|
Investments in unconsolidated ventures, at fair value
|
|
52,187
|
|
|
68,793
|
|
Accrued interest receivable
|
|
56,176
|
|
|
54,167
|
|
Derivative assets, at fair value
|
|
1,171
|
|
|
1,339
|
|
Other assets
|
|
1,425
|
|
|
1,575
|
|
|
Total assets
|
|
15,895,675
|
|
|
14,772,167
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
13,006,380
|
|
|
12,253,038
|
|
Derivative liability, at fair value
|
|
380,200
|
|
|
396,780
|
|
Dividends and distributions payable
|
|
75,939
|
|
|
75,933
|
|
Investment related payable
|
|
259,468
|
|
|
107,032
|
|
Accrued interest payable
|
|
12,084
|
|
|
12,377
|
|
Accounts payable and accrued expenses
|
|
796
|
|
|
556
|
|
Due to affiliate
|
|
8,944
|
|
|
9,038
|
|
|
Total liabilities
|
|
13,743,811
|
|
|
12,854,754
|
|
|
|
|
|
|
|
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, 115,403,555 and 115,395,695 shares issued and
|
|
|
|
|
|
|
outstanding, at March 31, 2012 and December 31, 2011, respectively
|
|
1,154
|
|
|
1,154
|
Additional paid in capital
|
|
2,299,661
|
|
|
2,299,543
|
|
Accumulated other comprehensive income (loss)
|
|
(169,887)
|
|
|
(393,291)
|
|
Distributions in excess of earnings
|
|
(6,998)
|
|
|
(15,068)
|
|
|
Total shareholders’ equity
|
|
2,123,930
|
|
|
1,892,338
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
27,934
|
|
|
25,075
|
|
|
Total equity
|
|
2,151,864
|
|
|
1,917,413
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
15,895,675
|
|
|
14,772,167
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|||||
|
|
|
|
Unamortized
|
|
|
|
Unrealized
|
|
|
|
Weighted
|
|
|
Weighted
|
|
||
|
|
Principal
|
|
Premium
|
|
Amortized
|
|
Gain/
|
|
Fair
|
|
Average
|
|
|
Average
|
|
||
$ in thousands
|
Balance
|
|
(Discount)
|
|
Cost
|
|
(Loss), net
|
|
Value
|
|
Coupon (1)
|
|
|
Yield (2)
|
|
|||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
15 year fixed-rate
|
2,348,425
|
|
124,930
|
|
2,473,355
|
|
50,995
|
|
2,524,350
|
|
4.12
|
%
|
|
2.80
|
%
|
||
|
30 year fixed-rate
|
6,822,262
|
|
462,516
|
|
7,284,778
|
|
133,154
|
|
7,417,932
|
|
4.83
|
%
|
|
3.63
|
%
|
||
|
ARM
|
170,196
|
|
4,591
|
|
174,787
|
|
3,009
|
|
177,796
|
|
3.22
|
%
|
|
2.77
|
%
|
||
|
Hybrid ARM
|
1,402,233
|
|
34,345
|
|
1,436,578
|
|
29,387
|
|
1,465,965
|
|
3.26
|
%
|
|
2.68
|
%
|
||
|
|
Total Agency pass-through
|
10,743,116
|
|
626,382
|
|
11,369,498
|
|
216,545
|
|
11,586,043
|
|
4.44
|
%
|
|
3.31
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency-CMO (3)
|
1,162,414
|
|
(709,323)
|
|
453,091
|
|
3,724
|
|
456,815
|
|
2.83
|
%
|
|
3.05
|
%
|
||
|
Non-Agency RMBS(4)
|
2,573,956
|
|
(236,118)
|
|
2,337,838
|
|
(39,912)
|
|
2,297,926
|
|
4.33
|
%
|
|
4.97
|
%
|
||
|
CMBS
|
1,228,371
|
|
(18,889)
|
|
1,209,482
|
|
27,498
|
|
1,236,980
|
|
5.38
|
%
|
|
5.57
|
%
|
||
Total
|
15,707,857
|
|
(337,948)
|
|
15,369,909
|
|
207,855
|
|
15,577,764
|
|
4.38
|
%
|
|
3.73
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(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 Agency CMO held by the Company is 13.6% interest-only securities and 86.4% CMO.
|
|
|||||||||||||||||
(4) The non-Agency RMBS held by the Company is 10.1% fixed rate, 5.4% floating rate and 84.5% variable rate based on fair value.
|
March 31, 2012
|
|
December 31, 2011
|
|||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
10.3
|
|
21.7
|
|
11.2
|
|
25.6
|
30 year Agency RMBS
|
10.2
|
|
18.6
|
|
12.1
|
|
20.6
|
Agency Hybrid ARM RMBS
|
16.2
|
|
NA
|
|
19.4
|
|
NA
|
Non-Agency RMBS
|
16.0
|
|
NA
|
|
14.8
|
|
NA
|
Overall
|
12.1
|
|
NA
|
|
13.3
|
|
NA
|
$ in thousands
|
|
|
March 31, 2012
|
|
|
|
December 31, 2011
|
|
||||
|
|
|
|
|
Weighted
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
Average
|
|
|
|
|
|
Average
|
|
|
|
Amount
|
|
Interest
|
|
|
Amount
|
|
Interest
|
|
||
|
|
Outstanding
|
|
Rate
|
|
|
Outstanding
|
|
Rate
|
|
||
Agency RMBS
|
|
|
10,426,516
|
|
0.34
|
%
|
|
|
9,491,538
|
|
0.38
|
%
|
Non-Agency RMBS
|
|
|
1,698,214
|
|
1.76
|
%
|
|
|
1,916,620
|
|
1.79
|
%
|
CMBS
|
|
|
881,650
|
|
1.55
|
%
|
|
|
844,880
|
|
1.55
|
%
|
Total
|
|
|
13,006,380
|
|
0.61
|
%
|
|
|
12,253,038
|
|
0.68
|
%
|
|
|
|
|
|
|
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%
|
|
|
|
|
As of and for the three months ended
|
|||||
|
|
|
March 31,
|
||||
|
$ in thousands
|
2012
|
|
2011
|
|||
|
Average Balances*:
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
15 year fixed-rate, at fair value (Including CMOs)
|
|
2,911,107
|
|
|
1,938,559
|
|
|
30 year fixed-rate, at fair value
|
|
7,132,530
|
|
|
2,317,847
|
|
|
ARM, at fair value
|
|
180,221
|
|
|
40,696
|
|
|
Hybrid ARM, at fair value
|
|
1,498,789
|
|
|
366,152
|
|
Non-Agency RMBS, at fair value
|
|
2,314,748
|
|
|
1,204,275
|
|
|
CMBS, at fair value
|
|
1,219,502
|
|
|
545,960
|
|
|
Average MBS portfolio
|
|
15,256,897
|
|
|
6,413,489
|
|
|
|
|
|
|
|
|
|
|
Average Portfolio Yields (1):
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
15 year fixed-rate (Including CMOs)
|
|
2.55%
|
|
|
3.14%
|
|
|
30 year fixed-rate
|
|
3.46%
|
|
|
3.40%
|
|
|
ARM
|
|
2.42%
|
|
|
2.59%
|
|
|
Hybrid ARM
|
|
2.54%
|
|
|
2.12%
|
|
Non-Agency RMBS
|
|
5.91%
|
|
|
8.13%
|
|
|
CMBS
|
|
5.57%
|
|
|
5.05%
|
|
|
Average MBS portfolio
|
|
3.72%
|
|
|
4.27%
|
|
|
|
|
|
|
|
|
|
|
Average Borrowings*:
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
10,319,296
|
|
|
4,221,169
|
|
|
Non-Agency RMBS
|
|
1,787,893
|
|
|
746,399
|
|
|
CMBS
|
|
870,104
|
|
|
439,341
|
|
Total borrowed funds
|
|
12,977,293
|
|
|
5,406,909
|
|
|
|
|
|
|
|
|
|
|
Average Cost of Funds (2):
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
0.32%
|
|
|
0.29%
|
|
|
Non-Agency RMBS
|
|
1.81%
|
|
|
1.47%
|
|
|
CMBS
|
|
1.58%
|
|
|
1.34%
|
|
|
Unhedged cost of funds
|
|
0.61%
|
|
|
0.54%
|
|
|
Hedged cost of funds
|
|
1.70%
|
|
|
1.15%
|
|
|
|
|
|
|
|
|
|
Average Equity (3):
|
|
2,082,508
|
|
|
1,156,199
|
|
|
Average debt/equity ratio (average during period)
|
|
6.23x
|
|
|
4.68x
|
|
|
Debt/equity ratio (as of period end)
|
|
6.04x
|
|
|
3.68x
|
|
|
|
|
|
|
|
|
|
|
* 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.
|