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ý
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Maryland
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26-2749336
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(State or other jurisdiction of
incorporation or organization)
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(I.R.S. Employer
Identification No.)
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1555 Peachtree Street, N.E., Suite 1800
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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Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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New York Stock Exchange
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7.75% Series A Cumulative Redeemable Preferred Stock
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New York Stock Exchange
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7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
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New York Stock Exchange
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Large accelerated filer
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ý
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Accelerated filer
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¨
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Non-accelerated filer
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¨
(Do not check if a smaller reporting company)
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Smaller reporting company
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¨
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Item 1.
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Item 1A.
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Item 1B.
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Item 2.
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Item 3.
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Item 4.
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Item 5.
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Item 6.
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Item 7.
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Item 7A.
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Item 8.
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Item 9.
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Item 9A.
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Item 9B.
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Item 10.
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Item 11.
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Item 12.
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Item 13.
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Item 14.
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Item 15.
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•
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Part I, Item 1A. Risk Factors
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•
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Part II, Item 6. Selected Financial Data
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•
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Part II, Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations (Certain Sections As Restated)
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•
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Part II, Item 8. Financial Statements and Supplementary Data
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•
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Part II, Item 9A. Controls and Procedures
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•
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Part IV, Item 15. Exhibits, Financial Statement Schedules
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1
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•
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our business and investment strategy;
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our investment portfolio;
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our projected operating results;
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•
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general volatility of financial markets and effects of governmental responses, including actions and initiatives of the U.S. governmental agencies and changes to U.S. government policies, including the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”), mortgage loan modification programs, actions and initiatives of foreign governmental agencies and central banks, and the completion of the Federal Reserve long-term asset purchases (quantitative easing or "QE"), and our ability to respond to and comply with such actions, initiatives and changes;
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•
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the availability of financing sources, including our ability to obtain additional financing arrangements and the terms of such arrangements;
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•
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financing and advance rates for our target assets;
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•
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changes to our expected leverage;
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•
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our expected investments;
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•
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our expected book value per share of common stock;
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•
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interest rate mismatches between our target assets and our borrowings used to fund such investments;
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•
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the adequacy of our cash flow from operations and borrowings to meet our short-term liquidity needs;
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•
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our ability to maintain sufficient liquidity to meet any margin calls;
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•
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changes in the credit rating of the U.S. government;
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•
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changes in interest rates and interest rate spreads and the market value of our target assets;
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changes in prepayment rates on our target assets;
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•
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the impact of any deficiencies in foreclosure practices of third parties and related uncertainty in the timing of collateral disposition;
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•
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our reliance on third parties in connection with services related to our target assets;
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•
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effects of hedging instruments on our target assets;
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•
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rates of default or decreased recovery rates on our target assets;
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•
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modifications to whole loans or loans underlying securities;
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•
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the degree to which our hedging strategies may or may not protect us from interest rate volatility;
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•
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the degree to which derivative contracts expose us to contingent liabilities;
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•
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counterparty defaults;
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•
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compliance with financial covenants in our financing arrangements;
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•
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changes in governmental regulations, tax law and rates, and similar matters and our ability to respond to such changes;
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2
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our ability to maintain our qualification as a real estate investment trust for U.S. federal income tax purposes;
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•
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our ability to maintain our exception from the definition of “investment company” under the Investment Company Act of 1940, as amended (the “1940 Act”);
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•
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availability of investment opportunities in mortgage-related, real estate-related and other securities;
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•
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availability of U.S. Government Agency guarantees with regard to payments of principal and interest on securities;
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•
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the market price and trading volume of our capital stock;
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•
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availability of qualified personnel of our Manager;
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•
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the relationship with our Manager;
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•
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estimates relating to taxable income and our ability to continue to make distributions to our stockholders in the future;
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•
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estimates relating to fair value of our target assets and loan loss reserves;
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our understanding of our competition;
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•
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changes to generally accepted accounting principles in the United States of America (“U.S. GAAP”);
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•
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the impact of the Restatement and the adequacy of our disclosure controls and procedures and internal controls over financial reporting; and
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•
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market trends in our industry, interest rates, real estate values, the debt securities markets or the general economy.
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3
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•
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Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae") or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively "Agency RMBS");
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•
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RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
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Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
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Commercial mortgage-backed securities (“CMBS”);
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Residential and commercial mortgage loans; and
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•
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Other real estate-related financing arrangements.
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4
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5
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6
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7
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8
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•
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no investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes;
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•
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no investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
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our assets will be invested within our target assets; and
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•
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until appropriate investments can be identified, our Manager may pay off short-term debt or invest the proceeds of any offering in interest-bearing, short-term investments, including funds that are consistent with maintaining our REIT qualification.
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9
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10
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11
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12
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If long-term rates increased significantly, the market value of investments in our target assets would decline, and the duration and weighted average life of the investments may increase. We could realize a loss if the securities were sold. Further, declines in market value may reduce book value and ultimately reduce earnings or result in losses to us.
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•
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An increase in short-term interest rates would increase the amount of interest owed on the repurchase agreements we enter into to finance the purchase of our investments.
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If short-term interest rates rise disproportionately relative to longer-term interest rates (a flattening of the yield curve), our borrowing costs may increase more rapidly than the interest income earned on our assets. Because we expect our investments, on average, generally will bear interest based on longer-term rates than our borrowings, a flattening of the yield curve would tend to decrease our net income. Additionally, to the extent cash flows from investments that return scheduled and unscheduled principal are reinvested, the spread between the yields on the new investments and available borrowing rates may decline, which would likely decrease our net income.
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•
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If short-term interest rates exceed longer-term interest rates (a yield curve inversion), our borrowing costs may exceed our interest income and we could incur operating losses.
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If interest rates fall, we may recognize losses on our swap positions that are not offset by gains on our assets, which may adversely affect our liquidity and financial position.
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13
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14
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15
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We may purchase RMBS that have a higher interest rate than the market interest rate at the time. In exchange for this higher interest rate, we may pay a premium over the par value to acquire the security. In accordance with U.S. GAAP, we may amortize this premium over the estimated term of the RMBS. If the RMBS is prepaid in whole or in part prior to its maturity date, however, we may be required to expense the premium that was prepaid at the time of the prepayment.
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•
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A substantial portion of our adjustable-rate RMBS may bear interest rates that are lower than their fully indexed rates, which are equivalent to the applicable index rate plus a margin. If an adjustable-rate RMBS is prepaid prior to or soon after the time of adjustment to a fully-indexed rate, we will have held that RMBS while it was least profitable and lost the opportunity to receive interest at the fully indexed rate over the remainder of its expected life.
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•
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If we are unable to acquire new RMBS similar to the prepaid RMBS, our financial condition, results of operation and cash flow would suffer. Prepayment rates generally increase when interest rates fall and decrease when interest rates rise, but changes in prepayment rates are difficult to predict. Prepayment rates also may be affected by conditions in the housing and financial markets, general economic conditions and the relative interest rates on FRMs and ARMs.
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16
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17
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18
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interest rate and/or currency hedging can be expensive, particularly during periods of rising and volatile interest rates;
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available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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due to a credit loss, the duration of the hedge may not match the duration of the related liability;
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the amount of income that a REIT may earn from hedging transactions (other than hedging transactions that satisfy certain requirements of the Internal Revenue Code or that are done through a taxable REIT subsidiary (“TRS”)) to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;
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•
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the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
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19
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20
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21
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22
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23
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24
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25
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•
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changes in our earnings estimates or publication of research reports about us or the real estate or specialty finance industry;
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•
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decreases in the market valuations of our target assets;
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•
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increased difficulty in maintaining or obtaining financing on attractive terms, or at all;
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increases in market interest rates that lead our stockholders to demand a higher yield;
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•
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changes in market valuations of similar companies;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of key management personnel;
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actions by institutional stockholders;
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speculation in the press or investment community;
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•
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general market and economic conditions; and
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•
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changes to U.S. federal income tax laws or regulations governing REITS or the administrative interpretation of those laws.
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26
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27
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28
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29
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30
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31
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32
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33
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High
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Low
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||||
2014
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|||||||
Fourth quarter
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$
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16.66
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$
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15.19
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Third quarter
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$
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17.64
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$
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15.72
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Second quarter
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$
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18.00
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$
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16.36
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First quarter
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$
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17.46
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$
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14.64
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2013
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Fourth quarter
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$
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16.60
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$
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14.41
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Third quarter
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$
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17.08
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$
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14.40
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Second quarter
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$
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21.60
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$
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16.38
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First quarter
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$
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22.26
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$
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20.06
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Date Declared
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Dividends Declared Per Share
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||||
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Amount
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Date Paid
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2014
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December 16, 2014
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$
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0.45
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January 27, 2015
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September 15, 2014
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$
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0.50
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October 28, 2014
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June 16, 2014
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$
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0.50
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July 28, 2014
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March 18, 2014
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$
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0.50
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April 28, 2014
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2013
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|
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December 17, 2013
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$
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0.50
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January 28, 2014
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September 16, 2013
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$
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0.50
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October 28, 2013
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June 17, 2013
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$
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0.65
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July 26, 2013
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March 19, 2013
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$
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0.65
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April 26, 2013
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34
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Tax Characterization of Dividends
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||||||||
Fiscal Tax Year
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Dividends Declared
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Ordinary Dividends
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Capital Gain Distribution
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Carry Forward
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Common Stock Dividends
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Fiscal tax year 2014
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1.950000
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1.776691
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—
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0.173309
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Fiscal tax year 2013
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2.300000
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2.300000
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—
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—
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Index
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12/31/2009
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12/31/2010
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12/31/2011
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12/31/2012
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12/31/2013
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12/31/2014
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Invesco Mortgage Capital Inc.
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100.00
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112.38
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86.68
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139.10
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118.34
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140.26
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S&P 500
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100.00
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115.06
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117.49
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136.30
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180.44
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205.14
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FTSE NAREIT Mortgage REITs
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100.00
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122.60
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119.63
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143.43
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140.62
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165.76
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35
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As of December 31,
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|||||||||||||
$ in thousands
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2014
(As Restated)
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2013
(As Restated) |
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2012
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2011
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2010
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|||||
Mortgage-backed and credit risk transfer securities, at fair value
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17,248,895
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17,348,657
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18,470,563
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14,214,149
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5,578,333
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Residential loans, held-for-investment
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3,365,003
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(1)
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1,810,262
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(1)
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—
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—
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—
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Commercial loans, held-for-investment
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145,756
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64,599
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—
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|
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—
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—
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Total assets
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21,231,017
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(1)
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20,350,979
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(1)
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18,914,760
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14,772,167
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5,862,399
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Repurchase agreements
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13,622,677
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15,451,675
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15,720,460
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12,253,038
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4,344,659
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Secured loans
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1,250,000
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|
|
—
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|
|
—
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|
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—
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—
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Asset-backed securities issued by securitization trusts
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2,929,820
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(1)
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1,643,741
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(1)
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—
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|
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—
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—
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Exchangeable senior notes
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400,000
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400,000
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—
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—
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—
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Total stockholders’ equity
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2,610,315
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|
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2,376,115
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2,558,098
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1,892,338
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|
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1,019,150
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Non-controlling interest
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28,535
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27,120
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31,422
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|
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25,075
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|
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31,664
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Total equity
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2,638,850
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2,403,235
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2,589,520
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|
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1,917,413
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1,050,814
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(1)
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Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to us.
As of
December 31, 2014
and
December 31, 2013
, total assets of the consolidated VIEs were
$3,380,597
and
$1,819,295
, respectively, and total liabilities of the consolidated VIEs were
$2,938,512
and
$1,648,400
, respectively
. Refer to Note 3 - "Variable Interest Entities"
of our consolidated financial statements fo
r further discussion.
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36
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For the Years ended December 31,
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|||||||||||||
$ in thousands, except share amounts
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2014
(As Restated) |
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2013
(As Restated) |
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2012
(1)
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2011
(1)
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2010
(1)
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|||||
Interest income
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676,643
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|
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682,360
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|
|
566,830
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|
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453,352
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|
|
134,229
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Interest expense
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281,895
|
|
|
332,252
|
|
|
237,405
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|
|
155,241
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|
|
29,556
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|
Net interest income
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394,748
|
|
|
350,108
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|
|
329,425
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|
|
298,111
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|
|
104,673
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(Reduction in) provision for loan losses
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(142
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)
|
|
884
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|
|
—
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|
|
—
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|
|
—
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|
Net interest income after provision for loan losses
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394,890
|
|
|
349,224
|
|
|
329,425
|
|
|
298,111
|
|
|
104,673
|
|
Other income (loss)
|
(572,762
|
)
|
|
(136,258
|
)
|
|
53,041
|
|
|
11,044
|
|
|
12,127
|
|
Expenses
|
52,866
|
|
|
53,144
|
|
|
39,684
|
|
|
30,118
|
|
|
12,093
|
|
Net income (loss)
|
(230,738
|
)
|
|
159,822
|
|
|
342,782
|
|
|
279,037
|
|
|
104,707
|
|
Net income (loss) attributable to non-controlling interest
|
(2,632
|
)
|
|
1,667
|
|
|
4,108
|
|
|
4,788
|
|
|
5,338
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
(228,106
|
)
|
|
158,155
|
|
|
338,674
|
|
|
274,249
|
|
|
99,369
|
|
Dividends to preferred stockholders
|
17,378
|
|
|
10,851
|
|
|
5,395
|
|
|
—
|
|
|
—
|
|
Net income (loss) attributable to common stockholders
|
(245,484
|
)
|
|
147,304
|
|
|
333,279
|
|
|
274,249
|
|
|
99,369
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
|
|
|||||
Basic
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
|
3.18
|
|
|
3.82
|
|
Diluted
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
|
3.18
|
|
|
3.81
|
|
Dividends declared per common share
|
1.95
|
|
|
2.30
|
|
|
2.60
|
|
|
3.42
|
|
|
3.49
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|||||
Basic
|
123,104,934
|
|
|
132,714,012
|
|
|
115,558,668
|
|
|
86,364,506
|
|
|
26,038,628
|
|
Diluted
|
124,529,934
|
|
|
134,173,691
|
|
|
117,012,500
|
|
|
87,804,292
|
|
|
27,468,177
|
|
(1)
|
The Company identified, individually and in the aggregate, immaterial out of period errors for the years ended December 31, 2012, 2011 and 2010 related to its accounting for Agency MBS IOs. The impact of the error for the year ended December 31, 2012 was a $1.2 million decrease to net income (2011: $7.8 million decrease; 2010: $1.0 million increase). For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements" of our consolidated financial statements.
|
|
37
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|
|
2014
|
||||||||||||||||
|
As Reported
|
|
Adjustments
|
|
As Restated
|
||||||||||||
In thousands
|
Twelve Months Ended December 31,
|
|
Three Months Ended March 31,
|
|
Three Months Ended
June 30,
|
|
Three
Months
Ended September 30,
|
|
Three Months Ended December 31,
|
|
Twelve Months Ended December 31,
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
596,357
|
|
|
(3,334
|
)
|
|
(3,725
|
)
|
|
(4,624
|
)
|
|
(5,612
|
)
|
|
579,062
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(79,430
|
)
|
|
(6,054
|
)
|
|
569
|
|
|
(412
|
)
|
|
(1,841
|
)
|
|
(87,168
|
)
|
Realized and unrealized credit derivative income (loss), net
|
1,093
|
|
|
17,158
|
|
|
31,763
|
|
|
(28,860
|
)
|
|
(24,020
|
)
|
|
(2,866
|
)
|
Net income (loss)
|
(201,746
|
)
|
|
7,770
|
|
|
28,607
|
|
|
(33,896
|
)
|
|
(31,473
|
)
|
|
(230,738
|
)
|
Net income (loss) attributable to non-controlling interest
|
(2,301
|
)
|
|
89
|
|
|
328
|
|
|
(388
|
)
|
|
(360
|
)
|
|
(2,632
|
)
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(199,445
|
)
|
|
7,681
|
|
|
28,279
|
|
|
(33,508
|
)
|
|
(31,113
|
)
|
|
(228,106
|
)
|
Net income (loss) attributable to common stockholders
|
(216,823
|
)
|
|
7,681
|
|
|
28,279
|
|
|
(33,508
|
)
|
|
(31,113
|
)
|
|
(245,484
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(1.76
|
)
|
|
0.06
|
|
|
0.23
|
|
|
(0.27
|
)
|
|
(0.25
|
)
|
|
(1.99
|
)
|
Diluted
|
(1.76
|
)
|
|
0.06
|
|
|
0.23
|
|
|
(0.27
|
)
|
|
(0.25
|
)
|
|
(1.99
|
)
|
|
2013
|
||||||||||||||||
|
As Reported
|
|
Adjustments
|
|
As Restated
|
||||||||||||
In thousands
|
Twelve Months Ended December 31,
|
|
Three Months Ended March 31,
|
|
Three Months Ended
June 30, |
|
Three
Months Ended September 30, |
|
Three Months Ended December 31,
|
|
Twelve Months Ended December 31,
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
646,787
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
646,787
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(199,449
|
)
|
|
(137
|
)
|
|
11,194
|
|
|
(4,282
|
)
|
|
9,941
|
|
|
(182,733
|
)
|
Realized and unrealized credit derivative income (loss), net
|
1,127
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,127
|
|
Net income (loss)
|
143,106
|
|
|
(137
|
)
|
|
11,194
|
|
|
(4,282
|
)
|
|
9,941
|
|
|
159,822
|
|
Net income (loss) attributable to non-controlling interest
|
1,486
|
|
|
(1
|
)
|
|
117
|
|
|
(45
|
)
|
|
110
|
|
|
1,667
|
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
141,620
|
|
|
(136
|
)
|
|
11,077
|
|
|
(4,237
|
)
|
|
9,831
|
|
|
158,155
|
|
Net income (loss) attributable to common stockholders
|
130,769
|
|
|
(136
|
)
|
|
11,077
|
|
|
(4,237
|
)
|
|
9,831
|
|
|
147,304
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
0.99
|
|
|
—
|
|
|
0.08
|
|
|
(0.04
|
)
|
|
0.07
|
|
|
1.11
|
|
Diluted
|
0.99
|
|
|
—
|
|
|
0.07
|
|
|
(0.04
|
)
|
|
0.07
|
|
|
1.11
|
|
|
38
|
|
•
|
Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively "Agency RMBS");
|
•
|
RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS");
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
|
•
|
Commercial mortgage-backed securities (“CMBS”);
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing arrangements.
|
•
|
a dividend of
$0.45
per share of common stock to be paid on
January 27, 2015
to stockholders of record as of the close of business on
December 29, 2014
;
|
•
|
a dividend of
$0.4844
per share of Series A Preferred Stock to be paid on
January 26, 2015
to stockholders of record as of the close of business on
January 1, 2015
; and
|
•
|
a dividend of
$0.4844
per share of Series B Preferred Stock to be paid on
March 27, 2015
to stockholders of record as of the close of business on
March 5, 2015
.
|
|
39
|
|
|
40
|
|
|
41
|
|
$ in thousands
|
As of December 31,
|
||||
|
2014
|
|
2013
|
||
Agency RMBS:
|
|
|
|
||
30 year fixed-rate, at fair value
|
4,790,293
|
|
|
6,702,153
|
|
15 year fixed-rate, at fair value
|
1,327,101
|
|
|
1,744,281
|
|
Hybrid ARM, at fair value
|
2,976,918
|
|
|
1,770,558
|
|
ARM, at fair value
|
546,782
|
|
|
253,282
|
|
Agency CMO, at fair value
|
450,895
|
|
|
474,514
|
|
Non-Agency RMBS, at fair value
|
3,061,647
|
|
|
3,607,328
|
|
GSE CRT, at fair value
|
625,424
|
|
|
167,981
|
|
CMBS, at fair value
|
3,469,835
|
|
|
2,628,560
|
|
Residential loans, at amortized cost
|
3,365,003
|
|
|
1,810,262
|
|
Commercial loans, at amortized cost
|
145,756
|
|
|
64,599
|
|
Total Investment portfolio
|
20,759,654
|
|
|
19,223,518
|
|
|
42
|
|
|
2003
|
|
2004
|
|
2005
|
|
2006
|
|
2007
|
|
2008
|
|
2009
|
|
2010
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
Total
|
|||||||||||||
Re-REMIC
(1)
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.3
|
%
|
|
—
|
%
|
|
0.6
|
%
|
|
3.7
|
%
|
|
18.0
|
%
|
|
8.0
|
%
|
|
0.5
|
%
|
|
1.6
|
%
|
|
32.7
|
%
|
Prime
|
0.4
|
%
|
|
1.3
|
%
|
|
4.9
|
%
|
|
3.7
|
%
|
|
9.7
|
%
|
|
2.1
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.2
|
%
|
|
—
|
%
|
|
6.9
|
%
|
|
2.5
|
%
|
|
31.7
|
%
|
Alt-A
|
—
|
%
|
|
0.5
|
%
|
|
8.6
|
%
|
|
6.0
|
%
|
|
7.6
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
22.7
|
%
|
Subprime/reperforming
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
0.1
|
%
|
|
0.5
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
1.6
|
%
|
|
10.7
|
%
|
|
12.9
|
%
|
Total Non-Agency
|
0.4
|
%
|
|
1.8
|
%
|
|
13.5
|
%
|
|
9.8
|
%
|
|
18.1
|
%
|
|
2.1
|
%
|
|
0.6
|
%
|
|
3.7
|
%
|
|
18.2
|
%
|
|
8.0
|
%
|
|
9.0
|
%
|
|
14.8
|
%
|
|
100.0
|
%
|
GSE CRT
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
41.5
|
%
|
|
58.5
|
%
|
|
100.0
|
%
|
CMBS
|
—
|
%
|
|
—
|
%
|
|
8.8
|
%
|
|
9.8
|
%
|
|
0.6
|
%
|
|
—
|
%
|
|
—
|
%
|
|
7.5
|
%
|
|
21.6
|
%
|
|
11.8
|
%
|
|
13.3
|
%
|
|
26.6
|
%
|
|
100.0
|
%
|
(1)
|
For Re-REMICs, the table reflects the year in which the resecuritizations were issued. The vintage distribution of the securities that collateralize our Re-REMIC investments is
11.0%
for 2005,
34.2%
for 2006 and
54.3%
for 2007,
0.2%
for 2009 and
0.3%
for 2010.
|
Non-Agency RMBS
State
|
|
Percentage
|
|
GSE CRT
State
|
|
Percentage
|
|
CMBS
State
|
|
Percentage
|
|||
California
|
|
42.7
|
%
|
|
California
|
|
23.1
|
%
|
|
California
|
|
15.9
|
%
|
Florida
|
|
7.1
|
%
|
|
Texas
|
|
5.4
|
%
|
|
New York
|
|
13.1
|
%
|
New York
|
|
6.7
|
%
|
|
Virginia
|
|
4.5
|
%
|
|
Texas
|
|
9.2
|
%
|
Virginia
|
|
3.8
|
%
|
|
Illinois
|
|
4.1
|
%
|
|
Florida
|
|
5.8
|
%
|
Maryland
|
|
3.6
|
%
|
|
New York
|
|
3.9
|
%
|
|
Illinois
|
|
4.8
|
%
|
New Jersey
|
|
3.6
|
%
|
|
Massachusetts
|
|
3.8
|
%
|
|
Pennsylvania
|
|
4.1
|
%
|
Washington
|
|
2.8
|
%
|
|
Colorado
|
|
3.4
|
%
|
|
New Jersey
|
|
3.3
|
%
|
Illinois
|
|
2.7
|
%
|
|
Florida
|
|
3.3
|
%
|
|
Ohio
|
|
3.0
|
%
|
Arizona
|
|
2.1
|
%
|
|
Washington
|
|
3.3
|
%
|
|
Virginia
|
|
2.7
|
%
|
Massachusetts
|
|
2.1
|
%
|
|
New Jersey
|
|
3.2
|
%
|
|
Maryland
|
|
2.5
|
%
|
Other
|
|
22.8
|
%
|
|
Other
|
|
42.0
|
%
|
|
Other
|
|
35.6
|
%
|
Total
|
|
100.0
|
%
|
|
|
|
100.0
|
%
|
|
Total
|
|
100.0
|
%
|
|
43
|
|
$ in thousands
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
|
2008
|
|
2007
|
|
Total
|
|||||||||
Portfolio Characteristics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Number of Loans
|
622
|
|
|
2,746
|
|
|
716
|
|
|
99
|
|
|
27
|
|
|
7
|
|
|
18
|
|
|
18
|
|
|
4,253
|
|
Current Principal Balance
|
465,218
|
|
|
2,092,439
|
|
|
613,351
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,332,192
|
|
Net Weighted Average Coupon Rate
|
3.73
|
%
|
|
3.53
|
%
|
|
3.32
|
%
|
|
3.40
|
%
|
|
3.77
|
%
|
|
3.71
|
%
|
|
5.03
|
%
|
|
4.74
|
%
|
|
3.53
|
%
|
Weighted Average Maturity (years)
|
29.32
|
|
|
28.47
|
|
|
27.96
|
|
|
26.42
|
|
|
25.90
|
|
|
24.41
|
|
|
23.58
|
|
|
22.51
|
|
|
28.36
|
|
Current Performance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Current
|
463,704
|
|
|
2,089,570
|
|
|
612,369
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,326,827
|
|
30 Days Delinquent
|
1,514
|
|
|
2,869
|
|
|
982
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,365
|
|
60 Days Delinquent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
90+ Days Delinquent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Bankruptcy/Foreclosure
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Total
|
465,218
|
|
|
2,092,439
|
|
|
613,351
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,332,192
|
|
State
|
Percent
|
|
California
|
53.2
|
%
|
New York
|
6.0
|
%
|
Massachusetts
|
4.9
|
%
|
Illinois
|
4.3
|
%
|
Maryland
|
3.0
|
%
|
Other states (none greater than 4%)
|
28.6
|
%
|
Total
|
100.0
|
%
|
|
44
|
|
•
|
available interest rate hedging may not correspond directly with the interest rate risk for which protection is sought;
|
•
|
the duration of the hedge may not match the duration of the related liability;
|
•
|
the party owing money in the hedging transaction may default on its obligation to pay;
|
•
|
the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
•
|
the value of derivatives used for hedging may be adjusted from time-to-time in accordance with accounting rules to reflect changes in fair value. Downward adjustments or mark-to-market losses would reduce our stockholders’ equity.
|
|
45
|
|
|
46
|
|
|
47
|
|
|
Years Ended December 31,
|
|||||||
In thousands except share amounts
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Interest Income
|
|
|
|
|
|
|||
Mortgage-backed and credit risk transfer securities
|
579,062
|
|
|
646,787
|
|
|
566,830
|
|
Residential loans
|
88,073
|
|
|
34,122
|
|
|
—
|
|
Commercial loans
|
9,508
|
|
|
1,451
|
|
|
—
|
|
Total interest income
|
676,643
|
|
|
682,360
|
|
|
566,830
|
|
Interest Expense
|
|
|
|
|
|
|||
Repurchase agreements
|
188,699
|
|
|
287,547
|
|
|
237,405
|
|
Secured loans
|
2,576
|
|
|
—
|
|
|
—
|
|
Exchangeable senior notes
|
22,461
|
|
|
18,023
|
|
|
—
|
|
Asset-backed securities
|
68,159
|
|
|
26,682
|
|
|
—
|
|
Total interest expense
|
281,895
|
|
|
332,252
|
|
|
237,405
|
|
Net interest income
|
394,748
|
|
|
350,108
|
|
|
329,425
|
|
(Reduction in) provision for loan losses
|
(142
|
)
|
|
884
|
|
|
—
|
|
Net interest income after provision for loan losses
|
394,890
|
|
|
349,224
|
|
|
329,425
|
|
Other income (loss)
|
|
|
|
|
|
|||
Gain (loss) on investments, net
|
(87,168
|
)
|
|
(182,733
|
)
|
|
46,989
|
|
Equity in earnings of unconsolidated ventures
|
6,786
|
|
|
5,345
|
|
|
7,169
|
|
Gain (loss) on derivative instruments, net
|
(487,469
|
)
|
|
40,003
|
|
|
(4,232
|
)
|
Realized and unrealized credit derivative income (loss), net
|
(2,866
|
)
|
|
1,127
|
|
|
3,115
|
|
Other investment income (loss), net
|
(2,045
|
)
|
|
—
|
|
|
—
|
|
Total other income (loss)
|
(572,762
|
)
|
|
(136,258
|
)
|
|
53,041
|
|
Expenses
|
|
|
|
|
|
|||
Management fee — related party
|
37,599
|
|
|
42,639
|
|
|
35,658
|
|
General and administrative
|
15,267
|
|
|
10,505
|
|
|
4,026
|
|
Total expenses
|
52,866
|
|
|
53,144
|
|
|
39,684
|
|
Net income (loss)
|
(230,738
|
)
|
|
159,822
|
|
|
342,782
|
|
Net income (loss) attributable to non-controlling interest
|
(2,632
|
)
|
|
1,667
|
|
|
4,108
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
(228,106
|
)
|
|
158,155
|
|
|
338,674
|
|
Dividends to preferred stockholders
|
17,378
|
|
|
10,851
|
|
|
5,395
|
|
Net income (loss) attributable to common stockholders
|
(245,484
|
)
|
|
147,304
|
|
|
333,279
|
|
Earnings per share:
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|||
Basic
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
Diluted
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|||
Basic
|
123,104,934
|
|
|
132,714,012
|
|
|
115,558,668
|
|
Diluted
|
124,529,934
|
|
|
134,173,691
|
|
|
117,012,500
|
|
|
48
|
|
|
49
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands, except per share data
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Net income (loss) attributable to common stockholders
|
(245,484
|
)
|
|
147,304
|
|
|
333,279
|
|
Adjustments:
|
|
|
|
|
|
|||
(Gain) loss on investments, net
|
87,168
|
|
|
182,733
|
|
|
(46,989
|
)
|
Realized (gain) loss on derivative instruments, net (excluding contractual net interest on interest rate swaps of $199,783, $0, and $0, respectively)
|
72,187
|
|
|
(53,926
|
)
|
|
—
|
|
Unrealized (gain) loss on derivative instruments, net
|
215,499
|
|
|
13,923
|
|
|
4,232
|
|
Realized and unrealized change in fair value of GSE CRT credit derivative income (loss), net
|
21,495
|
|
|
—
|
|
|
—
|
|
Loss (gain) on foreign currency transactions, net
|
2,746
|
|
|
—
|
|
|
—
|
|
Amortization of deferred swap losses on de-designation
|
85,176
|
|
|
—
|
|
|
—
|
|
Subtotal
|
484,271
|
|
|
142,730
|
|
|
(42,757
|
)
|
Adjustment attributable to non-controlling interest
|
(5,532
|
)
|
|
(1,559
|
)
|
|
520
|
|
Core earnings
|
233,255
|
|
|
288,475
|
|
|
291,042
|
|
Basic earnings (loss) per common share
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
Core earnings per share attributable to common stockholders
|
1.89
|
|
|
2.17
|
|
|
2.52
|
|
|
50
|
|
|
Years Ended December 31,
|
||||||||||||||||
|
2014
(As Restated) |
|
2013
|
|
2012
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
|
Reconciliation
|
|
Yield/Effective Yield
|
||||||
Total interest income
|
676,643
|
|
|
3.41
|
%
|
|
682,360
|
|
|
3.32
|
%
|
|
566,830
|
|
|
3.47
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
17,536
|
|
|
0.09
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
Effective interest income
|
694,179
|
|
|
3.50
|
%
|
|
682,360
|
|
|
3.32
|
%
|
|
566,830
|
|
|
3.47
|
%
|
|
Years Ended December 31,
|
||||||||||||||||
|
2014
|
|
2013
|
|
2012
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
|
Reconciliation
|
|
Cost of Funds / Effective Cost of Funds
|
||||||
Total interest expense
|
281,895
|
|
|
1.61
|
%
|
|
332,252
|
|
|
1.84
|
%
|
|
237,405
|
|
|
1.68
|
%
|
Less: Amortization of net deferred swap losses on de-designation
|
(85,176
|
)
|
|
(0.48
|
)%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
Add: Net interest paid - interest rate swaps
|
199,783
|
|
|
1.14
|
%
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
Effective interest expense
|
396,502
|
|
|
2.27
|
%
|
|
332,252
|
|
|
1.84
|
%
|
|
237,405
|
|
|
1.68
|
%
|
|
Years Ended December 31,
|
||||||||||||||||
|
2014
(As Restated) |
|
2013
|
|
2012
|
||||||||||||
$ in thousands
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
|
Reconciliation
|
|
Net Interest Rate Margin / Effective Interest Rate Margin
|
||||||
Net interest income
|
394,748
|
|
|
1.80
|
%
|
|
350,108
|
|
|
1.48
|
%
|
|
329,425
|
|
|
1.79
|
%
|
Add: Amortization of deferred swap losses from de-designation
|
85,176
|
|
|
0.48
|
%
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
Add: GSE CRT embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net
|
17,536
|
|
|
0.09
|
%
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
Less: Net interest paid - interest rate swaps
|
(199,783
|
)
|
|
(1.14
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
Effective net interest income
|
297,677
|
|
|
1.23
|
%
|
|
350,108
|
|
|
1.48
|
%
|
|
329,425
|
|
|
1.79
|
%
|
|
51
|
|
$ in thousands
|
Agency RMBS
|
Non-Agency RMBS
(6)
|
GSE CRT
(6)
|
CMBS
(7)
|
Comm-
ercial Loans
(7)
|
Consol-
idated
VIEs
(4)(6)
|
Other
(7)
|
Elimin-
ations
(5)
|
Total
|
|||||||||
Investments
|
10,091,989
|
|
3,494,181
|
|
625,424
|
|
3,469,835
|
|
145,756
|
|
3,365,003
|
|
43,998
|
|
(432,534
|
)
|
20,803,652
|
|
Cash and cash
equivalents
(1)
|
64,603
|
|
41,578
|
|
10,154
|
|
47,809
|
|
—
|
|
—
|
|
—
|
|
—
|
|
164,144
|
|
Derivative assets, at fair value
(2)
|
23,183
|
|
396
|
|
—
|
|
—
|
|
599
|
|
—
|
|
—
|
|
—
|
|
24,178
|
|
Other assets
|
111,817
|
|
13,742
|
|
15,639
|
|
75,209
|
|
1,030
|
|
15,591
|
|
7,888
|
|
(1,873
|
)
|
239,043
|
|
Total assets
|
10,291,592
|
|
3,549,897
|
|
651,217
|
|
3,592,853
|
|
147,385
|
|
3,380,594
|
|
51,886
|
|
(434,407
|
)
|
21,231,017
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Repurchase agreements
|
9,018,818
|
|
2,676,626
|
|
468,782
|
|
1,458,451
|
|
—
|
|
—
|
|
—
|
|
—
|
|
13,622,677
|
|
Secured loans
(3)
|
—
|
|
—
|
|
—
|
|
1,250,000
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,250,000
|
|
Asset-backed securities issued by securitization trusts
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
3,362,354
|
|
—
|
|
(432,534
|
)
|
2,929,820
|
|
Exchangeable senior notes
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
400,000
|
|
—
|
|
400,000
|
|
Derivative liabilities, at fair value
|
254,026
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
254,026
|
|
Other liabilities
|
56,894
|
|
21,351
|
|
5,233
|
|
37,589
|
|
—
|
|
10,563
|
|
5,887
|
|
(1,873
|
)
|
135,644
|
|
Total liabilities
|
9,329,738
|
|
2,697,977
|
|
474,015
|
|
2,746,040
|
|
—
|
|
3,372,917
|
|
405,887
|
|
(434,407
|
)
|
18,592,167
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Allocated equity
|
961,854
|
|
851,920
|
|
177,202
|
|
846,813
|
|
147,385
|
|
7,677
|
|
(354,001
|
)
|
—
|
|
2,638,850
|
|
Less equity associated with secured loans:
|
|
|
|
|
|
|
|
|
|
|||||||||
Collateral pledged
|
—
|
|
—
|
|
—
|
|
(1,550,270
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(1,550,270
|
)
|
Secured loans
|
—
|
|
—
|
|
—
|
|
1,250,000
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,250,000
|
|
Net equity (excluding secured loans)
|
961,854
|
|
851,920
|
|
177,202
|
|
546,543
|
|
NA
|
|
NA
|
|
NA
|
|
—
|
|
2,537,519
|
|
Total debt-to-equity ratio
(8)
|
9.4
|
|
3.1
|
|
2.6
|
|
3.2
|
|
—
|
|
NA
|
|
NA
|
|
NA
|
|
6.9
|
|
Repurchase agreement debt-to-equity ratio
(9)
|
9.4
|
|
3.1
|
|
2.6
|
|
2.7
|
|
NA
|
|
NA
|
|
NA
|
|
NA
|
|
5.4
|
|
(1)
|
Cash and cash equivalents is allocated based on a percentage of equity for Agency RMBS, Non-Agency RMBS, GSE CRT and CMBS.
|
(2)
|
Derivative assets are allocated based on the hedging strategy for each asset class.
|
(3)
|
Secured loans are allocated based on amount of collateral pledged.
|
(4)
|
Represents VIE assets and liabilities before intercompany eliminations. VIEs are securitized entities with no substantive equity at risk.
|
(5)
|
Represents our ownership of asset-backed securities and accrued interest eliminated upon consolidation.
|
(6)
|
Non-Agency RMBS, GSE CRT and Consolidated VIEs are considered residential credit.
|
(7)
|
CMBS, Commercial Loans and Investments in unconsolidated ventures of
$44.0 million
(which are included in Other), are considered commercial credit.
|
(8)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements, secured loans, asset-backed securities issued by securitization trusts and exchangeable senior notes) to allocated equity.
|
(9)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to net equity (excluding secured loans).
|
|
52
|
|
$ in thousands
|
Agency RMBS
|
Non-Agency RMBS
(5)
|
GSE CRT
(5)
|
CMBS
(6)
|
Comm-
ercial Loans
(6)
|
Consol-
idated
VIEs
(3)(5)
|
Other
(6)
|
Elimin-
ations
(4)
|
Total
|
|||||||||
Investments
|
10,944,787
|
|
3,770,130
|
|
167,981
|
|
2,628,560
|
|
64,599
|
|
1,810,262
|
|
44,403
|
|
(162,801
|
)
|
19,267,921
|
|
Cash and cash
equivalents
(1)
|
96,957
|
|
62,669
|
|
4,658
|
|
46,328
|
|
—
|
|
—
|
|
—
|
|
—
|
|
210,612
|
|
Derivative assets, at fair value
(2)
|
258,814
|
|
3,245
|
|
—
|
|
—
|
|
|
—
|
|
—
|
|
—
|
|
262,059
|
|
|
Other assets
|
556,982
|
|
21,533
|
|
200
|
|
12,922
|
|
356
|
|
9,033
|
|
10,349
|
|
(988
|
)
|
610,387
|
|
Total assets
|
11,857,540
|
|
3,857,577
|
|
172,839
|
|
2,687,810
|
|
64,955
|
|
1,819,295
|
|
54,752
|
|
(163,789
|
)
|
20,350,979
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Repurchase agreements
|
10,281,154
|
|
2,974,998
|
|
113,066
|
|
2,082,457
|
|
—
|
|
—
|
|
—
|
|
—
|
|
15,451,675
|
|
Asset-backed securities issued by securitization trusts
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1,806,542
|
|
—
|
|
(162,801
|
)
|
1,643,741
|
|
Exchangeable senior notes
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
400,000
|
|
—
|
|
400,000
|
|
Derivative liabilities, at fair value
|
263,204
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
263,204
|
|
Other liabilities
|
131,206
|
|
26,887
|
|
1,745
|
|
18,807
|
|
—
|
|
5,579
|
|
5,888
|
|
(988
|
)
|
189,124
|
|
Total liabilities
|
10,675,564
|
|
3,001,885
|
|
114,811
|
|
2,101,264
|
|
—
|
|
1,812,121
|
|
405,888
|
|
(163,789
|
)
|
17,947,744
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Allocated equity
|
1,181,976
|
|
855,692
|
|
58,028
|
|
586,546
|
|
64,955
|
|
7,174
|
|
(351,136
|
)
|
—
|
|
2,403,235
|
|
Net equity (excluding secured loans)
|
1,181,976
|
|
855,692
|
|
58,028
|
|
586,546
|
|
NA
|
|
NA
|
|
NA
|
|
—
|
|
2,682,242
|
|
Total debt-to-equity ratio
(7)
|
8.7
|
|
3.5
|
|
1.9
|
|
3.6
|
|
—
|
|
NA
|
|
NA
|
|
NA
|
|
7.3
|
|
Repurchase agreement debt-to-equity ratio
(8)
|
8.7
|
|
3.5
|
|
1.9
|
|
3.6
|
|
NA
|
|
NA
|
|
NA
|
|
NA
|
|
5.8
|
|
(1)
|
Cash and cash equivalents is allocated based on a percentage of equity for Agency RMBS, Non-Agency RMBS, GSE CRT and CMBS.
|
(2)
|
Derivative assets are allocated based on the hedging strategy for each asset class.
|
(3)
|
Represents VIE assets and liabilities before intercompany eliminations. VIEs are securitized entities with no substantive equity at risk.
|
(4)
|
Represents our ownership of asset-backed securities and accrued interest eliminated upon consolidation.
|
(5)
|
Non-Agency RMBS, GSE CRT and Consolidated VIEs are considered residential credit.
|
(6)
|
CMBS, Commercial Loans and Investments in unconsolidated ventures of
$44.4 million
(which are included in Other), are considered commercial credit.
|
(7)
|
Debt-to-equity ratio is calculated as the ratio of total debt (sum of repurchase agreements, secured loans, asset-backed securities issued by securitization trusts and exchangeable senior notes) to allocated equity.
|
(8)
|
Repurchase agreement debt-to-equity ratio is calculated as the ratio of repurchase agreements to net equity.
|
|
53
|
|
|
As of and for the Years Ended
|
|||||||
|
December 31,
|
|||||||
$ in thousands
|
2014
(As Restated)
|
|
2013
|
|
2012
|
|||
Average Balances*:
|
|
|
|
|
|
|||
Agency RMBS:
|
|
|
|
|
|
|||
15 year fixed-rate, at amortized cost
|
1,450,316
|
|
|
1,897,780
|
|
|
2,302,218
|
|
30 year fixed-rate, at amortized cost
|
5,723,270
|
|
|
10,217,822
|
|
|
8,395,560
|
|
ARM, at amortized cost
|
475,401
|
|
|
122,225
|
|
|
150,377
|
|
Hybrid ARM, at amortized cost
|
2,452,062
|
|
|
758,625
|
|
|
1,028,432
|
|
MBS-CMO, at amortized cost
|
476,636
|
|
|
496,607
|
|
|
465,469
|
|
Non-Agency RMBS, at amortized cost
|
3,245,701
|
|
|
3,593,337
|
|
|
2,524,635
|
|
GSE CRT, at amortized cost
|
478,929
|
|
|
9,435
|
|
|
—
|
|
CMBS, at amortized cost
|
2,947,733
|
|
|
2,412,694
|
|
|
1,461,359
|
|
Residential loans, at amortized cost
|
2,473,258
|
|
|
1,006,374
|
|
|
—
|
|
Commercial loans, at amortized cost
|
109,551
|
|
|
14,858
|
|
|
—
|
|
Average Investment portfolio
|
19,832,857
|
|
|
20,529,757
|
|
|
16,328,050
|
|
Average Portfolio Yields
(1)
:
|
|
|
|
|
|
|||
Agency RMBS:
|
|
|
|
|
|
|||
15 year fixed-rate
|
2.66
|
%
|
|
2.32
|
%
|
|
2.54
|
%
|
30 year fixed-rate
|
3.05
|
%
|
|
2.88
|
%
|
|
3.12
|
%
|
ARM
|
2.30
|
%
|
|
2.35
|
%
|
|
2.51
|
%
|
Hybrid ARM
|
2.28
|
%
|
|
2.18
|
%
|
|
2.60
|
%
|
MBS - CMO
|
3.56
|
%
|
|
2.26
|
%
|
|
2.02
|
%
|
Non-Agency RMBS
|
4.54
|
%
|
|
4.59
|
%
|
|
5.16
|
%
|
GSE CRT
(2)
|
0.50
|
%
|
|
5.80
|
%
|
|
—
|
%
|
CMBS
|
4.47
|
%
|
|
4.64
|
%
|
|
5.22
|
%
|
Residential loans
|
3.57
|
%
|
|
3.30
|
%
|
|
n/a
|
|
Commercial loans
|
8.56
|
%
|
|
9.77
|
%
|
|
n/a
|
|
Average Investment portfolio
|
3.41
|
%
|
|
3.32
|
%
|
|
3.47
|
%
|
*
|
Average amounts for each period are based on weighted month-end balances.
|
(1)
|
Average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by our average of the amortized cost of the investments. All yields are annualized.
|
(2)
|
GSE CRT average portfolio yield for the year ended December 31, 2014 excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net.
|
|
54
|
|
|
December 31, 2014
|
|
September 30, 2014
|
||||||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
||||
15 year Agency RMBS
|
11.9
|
|
|
15.0
|
|
|
12.9
|
|
|
14.8
|
|
30 year Agency RMBS
|
11.8
|
|
|
13.5
|
|
|
12.0
|
|
|
12.8
|
|
Agency Hybrid ARM RMBS
|
14.3
|
|
|
NA
|
|
|
13.0
|
|
|
NA
|
|
Non-Agency RMBS
|
10.7
|
|
|
NA
|
|
|
11.9
|
|
|
NA
|
|
GSE CRT
|
7.7
|
|
|
NA
|
|
|
8.2
|
|
|
NA
|
|
Weighted average CPR
|
12.0
|
|
|
NA
|
|
|
12.1
|
|
|
NA
|
|
|
As of and for the Years Ended
|
|||||||
|
December 31,
|
|||||||
$ in thousands
|
2014
|
|
2013
|
|
2012
|
|||
Average Borrowings*:
|
|
|
|
|
|
|||
Agency RMBS
(1)
|
9,444,028
|
|
|
12,107,119
|
|
|
11,161,176
|
|
Non-Agency RMBS
|
2,821,132
|
|
|
2,847,536
|
|
|
1,902,754
|
|
GSE CRT
|
351,900
|
|
|
6,887
|
|
|
—
|
|
CMBS
(1)
|
2,305,970
|
|
|
1,900,365
|
|
|
1,108,438
|
|
Exchangeable senior notes
|
400,000
|
|
|
321,111
|
|
|
—
|
|
Asset-backed securities issued by securitization trusts
|
2,178,362
|
|
|
916,786
|
|
|
—
|
|
Total borrowed funds
|
17,501,392
|
|
|
18,099,804
|
|
|
14,172,368
|
|
Maximum borrowings during the period
(2)
|
18,202,497
|
|
|
19,710,901
|
|
|
16,227,024
|
|
Average Cost of Funds
(3)
:
|
|
|
|
|
|
|||
Agency RMBS
(1)
|
0.34
|
%
|
|
0.40
|
%
|
|
0.39
|
%
|
Non-Agency RMBS
|
1.54
|
%
|
|
1.60
|
%
|
|
1.76
|
%
|
GSE CRT
|
1.52
|
%
|
|
1.50
|
%
|
|
n/a
|
|
CMBS
(1)
|
1.11
|
%
|
|
1.45
|
%
|
|
1.55
|
%
|
Exchangeable senior notes
|
5.62
|
%
|
|
5.61
|
%
|
|
n/a
|
|
Asset-backed securities issued by securitization trusts
|
3.13
|
%
|
|
2.91
|
%
|
|
n/a
|
|
Unhedged cost of funds
(4)
|
1.13
|
%
|
|
0.92
|
%
|
|
0.67
|
%
|
Hedged / Effective cost of funds (non-GAAP measure)
|
2.27
|
%
|
|
1.84
|
%
|
|
1.68
|
%
|
*
|
Average amounts for each period are based on weighted month-end balances.
|
(1)
|
Agency RMBS and CMBS average borrowing and cost of funds include borrowings under repurchase agreements and secured loans.
|
(2)
|
Amount represents the maximum borrowings at month-end during each of the respective periods.
|
(3)
|
Average cost of funds is calculated by dividing annualized interest expense by our average borrowings.
|
(4)
|
Excludes reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreement interest expense.
|
|
55
|
|
|
56
|
|
$ in thousands
|
Year ended December 31, 2014
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
(28,758
|
)
|
|
(199,783
|
)
|
|
(223,944
|
)
|
|
(452,485
|
)
|
Interest Rate Swaptions
|
(23,275
|
)
|
|
—
|
|
|
10,906
|
|
|
(12,369
|
)
|
TBAs
|
(10,843
|
)
|
|
—
|
|
|
(558
|
)
|
|
(11,401
|
)
|
Futures Contracts
|
(11,489
|
)
|
|
—
|
|
|
(2,502
|
)
|
|
(13,991
|
)
|
Currency Forward Contracts
|
2,178
|
|
|
—
|
|
|
599
|
|
|
2,777
|
|
Total
|
(72,187
|
)
|
|
(199,783
|
)
|
|
(215,499
|
)
|
|
(487,469
|
)
|
|
57
|
|
$ in thousands
|
Year ended December 31, 2013
|
||||||||||
Derivative instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps Ineffectiveness
|
—
|
|
|
—
|
|
|
535
|
|
|
535
|
|
Interest Rate Swaptions
|
56,279
|
|
|
—
|
|
|
(17,048
|
)
|
|
39,231
|
|
Futures Contracts
|
(2,353
|
)
|
|
—
|
|
|
2,590
|
|
|
237
|
|
Total
|
53,926
|
|
|
—
|
|
|
(13,923
|
)
|
|
40,003
|
|
$ in thousands
|
Year ended December 31, 2012
|
||||||||||
Derivative instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps Ineffectiveness
|
—
|
|
|
—
|
|
|
(369
|
)
|
|
(369
|
)
|
Interest Rate Swaptions
|
—
|
|
|
—
|
|
|
(3,863
|
)
|
|
(3,863
|
)
|
Total
|
—
|
|
|
—
|
|
|
(4,232
|
)
|
|
(4,232
|
)
|
(1)
|
Excluding notional amounts for interest rate swaps with forward start date of February 2015 and February 2016
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2014
(As Restated) |
|
2013
|
|
2012
|
|||
CDS premium income
|
1,351
|
|
|
1,992
|
|
|
2,935
|
|
Change in fair value of CDS
|
(258
|
)
|
|
(865
|
)
|
|
180
|
|
GSE CRT embedded derivative coupon interest
|
17,536
|
|
|
—
|
|
|
—
|
|
Change in fair value of GSE CRT embedded derivatives
|
(21,495
|
)
|
|
—
|
|
|
—
|
|
Total
|
(2,866
|
)
|
|
1,127
|
|
|
3,115
|
|
|
58
|
|
|
59
|
|
|
60
|
|
|
61
|
|
|
Payments Due by Period
|
|||||||||||||
$ in thousands
|
Total
|
|
Less than 1
year
|
|
1-3 years
|
|
3-5 years
|
|
After 5
years
|
|||||
Obligations of Invesco Mortgage Capital Inc.
|
|
|
|
|
|
|
|
|
|
|||||
Repurchase agreements
|
13,622,677
|
|
|
13,622,677
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Secured loans
|
1,250,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,250,000
|
|
Unfunded investments in unconsolidated ventures
|
30,951
|
|
|
6,743
|
|
|
24,208
|
|
|
—
|
|
|
—
|
|
Exchangeable senior notes
|
400,000
|
|
|
—
|
|
|
—
|
|
|
400,000
|
|
|
—
|
|
Participation interest
|
150
|
|
|
—
|
|
|
150
|
|
|
—
|
|
|
—
|
|
Commercial loans
|
4,980
|
|
|
3,357
|
|
|
1,623
|
|
|
—
|
|
|
—
|
|
Total contractual obligations
(1)
|
15,308,758
|
|
|
13,632,777
|
|
|
25,981
|
|
|
400,000
|
|
|
1,250,000
|
|
Obligations of entities consolidated for financial reporting purposes
|
|
|
|
|
|
|
|
|
|
|||||
Consolidated ABS
(2)
|
2,902,378
|
|
|
378,184
|
|
|
624,221
|
|
|
475,730
|
|
|
1,424,243
|
|
Anticipated interest payments on ABS
(3)
|
650,520
|
|
|
89,645
|
|
|
145,325
|
|
|
109,235
|
|
|
306,315
|
|
Total obligations of entities consolidated for financial reporting purposes
|
3,552,898
|
|
|
467,829
|
|
|
769,546
|
|
|
584,965
|
|
|
1,730,558
|
|
Total consolidated obligations and commitments
|
18,861,656
|
|
|
14,100,606
|
|
|
795,527
|
|
|
984,965
|
|
|
2,980,558
|
|
(1)
|
Excluded from total contractual obligations are the amounts due to our Manager under the management agreement, as those obligations do not have fixed and determinable payments. Refer to "Contractual Obligations" above for further details.
|
(2)
|
All consolidated ABS issued by VIEs are collateralized by residential mortgage loans. The ABS obligations will pay down as the principal balances of these residential mortgage loans pay down. The amounts shown are the estimated principal repayments, adjusted for projected prepayments and losses.
|
(3)
|
The anticipated interest payments on consolidated ABS issued by VIEs are calculated based on estimated principal balances, adjusted for projected prepayments and losses.
|
|
62
|
|
|
63
|
|
|
64
|
|
|
65
|
|
Change in Interest Rates
|
|
Percentage Change
in Projected
Net Interest Income
|
|
Percentage
Change in
Projected
Portfolio Value
|
||
+1.00%
|
|
10.50
|
%
|
|
(1.29
|
)%
|
+0.50%
|
|
17.30
|
%
|
|
(0.64
|
)%
|
-0.50%
|
|
(25.00
|
)%
|
|
0.19
|
%
|
-1.00%
|
|
(51.10
|
)%
|
|
0.32
|
%
|
|
66
|
|
•
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our target assets and our financings;
|
•
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
•
|
using hedging instruments, primarily interest rate swap agreements but also financial futures, options, interest rate cap agreements, floors and forward sales to adjust the interest rate sensitivity of our target assets and our borrowings; and
|
•
|
actively managing, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our target assets and the interest rate indices and adjustment periods of our financings.
|
|
67
|
|
|
68
|
|
|
69
|
|
Exhibit
No.
|
|
Description
|
3.1
|
|
Articles of Amendment and Restatement of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 12, 2009.
|
|
|
|
3.2
|
|
Articles Supplementary of 7.75% Series A Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.3 to our Registration Statement on Form 8-A, filed with the SEC on July 23, 2012.
|
|
|
|
3.3
|
|
Articles Supplementary of 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.3 to the Registrant’s Registration Statement on Form 8-A, filed with the SEC on September 8, 2014).
|
|
|
|
3.4
|
|
Amended and Restated Bylaws of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 3.2 to Amendment No. 8 to our Registration Statement on Form S-11 (No. 333-151665), filed with the SEC on June 18, 2009 (“Pre-Effective Amendment No. 8”).
|
|
|
|
4.1
|
|
Specimen Common Stock Certificate of Invesco Mortgage Capital Inc., incorporated by reference to Exhibit 4.1 to Pre-Effective Amendment No. 8.
|
|
|
|
4.2
|
|
Specimen 7.75% Series A Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 to our Registration Statement on Form 8-A, filed with the SEC on July 23, 2012.
|
|
|
|
4.3
|
|
Specimen 7.75% Series B Fixed-to-Floating Cumulative Redeemable Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 to the Registrant’s Registration Statement on Form 8-A, filed with the SEC on September 8, 2014).
|
|
|
|
4.4
|
|
Indenture, dated March 12, 2013, by and among IAS Operating Partnership LP, as issuer, Invesco Mortgage Capital Inc., as guarantor, and The Bank of New York Mellon Trust Company, N.A., as trustee, including the form of 5.00% Exchangeable Senior Notes due 2018 and the related guarantee, incorporated by reference to Exhibit 4.1 to our Current Report on Form 8-K, filed with the SEC on March 15, 2013.
|
|
|
|
10.1
|
|
Registration Rights Agreement, dated as of July 1, 2009, among Invesco Mortgage Capital Inc. (formally known as Invesco Agency Securities Inc.), Invesco Advisers, Inc. (formally known as Invesco Institutional (N.A.), Inc.) and Invesco Investments (Bermuda) Ltd., incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 12, 2009.
|
|
|
|
10.2
|
|
Registration Rights Agreement, dated March 12, 2013, among IAS Operating Partnership LP, Invesco Mortgage Capital Inc., Credit Suisse Securities (USA) LLC, Citigroup Global Markets Inc. and Merrill Lynch, Pierce, Fenner & Smith Incorporated, incorporated by reference to Exhibit 4.1 to our Current Report on Form 8-K, filed with the SEC on March 15, 2013.
|
|
|
|
10.3
|
|
Management Agreement, dated as of July 1, 2009, among Invesco Advisers, Inc. (formally known as Invesco Institutional (N.A.), Inc.), Invesco Mortgage Capital Inc. and IAS Operating Partnership LP., incorporated by reference to Exhibit 10.2 to our Quarterly Report on Form 10-Q, filed with the SEC on August 12, 2009.
|
|
|
|
10.4
|
|
Amendment to Management Agreement, dated as of May 24, 2011, by and among Invesco Advisers, Inc. (formally known as Invesco Institutional (N.A.), Inc.), Invesco Mortgage Capital Inc., IAS Operating Partnership LP., and IAS Asset I LLC, incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 9, 2011.
|
|
|
|
10.5
|
|
First Amended and Restated Agreement of Limited Partnership, dated as of July 1, 2009, of IAS Operating Partnership LP., incorporated by reference to Exhibit 10.3 to our Quarterly Report on Form 10-Q, filed with the SEC on August 12, 2009.
|
|
|
|
10.6
|
|
First Amendment to First Amended and Restated Agreement of Limited Partnership of IAS Operating Partnership LP, dated as of July 23, 2012, incorporated by reference to Exhibit 10.5 to our Annual Report on Form 10-K, filed with the SEC on March 1, 2013.
|
|
|
|
10.7
|
|
Second Amendment to First Amended and Restated Agreement of Limited Partnership of IAS Operating Partnership LP, dated September 8, 2014.
|
|
|
|
10.8
|
|
Invesco Mortgage Capital Inc. 2009 Equity Incentive Plan, incorporated by reference to Exhibit 10.4 to our Quarterly Report on Form 10-Q, filed with the SEC on November 9, 2009.
|
|
|
|
10.9
|
|
Amendment No. 1 to Invesco Mortgage Capital Inc. 2009 Equity Incentive Plan, incorporated by reference to Exhibit 10.1 to our Quarterly Report on Form 10-Q, filed with the SEC on August 13, 2010.
|
|
|
|
|
70
|
|
|
71
|
|
|
Page
|
|
72
|
|
|
73
|
|
|
74
|
|
|
As of
|
||||
|
December 31, 2014
|
|
December 31, 2013
|
||
In thousands except share amounts
|
(As Restated)
(2)
|
|
(As Restated)
(2)
|
||
ASSETS
|
|
|
|
||
Mortgage-backed and credit risk transfer securities, at fair value
|
17,248,895
|
|
|
17,348,657
|
|
Residential loans, held-for-investment
(1)
|
3,365,003
|
|
|
1,810,262
|
|
Commercial loans, held-for-investment
|
145,756
|
|
|
64,599
|
|
Cash and cash equivalents
|
164,144
|
|
|
210,612
|
|
Due from counterparties
|
57,604
|
|
|
1,500
|
|
Investment related receivable
|
38,717
|
|
|
515,404
|
|
Accrued interest receivable
|
66,044
|
|
|
68,246
|
|
Derivative assets, at fair value
|
24,178
|
|
|
262,059
|
|
Deferred securitization and financing costs
|
13,080
|
|
|
13,894
|
|
Other investments
|
106,498
|
|
|
54,403
|
|
Other assets
|
1,098
|
|
|
1,343
|
|
Total assets
(1)
|
21,231,017
|
|
|
20,350,979
|
|
LIABILITIES AND EQUITY
|
|
|
|
||
Liabilities:
|
|
|
|
||
Repurchase agreements
|
13,622,677
|
|
|
15,451,675
|
|
Secured loans
|
1,250,000
|
|
|
—
|
|
Asset-backed securities issued by securitization trusts
(1)
|
2,929,820
|
|
|
1,643,741
|
|
Exchangeable senior notes
|
400,000
|
|
|
400,000
|
|
Derivative liabilities, at fair value
|
254,026
|
|
|
263,204
|
|
Dividends and distributions payable
|
61,757
|
|
|
66,087
|
|
Investment related payable
|
17,008
|
|
|
28,842
|
|
Accrued interest payable
|
29,670
|
|
|
26,492
|
|
Collateral held payable
|
14,890
|
|
|
52,698
|
|
Accounts payable and accrued expenses
|
2,439
|
|
|
4,304
|
|
Due to affiliate
|
9,880
|
|
|
10,701
|
|
Total liabilities
(1)
|
18,592,167
|
|
|
17,947,744
|
|
Equity:
|
|
|
|
||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:
|
|
|
|
||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference)
|
135,356
|
|
|
135,356
|
|
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference)
|
149,860
|
|
|
—
|
|
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 123,110,454 and 124,510,246 shares issued and outstanding, respectively
|
1,231
|
|
|
1,245
|
|
Additional paid in capital
|
2,532,130
|
|
|
2,552,464
|
|
Accumulated other comprehensive income (loss)
|
424,592
|
|
|
(165,621
|
)
|
Retained earnings (distributions in excess of earnings)
|
(632,854
|
)
|
|
(147,329
|
)
|
Total stockholders’ equity
|
2,610,315
|
|
|
2,376,115
|
|
Non-controlling interest
|
28,535
|
|
|
27,120
|
|
Total equity
|
2,638,850
|
|
|
2,403,235
|
|
Total liabilities and equity
|
21,231,017
|
|
|
20,350,979
|
|
(1)
|
The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. As of
December 31, 2014
and
December 31, 2013
, total assets of the consolidated VIEs were
$3,380,597
and
$1,819,295
, respectively, and total liabilities of the consolidated VIEs were
$2,938,512
and
$1,648,400
, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion.
|
(2)
|
For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements".
|
|
75
|
|
|
Years Ended December 31,
|
|||||||
|
2014
|
|
2013
|
|
2012
|
|||
In thousands except share amounts
|
(As Restated)
(1)
|
|
(As Restated)
(1)
|
|
||||
Interest Income
|
|
|
|
|
|
|||
Mortgage-backed and credit risk transfer securities
|
579,062
|
|
|
646,787
|
|
|
566,830
|
|
Residential loans
|
88,073
|
|
|
34,122
|
|
|
—
|
|
Commercial loans
|
9,508
|
|
|
1,451
|
|
|
—
|
|
Total interest income
|
676,643
|
|
|
682,360
|
|
|
566,830
|
|
Interest Expense
|
|
|
|
|
|
|||
Repurchase agreements
|
188,699
|
|
|
287,547
|
|
|
237,405
|
|
Secured loans
|
2,576
|
|
|
—
|
|
|
—
|
|
Exchangeable senior notes
|
22,461
|
|
|
18,023
|
|
|
—
|
|
Asset-backed securities
|
68,159
|
|
|
26,682
|
|
|
—
|
|
Total interest expense
|
281,895
|
|
|
332,252
|
|
|
237,405
|
|
Net interest income
|
394,748
|
|
|
350,108
|
|
|
329,425
|
|
(Reduction in) provision for loan losses
|
(142
|
)
|
|
884
|
|
|
—
|
|
Net interest income after provision for loan losses
|
394,890
|
|
|
349,224
|
|
|
329,425
|
|
Other income (loss)
|
|
|
|
|
|
|||
Gain (loss) on investments, net
|
(87,168
|
)
|
|
(182,733
|
)
|
|
46,989
|
|
Equity in earnings of unconsolidated ventures
|
6,786
|
|
|
5,345
|
|
|
7,169
|
|
Gain (loss) on derivative instruments, net
|
(487,469
|
)
|
|
40,003
|
|
|
(4,232
|
)
|
Realized and unrealized credit derivative income (loss), net
|
(2,866
|
)
|
|
1,127
|
|
|
3,115
|
|
Other investment income (loss), net
|
(2,045
|
)
|
|
—
|
|
|
—
|
|
Total other income (loss)
|
(572,762
|
)
|
|
(136,258
|
)
|
|
53,041
|
|
Expenses
|
|
|
|
|
|
|||
Management fee — related party
|
37,599
|
|
|
42,639
|
|
|
35,658
|
|
General and administrative
|
15,267
|
|
|
10,505
|
|
|
4,026
|
|
Total expenses
|
52,866
|
|
|
53,144
|
|
|
39,684
|
|
Net income (loss)
|
(230,738
|
)
|
|
159,822
|
|
|
342,782
|
|
Net income (loss) attributable to non-controlling interest
|
(2,632
|
)
|
|
1,667
|
|
|
4,108
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
(228,106
|
)
|
|
158,155
|
|
|
338,674
|
|
Dividends to preferred stockholders
|
17,378
|
|
|
10,851
|
|
|
5,395
|
|
Net income (loss) attributable to common stockholders
|
(245,484
|
)
|
|
147,304
|
|
|
333,279
|
|
Earnings per share:
|
|
|
|
|
|
|||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|||
Basic
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
Diluted
|
(1.99
|
)
|
|
1.11
|
|
|
2.88
|
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|||
Basic
|
123,104,934
|
|
|
132,714,012
|
|
|
115,558,668
|
|
Diluted
|
124,529,934
|
|
|
134,173,691
|
|
|
117,012,500
|
|
(1)
|
For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements".
|
|
76
|
|
|
Years Ended December 31,
|
|||||||
|
2014
|
|
2013
|
|
2012
|
|||
In thousands
|
(As Restated)
(1)
|
|
(As Restated)
(1)
|
|
||||
Net income (loss)
|
(230,738
|
)
|
|
159,822
|
|
|
342,782
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net
|
431,198
|
|
|
(891,261
|
)
|
|
574,384
|
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
80,659
|
|
|
199,449
|
|
|
(48,215
|
)
|
Unrealized gain (loss) on derivative instruments
|
—
|
|
|
263,135
|
|
|
(182,272
|
)
|
Reclassification of unrealized loss on derivative instruments to gain (loss) on derivatives, net
|
—
|
|
|
166,016
|
|
|
142,982
|
|
Reclassification of amortization of repurchase agreements interest expense to repurchase agreements interest expense
|
85,176
|
|
|
—
|
|
|
—
|
|
Total other comprehensive income (loss)
|
597,033
|
|
|
(262,661
|
)
|
|
486,879
|
|
Comprehensive income (loss)
|
366,295
|
|
|
(102,839
|
)
|
|
829,661
|
|
Less: Comprehensive (income) loss attributable to non-controlling interest
|
(4,188
|
)
|
|
1,029
|
|
|
(10,049
|
)
|
Less: Dividends to preferred stockholders
|
(17,378
|
)
|
|
(10,851
|
)
|
|
(5,395
|
)
|
Comprehensive income (loss) attributable to common stockholders
|
344,729
|
|
|
(112,661
|
)
|
|
814,217
|
|
(1)
|
For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements".
|
|
77
|
|
|
|
|
|
|
|
|
|
|
Attributable to Common Stockholders
|
|
|
|
|
||||||||||||||||||||||
In thousands except share amounts
|
Series A
Preferred Stock
|
|
Series B
Preferred Stock
|
|
Common Stock
|
|
Additional
Paid in
Capital
|
|
Accumulated
Other
Comprehensive
Income (loss)
|
|
Retained
Earnings
(Distributions
in excess
of earnings)
|
|
Total
Stockholders’
Equity
|
|
Non-
Controlling
Interest
|
|
Total
Equity
|
||||||||||||||||||
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
|
||||||||||||||||||||||||
Balance at December 31, 2011
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
115,395,695
|
|
|
1,154
|
|
|
2,299,543
|
|
|
(386,595
|
)
|
|
(21,764
|
)
|
|
1,892,338
|
|
|
25,075
|
|
|
1,917,413
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
338,674
|
|
|
338,674
|
|
|
4,108
|
|
|
342,782
|
|
Other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
480,938
|
|
|
—
|
|
|
480,938
|
|
|
5,941
|
|
|
486,879
|
|
Proceeds from issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
787,882
|
|
|
8
|
|
|
16,415
|
|
|
—
|
|
|
—
|
|
|
16,423
|
|
|
—
|
|
|
16,423
|
|
Proceeds from issuance of preferred stock, net of offering costs
|
5,600,000
|
|
|
135,362
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
135,362
|
|
|
—
|
|
|
135,362
|
|
Stocks awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,923
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(300,574
|
)
|
|
(300,574
|
)
|
|
—
|
|
|
(300,574
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,706
|
)
|
|
(3,706
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,395
|
)
|
|
(5,395
|
)
|
|
—
|
|
|
(5,395
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
332
|
|
|
—
|
|
|
—
|
|
|
332
|
|
|
4
|
|
|
336
|
|
Balance at December 31, 2012
|
5,600,000
|
|
|
135,362
|
|
|
—
|
|
|
—
|
|
|
116,195,500
|
|
|
1,162
|
|
|
2,316,290
|
|
|
94,343
|
|
|
10,941
|
|
|
2,558,098
|
|
|
31,422
|
|
|
2,589,520
|
|
Net incom
e (as restated)
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
158,155
|
|
|
158,155
|
|
|
1,667
|
|
|
159,822
|
|
Other comprehensive inco
me (loss) (as restated)
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(259,964
|
)
|
|
—
|
|
|
(259,964
|
)
|
|
(2,697
|
)
|
|
(262,661
|
)
|
Proceeds from issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19,020,106
|
|
|
190
|
|
|
396,280
|
|
|
—
|
|
|
—
|
|
|
396,470
|
|
|
—
|
|
|
396,470
|
|
(Cost) proceeds from issuance of preferred stock, net of offering costs
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
(6
|
)
|
Repurchase of shares of common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,720,003
|
)
|
|
(107
|
)
|
|
(160,419
|
)
|
|
—
|
|
|
—
|
|
|
(160,526
|
)
|
|
—
|
|
|
(160,526
|
)
|
Stocks awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,643
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(305,574
|
)
|
|
(305,574
|
)
|
|
—
|
|
|
(305,574
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,276
|
)
|
|
(3,276
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,851
|
)
|
|
(10,851
|
)
|
|
—
|
|
|
(10,851
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
313
|
|
|
—
|
|
|
—
|
|
|
313
|
|
|
4
|
|
|
317
|
|
Balance at December 31, 2013
(as restated) |
5,600,000
|
|
|
135,356
|
|
|
—
|
|
|
—
|
|
|
124,510,246
|
|
|
1,245
|
|
|
2,552,464
|
|
|
(165,621
|
)
|
|
(147,329
|
)
|
|
2,376,115
|
|
|
27,120
|
|
|
2,403,235
|
|
Net income (
loss) (as restated)
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(228,106
|
)
|
|
(228,106
|
)
|
|
(2,632
|
)
|
|
(230,738
|
)
|
Ot
her comprehensive income (loss) (as restated)
(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
590,213
|
|
|
—
|
|
|
590,213
|
|
|
6,820
|
|
|
597,033
|
|
Proceeds from issuance of common stock, net of offering costs
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,505
|
|
|
—
|
|
|
256
|
|
|
—
|
|
|
—
|
|
|
256
|
|
|
—
|
|
|
256
|
|
Proceeds from issuance of preferred stock, net of offering costs
|
—
|
|
|
—
|
|
|
6,200,000
|
|
|
149,860
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
149,860
|
|
|
—
|
|
|
149,860
|
|
Repurchase of shares of common stock
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,438,213
|
)
|
|
(14
|
)
|
|
(21,116
|
)
|
|
—
|
|
|
—
|
|
|
(21,130
|
)
|
|
—
|
|
|
(21,130
|
)
|
Stocks awards
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
22,916
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Common stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(240,041
|
)
|
|
(240,041
|
)
|
|
—
|
|
|
(240,041
|
)
|
Common unit dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,779
|
)
|
|
(2,779
|
)
|
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,378
|
)
|
|
(17,378
|
)
|
|
—
|
|
|
(17,378
|
)
|
Amortization of equity-based compensation
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
526
|
|
|
—
|
|
|
—
|
|
|
526
|
|
|
6
|
|
|
532
|
|
Balance at December 31,
2014 (as restated)
(1)
|
5,600,000
|
|
|
135,356
|
|
|
6,200,000
|
|
|
149,860
|
|
|
123,110,454
|
|
|
1,231
|
|
|
2,532,130
|
|
|
424,592
|
|
|
(632,854
|
)
|
|
2,610,315
|
|
|
28,535
|
|
|
2,638,850
|
|
|
78
|
|
In thousands
|
Years Ended December 31,
|
|||||||
|
2014
|
|
2013
|
|
2012
|
|||
|
(As Restated)
(1)
|
|
(As Restated)
(1)
|
|
||||
Cash Flows from Operating Activities
|
|
|
|
|
|
|||
Net income (loss)
|
(230,738
|
)
|
|
159,822
|
|
|
342,782
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
|
|
|||
Amortization of mortgage-backed and credit risk transfer securities premiums (discounts), net
|
124,369
|
|
|
180,121
|
|
|
139,624
|
|
Amortization of residential loan and asset-backed securities premiums (discounts), net
|
2,761
|
|
|
994
|
|
|
—
|
|
Amortization of commercial loan origination fees
|
(9
|
)
|
|
(26
|
)
|
|
—
|
|
(Reduction in) provision for loan losses
|
(142
|
)
|
|
884
|
|
|
—
|
|
Unrealized (gain) loss on derivative instruments, net
|
215,499
|
|
|
13,923
|
|
|
4,232
|
|
Realized and unrealized credit derivative income (loss), net
|
21,753
|
|
|
865
|
|
|
(180
|
)
|
(Gain) loss on investments, net
|
87,168
|
|
|
182,733
|
|
|
(46,989
|
)
|
(Gain) loss on derivative instruments, net
|
72,187
|
|
|
(56,279
|
)
|
|
—
|
|
Equity in earnings of unconsolidated ventures
|
(6,786
|
)
|
|
(5,345
|
)
|
|
(7,169
|
)
|
Amortization of equity-based compensation
|
532
|
|
|
317
|
|
|
336
|
|
Amortization of deferred securitization and financing costs
|
3,013
|
|
|
2,446
|
|
|
—
|
|
Amortization of deferred swap losses from de-designation
|
85,176
|
|
|
—
|
|
|
—
|
|
Non-cash interest income capitalized in commercial loans
|
(768
|
)
|
|
(832
|
)
|
|
—
|
|
(Gain) loss on foreign currency transactions, net
|
2,718
|
|
|
—
|
|
|
—
|
|
Changes in operating assets and liabilities:
|
|
|
|
|
|
|||
(Increase) decrease in operating assets
|
2,473
|
|
|
(5,280
|
)
|
|
(8,727
|
)
|
Increase in operating liabilities
|
456
|
|
|
16,099
|
|
|
3,541
|
|
Net cash provided by operating activities
|
379,662
|
|
|
490,442
|
|
|
427,450
|
|
Cash Flows from Investing Activities
|
|
|
|
|
|
|||
Purchase of mortgage-backed and credit risk transfer securities
|
(4,339,442
|
)
|
|
(8,323,891
|
)
|
|
(9,171,750
|
)
|
(Contributions) distributions (from) to investments in unconsolidated ventures, net
|
7,191
|
|
|
(3,757
|
)
|
|
40,661
|
|
Change in other investments
|
(52,500
|
)
|
|
—
|
|
|
(10,000
|
)
|
Principal payments from mortgage-backed and credit risk transfer securities
|
1,909,632
|
|
|
2,818,987
|
|
|
2,618,003
|
|
Proceeds from sale of mortgage-backed and credit risk transfer securities
|
3,266,040
|
|
|
5,041,249
|
|
|
2,851,711
|
|
Payment of premiums for interest rate swaptions
|
(10,328
|
)
|
|
(72,723
|
)
|
|
(8,813
|
)
|
Proceeds from termination of interest rate swaptions
|
—
|
|
|
114,538
|
|
|
—
|
|
Payments for termination of futures contracts and TBAs
|
(48,913
|
)
|
|
—
|
|
|
—
|
|
Purchase of residential loans held-for-investment
|
(1,816,638
|
)
|
|
(1,857,673
|
)
|
|
—
|
|
Principal payments from residential loans held-for-investment
|
255,662
|
|
|
43,869
|
|
|
—
|
|
Principal payments from commercial loans held-for-investment
|
399
|
|
|
—
|
|
|
—
|
|
Origination and advances of commercial loans, net of origination fees
|
(83,483
|
)
|
|
(63,741
|
)
|
|
—
|
|
Net cash used in investing activities
|
(912,380
|
)
|
|
(2,303,142
|
)
|
|
(3,680,188
|
)
|
Cash Flows from Financing Activities
|
|
|
|
|
|
|||
Proceeds from issuance of common stock
|
256
|
|
|
396,465
|
|
|
16,316
|
|
Repurchase of common stock
|
(21,130
|
)
|
|
(160,527
|
)
|
|
—
|
|
Proceeds from (cost of) issuance of preferred stock
|
149,896
|
|
|
(6
|
)
|
|
135,362
|
|
Due from counterparties
|
(54,679
|
)
|
|
(1,500
|
)
|
|
74,496
|
|
Collateral held payable
|
(32,014
|
)
|
|
46,904
|
|
|
(17,324
|
)
|
Proceeds from repurchase agreements
|
141,072,770
|
|
|
182,456,110
|
|
|
153,409,971
|
|
Principal repayments of repurchase agreements
|
(142,901,817
|
)
|
|
(182,697,053
|
)
|
|
(149,970,390
|
)
|
Proceeds from issuance of exchangeable senior notes
|
—
|
|
|
400,000
|
|
|
—
|
|
Proceeds from asset-backed securities issued by securitization trusts
|
1,525,905
|
|
|
1,687,127
|
|
|
—
|
|
Principal repayments of asset-backed securities issued by securitization trusts
|
(236,210
|
)
|
|
(41,722
|
)
|
|
—
|
|
Proceeds from secured loans
|
2,835,247
|
|
|
—
|
|
|
—
|
|
Principal repayments on secured loans
|
(1,585,247
|
)
|
|
—
|
|
|
—
|
|
Payments of deferred costs
|
(2,199
|
)
|
|
(16,181
|
)
|
|
—
|
|
Payments of dividends and distributions
|
(264,528
|
)
|
|
(332,779
|
)
|
|
(306,443
|
)
|
Net cash provided by financing activities
|
486,250
|
|
|
1,736,838
|
|
|
3,341,988
|
|
Net change in cash and cash equivalents
|
(46,468
|
)
|
|
(75,862
|
)
|
|
89,250
|
|
Cash and cash equivalents, beginning of period
|
210,612
|
|
|
286,474
|
|
|
197,224
|
|
Cash and cash equivalents, end of period
|
164,144
|
|
|
210,612
|
|
|
286,474
|
|
Supplement Disclosure of Cash Flow Information
|
|
|
|
|
|
|||
Interest paid
|
193,275
|
|
|
320,253
|
|
|
234,507
|
|
Non-cash Investing and Financing Activities Information
|
|
|
|
|
|
|||
Net change in unrealized gain (loss) on mortgage-backed securities and hedged derivatives
|
511,857
|
|
|
(262,661
|
)
|
|
486,879
|
|
Dividends and distributions declared not paid
|
61,757
|
|
|
66,087
|
|
|
79,165
|
|
(Receivable) / payable for mortgage-backed and credit risk transfer securities sold / purchased, net
|
457,643
|
|
|
(522,492
|
)
|
|
121,056
|
|
Repurchase agreements, not settled
|
49
|
|
|
(27,842
|
)
|
|
27,841
|
|
Collateral held payable, not settled
|
(5,794
|
)
|
|
5,794
|
|
|
—
|
|
Net change in due from counterparties
|
(1,425
|
)
|
|
—
|
|
|
—
|
|
(1)
|
For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements".
|
|
79
|
|
•
|
Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS");
|
•
|
RMBS that are not guaranteed by a U.S. government agency (“non-Agency RMBS”);
|
•
|
Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT");
|
•
|
Commercial mortgage-backed securities ("CMBS");
|
•
|
Residential and commercial mortgage loans; and
|
•
|
Other real estate-related financing agreements.
|
|
80
|
|
|
81
|
|
|
82
|
|
•
|
Loan-to-value ratios, credit scores, geographic concentration and other observable data;
|
•
|
Historical default rates of loans with similar characteristics; and
|
•
|
Expected future macroeconomic trends including changes in home prices and the unemployment rate.
|
•
|
Loan-to-value ratios;
|
•
|
The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other factors the Company considers relevant, including, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency;
|
•
|
Economic trends, both macroeconomic as well as those directly affecting the properties associated with the loans, and the supply and demand trends in the market in which the subject property is located; and
|
•
|
The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently.
|
|
83
|
|
|
84
|
|
•
|
the initial transfer of and repurchase financing are not contractually contingent;
|
•
|
the repurchase financing entered into between the parties provides full recourse to the transferee and the repurchase price is fixed;
|
•
|
the financial asset has an active market and the transfer is executed at market rates; and
|
•
|
the repurchase agreement and financial asset do not mature simultaneously.
|
|
85
|
|
|
86
|
|
|
87
|
|
|
88
|
|
$ in thousands
|
Carrying
Amount
|
|
Company's Maximum Risk of Loss
|
||
Non-Agency RMBS
|
3,061,647
|
|
|
3,061,647
|
|
CMBS
|
3,469,835
|
|
|
3,469,835
|
|
Total
|
6,531,482
|
|
|
6,531,482
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Residential loans, held-for-investment
|
3,365,003
|
|
|
1,810,262
|
|
Accrued interest receivable
|
10,562
|
|
|
5,647
|
|
Deferred costs
|
5,032
|
|
|
3,386
|
|
Total assets
|
3,380,597
|
|
|
1,819,295
|
|
Accrued interest and accrued expenses payable
|
8,692
|
|
|
4,659
|
|
Asset-backed securities issued by securitization trusts
|
2,929,820
|
|
|
1,643,741
|
|
Total liabilities
|
2,938,512
|
|
|
1,648,400
|
|
|
89
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Principal balance
|
3,332,192
|
|
|
1,783,983
|
|
Unamortized premium (discount), net
|
33,553
|
|
|
27,163
|
|
Recorded investment
|
3,365,745
|
|
|
1,811,146
|
|
Allowance for loan losses
|
(742
|
)
|
|
(884
|
)
|
Carrying value
|
3,365,003
|
|
|
1,810,262
|
|
$ in thousands
|
2014
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
|
2008
|
|
2007
|
|
Total
|
|||||||||
Portfolio Characteristics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Number of Loans
|
622
|
|
|
2,746
|
|
|
716
|
|
|
99
|
|
|
27
|
|
|
7
|
|
|
18
|
|
|
18
|
|
|
4,253
|
|
Current Principal Balance
|
465,218
|
|
|
2,092,439
|
|
|
613,351
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,332,192
|
|
Net Weighted Average Coupon Rate
|
3.73
|
%
|
|
3.53
|
%
|
|
3.32
|
%
|
|
3.40
|
%
|
|
3.77
|
%
|
|
3.71
|
%
|
|
5.03
|
%
|
|
4.74
|
%
|
|
3.53
|
%
|
Weighted Average Maturity (years)
|
29.32
|
|
|
28.47
|
|
|
27.96
|
|
|
26.42
|
|
|
25.90
|
|
|
24.41
|
|
|
23.58
|
|
|
22.51
|
|
|
28.36
|
|
Current Performance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Current
|
463,704
|
|
|
2,089,570
|
|
|
612,369
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,326,827
|
|
30 Days Delinquent
|
1,514
|
|
|
2,869
|
|
|
982
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,365
|
|
60 Days Delinquent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
90+ Days Delinquent
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Bankruptcy/Foreclosure
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Total
|
465,218
|
|
|
2,092,439
|
|
|
613,351
|
|
|
100,761
|
|
|
25,910
|
|
|
3,006
|
|
|
17,632
|
|
|
13,875
|
|
|
3,332,192
|
|
State
|
Percent
|
|
California
|
53.2
|
%
|
New York
|
6.0
|
%
|
Massachusetts
|
4.9
|
%
|
Illinois
|
4.3
|
%
|
Maryland
|
3.0
|
%
|
Other states (none greater than 4%)
|
28.6
|
%
|
Total
|
100.0
|
%
|
$ in thousands
|
|
|
Scheduled Principal
|
December 31, 2014
|
|
Within one year
|
58,621
|
|
One to three years
|
124,341
|
|
Three to five years
|
135,132
|
|
Greater than or equal to five years
|
3,014,098
|
|
Total
|
3,332,192
|
|
|
90
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Balance at beginning of period
|
(884
|
)
|
|
—
|
|
Charge-offs, net
|
—
|
|
|
—
|
|
Reduction in (provision) for loan losses
|
142
|
|
|
(884
|
)
|
Balance at end of period
|
(742
|
)
|
|
(884
|
)
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||
|
ABS
|
|
Residential Loans
|
|
ABS
|
|
Residential Loans
|
||||
$ in thousands
|
Outstanding
|
|
Held as Collateral
|
|
Outstanding
|
|
Held as Collateral
|
||||
Principal balance
|
2,902,378
|
|
|
3,332,192
|
|
|
1,633,688
|
|
|
1,783,983
|
|
Interest-only securities
|
15,040
|
|
|
—
|
|
|
11,137
|
|
|
—
|
|
Unamortized premium
|
23,735
|
|
|
41,928
|
|
|
9,906
|
|
|
32,938
|
|
Unamortized discount
|
(11,333
|
)
|
|
(8,375
|
)
|
|
(10,990
|
)
|
|
(5,775
|
)
|
Allowance for loan losses
|
—
|
|
|
(742
|
)
|
|
—
|
|
|
(884
|
)
|
Carrying value
|
2,929,820
|
|
|
3,365,003
|
|
|
1,643,741
|
|
|
1,810,262
|
|
Range of weighted average interest rates
|
2.8% - 4.0%
|
|
|
|
2.8% - 3.5%
|
|
|
||||
Number of securitization trusts consolidated
|
10
|
|
|
|
|
5
|
|
|
|
$ in thousands
|
|
|
Estimated principal repayment
|
December 31, 2014
|
|
Within one year
|
378,184
|
|
One to three years
|
624,221
|
|
Three to five years
|
475,730
|
|
Greater than or equal to five years
|
1,424,243
|
|
Total
|
2,902,378
|
|
|
91
|
|
December 31, 2014 (As Restated)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
$ in thousands
|
Principal
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain/
(Loss), net
|
|
Fair
Value
|
|
Net Weighted
Average
Coupon
(1)
|
|
Period-
end
Weighted
Average
Yield
(2)
|
|
Quarterly
Weighted
Average
Yield
(3)
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
15 year fixed-rate
|
1,236,297
|
|
|
60,764
|
|
|
1,297,061
|
|
|
30,040
|
|
|
1,327,101
|
|
|
4.05
|
%
|
|
2.60
|
%
|
|
2.66
|
%
|
30 year fixed-rate
|
4,432,301
|
|
|
297,311
|
|
|
4,729,612
|
|
|
60,681
|
|
|
4,790,293
|
|
|
4.29
|
%
|
|
2.97
|
%
|
|
3.05
|
%
|
ARM*
|
531,281
|
|
|
9,068
|
|
|
540,349
|
|
|
6,433
|
|
|
546,782
|
|
|
2.83
|
%
|
|
2.27
|
%
|
|
2.29
|
%
|
Hybrid ARM
|
2,901,078
|
|
|
50,757
|
|
|
2,951,835
|
|
|
25,083
|
|
|
2,976,918
|
|
|
2.78
|
%
|
|
2.34
|
%
|
|
2.24
|
%
|
Total Agency pass-through
|
9,100,957
|
|
|
417,900
|
|
|
9,518,857
|
|
|
122,237
|
|
|
9,641,094
|
|
|
3.69
|
%
|
|
2.68
|
%
|
|
2.71
|
%
|
Agency-CMO
(4)
|
1,957,296
|
|
|
(1,502,785
|
)
|
|
454,511
|
|
|
(3,616
|
)
|
|
450,895
|
|
|
2.34
|
%
|
|
4.57
|
%
|
|
3.62
|
%
|
Non-Agency RMBS
(5)(6)
|
3,555,249
|
|
|
(583,890
|
)
|
|
2,971,359
|
|
|
90,288
|
|
|
3,061,647
|
|
|
3.51
|
%
|
|
4.12
|
%
|
|
4.86
|
%
|
GSE CRT
(7)
|
615,000
|
|
|
25,814
|
|
|
640,814
|
|
|
(15,390
|
)
|
|
625,424
|
|
|
1.03
|
%
|
|
0.49
|
%
|
|
0.48
|
%
|
CMBS
(8)
|
3,277,208
|
|
|
54,893
|
|
|
3,332,101
|
|
|
137,734
|
|
|
3,469,835
|
|
|
4.74
|
%
|
|
4.39
|
%
|
|
4.38
|
%
|
Total
|
18,505,710
|
|
|
(1,588,068
|
)
|
|
16,917,642
|
|
|
331,253
|
|
|
17,248,895
|
|
|
3.61
|
%
|
|
3.24
|
%
|
|
3.36
|
%
|
(1)
|
Net weighted average coupon (“WAC”) as of
December 31, 2014
is presented net of servicing and other fees.
|
(2)
|
Period-end weighted average yield is based on amortized cost as of
December 31, 2014
and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
|
(3)
|
Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
|
(4)
|
Agency collateralized mortgage obligation ("Agency CMO") includes Agency MBS IOs, which represent
29.1%
of the balance based on fair value.
|
(5)
|
Non-Agency RMBS held by the Company is
52.8%
variable rate,
40.1%
fixed rate and
7.1%
floating rate based on fair value.
|
(6)
|
Of the total discount in non-Agency RMBS,
$405.5 million
is non-accretable.
|
(7)
|
GSE CRT weighted average coupon and weighted average yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net.
|
(8)
|
CMBS includes commercial real estate mezzanine loan pass-through certificates, which represent
1.3%
of the balance based on fair value.
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
$ in thousands
|
Principal
Balance
|
|
Unamortized
Premium
(Discount)
|
|
Amortized
Cost
|
|
Unrealized
Gain, net
|
|
Fair Value
|
|
Net
Weighted
Average
Coupon
(1)
|
|
Period-
end
Weighted
Average
Yield
(2)
|
|
Quarterly
Weighted
Average
Yield
(3)
|
||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
15 year fixed-rate
|
1,637,988
|
|
|
83,799
|
|
|
1,721,787
|
|
|
22,494
|
|
|
1,744,281
|
|
|
4.02
|
%
|
|
2.54
|
%
|
|
2.61
|
%
|
30 year fixed-rate
|
6,494,723
|
|
|
435,680
|
|
|
6,930,403
|
|
|
(228,250
|
)
|
|
6,702,153
|
|
|
4.11
|
%
|
|
2.96
|
%
|
|
3.13
|
%
|
ARM*
|
251,693
|
|
|
992
|
|
|
252,685
|
|
|
597
|
|
|
253,282
|
|
|
2.80
|
%
|
|
2.62
|
%
|
|
2.41
|
%
|
Hybrid ARM
|
1,764,472
|
|
|
9,470
|
|
|
1,773,942
|
|
|
(3,384
|
)
|
|
1,770,558
|
|
|
2.69
|
%
|
|
2.46
|
%
|
|
2.06
|
%
|
Total Agency pass-through
|
10,148,876
|
|
|
529,941
|
|
|
10,678,817
|
|
|
(208,543
|
)
|
|
10,470,274
|
|
|
3.82
|
%
|
|
2.80
|
%
|
|
2.90
|
%
|
Agency-CMO
(4)
|
1,532,474
|
|
|
(1,051,777
|
)
|
|
480,697
|
|
|
(6,183
|
)
|
|
474,514
|
|
|
2.76
|
%
|
|
3.82
|
%
|
|
3.47
|
%
|
Non-Agency RMBS
(5)(6)
|
4,217,230
|
|
|
(640,797
|
)
|
|
3,576,433
|
|
|
30,895
|
|
|
3,607,328
|
|
|
3.72
|
%
|
|
2.80
|
%
|
|
4.63
|
%
|
GSE CRT
(7)
|
144,500
|
|
|
22,163
|
|
|
166,663
|
|
|
1,318
|
|
|
167,981
|
|
|
7.13
|
%
|
|
3.82
|
%
|
|
5.85
|
%
|
CMBS
(8)
|
4,630,363
|
|
|
(2,032,945
|
)
|
|
2,597,418
|
|
|
31,142
|
|
|
2,628,560
|
|
|
3.38
|
%
|
|
4.62
|
%
|
|
4.51
|
%
|
Total
|
20,673,443
|
|
|
(3,173,415
|
)
|
|
17,500,028
|
|
|
(151,371
|
)
|
|
17,348,657
|
|
|
3.63
|
%
|
|
3.30
|
%
|
|
3.51
|
%
|
(1)
|
Net WAC as of
December 31, 2013
is presented net of servicing and other fees.
|
(2)
|
Period-end weighted average yield is based on amortized cost as of
December 31, 2013
and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
|
(3)
|
Quarterly weighted average yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
|
(4)
|
Agency-CMO includes Agency MBS IOs, which represent
25.0%
of the balance based on fair value.
|
(5)
|
Non-Agency RMBS held by the Company is
61.1%
variable rate,
33.9%
fixed rate, and
5.0%
floating rate based on fair value.
|
(6)
|
Of the total discount in non-Agency RMBS,
$438.1 million
is non-accretable.
|
(7)
|
GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE.
|
(8)
|
CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent
7.5%
and
1.0%
of the balance based on fair value, respectively.
|
|
92
|
|
$ in thousands
|
December 31, 2014
|
|
% of Non-Agency
|
|
December 31, 2013
|
|
% of Non-Agency
|
||||
Re-REMIC
|
1,000,635
|
|
|
32.7
|
%
|
|
1,444,376
|
|
|
40.0
|
%
|
Prime
|
969,849
|
|
|
31.7
|
%
|
|
1,336,821
|
|
|
37.1
|
%
|
Alt-A
|
694,467
|
|
|
22.7
|
%
|
|
801,919
|
|
|
22.2
|
%
|
Subprime/reperforming
|
396,696
|
|
|
12.9
|
%
|
|
24,212
|
|
|
0.7
|
%
|
Total Non-Agency
|
3,061,647
|
|
|
100.0
|
%
|
|
3,607,328
|
|
|
100.0
|
%
|
|
Percentage of Re-REMIC Holdings at Fair Value
|
||||
Re-REMIC Subordination
(1)
|
December 31, 2014
|
|
December 31, 2013
|
||
0% - 10%
|
7.0
|
%
|
|
4.8
|
%
|
10% - 20%
|
4.4
|
%
|
|
3.5
|
%
|
20% - 30%
|
11.9
|
%
|
|
14.7
|
%
|
30% - 40%
|
26.1
|
%
|
|
25.2
|
%
|
40% - 50%
|
31.8
|
%
|
|
38.6
|
%
|
50% - 60%
|
15.2
|
%
|
|
8.5
|
%
|
60% - 70%
|
3.6
|
%
|
|
4.7
|
%
|
Total
|
100.0
|
%
|
|
100.0
|
%
|
(1)
|
Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company.
|
$ in thousands
|
December 31, 2014
(As Restated) |
|
December 31, 2013
(As Restated) |
||
Principal balance
|
18,505,710
|
|
|
20,673,443
|
|
Unamortized premium
|
550,071
|
|
|
646,189
|
|
Unamortized discount
|
(2,138,139
|
)
|
|
(3,819,604
|
)
|
Gross unrealized gains
|
439,513
|
|
|
291,725
|
|
Gross unrealized losses
|
(108,260
|
)
|
|
(443,096
|
)
|
Fair value
|
17,248,895
|
|
|
17,348,657
|
|
|
93
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Less than one year
|
440,471
|
|
|
101,251
|
|
Greater than one year and less than five years
|
7,997,709
|
|
|
5,958,852
|
|
Greater than or equal to five years
|
8,810,715
|
|
|
11,288,554
|
|
Total
|
17,248,895
|
|
|
17,348,657
|
|
December 31, 2014 (As Restated)
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||
$ in thousands
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
15 year fixed-rate
|
10,897
|
|
|
(42
|
)
|
|
1
|
|
|
105,644
|
|
|
(1,395
|
)
|
|
6
|
|
|
116,541
|
|
|
(1,437
|
)
|
|
7
|
|
30 year fixed-rate
|
137,680
|
|
|
(2,662
|
)
|
|
5
|
|
|
1,756,894
|
|
|
(40,181
|
)
|
|
62
|
|
|
1,894,574
|
|
|
(42,843
|
)
|
|
67
|
|
ARM
|
24,074
|
|
|
(9
|
)
|
|
1
|
|
|
3,719
|
|
|
(23
|
)
|
|
1
|
|
|
27,793
|
|
|
(32
|
)
|
|
2
|
|
Hybrid ARM
|
630,775
|
|
|
(1,544
|
)
|
|
28
|
|
|
20,361
|
|
|
(197
|
)
|
|
2
|
|
|
651,136
|
|
|
(1,741
|
)
|
|
30
|
|
Total Agency pass through
|
803,426
|
|
|
(4,257
|
)
|
|
35
|
|
|
1,886,618
|
|
|
(41,796
|
)
|
|
71
|
|
|
2,690,044
|
|
|
(46,053
|
)
|
|
106
|
|
Agency-CMO
|
36,723
|
|
|
(6,192
|
)
|
|
18
|
|
|
265,863
|
|
|
(9,481
|
)
|
|
10
|
|
|
302,586
|
|
|
(15,673
|
)
|
|
28
|
|
Non-Agency RMBS
|
573,122
|
|
|
(5,799
|
)
|
|
34
|
|
|
354,532
|
|
|
(11,990
|
)
|
|
21
|
|
|
927,654
|
|
|
(17,789
|
)
|
|
55
|
|
GSE CRT
(1)
|
306,603
|
|
|
(25,394
|
)
|
|
13
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
306,603
|
|
|
(25,394
|
)
|
|
13
|
|
CMBS
|
134,364
|
|
|
(277
|
)
|
|
11
|
|
|
227,452
|
|
|
(3,074
|
)
|
|
19
|
|
|
361,816
|
|
|
(3,351
|
)
|
|
30
|
|
Total
|
1,854,238
|
|
|
(41,919
|
)
|
|
111
|
|
|
2,734,465
|
|
|
(66,341
|
)
|
|
121
|
|
|
4,588,703
|
|
|
(108,260
|
)
|
|
232
|
|
December 31, 2013
|
Less than 12 Months
|
|
12 Months or More
|
|
Total
|
|||||||||||||||||||||
$ in thousands
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|
Fair
Value
|
|
Unrealized
Losses
|
|
Number of Securities
|
|||||||||
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
15 year fixed-rate
|
431,527
|
|
|
(4,964
|
)
|
|
18
|
|
|
11,100
|
|
|
(259
|
)
|
|
1
|
|
|
442,627
|
|
|
(5,223
|
)
|
|
19
|
|
30 year fixed-rate
|
3,710,679
|
|
|
(228,167
|
)
|
|
126
|
|
|
641,259
|
|
|
(56,754
|
)
|
|
27
|
|
|
4,351,938
|
|
|
(284,921
|
)
|
|
153
|
|
ARM
|
94,447
|
|
|
(968
|
)
|
|
7
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
94,447
|
|
|
(968
|
)
|
|
7
|
|
Hybrid ARM
|
1,129,488
|
|
|
(9,715
|
)
|
|
48
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,129,488
|
|
|
(9,715
|
)
|
|
48
|
|
Total Agency pass through
|
5,366,141
|
|
|
(243,814
|
)
|
|
199
|
|
|
652,359
|
|
|
(57,013
|
)
|
|
28
|
|
|
6,018,500
|
|
|
(300,827
|
)
|
|
227
|
|
Agency-CMO
|
311,935
|
|
|
(16,599
|
)
|
|
13
|
|
|
8,883
|
|
|
(3,736
|
)
|
|
4
|
|
|
320,818
|
|
|
(20,335
|
)
|
|
17
|
|
Non-Agency RMBS
|
1,307,036
|
|
|
(58,326
|
)
|
|
76
|
|
|
91,651
|
|
|
(1,726
|
)
|
|
8
|
|
|
1,398,687
|
|
|
(60,052
|
)
|
|
84
|
|
CMBS
|
1,118,270
|
|
|
(61,882
|
)
|
|
84
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,118,270
|
|
|
(61,882
|
)
|
|
84
|
|
Total
|
8,103,382
|
|
|
(380,621
|
)
|
|
372
|
|
|
752,893
|
|
|
(62,475
|
)
|
|
40
|
|
|
8,856,275
|
|
|
(443,096
|
)
|
|
412
|
|
|
94
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Accumulated other comprehensive income (loss) from investment securities:
|
|
|
|
|
|
|||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period
|
(160,083
|
)
|
|
531,729
|
|
|
5,560
|
|
Unrealized gain (loss) on MBS and GSE CRT
|
431,198
|
|
|
(891,261
|
)
|
|
574,384
|
|
Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net
|
80,659
|
|
|
199,449
|
|
|
(48,215
|
)
|
Balance at end of period
|
351,774
|
|
|
(160,083
|
)
|
|
531,729
|
|
|
Years Ended December 31,
|
|||||||
$ in thousands
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Gross realized gains on sale of investments
|
16,353
|
|
|
39,131
|
|
|
61,254
|
|
Gross realized losses on sale of investments
|
(95,783
|
)
|
|
(238,580
|
)
|
|
(13,039
|
)
|
Net unrealized gains and losses on Agency MBS IOs
|
(7,738
|
)
|
|
16,716
|
|
|
(1,226
|
)
|
Total gain (loss) on investments, net
|
(87,168
|
)
|
|
(182,733
|
)
|
|
46,989
|
|
|
95
|
|
$ in thousands
|
Number of
loans
|
|
Principal
Balance
|
|
Unamortized (fees)/
costs, net
|
|
Carrying
value
|
|
Unfunded
commitment
|
|||||
First mortgage loan
|
1
|
|
|
19,978
|
|
|
41
|
|
|
20,019
|
|
|
1,623
|
|
Subordinate interests:
|
|
|
|
|
|
|
|
|
|
|||||
Mezzanine loans
|
4
|
|
|
71,643
|
|
|
(94
|
)
|
|
71,549
|
|
|
3,357
|
|
Other
(1)
|
2
|
|
|
54,188
|
|
|
—
|
|
|
54,188
|
|
|
—
|
|
Total
|
7
|
|
|
145,809
|
|
|
(53
|
)
|
|
145,756
|
|
|
4,980
|
|
|
96
|
|
$ in thousands
|
Number of
loans
|
|
Principal
Balance
|
|
Unamortized (fees)/
costs, net
|
|
Carrying
value
|
|
Unfunded
commitment
|
|||||
First mortgage loan
|
1
|
|
|
20,000
|
|
|
88
|
|
|
20,088
|
|
|
2,000
|
|
Subordinate interests:
|
|
|
|
|
|
|
|
|
|
|||||
Mezzanine loans
|
3
|
|
|
44,624
|
|
|
(113
|
)
|
|
44,511
|
|
|
15,376
|
|
Total
|
4
|
|
|
64,624
|
|
|
(25
|
)
|
|
64,599
|
|
|
17,376
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
FHLBI stock
|
62,500
|
|
|
—
|
|
Investments in unconsolidated ventures
|
43,998
|
|
|
44,403
|
|
Debt security
|
—
|
|
|
10,000
|
|
Total
|
106,498
|
|
|
54,403
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||
|
Amount
Outstanding
|
|
Weighted
Average
Interest
Rate
|
|
Weighted
Average
Remaining
Maturity
(Days)
|
|
Amount
Outstanding
|
|
Weighted
Average
Interest
Rate
|
|
Weighted
Average
Remaining
Maturity
(Days)
|
||||||
Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Agency RMBS
|
9,018,818
|
|
|
0.35
|
%
|
|
18
|
|
|
10,281,154
|
|
|
0.38
|
%
|
|
19
|
|
Non-Agency RMBS
|
2,676,626
|
|
|
1.51
|
%
|
|
36
|
|
|
2,974,998
|
|
|
1.60
|
%
|
|
33
|
|
GSE CRT
|
468,782
|
|
|
1.55
|
%
|
|
27
|
|
|
113,066
|
|
|
1.49
|
%
|
|
42
|
|
CMBS
|
1,458,451
|
|
|
1.32
|
%
|
|
26
|
|
|
2,082,457
|
|
|
1.39
|
%
|
|
23
|
|
Secured Loans
|
1,250,000
|
|
|
0.37
|
%
|
|
3,472
|
|
|
—
|
|
|
—
|
%
|
|
—
|
|
Exchangeable Senior Notes
|
400,000
|
|
|
5.00
|
%
|
|
1,170
|
|
|
400,000
|
|
|
5.00
|
%
|
|
1,535
|
|
Total
|
15,272,677
|
|
|
0.81
|
%
|
|
335
|
|
|
15,851,675
|
|
|
0.86
|
%
|
|
60
|
|
|
97
|
|
December 31, 2014
$ in thousands
Repurchase Agreement Counterparties
|
Amount
Outstanding
|
|
Percent of Total
Amount
Outstanding
|
|
Company MBS and GSE CRTs
Held as Collateral
|
|
||||
Credit Suisse Securities (USA) LLC
|
1,517,530
|
|
|
11.1
|
%
|
|
1,925,973
|
|
(1
|
)
|
HSBC Securities (USA) Inc
|
1,190,769
|
|
|
8.7
|
%
|
|
1,225,194
|
|
|
|
Royal Bank of Canada
|
1,057,798
|
|
|
7.8
|
%
|
|
1,278,612
|
|
|
|
Citigroup Global Markets Inc.
|
979,247
|
|
|
7.2
|
%
|
|
1,157,265
|
|
(2
|
)
|
South Street Securities LLC
|
961,938
|
|
|
7.1
|
%
|
|
1,020,054
|
|
|
|
Banc of America Securities LLC
|
791,196
|
|
|
5.9
|
%
|
|
875,984
|
|
(3
|
)
|
ING Financial Market LLC
|
767,733
|
|
|
5.6
|
%
|
|
820,166
|
|
|
|
Mitsubishi UFJ Securities (USA), Inc.
|
710,058
|
|
|
5.2
|
%
|
|
744,836
|
|
|
|
J.P. Morgan Securities LLC
|
698,856
|
|
|
5.1
|
%
|
|
814,896
|
|
|
|
Industrial and Commercial Bank of China Financial Services LLC
|
682,193
|
|
|
5.0
|
%
|
|
716,989
|
|
|
|
Wells Fargo Securities, LLC
|
627,071
|
|
|
4.6
|
%
|
|
754,706
|
|
|
|
Pierpont Securities LLC
|
601,222
|
|
|
4.4
|
%
|
|
627,534
|
|
|
|
Morgan Stanley & Co. Incorporated
|
589,950
|
|
|
4.3
|
%
|
|
632,002
|
|
|
|
BNP Paribas Securities Corp.
|
559,658
|
|
|
4.1
|
%
|
|
622,749
|
|
|
|
Scotia Capital
|
521,778
|
|
|
3.8
|
%
|
|
542,044
|
|
|
|
KGS-Alpha Capital Markets, L.P.
|
407,920
|
|
|
3.0
|
%
|
|
430,241
|
|
|
|
All other counterparties
(4)
|
957,760
|
|
|
7.1
|
%
|
|
1,071,019
|
|
|
|
Total
|
13,622,677
|
|
|
100.0
|
%
|
|
15,260,264
|
|
|
|
98
|
|
December 31, 2013
$ in thousands
Repurchase Agreement Counterparties
|
Amount
Outstanding
|
|
Percent of Total
Amount
Outstanding
|
|
Company MBS and GSE CRTs
Held as Collateral
|
|
||||
Credit Suisse Securities (USA) LLC
|
1,809,896
|
|
|
11.8
|
%
|
|
2,203,883
|
|
(1
|
)
|
South Street Securities LLC
|
1,236,812
|
|
|
8.0
|
%
|
|
1,286,384
|
|
|
|
Banc of America Securities LLC
|
1,043,689
|
|
|
6.8
|
%
|
|
1,146,151
|
|
|
|
Citigroup Global Markets Inc.
|
1,027,210
|
|
|
6.6
|
%
|
|
1,164,162
|
|
|
|
JP Morgan Securities Inc.
|
875,201
|
|
|
5.7
|
%
|
|
1,001,116
|
|
|
|
Wells Fargo Securities, LLC
|
857,824
|
|
|
5.6
|
%
|
|
996,151
|
|
|
|
Pierpont Securities LLC
|
791,572
|
|
|
5.1
|
%
|
|
824,184
|
|
|
|
HSBC Securities (USA) Inc
|
787,462
|
|
|
5.1
|
%
|
|
809,230
|
|
|
|
RBS Securities Inc.
|
720,457
|
|
|
4.7
|
%
|
|
854,978
|
|
|
|
Royal Bank of Canada
|
710,705
|
|
|
4.6
|
%
|
|
850,870
|
|
|
|
Morgan Stanley & Co. Incorporated
|
691,599
|
|
|
4.5
|
%
|
|
758,761
|
|
|
|
ING Financial Market LLC
|
676,644
|
|
|
4.4
|
%
|
|
718,086
|
|
|
|
Mitsubishi UFJ Securities (USA), Inc.
|
625,703
|
|
|
4.0
|
%
|
|
656,046
|
|
|
|
Nomura Securities International, Inc.
|
578,265
|
|
|
3.7
|
%
|
|
608,193
|
|
|
|
Industrial and Commercial Bank of China Financial Services LLC
|
493,906
|
|
|
3.2
|
%
|
|
518,775
|
|
|
|
BNP Paribas Securities Corp.
|
471,372
|
|
|
3.1
|
%
|
|
499,106
|
|
|
|
Scotia Capital
|
443,534
|
|
|
2.9
|
%
|
|
461,066
|
|
|
|
Deutsche Bank Securities Inc.
|
423,405
|
|
|
2.7
|
%
|
|
468,939
|
|
|
|
Goldman, Sachs & Co.
|
404,094
|
|
|
2.6
|
%
|
|
423,598
|
|
|
|
KGS-Alpha Capital Markets, L.P.
|
202,677
|
|
|
1.3
|
%
|
|
214,033
|
|
|
|
All other counterparties
(2)
|
579,648
|
|
|
3.6
|
%
|
|
615,665
|
|
|
|
Total
|
15,451,675
|
|
|
100.0
|
%
|
|
17,079,377
|
|
|
|
99
|
|
$ in thousands
|
December 31, 2014
|
|
Fair value amount
|
(21,495
|
)
|
Notional amount
|
615,000
|
|
Maximum potential amount of future undiscounted payments
|
615,000
|
|
|
100
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Fair value amount
|
396
|
|
|
654
|
|
Notional amount
|
36,684
|
|
|
51,823
|
|
Maximum potential amount of future undiscounted payments
|
36,684
|
|
|
51,823
|
|
Recourse provisions with third parties
|
—
|
|
|
—
|
|
Collateral held by counterparty
|
5,642
|
|
|
7,979
|
|
|
101
|
|
$ in thousands
Counterparty
|
|
|
|
|
Notional
|
|
Maturity Date
|
|
Fixed Interest
Rate
in Contract
|
||
Morgan Stanley Capital Services, LLC
|
|
|
|
|
300,000
|
|
|
1/24/2016
|
|
2.12
|
%
|
The Bank of New York Mellon
|
|
|
|
|
300,000
|
|
|
1/24/2016
|
|
2.13
|
%
|
Morgan Stanley Capital Services, LLC
|
|
|
|
|
300,000
|
|
|
4/5/2016
|
|
2.48
|
%
|
Credit Suisse International
|
|
|
|
|
500,000
|
|
|
4/15/2016
|
|
2.27
|
%
|
The Bank of New York Mellon
|
|
|
|
|
500,000
|
|
|
4/15/2016
|
|
2.24
|
%
|
JPMorgan Chase Bank, N.A.
|
|
|
|
|
500,000
|
|
|
5/16/2016
|
|
2.31
|
%
|
Goldman Sachs Bank USA
|
|
|
|
|
500,000
|
|
|
5/24/2016
|
|
2.34
|
%
|
Goldman Sachs Bank USA
|
|
|
|
|
250,000
|
|
|
6/15/2016
|
|
2.67
|
%
|
Wells Fargo Bank, N.A.
|
|
|
|
|
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
|
%
|
ING Capital Markets LLC
|
|
|
|
|
350,000
|
|
|
2/24/2018
|
|
0.95
|
%
|
Morgan Stanley Capital Services, LLC
|
|
|
|
|
100,000
|
|
|
4/5/2018
|
|
3.10
|
%
|
ING Capital Markets LLC
|
|
|
|
|
300,000
|
|
|
5/5/2018
|
|
0.79
|
%
|
JPMorgan Chase Bank, N.A.
|
|
|
|
|
200,000
|
|
|
5/15/2018
|
|
2.93
|
%
|
UBS AG
|
|
|
|
|
500,000
|
|
|
5/24/2018
|
|
1.10
|
%
|
ING Capital Markets LLC
|
|
|
|
|
400,000
|
|
|
6/5/2018
|
|
0.87
|
%
|
The Royal Bank of Scotland Plc
|
|
|
|
|
500,000
|
|
|
9/5/2018
|
|
1.04
|
%
|
Citibank, N.A. CME Clearing House
|
|
(2)
|
(3)
|
|
300,000
|
|
|
2/5/2021
|
|
2.50
|
%
|
The Royal Bank of Scotland Plc CME Clearing House
|
|
(2)
|
(3)
|
|
300,000
|
|
|
2/5/2021
|
|
2.69
|
%
|
Wells Fargo Bank, N.A.
|
|
|
|
|
200,000
|
|
|
3/15/2021
|
|
3.14
|
%
|
Citibank, N.A.
|
|
|
|
|
200,000
|
|
|
5/25/2021
|
|
2.83
|
%
|
HSBC Bank USA, National Association
|
|
(1)
|
|
|
550,000
|
|
|
2/24/2022
|
|
2.45
|
%
|
HSBC Bank USA, National Association
|
|
|
|
|
250,000
|
|
|
6/5/2023
|
|
1.91
|
%
|
The Royal Bank of Scotland Plc
|
|
|
|
|
500,000
|
|
|
8/15/2023
|
|
1.98
|
%
|
Goldman Sachs Bank USA CME Clearing House
|
|
(3)
|
|
|
600,000
|
|
|
8/24/2023
|
|
2.88
|
%
|
UBS AG
|
|
|
|
|
250,000
|
|
|
11/15/2023
|
|
2.23
|
%
|
HSBC Bank USA, National Association
|
|
|
|
|
500,000
|
|
|
12/15/2023
|
|
2.20
|
%
|
Total
|
|
|
|
|
10,550,000
|
|
|
|
|
2.13
|
%
|
(1)
|
Forward start date of February 2015
|
(2)
|
Forward start date of February 2016
|
(3)
|
Beginning June 10, 2013, The Dodd-Frank Wall Street Reform and Consumer Protection Act mandates that the Company clear new interest rate swap transactions through a central counterparty. Transactions that are centrally cleared result in the Company facing a clearing house, rather than a swap dealer, as counterparty. Central clearing requires the Company to post collateral in the form of initial and variation margin to the clearing house which reduces default risk.
|
|
102
|
|
$ in thousands
|
Option
|
|
Underlying Swap
|
||||||||||||||||
Swaption
|
Expiration
|
|
Cost
|
|
Fair
Value
|
|
Average
Months to
Expiration
|
|
Notional
Amount
|
|
Average
Fixed Pay
Rate
|
|
Average
Receive
Rate
|
|
Average
Term
(Years)
|
||||
Payer
|
< 6 Months
|
|
7,738
|
|
|
51
|
|
|
2.33
|
|
750,000
|
|
|
3.13
|
%
|
|
3M Libor
|
|
6.7
|
Payer
|
> 6 Months
|
|
2,590
|
|
|
271
|
|
|
7.00
|
|
300,000
|
|
|
3.13
|
%
|
|
3M Libor
|
|
6.7
|
|
|
|
10,328
|
|
|
322
|
|
|
3.67
|
|
1,050,000
|
|
|
3.13
|
%
|
|
|
|
6.7
|
|
103
|
|
$ in thousands
|
|
Notional Amount as
of January 1, 2014
|
|
Additions
|
|
Settlement,
Termination,
Expiration
or Exercise
|
|
Notional Amount as
of December 31, 2014
|
|
Amount of Realized
Gain (loss), net on
Derivative
Instruments (excluding net interest paid or
received) for the year ended December 31, 2014
|
|||||
Interest Rate Swaptions
|
|
1,150,000
|
|
|
1,050,000
|
|
|
(1,150,000
|
)
|
|
1,050,000
|
|
|
(23,275
|
)
|
Interest Rate Swaps
|
|
12,800,000
|
|
|
—
|
|
|
(2,250,000
|
)
|
|
10,550,000
|
|
|
(28,758
|
)
|
Purchase of TBAs
|
|
—
|
|
|
591,000
|
|
|
(591,000
|
)
|
|
—
|
|
|
63
|
|
Sale of TBAs
|
|
—
|
|
|
2,745,000
|
|
|
(2,547,000
|
)
|
|
198,000
|
|
|
(10,906
|
)
|
Futures Contracts
|
|
100,000
|
|
|
1,377,000
|
|
|
(1,349,600
|
)
|
|
127,400
|
|
|
(11,489
|
)
|
Currency Forward Contracts
|
|
—
|
|
|
103,414
|
|
|
(67,726
|
)
|
|
35,688
|
|
|
2,178
|
|
Total
|
|
14,050,000
|
|
|
5,866,414
|
|
|
(7,955,326
|
)
|
|
11,961,088
|
|
|
(72,187
|
)
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
|||
Derivative
type for
cash flow
hedge
|
|
Amount of gain
(loss) recognized
in OCI on derivative
(effective portion)
|
|
Location of gain (loss) reclassified from accumulated
OCI into income
(effective portion)
|
|
Amount of gain (loss)
reclassified from
accumulated OCI
into income
(effective portion)
|
|
Location of gain
(loss) recognized
in income on
derivative
(ineffective portion)
|
|
Amount of gain (loss)
recognized in income
on derivative
(ineffective portion)
|
|||
Interest Rate Swaps
|
|
—
|
|
|
Interest Expense, Repurchase Agreements
|
|
(85,176
|
)
|
|
Gain (loss)
on derivative
instruments, net
|
|
—
|
|
|
104
|
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
|||
Derivative
type for
cash flow
hedge
|
|
Amount of gain
(loss) recognized
in OCI on derivative
(effective portion)
|
|
Location of gain (loss) reclassified from accumulated
OCI into income
(effective portion)
|
|
Amount of gain (loss)
reclassified from
accumulated OCI
into income
(effective portion)
|
|
Location of gain
(loss) recognized
in income on
derivative
(ineffective portion)
|
|
Amount of gain (loss)
recognized in income
on derivative
(ineffective portion)
|
|||
Interest Rate Swaps
|
|
263,135
|
|
|
Interest Expense, Repurchase Agreements
|
|
(166,016
|
)
|
|
Gain (loss)
on derivative
instruments, net
|
|
535
|
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
|||
Derivative
type for
cash flow
hedge
|
|
Amount of gain
(loss) recognized
in OCI on derivative
(effective portion)
|
|
Location of gain (loss) reclassified from accumulated
OCI into income
(effective portion)
|
|
Amount of gain (loss)
reclassified from
accumulated OCI
into income
(effective portion)
|
|
Location of gain
(loss) recognized
in income on
derivative
(ineffective portion)
|
|
Amount of gain (loss)
recognized in income
on derivative
(ineffective portion)
|
|||
Interest Rate Swaps
|
|
(182,272
|
)
|
|
Interest Expense, Repurchase Agreements
|
|
(142,982
|
)
|
|
Gain (loss)
on derivative
instruments, net
|
|
(369
|
)
|
$ in thousands
|
|
|
|
|
|||||||
Derivative
not designated as
hedging instrument
|
|
Location of unrealized gain (loss)
recognized in income
on derivative
|
|
Year ended December 31, 2014
(As Restated) |
|
Year ended December 31,
2013 |
|
Year ended December 31,
2012 |
|||
CDS Contract
|
|
Realized and unrealized credit derivative income (loss), net
|
|
(258
|
)
|
|
(865
|
)
|
|
180
|
|
GSE CRT Embedded Derivatives
|
|
Realized and unrealized credit derivative income (loss), net
|
|
(21,495
|
)
|
|
—
|
|
|
—
|
|
Total
|
|
|
|
(21,753
|
)
|
|
(865
|
)
|
|
180
|
|
$ in thousands
|
Year ended December 31, 2014
|
||||||||||
Derivative
not designated as
hedging instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps
|
(28,758
|
)
|
|
(199,783
|
)
|
|
(223,944
|
)
|
|
(452,485
|
)
|
Interest Rate Swaptions
|
(23,275
|
)
|
|
—
|
|
|
10,906
|
|
|
(12,369
|
)
|
TBAs
|
(10,843
|
)
|
|
—
|
|
|
(558
|
)
|
|
(11,401
|
)
|
Futures Contracts
|
(11,489
|
)
|
|
—
|
|
|
(2,502
|
)
|
|
(13,991
|
)
|
Currency Forward Contracts
|
2,178
|
|
|
—
|
|
|
599
|
|
|
2,777
|
|
Total
|
(72,187
|
)
|
|
(199,783
|
)
|
|
(215,499
|
)
|
|
(487,469
|
)
|
|
105
|
|
$ in thousands
|
Year ended December 31, 2013
|
||||||||||
Derivative instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps Ineffectiveness
|
—
|
|
|
—
|
|
|
535
|
|
|
535
|
|
Interest Rate Swaptions
|
56,279
|
|
|
—
|
|
|
(17,048
|
)
|
|
39,231
|
|
Futures Contracts
|
(2,353
|
)
|
|
—
|
|
|
2,590
|
|
|
237
|
|
Total
|
53,926
|
|
|
—
|
|
|
(13,923
|
)
|
|
40,003
|
|
$ in thousands
|
Year ended December 31, 2012
|
||||||||||
Derivative instrument
|
Realized gain (loss) on settlement, termination, expiration or
exercise, net
|
|
Contractual
interest expense
|
|
Unrealized
gain (loss), net
|
|
Gain (loss) on derivative instruments, net
|
||||
Interest Rate Swaps Ineffectiveness
|
—
|
|
|
—
|
|
|
(369
|
)
|
|
(369
|
)
|
Interest Rate Swaptions
|
—
|
|
|
—
|
|
|
(3,863
|
)
|
|
(3,863
|
)
|
Total
|
—
|
|
|
—
|
|
|
(4,232
|
)
|
|
(4,232
|
)
|
|
Years ended December 31,
|
|||||||
$ in thousands
|
2014
|
|
2013
|
|
2012
|
|||
Accumulated other comprehensive income (loss) from derivative instruments:
|
|
|
|
|
|
|||
Unrealized gain (loss) on derivative instruments at beginning of period
|
(6,066
|
)
|
|
(435,217
|
)
|
|
(395,926
|
)
|
Unrealized gain (loss) on derivative instruments, net
|
—
|
|
|
429,151
|
|
|
(39,291
|
)
|
Reclassification of amortization of repurchase agreements interest expense to repurchase agreements interest expense
|
85,176
|
|
|
—
|
|
|
—
|
|
Balance at end of period
|
79,110
|
|
|
(6,066
|
)
|
|
(435,217
|
)
|
•
|
The Company’s net asset value declines by certain percentages over a specified time period;
|
•
|
The Company’s stockholders’ equity declines by certain percentages over specified time periods;
|
•
|
The Company fails to maintain a minimum stockholders’ equity or market value of
$100.0 million
and
$80.0 million
, respectively.
|
|
106
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (1)
|
|
Collateral
Received
|
|
Net Amount
|
||||||
Derivatives
|
24,178
|
|
|
—
|
|
|
24,178
|
|
|
(5,277
|
)
|
|
(18,901
|
)
|
|
—
|
|
Total
|
24,178
|
|
|
—
|
|
|
24,178
|
|
|
(5,277
|
)
|
|
(18,901
|
)
|
|
—
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (2)(3)(5)
|
|
Collateral
Posted (2)(4)(5)
|
|
Net Amount
|
||||||
Derivatives
|
254,026
|
|
|
—
|
|
|
254,026
|
|
|
(235,908
|
)
|
|
(18,118
|
)
|
|
—
|
|
Repurchase Agreements
|
13,622,677
|
|
|
—
|
|
|
13,622,677
|
|
|
(13,622,677
|
)
|
|
—
|
|
|
—
|
|
Secured Loans
|
1,250,000
|
|
|
—
|
|
|
1,250,000
|
|
|
(1,250,000
|
)
|
|
—
|
|
|
—
|
|
Total
|
15,126,703
|
|
|
—
|
|
|
15,126,703
|
|
|
(15,108,585
|
)
|
|
(18,118
|
)
|
|
—
|
|
|
107
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Assets
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (1)
|
|
Cash
Collateral
Received
|
|
Net Amount
|
||||||
Derivatives
|
262,059
|
|
|
—
|
|
|
262,059
|
|
|
(671
|
)
|
|
(48,607
|
)
|
|
212,781
|
|
Total
|
262,059
|
|
|
—
|
|
|
262,059
|
|
|
(671
|
)
|
|
(48,607
|
)
|
|
212,781
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
|
||||||||
$ in thousands
Description
|
Gross
Amounts of
Recognized
Liabilities
|
|
Gross
Amounts
Offset in the
Consolidated
Balance
Sheets
|
|
Net Amounts
of Assets
presented
in the
Consolidated
Balance Sheets
|
|
Financial
Instruments (2)(3)
|
|
Cash
Collateral
Posted (2)(4)
|
|
Net Amount
|
||||||
Derivatives
|
263,204
|
|
|
—
|
|
|
263,204
|
|
|
(263,204
|
)
|
|
—
|
|
|
—
|
|
Repurchase Agreements
|
15,451,675
|
|
|
—
|
|
|
15,451,675
|
|
|
(15,451,675
|
)
|
|
—
|
|
|
—
|
|
|
15,714,879
|
|
|
—
|
|
|
15,714,879
|
|
|
(15,714,879
|
)
|
|
—
|
|
|
—
|
|
(1)
|
Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at
December 31, 2014
and
December 31, 2013
, subject to a netting arrangement.
|
(2)
|
Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.
|
(3)
|
The fair value of securities pledged against the Company's borrowing under repurchase agreements was
$15.3 billion
and
$17.1 billion
at
December 31, 2014
and
December 31, 2013
, respectively, including securities held as collateral that are eliminated in consolidation of
$403.2 million
and
$133.8 million
, respectively at
December 31, 2014
and
December 31, 2013
.
|
(4)
|
Total cash received on the Company's derivatives was
$14.9 million
and
$52.7 million
at
December 31, 2014
and
December 31, 2013
, respectively. Total non-cash collateral received on the Company's derivatives was
$10.8 million
and
$207.0 million
at
December 31, 2014
and
December 31, 2013
, respectively. Total cash posted by the Company on its derivatives was
$57.6 million
and
$1.5 million
at
December 31, 2014
and
December 31, 2013
, respectively.
|
(5)
|
The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was
$1.5 billion
at
December 31, 2014
.
|
•
|
Level 1 Inputs
– Quoted prices for identical instruments in active markets.
|
•
|
Level 2 Inputs
– Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
|
•
|
Level 3 Inputs
– Instruments with primarily unobservable value drivers.
|
|
108
|
|
|
December 31, 2014 (As Restated)
|
|
|
||||||||
|
Fair Value Measurements Using:
|
|
|
||||||||
$ in thousands
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total at
Fair Value
|
||||
Assets:
|
|
|
|
|
|
|
|
||||
Mortgage-backed and credit risk transfer securities
(1) (2)
|
—
|
|
|
17,270,390
|
|
|
(21,495
|
)
|
|
17,248,895
|
|
Derivative assets
|
89
|
|
|
23,693
|
|
|
396
|
|
|
24,178
|
|
Total assets
|
89
|
|
|
17,294,083
|
|
|
(21,099
|
)
|
|
17,273,073
|
|
Liabilities:
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
—
|
|
|
254,026
|
|
|
—
|
|
|
254,026
|
|
Total liabilities
|
—
|
|
|
254,026
|
|
|
—
|
|
|
254,026
|
|
|
December 31, 2013
|
|
|
||||||||
|
Fair Value Measurements Using:
|
|
|
||||||||
$ in thousands
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total at
Fair Value
|
||||
Assets:
|
|
|
|
|
|
|
|
||||
Mortgage-backed and credit risk transfer securities
(1)
|
—
|
|
|
17,348,657
|
|
|
—
|
|
|
17,348,657
|
|
Derivative assets
|
2,591
|
|
|
258,814
|
|
|
654
|
|
|
262,059
|
|
Total assets
|
2,591
|
|
|
17,607,471
|
|
|
654
|
|
|
17,610,716
|
|
Liabilities:
|
|
|
|
|
|
|
|
||||
Derivative liabilities
|
—
|
|
|
263,204
|
|
|
—
|
|
|
263,204
|
|
Total liabilities
|
—
|
|
|
263,204
|
|
|
—
|
|
|
263,204
|
|
(1)
|
For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."
|
(2)
|
As discussed in Note 2 "Summary of Significant Accounting Policies," the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments contain debt host contracts classified as Level 2 and embedded derivatives are classified as Level 3. As of
December 31, 2014
, the net embedded derivative liability position of
$21.5 million
includes
$3.1 million
of embedded derivatives in an asset position and
$24.6 million
of embedded derivatives in a liability position.
|
$ in thousands
|
2014
(As Restated) |
|
Beginning balance
|
—
|
|
Unrealized gains/(losses), net
|
(21,495
|
)
|
Ending balance
|
(21,495
|
)
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
||
$ in thousands
|
December 31, 2014
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted Average
|
||
GSE CRT Embedded derivatives
|
(21,495
|
)
|
|
Market Comparables
|
|
Prepayment Rate
|
|
4.46% - 8.98%
|
|
5.29
|
%
|
|
|
|
Vendor Pricing
|
|
Defaults Rate
|
|
0.12% - 0.37%
|
|
0.18
|
%
|
|
109
|
|
$ in thousands
|
December 31, 2014
|
|
December 31, 2013
|
||
Beginning balance
|
654
|
|
|
1,519
|
|
Unrealized gains/(losses), net
|
(258
|
)
|
|
(865
|
)
|
Ending balance
|
396
|
|
|
654
|
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
||
$ in thousands
|
December 31, 2014
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted Average
|
||
CDS Contract
|
396
|
|
|
Discounted cash flow
|
|
Swap Rate
|
|
|
|
2.39
|
%
|
|
|
|
|
|
Discount Rate
|
|
|
|
0.76
|
%
|
|
|
|
|
|
|
Credit Spread
|
|
|
|
0.24
|
%
|
|
|
|
|
|
|
Constant Prepayment Rate
|
|
1.0% - 20.0%
|
|
5.46
|
%
|
|
|
|
|
|
|
Constant Default Rate
|
|
0.6% - 100.0%
|
|
4.15
|
%
|
|
|
|
|
|
|
Loss Severity
|
|
1.1% - 62.3%
|
|
39.35
|
%
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
||
$ in thousands
|
December 31, 2013
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Weighted Average
|
||
CDS Contract
|
654
|
|
|
Discounted cash flow
|
|
Swap Rate
|
|
|
|
2.39
|
%
|
|
|
|
|
|
Discount Rate
|
|
|
|
0.50
|
%
|
|
|
|
|
|
|
Credit Spread
|
|
|
|
0.25
|
%
|
|
|
|
|
|
|
Constant Prepayment Rate
|
|
1.0% - 20.0%
|
|
5.76
|
%
|
|
|
|
|
|
|
Constant Default Rate
|
|
0.8% - 100.0%
|
|
4.89
|
%
|
|
|
|
|
|
|
Loss Severity
|
|
3.0% - 63.7%
|
|
43.31
|
%
|
|
110
|
|
|
December 31, 2014
|
|
December 31, 2013
|
||||||||
$ in thousands
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||
Financial Assets:
|
|
|
|
|
|
|
|
||||
Residential loans, held-for-investment
|
3,365,003
|
|
|
3,399,964
|
|
|
1,810,262
|
|
|
1,709,385
|
|
Commercial loans, held-for-investment
|
145,756
|
|
|
147,497
|
|
|
64,599
|
|
|
64,599
|
|
Other investments
|
106,498
|
|
|
106,498
|
|
|
54,403
|
|
|
54,403
|
|
Total
|
3,617,257
|
|
|
3,653,959
|
|
|
1,929,264
|
|
|
1,828,387
|
|
Financial Liabilities:
|
|
|
|
|
|
|
|
||||
Repurchase agreements
|
13,622,677
|
|
|
13,630,571
|
|
|
15,451,675
|
|
|
15,459,452
|
|
Secured loans
|
1,250,000
|
|
|
1,250,000
|
|
|
—
|
|
|
—
|
|
Asset-backed securities issued by securitization trusts
|
2,929,820
|
|
|
2,930,422
|
|
|
1,643,741
|
|
|
1,543,217
|
|
Exchangeable senior notes
|
400,000
|
|
|
379,500
|
|
|
400,000
|
|
|
368,250
|
|
Total
|
18,202,497
|
|
|
18,190,493
|
|
|
17,495,416
|
|
|
17,370,919
|
|
•
|
The fair value of residential loans held-for-investment is a Level 3 fair value measurement which is based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for loans with similar characteristics and credit quality.
|
•
|
The fair value of commercial loans held-for-investment is a Level 3 fair value measurement. New commercial loans are carried at their unpaid principal balance until the end of the calendar year in which they were originated unless market factors indicate cost may not be a reliable indicator of fair value. Subsequent to the year of origination, commercial loan investments are valued on at least an annual basis by an independent third party valuation agent using a discounted cash flow technique.
|
•
|
In December 2012, the Company acquired a
$10.0 million
debt security from a repurchase lending counterparty. The debt security is included in “Other investments” as of December 31, 2013, and its fair value is a Level 3 fair value measurement based on an expected present value technique. The debt security was redeemed in March 2014 at carrying value.
|
•
|
The fair value of FHLBI stock, included in "Other investments," is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at cost. As a result, the cost of the FHLBI stock approximates its fair value.
|
•
|
The fair value of investments in unconsolidated ventures, included in "Other investments," is a Level 3 fair value measurement. The fair value measurement is based on the net asset value per share of the Company's investments.
|
•
|
The fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.
|
•
|
The fair value of asset-backed securities issued by securitization trusts is a Level 3 fair value measurement based on valuations obtained from a third party pricing service. There is not an active trading market for many of the underlying asset-backed securities. Accordingly, these securities are valued by the third party pricing service by discounting future estimated cash flows using rates that best reflect current market interest rates that would be offered for securities with similar characteristics and credit quality.
|
•
|
The fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value.
|
•
|
The fair value of the exchangeable senior notes issued is a Level 2 fair value measurement based on a valuation obtained from a third-party pricing service.
|
|
111
|
|
|
Years ended December 31,
|
|||||||
$ in thousands
|
2014
|
|
2013
|
|
2012
|
|||
Incurred costs, prepaid or expensed
|
5,954
|
|
|
4,449
|
|
|
3,138
|
|
Incurred costs, charged against equity as a cost of raising capital
|
213
|
|
|
418
|
|
|
249
|
|
Incurred costs, capitalized to other assets
|
—
|
|
|
7
|
|
|
28
|
|
Total incurred costs, originally paid by the Manager
|
6,167
|
|
|
4,874
|
|
|
3,415
|
|
|
112
|
|
|
113
|
|
Date Declared
|
Dividends Declared Per Share
|
||||
|
Amount
|
|
Date of Payment
|
||
2014
|
|
|
|
||
December 16, 2014
|
$
|
0.45
|
|
|
January 27, 2015
|
September 15, 2014
|
$
|
0.50
|
|
|
October 28, 2014
|
June 16, 2014
|
$
|
0.50
|
|
|
July 28, 2014
|
March 18, 2014
|
$
|
0.50
|
|
|
April 28, 2014
|
2013
|
|
|
|
||
December 17, 2013
|
$
|
0.50
|
|
|
January 28, 2014
|
September 16, 2013
|
$
|
0.50
|
|
|
October 28, 2013
|
June 17, 2013
|
$
|
0.65
|
|
|
July 26, 2013
|
March 19, 2013
|
$
|
0.65
|
|
|
April 26, 2013
|
|
114
|
|
Date Declared
|
Dividends Declared Per Share
|
||||
|
Amount
|
|
Date of Payment
|
||
2014
|
|
|
|
||
December 16, 2014
|
$
|
0.4844
|
|
|
January 26, 2015
|
September 15, 2014
|
$
|
0.4844
|
|
|
October 27, 2014
|
June 16, 2014
|
$
|
0.4844
|
|
|
July 25, 2014
|
March 18, 2014
|
$
|
0.4844
|
|
|
April 25, 2014
|
2013
|
|
|
|
||
December 17, 2013
|
$
|
0.4844
|
|
|
January 27, 2014
|
September 16, 2013
|
$
|
0.4844
|
|
|
October 25, 2013
|
June 17, 2013
|
$
|
0.4844
|
|
|
July 25, 2013
|
March 19, 2013
|
$
|
0.4844
|
|
|
April 25, 2013
|
Date Declared
|
Dividends Declared Per Share
|
||||
|
Amount
|
|
Date of Payment
|
||
2014
|
|
|
|
||
December 16, 2014
|
$
|
0.4844
|
|
|
March 27, 2015
|
November 4, 2014
|
$
|
0.5705
|
|
|
December 29, 2014
|
|
|
|
|
Tax Characterization of Dividends
|
||||||||
Fiscal Tax Year
|
|
Dividends Declared
|
|
Ordinary Dividends
|
|
Capital Gain Distribution
|
|
Carry Forward
|
||||
Series A Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
||||
Fiscal tax year 2014
(1)
|
|
1.937600
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
Fiscal tax year 2013
(2)
|
|
1.937600
|
|
|
1.937600
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
||||
Series B Preferred Stock Dividends
|
|
|
|
|
|
|
|
|
||||
Fiscal tax year 2014
(3)
|
|
0.570500
|
|
|
0.570500
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
||||
Common Stock Dividends
|
|
|
|
|
|
|
|
|
||||
Fiscal tax year 2014
|
|
1.950000
|
|
|
1.776691
|
|
|
—
|
|
|
0.173309
|
|
Fiscal tax year 2013
|
|
2.300000
|
|
|
2.300000
|
|
|
—
|
|
|
—
|
|
(1)
|
Excludes preferred stock dividend of
$0.4844
per share declared on December 16, 2014 having a record date of January 1, 2015, which for federal income tax purposes is a fiscal tax year 2015 dividend.
|
(2)
|
Excludes preferred stock dividend of
$0.4844
per share declared on December 17, 2013 having a record date of January 1, 2014, which for federal income tax purposes is a fiscal tax year 2014 dividend.
|
(3)
|
Excludes preferred stock dividend of
$0.4844
per share declared on December 16, 2014 having a record date of
March 5, 2015
, which for federal income tax purposes is a fiscal tax year 2015 dividend.
|
|
115
|
|
$ and share amounts in thousands
|
Years Ended December 31,
|
|||||||
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Numerator (Income)
|
|
|
|
|
|
|||
Basic Earnings:
|
|
|
|
|
|
|||
Net income (loss) available to common stockholders
|
(245,484
|
)
|
|
147,304
|
|
|
333,279
|
|
Effect of dilutive securities:
|
|
|
|
|
|
|||
Income allocated to exchangeable senior notes
|
—
|
|
|
—
|
|
|
—
|
|
Income (loss) allocated to non-controlling interest
|
(2,632
|
)
|
|
1,667
|
|
|
4,108
|
|
Dilutive net income (loss) available to stockholders
|
(248,116
|
)
|
|
148,971
|
|
|
337,387
|
|
Denominator (Weighted Average Shares)
|
|
|
|
|
|
|||
Basic Earnings:
|
|
|
|
|
|
|||
Shares available to common stockholders
|
123,105
|
|
|
132,714
|
|
|
115,559
|
|
Effect of dilutive securities:
|
|
|
|
|
|
|||
Restricted stock awards
|
—
|
|
|
35
|
|
|
29
|
|
OP Units
|
1,425
|
|
|
1,425
|
|
|
1,425
|
|
Exchangeable senior notes
|
—
|
|
|
—
|
|
|
—
|
|
Dilutive Shares
|
124,530
|
|
|
134,174
|
|
|
117,013
|
|
|
Years ended December 31,
|
|||||||
$ in thousands
|
2014
(As Restated) |
|
2013
(As Restated) |
|
2012
|
|||
Net income (loss) allocated
|
(2,632
|
)
|
|
1,667
|
|
|
4,108
|
|
Distributions paid
|
2,850
|
|
|
3,491
|
|
|
3,705
|
|
|
116
|
|
|
117
|
|
|
As of
|
||||||||||||||||
|
March 31, 2014
|
|
June 30, 2014
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
||||||
Accumulated other comprehensive income (loss)
|
43,183
|
|
|
(16,309
|
)
|
|
26,874
|
|
|
355,093
|
|
|
(44,588
|
)
|
|
310,505
|
|
Retained earnings (distributions in excess of earnings)
|
(291,940
|
)
|
|
16,309
|
|
|
(275,631
|
)
|
|
(447,542
|
)
|
|
44,588
|
|
|
(402,954
|
)
|
(1)
|
Includes
$13.7 million
of unrealized gain resulting from GSE CRTs and
$2.6 million
of unrealized gain resulting from Agency MBS IOs as of
March 31, 2014
and
$41.4 million
of unrealized gain resulting from GSE CRTs and
$3.2 million
of unrealized gain resulting from Agency MBS IOs as of
June 30, 2014
.
|
|
As of
|
||||||||||||||||
|
September 30, 2014
|
|
December 31, 2014
|
||||||||||||||
|
(unaudited)
|
|
|
|
|
|
|
||||||||||
In thousands
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
||||||
Accumulated other comprehensive income (loss)
|
310,837
|
|
|
(11,080
|
)
|
|
299,757
|
|
|
404,559
|
|
|
20,033
|
|
|
424,592
|
|
Retained earnings (distributions in excess of earnings)
|
(477,759
|
)
|
|
11,080
|
|
|
(466,679
|
)
|
|
(612,821
|
)
|
|
(20,033
|
)
|
|
(632,854
|
)
|
(1)
|
Includes
$8.3 million
of unrealized gain resulting from GSE CRTs and
$2.8 million
of unrealized gain resulting from Agency MBS IOs as of
September 30, 2014
and
$21.0 million
of unrealized loss resulting from GSE CRTs and
$1.0 million
of unrealized gain resulting from Agency MBS IOs as of
December 31, 2014
.
|
|
As of
|
||||||||||||||||
|
March 31, 2013
|
|
June 30, 2013
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
||||||
Accumulated other comprehensive income (loss)
|
35,248
|
|
|
8,043
|
|
|
43,291
|
|
|
(359,519
|
)
|
|
(3,034
|
)
|
|
(362,553
|
)
|
Retained earnings (distributions in excess of earnings)
|
15,430
|
|
|
(8,043
|
)
|
|
7,387
|
|
|
66,387
|
|
|
3,034
|
|
|
69,421
|
|
(1)
|
Includes
$8.0 million
of unrealized loss and
$3.0 million
of unrealized gain resulting from Agency MBS IOs as of
March 31, 2013
and
June 30, 2013
, respectively.
|
|
As of
|
||||||||||||||||
|
September 30, 2013
|
|
December 31, 2013
|
||||||||||||||
|
(unaudited)
|
|
|
|
|
|
|
||||||||||
In thousands
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
(1)
|
|
As
Restated
|
||||||
Accumulated other comprehensive income (loss)
|
(315,469
|
)
|
|
1,203
|
|
|
(314,266
|
)
|
|
(156,993
|
)
|
|
(8,628
|
)
|
|
(165,621
|
)
|
Retained earnings (distributions in excess of earnings)
|
(9,912
|
)
|
|
(1,203
|
)
|
|
(11,115
|
)
|
|
(155,957
|
)
|
|
8,628
|
|
|
(147,329
|
)
|
(1)
|
Includes
$1.2 million
of unrealized loss and
$8.6 million
of unrealized gain resulting from Agency MBS IOs as of
September 30, 2013
and
December 31, 2013
, respectively.
|
|
118
|
|
|
Three Months Ended
|
||||||||||||||||
|
March 31, 2014
|
|
June 30, 2014
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
151,739
|
|
|
(3,334
|
)
|
|
148,405
|
|
|
151,920
|
|
|
(3,725
|
)
|
|
148,195
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(11,718
|
)
|
|
(6,054
|
)
|
|
(17,772
|
)
|
|
(20,766
|
)
|
|
569
|
|
|
(20,197
|
)
|
Realized and unrealized credit derivative income (loss), net
|
329
|
|
|
17,158
|
|
|
17,487
|
|
|
292
|
|
|
31,763
|
|
|
32,055
|
|
Net income (loss)
|
(72,549
|
)
|
|
7,770
|
|
|
(64,779
|
)
|
|
(92,397
|
)
|
|
28,607
|
|
|
(63,790
|
)
|
Net income (loss) attributable to non-controlling interest
|
(822
|
)
|
|
89
|
|
|
(733
|
)
|
|
(1,057
|
)
|
|
328
|
|
|
(729
|
)
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(71,727
|
)
|
|
7,681
|
|
|
(64,046
|
)
|
|
(91,340
|
)
|
|
28,279
|
|
|
(63,061
|
)
|
Net income (loss) attributable to common stockholders
|
(74,440
|
)
|
|
7,681
|
|
|
(66,759
|
)
|
|
(94,052
|
)
|
|
28,279
|
|
|
(65,773
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(0.60
|
)
|
|
0.06
|
|
|
(0.54
|
)
|
|
(0.76
|
)
|
|
0.23
|
|
|
(0.53
|
)
|
Diluted
|
(0.60
|
)
|
|
0.06
|
|
|
(0.54
|
)
|
|
(0.76
|
)
|
|
0.23
|
|
|
(0.53
|
)
|
|
Three Months Ended
|
||||||||||||||||
|
September 30, 2014
|
|
December 31, 2014
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
144,043
|
|
|
(4,624
|
)
|
|
139,419
|
|
|
148,655
|
|
|
(5,612
|
)
|
|
143,043
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(47,952
|
)
|
|
(412
|
)
|
|
(48,364
|
)
|
|
1,006
|
|
|
(1,841
|
)
|
|
(835
|
)
|
Realized and unrealized credit derivative income (loss), net
|
247
|
|
|
(28,860
|
)
|
|
(28,613
|
)
|
|
225
|
|
|
(24,020
|
)
|
|
(23,795
|
)
|
Net income (loss)
|
34,440
|
|
|
(33,896
|
)
|
|
544
|
|
|
(71,240
|
)
|
|
(31,473
|
)
|
|
(102,713
|
)
|
Net income (loss) attributable to non-controlling interest
|
394
|
|
|
(388
|
)
|
|
6
|
|
|
(816
|
)
|
|
(360
|
)
|
|
(1,176
|
)
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
34,046
|
|
|
(33,508
|
)
|
|
538
|
|
|
(70,424
|
)
|
|
(31,113
|
)
|
|
(101,537
|
)
|
Net income (loss) attributable to common stockholders
|
30,672
|
|
|
(33,508
|
)
|
|
(2,836
|
)
|
|
(79,003
|
)
|
|
(31,113
|
)
|
|
(110,116
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
0.25
|
|
|
(0.27
|
)
|
|
(0.02
|
)
|
|
(0.64
|
)
|
|
(0.25
|
)
|
|
(0.89
|
)
|
Diluted
|
0.25
|
|
|
(0.27
|
)
|
|
(0.02
|
)
|
|
(0.64
|
)
|
|
(0.25
|
)
|
|
(0.89
|
)
|
|
119
|
|
|
Three Months Ended
|
||||||||||||||||
|
March 31, 2013
|
|
June 30, 2013
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
160,344
|
|
|
—
|
|
|
160,344
|
|
|
168,736
|
|
|
—
|
|
|
168,736
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
6,712
|
|
|
(137
|
)
|
|
6,575
|
|
|
5,692
|
|
|
11,194
|
|
|
16,886
|
|
Realized and unrealized credit derivative income (loss), net
|
351
|
|
|
—
|
|
|
351
|
|
|
180
|
|
|
—
|
|
|
180
|
|
Net income (loss)
|
87,667
|
|
|
(137
|
)
|
|
87,530
|
|
|
143,053
|
|
|
11,194
|
|
|
154,247
|
|
Net income (loss) attributable to non-controlling interest
|
962
|
|
|
(1
|
)
|
|
961
|
|
|
1,493
|
|
|
117
|
|
|
1,610
|
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
86,705
|
|
|
(136
|
)
|
|
86,569
|
|
|
141,560
|
|
|
11,077
|
|
|
152,637
|
|
Net income (loss) attributable to common stockholders
|
83,992
|
|
|
(136
|
)
|
|
83,856
|
|
|
138,847
|
|
|
11,077
|
|
|
149,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
0.65
|
|
|
—
|
|
|
0.65
|
|
|
1.03
|
|
|
0.08
|
|
|
1.11
|
|
Diluted
|
0.64
|
|
|
—
|
|
|
0.64
|
|
|
0.95
|
|
|
0.07
|
|
|
1.02
|
|
|
Three Months Ended
|
||||||||||||||||
|
September 30, 2013
|
|
December 31, 2013
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
157,539
|
|
|
—
|
|
|
157,539
|
|
|
160,168
|
|
|
—
|
|
|
160,168
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(69,323
|
)
|
|
(4,282
|
)
|
|
(73,605
|
)
|
|
(142,530
|
)
|
|
9,941
|
|
|
(132,589
|
)
|
Realized and unrealized credit derivative income (loss), net
|
297
|
|
|
—
|
|
|
297
|
|
|
299
|
|
|
—
|
|
|
299
|
|
Net income (loss)
|
(6,036
|
)
|
|
(4,282
|
)
|
|
(10,318
|
)
|
|
(81,578
|
)
|
|
9,941
|
|
|
(71,637
|
)
|
Net income (loss) attributable to non-controlling interest
|
(63
|
)
|
|
(45
|
)
|
|
(108
|
)
|
|
(906
|
)
|
|
110
|
|
|
(796
|
)
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(5,973
|
)
|
|
(4,237
|
)
|
|
(10,210
|
)
|
|
(80,672
|
)
|
|
9,831
|
|
|
(70,841
|
)
|
Net income (loss) attributable to common stockholders
|
(8,686
|
)
|
|
(4,237
|
)
|
|
(12,923
|
)
|
|
(83,384
|
)
|
|
9,831
|
|
|
(73,553
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(0.06
|
)
|
|
(0.04
|
)
|
|
(0.10
|
)
|
|
(0.63
|
)
|
|
0.07
|
|
|
(0.56
|
)
|
Diluted
|
(0.06
|
)
|
|
(0.04
|
)
|
|
(0.10
|
)
|
|
(0.63
|
)
|
|
0.07
|
|
|
(0.56
|
)
|
|
120
|
|
|
Six Months Ended
|
||||||||||||||||
|
June 30, 2014
|
|
June 30, 2013
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
303,659
|
|
|
(7,059
|
)
|
|
296,600
|
|
|
329,080
|
|
|
—
|
|
|
329,080
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(32,484
|
)
|
|
(5,485
|
)
|
|
(37,969
|
)
|
|
12,404
|
|
|
11,057
|
|
|
23,461
|
|
Realized and unrealized credit derivative income (loss), net
|
621
|
|
|
48,921
|
|
|
49,542
|
|
|
531
|
|
|
—
|
|
|
531
|
|
Net income (loss)
|
(164,946
|
)
|
|
36,377
|
|
|
(128,569
|
)
|
|
230,718
|
|
|
11,057
|
|
|
241,775
|
|
Net income (loss) attributable to non-controlling interest
|
(1,879
|
)
|
|
417
|
|
|
(1,462
|
)
|
|
2,455
|
|
|
116
|
|
|
2,571
|
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(163,067
|
)
|
|
35,960
|
|
|
(127,107
|
)
|
|
228,263
|
|
|
10,941
|
|
|
239,204
|
|
Net income (loss) attributable to common stockholders
|
(168,492
|
)
|
|
35,960
|
|
|
(132,532
|
)
|
|
222,838
|
|
|
10,941
|
|
|
233,779
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(1.37
|
)
|
|
0.29
|
|
|
(1.08
|
)
|
|
1.69
|
|
|
0.08
|
|
|
1.77
|
|
Diluted
|
(1.37
|
)
|
|
0.29
|
|
|
(1.08
|
)
|
|
1.61
|
|
|
0.08
|
|
|
1.69
|
|
|
Nine Months Ended
|
||||||||||||||||
|
September 30, 2014
|
|
September 30, 2013
|
||||||||||||||
|
(unaudited)
|
|
(unaudited)
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
447,702
|
|
|
(11,683
|
)
|
|
436,019
|
|
|
486,619
|
|
|
—
|
|
|
486,619
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(80,436
|
)
|
|
(5,897
|
)
|
|
(86,333
|
)
|
|
(56,919
|
)
|
|
6,775
|
|
|
(50,144
|
)
|
Realized and unrealized credit derivative income (loss), net
|
868
|
|
|
20,061
|
|
|
20,929
|
|
|
828
|
|
|
—
|
|
|
828
|
|
Net income (loss)
|
(130,506
|
)
|
|
2,481
|
|
|
(128,025
|
)
|
|
224,682
|
|
|
6,775
|
|
|
231,457
|
|
Net income (loss) attributable to non-controlling interest
|
(1,485
|
)
|
|
29
|
|
|
(1,456
|
)
|
|
2,392
|
|
|
71
|
|
|
2,463
|
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(129,021
|
)
|
|
2,452
|
|
|
(126,569
|
)
|
|
222,290
|
|
|
6,704
|
|
|
228,994
|
|
Net income (loss) attributable to common stockholders
|
(137,820
|
)
|
|
2,452
|
|
|
(135,368
|
)
|
|
214,152
|
|
|
6,704
|
|
|
220,856
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(1.12
|
)
|
|
0.02
|
|
|
(1.10
|
)
|
|
1.61
|
|
|
0.05
|
|
|
1.66
|
|
Diluted
|
(1.12
|
)
|
|
0.02
|
|
|
(1.10
|
)
|
|
1.56
|
|
|
0.04
|
|
|
1.60
|
|
|
121
|
|
|
Years Ended
|
||||||||||||||||
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Interest Income:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Mortgage-backed and credit risk transfer securities
|
596,357
|
|
|
(17,295
|
)
|
|
579,062
|
|
|
646,787
|
|
|
—
|
|
|
646,787
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gain (loss) on investments, net
|
(79,430
|
)
|
|
(7,738
|
)
|
|
(87,168
|
)
|
|
(199,449
|
)
|
|
16,716
|
|
|
(182,733
|
)
|
Realized and unrealized credit derivative income (loss), net
|
1,093
|
|
|
(3,959
|
)
|
|
(2,866
|
)
|
|
1,127
|
|
|
—
|
|
|
1,127
|
|
Net income (loss)
|
(201,746
|
)
|
|
(28,992
|
)
|
|
(230,738
|
)
|
|
143,106
|
|
|
16,716
|
|
|
159,822
|
|
Net income (loss) attributable to non-controlling interest
|
(2,301
|
)
|
|
(331
|
)
|
|
(2,632
|
)
|
|
1,486
|
|
|
181
|
|
|
1,667
|
|
Net income (loss) attributable to Invesco Mortgage Capital, Inc.
|
(199,445
|
)
|
|
(28,661
|
)
|
|
(228,106
|
)
|
|
141,620
|
|
|
16,535
|
|
|
158,155
|
|
Net income (loss) attributable to common stockholders
|
(216,823
|
)
|
|
(28,661
|
)
|
|
(245,484
|
)
|
|
130,769
|
|
|
16,535
|
|
|
147,304
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Basic
|
(1.76
|
)
|
|
(0.23
|
)
|
|
(1.99
|
)
|
|
0.99
|
|
|
0.12
|
|
|
1.11
|
|
Diluted
|
(1.76
|
)
|
|
(0.23
|
)
|
|
(1.99
|
)
|
|
0.99
|
|
|
0.12
|
|
|
1.11
|
|
|
Years Ended
|
||||||||||||||||
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Net income (loss)
|
(201,746
|
)
|
|
(28,992
|
)
|
|
(230,738
|
)
|
|
143,106
|
|
|
16,716
|
|
|
159,822
|
|
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities
|
403,435
|
|
|
27,763
|
|
|
431,198
|
|
|
(874,545
|
)
|
|
(16,716
|
)
|
|
(891,261
|
)
|
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net
|
79,430
|
|
|
1,229
|
|
|
80,659
|
|
|
199,449
|
|
|
—
|
|
|
199,449
|
|
Total other comprehensive income (loss)
|
568,041
|
|
|
28,992
|
|
|
597,033
|
|
|
(245,945
|
)
|
|
(16,716
|
)
|
|
(262,661
|
)
|
Comprehensive income (loss)
|
366,295
|
|
|
—
|
|
|
366,295
|
|
|
(102,839
|
)
|
|
—
|
|
|
(102,839
|
)
|
Comprehensive (income) loss attributable to non-controlling interest
|
(4,188
|
)
|
|
—
|
|
|
(4,188
|
)
|
|
1,029
|
|
|
—
|
|
|
1,029
|
|
Comprehensive income (loss) attributable to common stockholders
|
344,729
|
|
|
—
|
|
|
344,729
|
|
|
(112,661
|
)
|
|
—
|
|
|
(112,661
|
)
|
|
122
|
|
|
Years Ended
|
||||||||||||||||
|
December 31, 2014
|
|
December 31, 2013
|
||||||||||||||
In thousands
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
|
As Reported
|
|
Adjustment
|
|
As
Restated
|
||||||
Cash Flows from Operating Activities
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net income (loss)
|
(201,746
|
)
|
|
(28,992
|
)
|
|
(230,738
|
)
|
|
143,106
|
|
|
16,716
|
|
|
159,822
|
|
Amortization of mortgage-backed and credit risk transfer securities premiums (discounts), net
|
124,610
|
|
|
(241
|
)
|
|
124,369
|
|
|
180,121
|
|
|
—
|
|
|
180,121
|
|
Realized and unrealized credit derivative income (loss), net
|
258
|
|
|
21,495
|
|
|
21,753
|
|
|
865
|
|
|
—
|
|
|
865
|
|
Gain (loss) on investments, net
|
79,430
|
|
|
7,738
|
|
|
87,168
|
|
|
199,449
|
|
|
(16,716
|
)
|
|
182,733
|
|
Non-cash Investing and Financing Activities Information
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net change in unrealized gain (loss) on mortgage-backed securities and hedged derivatives
|
482,865
|
|
|
28,992
|
|
|
511,857
|
|
|
(245,945
|
)
|
|
(16,716
|
)
|
|
(262,661
|
)
|
|
123
|
|
|
As Restated
|
||||||||||||||||||||||
$ in thousands except share amounts
|
Q4 14
|
|
Q3 14
|
|
Q2 14
|
|
Q1 14
|
|
Q4 13
|
|
Q3 13
|
|
Q2 13
|
|
Q1 13
|
||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Mortgage-backed securities
|
143,043
|
|
|
139,419
|
|
|
148,195
|
|
|
148,405
|
|
|
160,168
|
|
|
157,539
|
|
|
168,736
|
|
|
160,344
|
|
Residential loans
|
27,185
|
|
|
22,713
|
|
|
20,471
|
|
|
17,704
|
|
|
13,679
|
|
|
13,417
|
|
|
6,889
|
|
|
137
|
|
Commercial loans
|
3,179
|
|
|
2,649
|
|
|
2,061
|
|
|
1,619
|
|
|
1,019
|
|
|
372
|
|
|
60
|
|
|
—
|
|
Total interest income
|
173,407
|
|
|
164,781
|
|
|
170,727
|
|
|
167,728
|
|
|
174,866
|
|
|
171,328
|
|
|
175,685
|
|
|
160,481
|
|
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Repurchase agreements
|
46,050
|
|
|
45,756
|
|
|
47,822
|
|
|
49,071
|
|
|
79,061
|
|
|
73,695
|
|
|
68,463
|
|
|
66,328
|
|
Secured loans
|
1,177
|
|
|
1,223
|
|
|
176
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Exchangeable senior notes
|
5,621
|
|
|
5,620
|
|
|
5,613
|
|
|
5,607
|
|
|
5,620
|
|
|
5,621
|
|
|
5,622
|
|
|
1,160
|
|
Asset-backed securities
|
20,738
|
|
|
17,660
|
|
|
15,826
|
|
|
13,935
|
|
|
10,960
|
|
|
10,266
|
|
|
5,377
|
|
|
79
|
|
Total interest expense
|
73,586
|
|
|
70,259
|
|
|
69,437
|
|
|
68,613
|
|
|
95,641
|
|
|
89,582
|
|
|
79,462
|
|
|
67,567
|
|
Net interest income
|
99,821
|
|
|
94,522
|
|
|
101,290
|
|
|
99,115
|
|
|
79,225
|
|
|
81,746
|
|
|
96,223
|
|
|
92,914
|
|
(Reduction in) provision for loan losses
|
(90
|
)
|
|
(209
|
)
|
|
(50
|
)
|
|
207
|
|
|
134
|
|
|
87
|
|
|
663
|
|
|
—
|
|
Net interest income after provision for loan losses
|
99,911
|
|
|
94,731
|
|
|
101,340
|
|
|
98,908
|
|
|
79,091
|
|
|
81,659
|
|
|
95,560
|
|
|
92,914
|
|
Other income (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on investments, net
|
(835
|
)
|
|
(48,364
|
)
|
|
(20,197
|
)
|
|
(17,772
|
)
|
|
(132,589
|
)
|
|
(73,605
|
)
|
|
16,886
|
|
|
6,575
|
|
Equity in earnings of unconsolidated ventures
|
1,306
|
|
|
1,145
|
|
|
3,894
|
|
|
441
|
|
|
176
|
|
|
1,422
|
|
|
2,157
|
|
|
1,590
|
|
Gain (loss) on derivative instruments, net
|
(164,637
|
)
|
|
(3,704
|
)
|
|
(167,816
|
)
|
|
(151,312
|
)
|
|
(4,421
|
)
|
|
(6,887
|
)
|
|
53,314
|
|
|
(2,003
|
)
|
Realized and unrealized credit derivative income (loss), net
|
(23,795
|
)
|
|
(28,613
|
)
|
|
32,055
|
|
|
17,487
|
|
|
299
|
|
|
297
|
|
|
180
|
|
|
351
|
|
Other investment income (loss), net
|
(687
|
)
|
|
(1,358
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Total other income (loss)
|
(188,648
|
)
|
|
(80,894
|
)
|
|
(152,064
|
)
|
|
(151,156
|
)
|
|
(136,535
|
)
|
|
(78,773
|
)
|
|
72,537
|
|
|
6,513
|
|
Expenses
|
13,976
|
|
|
13,293
|
|
|
13,066
|
|
|
12,531
|
|
|
14,193
|
|
|
13,204
|
|
|
13,850
|
|
|
11,897
|
|
Net income (loss)
|
(102,713
|
)
|
|
544
|
|
|
(63,790
|
)
|
|
(64,779
|
)
|
|
(71,637
|
)
|
|
(10,318
|
)
|
|
154,247
|
|
|
87,530
|
|
Net income (loss) attributable to non-controlling interest
|
(1,176
|
)
|
|
6
|
|
|
(729
|
)
|
|
(733
|
)
|
|
(796
|
)
|
|
(108
|
)
|
|
1,610
|
|
|
961
|
|
Net income (loss) attributable to Invesco Mortgage Capital Inc.
|
(101,537
|
)
|
|
538
|
|
|
(63,061
|
)
|
|
(64,046
|
)
|
|
(70,841
|
)
|
|
(10,210
|
)
|
|
152,637
|
|
|
86,569
|
|
Dividends to preferred stockholders
|
9,240
|
|
|
2,713
|
|
|
2,712
|
|
|
2,713
|
|
|
2,712
|
|
|
2,713
|
|
|
2,713
|
|
|
2,713
|
|
Undeclared cumulative dividends to preferred stockholders
|
(661
|
)
|
|
661
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Net income (loss) attributable to common stockholders
|
(110,116
|
)
|
|
(2,836
|
)
|
|
(65,773
|
)
|
|
(66,759
|
)
|
|
(73,553
|
)
|
|
(12,923
|
)
|
|
149,924
|
|
|
83,856
|
|
Earnings (loss) per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Net income (loss) attributable to common stockholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
(0.89
|
)
|
|
(0.02
|
)
|
|
(0.53
|
)
|
|
(0.54
|
)
|
|
(0.56
|
)
|
|
(0.10
|
)
|
|
1.11
|
|
|
0.65
|
|
Diluted
|
(0.89
|
)
|
|
(0.02
|
)
|
|
(0.53
|
)
|
|
(0.54
|
)
|
|
(0.56
|
)
|
|
(0.10
|
)
|
|
1.02
|
|
|
0.64
|
|
|
124
|
|
|
As Restated
|
||||||||||
$ in thousands except share amounts
|
Q4 14
|
|
Q3 14
|
|
Q2 14
|
|
Q1 14
|
||||
ASSETS
|
|
|
|
|
|
|
|
||||
Mortgage-backed and credit risk transfer securities, at fair value
|
17,248,895
|
|
|
17,297,034
|
|
|
18,247,789
|
|
|
17,535,190
|
|
Residential loans, held-for-investment
|
3,365,003
|
|
|
3,103,434
|
|
|
2,310,686
|
|
|
2,070,493
|
|
Commercial loans, held-for-investment
|
145,756
|
|
|
144,707
|
|
|
95,585
|
|
|
92,748
|
|
Cash and cash equivalents
|
164,144
|
|
|
128,944
|
|
|
126,128
|
|
|
188,371
|
|
Due from counterparties
|
57,604
|
|
|
28,499
|
|
|
30,413
|
|
|
4,879
|
|
Investment related receivable
|
38,717
|
|
|
55,942
|
|
|
399,499
|
|
|
303,565
|
|
Accrued interest receivable
|
66,044
|
|
|
66,295
|
|
|
69,261
|
|
|
66,999
|
|
Derivative assets, at fair value
|
24,178
|
|
|
74,421
|
|
|
70,190
|
|
|
166,691
|
|
Deferred securitization and financing costs
|
13,080
|
|
|
13,485
|
|
|
13,280
|
|
|
13,687
|
|
Other investments
|
106,498
|
|
|
104,781
|
|
|
62,530
|
|
|
42,232
|
|
Other assets
|
1,098
|
|
|
1,521
|
|
|
879
|
|
|
1,201
|
|
Total assets
|
21,231,017
|
|
|
21,019,063
|
|
|
21,426,240
|
|
|
20,486,056
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
|
||||
Liabilities:
|
|
|
|
|
|
|
|
||||
Repurchase agreements
|
13,622,677
|
|
|
13,571,889
|
|
|
14,723,223
|
|
|
14,852,310
|
|
Secured loans
|
1,250,000
|
|
|
1,250,000
|
|
|
625,000
|
|
|
—
|
|
Asset-backed securities issued by securitization trusts
|
2,929,820
|
|
|
2,745,940
|
|
|
2,016,923
|
|
|
1,873,434
|
|
Exchangeable senior notes
|
400,000
|
|
|
400,000
|
|
|
400,000
|
|
|
400,000
|
|
Derivative liability, at fair value
|
254,026
|
|
|
222,559
|
|
|
268,600
|
|
|
259,317
|
|
Dividends and distributions payable
|
61,757
|
|
|
64,976
|
|
|
64,972
|
|
|
64,969
|
|
Investment related payable
|
17,008
|
|
|
12,351
|
|
|
670,149
|
|
|
532,991
|
|
Accrued interest payable
|
29,670
|
|
|
23,080
|
|
|
25,393
|
|
|
22,934
|
|
Collateral held payable
|
14,890
|
|
|
35,446
|
|
|
14,199
|
|
|
20,148
|
|
Accounts payable and accrued expenses
|
2,439
|
|
|
2,567
|
|
|
2,266
|
|
|
2,717
|
|
Due to affiliate
|
9,880
|
|
|
9,854
|
|
|
9,904
|
|
|
9,970
|
|
Total liabilities
|
18,592,167
|
|
|
18,338,662
|
|
|
18,820,629
|
|
|
18,038,790
|
|
Equity:
|
|
|
|
|
|
|
|
||||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized
|
|
|
|
|
|
|
|
||||
7.75% series A cumulative redeemable, $25 liquidation preference, 5,600,000 and no shares issued and outstanding ($140,000 aggregate liquidation preference) at December 31, 2014
|
135,356
|
|
|
135,356
|
|
|
135,356
|
|
|
135,356
|
|
7.75% Fixed-to-Floating Series B cumulative redeemable, $25 liquidation preference, 6,200,000 and no shares issued and outstanding ($155,000 aggregate liquidation preference) at December 31, 2014
|
149,860
|
|
|
149,918
|
|
|
—
|
|
|
—
|
|
Common Stock: par value $0.01 per share; 450,000,000 shares authorized, 123,110,454, 123,101,132, 123,094,376 and 123,087,626 shares issued and outstanding, at December 31, 2014, September 30, 2014, June 30, 2014 and March 31, 2014, respectively
|
1,231
|
|
|
1,231
|
|
|
1,231
|
|
|
1,231
|
|
Additional paid in capital
|
2,532,130
|
|
|
2,531,914
|
|
|
2,531,739
|
|
|
2,531,545
|
|
Accumulated other comprehensive income (loss)
|
424,592
|
|
|
299,757
|
|
|
310,505
|
|
|
26,874
|
|
Retained earnings (distributions in excess of earnings)
|
(632,854
|
)
|
|
(466,679
|
)
|
|
(402,954
|
)
|
|
(275,631
|
)
|
Total shareholders’ equity
|
2,610,315
|
|
|
2,651,497
|
|
|
2,575,877
|
|
|
2,419,375
|
|
Non-controlling interest
|
28,535
|
|
|
28,904
|
|
|
29,734
|
|
|
27,891
|
|
Total equity
|
2,638,850
|
|
|
2,680,401
|
|
|
2,605,611
|
|
|
2,447,266
|
|
Total liabilities and equity
|
21,231,017
|
|
|
21,019,063
|
|
|
21,426,240
|
|
|
20,486,056
|
|
|
125
|
|
|
126
|
|
$ in thousands
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Asset Type
|
|
Description
|
|
Number of loans
|
|
Interest Rate
|
|
Maturity Date
|
|
Periodic Payment Terms
(2)
|
|
Prior Liens
|
|
Face Amount of Mortgages
|
|
Carrying Amount of Mortgages
|
|
Principal Amount of Loans Subject to Delinquent Principal or Interest
|
|||||
Fixed Rate Residential Mortgage Loans Held in Securitization Trusts
|
|
Original Loan Balance $0 - $999,999
|
|
2,893
|
|
|
Fixed 2.7% to 5.9%
|
|
07/01/2033 to 06/01/2044
|
|
P&I
|
|
—
|
|
|
1,941,309
|
|
|
1,963,759
|
|
|
—
|
|
Fixed Rate Residential Mortgage Loans Held in Securitization Trusts
|
|
Original Loan Balance $ 1,000,000 - $1,999,999
|
|
422
|
|
|
Fixed 3.0% to 7.0%
|
|
03/01/2029 to 06/01/2044
|
|
P&I
|
|
—
|
|
|
493,888
|
|
|
501,080
|
|
|
—
|
|
Fixed Rate Residential Mortgage Loans Held in Securitization Trusts
|
|
Original Loan Balance $ 2,000,000 - $2,999,999
|
|
16
|
|
|
Fixed 3.3% to 3.9%
|
|
11/01/2042 to 04/01/2043
|
|
P&I
|
|
—
|
|
|
33,895
|
|
|
34,491
|
|
|
—
|
|
Fixed Rate Residential Mortgage Loans Held in Securitization Trusts
|
|
Original Loan Balance $ 3,000,000 and above
|
|
3
|
|
|
Fixed 3.4% to 3.8%
|
|
11/01/2042 to 01/01/2043
|
|
P&I
|
|
—
|
|
|
10,394
|
|
|
10,535
|
|
|
—
|
|
Adjustable Rate Residential Mortgage Loans Held In Securitization Trusts
|
|
Original Loan Balance $ 0 - $999,999
|
|
587
|
|
|
Hybrid ARM 2.6% to 6.4%
|
|
03/01/2037 to 08/01/2044
|
|
P&I
|
|
—
|
|
|
377,340
|
|
|
378,398
|
|
|
—
|
|
Adjustable Rate Residential Mortgage Loans Held In Securitization Trusts
|
|
Original Loan Balance $ 1,000,000 - $1,999,999
|
|
278
|
|
|
Hybrid ARM 2.4% to 6.3%
|
|
04/01/2037 to 08/01/2044
|
|
P&I
|
|
—
|
|
|
347,250
|
|
|
348,254
|
|
|
—
|
|
Adjustable Rate Residential Mortgage Loans Held In Securitization Trusts
|
|
Original Loan Balance $ 2,000,000 - $2,999,999
|
|
39
|
|
|
Hybrid ARM 2.4% to 5.5%
|
|
06/01/2037 to 07/01/2044
|
|
P&I
|
|
—
|
|
|
83,647
|
|
|
83,889
|
|
|
—
|
|
Adjustable Rate Residential Mortgage Loans Held In Securitization Trusts
|
|
Original Loan Balance $ 3,000,000 and above
|
|
15
|
|
|
Hybrid ARM 2.7% to 3.3%
|
|
06/01/2042 to 02/01/2044
|
|
P&I
|
|
—
|
|
|
44,469
|
|
|
44,597
|
|
|
—
|
|
Mezzanine Loans
|
|
Various
|
|
4
|
|
|
L+7% to 10.545% or Prime+9.35%
|
|
11/9/2015 to 4/26/2016
|
|
I
|
|
—
|
|
|
71,643
|
|
|
71,549
|
|
|
—
|
|
Other Subordinate Interests
(1)
|
|
Various
|
|
2
|
|
|
L+7.2% or 3ML+6.5%
|
|
4/9/2015 to 8/1/2016
|
|
I
|
|
—
|
|
|
54,188
|
|
|
54,188
|
|
|
—
|
|
First Mortgage Loans
|
|
Hospitality
|
|
1
|
|
|
L+8.5% with 8.75% floor
|
|
10/31/2015
|
|
I
|
|
—
|
|
|
19,978
|
|
|
20,019
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
|
3,478,001
|
|
|
3,510,759
|
|
|
—
|
|
|
(1) Other subordinate interests include a B-note and a preferred equity investment.
|
|||||||||||||||||||||||
(2) Principal and interest ("P&I"); Interest ("I")
|
|
127
|
|
Reconciliation of Carrying Value of Mortgage Loans on Real Estate:
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2014
|
|
2013
|
|
2012
|
|||||
Beginning balance
|
|
|
|
|
|
|
|
|
|
|
|
1,874,861
|
|
|
—
|
|
|
—
|
|
||||
Additions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Principal amount of new loans
|
|
|
|
|
|
|
|
|
|
|
|
1,887,391
|
|
|
1,891,646
|
|
|
—
|
|
||||
Premium (discount) on new loans
|
|
|
|
|
|
|
|
|
|
12,730
|
|
|
29,768
|
|
|
—
|
|
||||||
Capitalized interests
|
|
|
|
|
|
|
|
|
|
768
|
|
|
832
|
|
|
—
|
|
||||||
Amortization of premium (discount)
|
|
|
|
|
|
|
|
|
|
(6,368
|
)
|
|
(2,632
|
)
|
|
—
|
|
||||||
Deductions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Collection of principal
|
|
|
|
|
|
|
|
|
|
|
|
256,061
|
|
|
43,869
|
|
|
—
|
|
||||
(Reduction in) provision for loan losses
|
|
|
|
|
|
|
|
|
|
|
|
(142
|
)
|
|
884
|
|
|
—
|
|
||||
Loss on foreign currency translation
|
|
|
|
|
|
|
|
|
|
|
|
2,704
|
|
|
—
|
|
|
—
|
|
||||
Ending balance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,510,759
|
|
|
1,874,861
|
|
|
—
|
|
|
128
|
|
|
|
Invesco Mortgage Capital Inc.
|
|
|
|
|
By:
|
/s/ Richard J. King
|
|
|
Richard J. King
President and Chief Executive Officer
|
|
Date:
|
August 17, 2015
|
|
Signatures
|
|
Title
|
|
Date
|
|
|
|
|
|
|
By:
|
/s/ Richard J. King
|
|
President and Chief Executive Officer
|
|
August 17, 2015
|
|
Richard J. King
|
|
(principal executive officer)
|
|
|
|
|
|
|
|
|
By:
|
/s/ Richard Lee Phegley, Jr.
|
|
Chief Financial Officer
|
|
August 17, 2015
|
|
Richard Lee Phegley, Jr.
|
|
(principal financial and accounting officer)
|
|
|
|
|
|
|
|
|
By:
|
/s/ G. Mark Armour
|
|
Director
|
|
August 17, 2015
|
|
G. Mark Armour
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Karen Dunn Kelley
|
|
Director
|
|
August 17, 2015
|
|
Karen Dunn Kelley
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ James S. Balloun
|
|
Director
|
|
August 17, 2015
|
|
James S. Balloun
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ John S. Day
|
|
Director
|
|
August 17, 2015
|
|
John S. Day
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Edward J. Hardin
|
|
Director
|
|
August 17, 2015
|
|
Edward J. Hardin
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ James R. Lientz, Jr.
|
|
Director
|
|
August 17, 2015
|
|
James R. Lientz, Jr.
|
|
|
|
|
|
|
|
|
|
|
|
129
|
|
Name and
Address of Partner
|
Capital Contributions
|
OP Units
|
Series A
Preferred Units
|
Series B
Preferred Units
|
GENERAL PARTNER:
|
|
|
|
|
Invesco Mortgage Capital Inc.
|
161,249,633
|
1.0%
|
100.0%
|
0.0%
|
|
|
|
|
|
LIMITED PARTNERS
|
|
|
|
|
Invesco Mortgage Capital Inc.
|
2,511,803,681
|
98.0%
|
0.0%
|
0.0%
|
Invesco Investments (Bermuda) Ltd.
|
28,500,000
|
1.0%
|
0.0%
|
0.0%
|
Total
|
2,701,553,314
|
100.0%
|
100.0%
|
0.0%
|
4.
|
Liquidation Rights
.
|
Name
|
Jurisdiction
|
IAS Operating Partnership
|
Delaware
|
IAS Asset I LLC
|
Delaware
|
IVR 1552 Broadway LLC
|
Delaware
|
IVR Magna LLC
|
Delaware
|
IMRF Holdings LLC
|
Delaware
|
IMRF TRSCO Inc.
|
Delaware
|
IAS Services LLC
|
Michigan
|
IVR Walbrook LLC
|
Delaware
|
IVR 17 Battery Place LLC
|
Delaware
|
IVR Irish Mezzanine LLC
|
Delaware
|
IVR 311 S. Wacker LLC
|
Delaware
|
/s/ Grant Thornton LLP
|
|
Philadelphia, Pennsylvania
|
August 17, 2015
|
1.
|
I have reviewed this Amendment No. 1 to Annual Report on Form 10-K/A of Invesco Mortgage Capital Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
August
17, 2015
|
/s/ Richard J. King
|
|
Richard J. King
|
|
President and Chief Executive Officer
|
1.
|
I have reviewed this Amendment No. 1 to Annual Report on Form 10-K/A of Invesco Mortgage Capital Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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(a)
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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(b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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(c)
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of registrant’s board of directors (or persons performing the equivalent functions):
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(a)
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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(b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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August
17, 2015
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/s/ Richard Lee Phegley, Jr.
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Richard Lee Phegley, Jr.
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Chief Financial Officer
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1.
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the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and
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2.
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the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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August
17, 2015
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/s/ Richard J. King
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Richard J. King
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President and Chief Executive Officer
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1.
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the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and
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2.
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the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
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August
17, 2015
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/s/ Richard Lee Phegley, Jr.
|
|
Richard Lee Phegley, Jr.
|
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Chief Financial Officer
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