BETHESDA, Md., Feb. 2, 2015 /PRNewswire/ -- American Capital
Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
reported comprehensive income for the fourth quarter of 2014 of
$0.86 per common share and net book
value of $25.74 per common
share. Economic return for the period, defined as dividends
per common share and the change in net book value per common share,
was 3.4% for the quarter. For the full year 2014, AGNC
reported an economic return of 18.5%.
FOURTH QUARTER 2014 FINANCIAL HIGHLIGHTS
- $0.86 comprehensive income per
common share, comprised of:
- $(0.94) net loss per common
share
- $1.80 other comprehensive income
("OCI") per common share
- Includes net unrealized gains on investments marked-to-market
through OCI
- $0.92 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization
- Includes $0.47 per common share
of dollar roll income associated with the Company's $18.5 billion average net long position in agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Excludes $0.07 per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $0.66 dividend declared per
common share
- 12.1% annualized dividend yield based on December 31, 2014 closing stock price of
$21.83 per common share
- $25.74 net book value per common
share as of December 31, 2014
- Increased $0.20 per common share,
or 0.8%, from $25.54 per common share
as of September 30, 2014
- 3.4% economic return on common equity for the quarter, or 13.4%
annualized
- Comprised of $0.66 dividend per
common share and $0.20 increase in
net book value per common share
OTHER FOURTH QUARTER HIGHLIGHTS
- $71.5 billion agency MBS
investment portfolio as of December 31,
2014
- Includes $14.8 billion net long
TBA mortgage position as of December 31,
2014
- 6.9x "at risk" leverage as of December
31, 2014
- 5.3x leverage excluding net long TBA mortgage position as of
December 31, 2014
- 9% portfolio CPR for the quarter
- 9% average projected portfolio life CPR as of December 31, 2014
- 1.85% annualized net interest rate spread for the quarter,
including TBA dollar roll income
- 2.00% annualized net interest rate spread and TBA dollar roll
income for the quarter excluding 15 bps of "catch up" premium
amortization cost due to change in CPR estimates
2014 FULL YEAR HIGHLIGHTS
- 18.5% economic return on common equity, comprised of:
- $2.61 dividends per common
share
- $1.81 increase in net book value
per common share
- $4.41 comprehensive income per
common share, comprised of:
- $(0.72) net loss per common
share
- $5.13 OCI per common share
MANAGEMENT REMARKS
Gary
Kain, President and Chief Investment Officer, commented, "We
are very pleased with AGNC's performance in 2014. AGNC's
portfolio generated an economic return of 18.5% and our total stock
return was 27.2% for the year, including dividend
reinvestments. At the beginning of 2014, the consensus view
was that interest rates would increase and agency MBS spreads would
widen as the economy strengthened and the Federal Reserve ended its
asset purchases. We took a much more balanced approach to
managing the portfolio, beginning the year with a larger duration
gap and reasonable leverage. As it turned out, the consensus
view was wrong as interest rates fell materially throughout the
year and agency MBS performed extremely well."
"With 2014 behind us, we are now faced with a very different set
of challenges and opportunities," continued Mr. Kain. "With
the 10 year Treasury rate back near its lows, managing the
combination of prepayment and extension risk will be
critical. These are familiar challenges for us and favor our
disciplined and active approach to portfolio management. We
believe our portfolio is well positioned for this environment given
our relatively low leverage and our favorable asset
composition."
Malon Wilkus, Chair and Chief
Executive Officer, commented, "AGNC's financial performance in 2014
demonstrates, once again, the benefit of active portfolio
management in the volatile and ever changing macro-economic
environment in which we operate. The team successfully
navigated these challenges, as they have consistently done in the
past, generating outstanding returns for our shareholders. In
addition, during the year we transitioned to paying a monthly
dividend and began providing monthly NAV disclosures. These
changes are consistent with our belief that enhancing shareholder
value extends beyond just economic performance."
INVESTMENT PORTFOLIO
As of December 31, 2014,
the Company's investment portfolio totaled $71.5 billion of agency MBS, comprised of:
- $69.2 billion of fixed-rate
securities, comprised of:
- $23.0 billion </= 15-year
securities,
- $3.4 billion 15-year net long TBA
securities,
- $1.3 billion 20-year fixed-rate
securities,
- $30.2 billion 30-year fixed-rate
securities and
- $11.4 billion 30-year net long
TBA securities;
- $0.7 billion of adjustable-rate
securities; and
- $1.6 billion of collateralized
mortgage obligations ("CMOs"), including principal and
interest-only strips.
During the quarter, the Company reduced its holdings of higher
coupon 30 year generic securities, which are the mortgage
instruments most exposed to faster prepayment rates. The
Company also increased its holdings of </= 15-year
fixed rate securities and added more specified and new production
pools, which offer more favorable prepayment attributes in lower
interest rate environments.
As of December 31, 2014, inclusive of net TBA mortgage
positions, </= 15-year fixed rate securities represented
37% of the Company's investment portfolio, an increase from 30% as
of September 30, 2014, and 30-year fixed rate securities
represented 58% of the Company's investment portfolio, a decrease
from 65% as of September 30, 2014.
As of December 31, 2014, lower coupon securities and lower loan
balance and "HARP" specified pools represented approximately 91% of
the Company's fixed rate portfolio (at face value, inclusive of TBA
mortgage positions), compared to 80% as of September 30,
2014. Lower loan balance securities, which are backed by
mortgages with original loan balances of up to $150,000 and an average loan balance of
$97,000, represented approximately
37% of the Company's fixed-rate portfolio as of December 31,
2014. HARP securities, which are comprised of securities
backed by loans originated under the U.S. Government's sponsored
Home Affordable Refinance Program with original loan-to-values
("LTV") of >/= 80% and an average LTV of 116%, represented
approximately 37% of the Company's fixed-rate portfolio as of
December 31, 2014. The
remainder of the Company's portfolio as of December 31, 2014 was primarily comprised of
lower coupon (</= 3.5%) 30 year and (</= 3.0%) </= 15
year TBA/generic securities, which totaled approximately 14% and
24% of the Company's fixed-rate portfolio, respectively.
As of December 31, 2014, the Company's fixed-rate mortgage
assets, inclusive of the net TBA position, had a weighted average
coupon of 3.45%, compared to 3.59% as of September 30, 2014, comprised of the following
weighted average coupons:
- 3.15% for </= 15-year fixed rate securities;
- 3.49% for 20-year fixed-rate securities; and
- 3.63% for 30-year fixed-rate securities.
When excluding lower loan balance and HARP securities, the
weighted average coupon of the Company's more generic and TBA fixed
rates assets was 3.25%, compared to 3.53% as of September 30, 2014, comprised of the
following:
- 2.78% for </= 15-year fixed rate securities;
- 3.34% for 20-year fixed-rate securities; and
- 3.48% for 30-year fixed-rate securities.
The Company accounts for its TBA mortgage portfolio (also
referred to as "dollar roll funded assets") as derivative
instruments and recognizes dollar roll income in other income
(loss), net on the Company's financial statements. As of
December 31, 2014, the Company's net TBA mortgage portfolio
had a total fair value of $14.8
billion, a cost basis of $14.6
billion and a net carrying value of $192 million reported in derivative
assets/(liabilities) on the Company's balance sheet.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a CPR of 9% for the fourth quarter, compared to 10%
for the prior quarter. The weighted average projected CPR for
the remaining life of the Company's agency securities held as of
December 31, 2014 was 9%, an increase from 8% as of
September 30, 2014.
Net premium amortization on the Company's investment portfolio
for the fourth quarter was $121
million, or $0.34 per common
share, compared to $101 million, or
$0.29 per common share, for the third
quarter. The Company recognized "catch-up" premium
amortization cost of $25 million, or
$0.07 per common share, for the
fourth quarter, compared to $3
million, or $0.01 per common
share, for the prior quarter. The unamortized net premium
balance as of December 31, 2014 was $2.5 billion.
The Company amortizes or accretes premiums and discounts
associated with purchases of agency securities into interest income
using the effective yield method over the estimated life of such
securities, incorporating both actual repayments to date and
projected CPRs over the remaining life of the security. The
weighted average cost basis of the Company's investment portfolio
was 104.6% of par value as of December 31, 2014. Faster
actual or projected prepayments can have a meaningful negative
impact on the Company's asset yields, while slower actual or
projected prepayments can have a meaningful positive
impact.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its agency
security portfolio (or "repo funded assets"), inclusive of
"catch-up" premium amortization cost, for the fourth quarter was
2.57%, compared to 2.71% for the prior quarter. The Company's
average cost of funds (derived from the cost of repurchase
agreements, other debt and interest rate swaps) for the fourth
quarter was 1.39% compared to 1.44% for the prior quarter.
The Company's combined annualized net interest rate spread on
its repo and dollar roll funded assets for the quarter was 1.85%,
compared to 1.90% for the prior quarter. Excluding "catch-up"
premium amortization cost, the Company's combined annualized net
interest rate spread on its repo and dollar roll funded assets for
the quarter was 2.00%, compared to 1.92% for the prior quarter.
On a per share basis, the Company recognized $0.85 per common share of net spread and dollar
roll income for the fourth quarter, unchanged from the prior
quarter. Excluding "catch-up" premium amortization cost, the
Company's net spread and dollar roll income was $0.92 per common share, an increase from
$0.86 per common share for the prior
quarter. Net spread and dollar roll income for the fourth
quarter included $0.47 per common
share of dollar roll income, compared to $0.43 per common share for the prior quarter.
LEVERAGE
As of December 31, 2014,
$48.4 billion of the Company's
repurchase agreements were used to fund acquisitions of agency
securities ("agency repo"), while the remainder, or $1.9 billion, was used to fund purchases of U.S.
Treasury securities and is not included in the Company's leverage
measurements. Inclusive of its net TBA position, the
Company's "at risk" leverage ratio was 6.9x as of December 31,
2014, compared to 6.7x as of September 30, 2014. The
Company's average "at risk" leverage ratio for the quarter was also
6.9x, compared to 6.7x for the prior quarter. The Company's
leverage ratios exclude equity allocated to investments in REIT
equity securities.
As of December 31, 2014, the Company's agency repo
agreements had a weighted average interest rate of 0.41%, unchanged
from September 30, 2014, while the weighted average remaining
days to maturity decreased to 143 days as of December 31, 2014
from 152 days as of September 30, 2014.
As of December 31, 2014, the Company's agency repo
agreements had remaining maturities consisting of:
- $14.2 billion of one month or
less;
- $20.2 billion from one to three
months;
- $6.7 billion from three to six
months;
- $1.6 billion from six to nine
months;
- $2.7 billion from nine to twelve
months;
- $0.6 billion from twelve to
twenty-four months;
- $1.0 billion from twenty-four to
thirty-six months;
- $0.7 billion from thirty-six to
forty-eight months; and
- $0.9 billion from forty-eight to
sixty months.
HEDGING ACTIVITIES
As of December 31,
2014, 76% of the Company's outstanding balance of repurchase
agreements, other debt and net TBA position was hedged through
interest rate swaps, swaptions and U.S. Treasury positions,
unchanged from September 30, 2014. However, during the
fourth quarter, the Company adjusted the composition of its hedge
portfolio by both instrument type and maturity.
The Company's interest rate swap position as of
December 31, 2014 totaled $43.7
billion in notional amount, compared to $40.2 billion as of September 30, 2014. During the quarter, the
Company terminated $4.8 billion of
longer dated interest rate swaps with an average remaining life of
6.3 years, while the Company entered into new, shorter dated swap
agreements during the quarter totaling $8.2
billion. The new swap agreements had an average
maturity of approximately 4.2 years as of December 31, 2014
and a weighted average fixed pay rate of 1.36%.
As of December 31, 2014, the Company's swap position
included a total of $12.4 billion of
forward starting swaps, with an average forward start date of 1.1
years and an average remaining maturity of 7.9 years, compared to
$13.2 billion as of
September 30, 2014, with an average forward start date of 1.4
years and an average maturity of 8.3 years.
Excluding forward starting swaps, the Company's interest rate
swap portfolio had an average fixed pay rate of 1.68% and an
average receive rate of 0.23% as of December 31, 2014,
compared to 1.82% and 0.22%, respectively, as of September 30,
2014. Including forward starting swaps, the Company's
interest rate swap portfolio had an average fixed pay rate of 2.05%
and an average maturity of 5.8 years as of December 31, 2014,
compared to 2.22% and 6.4 years as of September 30, 2014,
respectively.
The Company enters into interest rate swaps with the intention
of protecting its net book value and longer term earnings potential
against the impact of rising interest rates, while the Company
generally utilizes interest rate swaptions to mitigate exposure to
larger, more rapid changes in interest rates.
During the fourth quarter, the Company added $1.5 billion in notional amount of payer
swaptions, at a total cost of $21
million, while $0.9 billion of
payer swaptions from previous quarters expired or were terminated
resulting in a net realized loss of $(10)
million. As of December 31, 2014, the Company had
payer swaptions totaling $6.8 billion
of notional value outstanding at a market value of $46 million and a cost basis of $145 million, with an average remaining option
term of 0.7 years and an average underlying interest rate swap term
of 6.2 years. This compares to $6.2
billion of notional value outstanding as of
September 30, 2014 at a market value of $61 million and a cost basis of $132 million, with an average remaining option
term of 0.8 years and an average underlying swap term of 4.9
years.
During the fourth quarter the Company added $3.0 billion in notional value of receiver
swaptions to provide incremental protection against a decline in
longer term interest rates at a total cost of $10 million, while $1.3
billion of receiver swaptions from previous quarters expired
or were terminated, resulting in a net realized loss of
$(0.7) million. As of
December 31, 2014, the Company had receiver swaptions totaling
$4.3 billion of notional value
outstanding, at a market value of $29
million and a cost basis of $18
million, with an average remaining option term of 4 months
and an average underlying interest rate swap term of 6.4 years.
The Company also utilizes long and short positions in U.S.
Treasury securities and U.S. Treasury futures to mitigate exposure
to changes in interest rates. During the quarter, the Company
altered the composition of its U.S. Treasury position by buying
longer dated Treasury securities while selling shorter dated
Treasury securities. As of December 31, 2014, the
Company had a net short position of $2.9
billion and $0.9 billion
(market value) in U.S. Treasury securities and U.S. Treasury
futures, respectively, compared to a $3.5
billion and $0.9 billion net
short position in U.S. Treasury securities and U.S. Treasury
futures, respectively, as of September 30, 2014.
OTHER INCOME (LOSS), NET
For the fourth quarter, the Company recorded a net loss of
$(538) million in other income
(loss), net, or $(1.52) per common
share, compared to a net loss of $(37)
million, or $(0.10) per common
share for the prior quarter. Other income (loss), net for the
fourth quarter was comprised of:
- $34 million of net realized gains
on sales of agency securities;
- $(766) million of net unrealized
losses on interest rate swaps and early termination fees (excludes
$35 million of unrealized gains
recognized in OCI);
- $(78) million of interest rate
swap periodic interest costs;
- $(22) million of net losses on
interest rate swaptions;
- $(185) million of net losses on
U.S. Treasury positions;
- $167 million of TBA dollar roll
income;
- $312 million of net
mark-to-market gains on TBA mortgage positions;
- $4 million of net dividends and
gains from mortgage REIT equity securities; and
- $(4) million of net losses on
other derivative instruments and securities.
OTHER COMPREHENSIVE INCOME
During the fourth
quarter, the Company recorded other comprehensive income of
$634 million, or $1.80 per common share, driven primarily by
unrealized gains on the Company's agency securities.
ESTIMATED TAXABLE INCOME
Estimated taxable
income for the fourth quarter was $0.25 per common share, or $1.19 higher than the Company's GAAP net loss per
common share.
The primary differences between tax and GAAP net income are (i)
unrealized gains and losses associated with interest rate swaps and
other derivatives and securities marked-to-market in current income
for GAAP purposes, but excluded from taxable income until realized
or settled, (ii) timing differences, both temporary and potentially
permanent, in the recognition of certain realized gains and losses
and (iii) temporary differences related to the amortization of net
premiums paid on investments.
The Company's estimated taxable income for the fourth quarter
excludes $1.03 per common share of
estimated net capital gains (including $0.47 per common share of TBA dollar roll income)
applied against the Company's prior year net capital loss
carryforward.
FOURTH QUARTER 2014 DIVIDEND DECLARATIONS
During the fourth quarter, the Company's Board of Directors
declared a monthly dividend of $0.22
per share (or a total of $0.66 per
share for the quarter, compared to $0.65 per share for the prior quarter) to common
stockholders of record as of October 31,
2014, November 28, 2014 and
December 31, 2014, which was paid on
November 7, 2014, December 5, 2014 and January 9, 2015, respectively, and equates to a
12.1% annualized dividend yield based on the Company's
December 31, 2014 closing stock price of $21.83 per common share.
Since its May 2008 initial public
offering, the Company has paid a total of $5.1 billion in common dividends, or $30.22 per common share.
On December 18, 2014, the Company's Board of Directors
declared a fourth quarter dividend on its 8.000% Series A
Cumulative Redeemable Preferred Stock ("Series A Preferred Stock")
of $0.50 per share and on its 7.750%
Series B Cumulative Redeemable Preferred Stock ("Series B Preferred
Stock") underlying its outstanding depositary shares of
$0.484375 per depositary share.
Each depositary share represents a 1/1000th interest in a share of
the Series B Preferred Stock. The dividends were paid on
January 15, 2015 to preferred stockholders of record as of
January 1, 2015.
The Company also announced the tax characteristics of its 2014
common stock and Series A and B Preferred Stock dividends. The
Company's 2014 dividends of $2.61 per
common share, $2.00 per Series A
preferred share and $1.32934 per
Series B depository share consisted of ordinary dividends for
federal income tax purposes. Stockholders should receive an
IRS Form 1099-DIV containing this information from their brokers,
transfer agents or other institutions. For additional detail please
visit the Company's website at www.AGNC.com.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating
performance include net spread and dollar roll income and estimated
taxable income, which are Non-GAAP financial measures. Please refer
to "Use of Non-GAAP Financial Information" later in this release
for further discussion of non-GAAP measures.
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
2014
|
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$51,629,
$46,162, $50,057, $51,850 and $62,205,
respectively)
|
$
|
55,482
|
|
|
$
|
50,420
|
|
|
$
|
52,174
|
|
|
$
|
54,960
|
|
|
$
|
64,482
|
|
Agency
securities transferred to consolidated variable interest entities,
at
fair value (pledged securities)
|
1,266
|
|
|
1,310
|
|
|
1,377
|
|
|
1,417
|
|
|
1,459
|
|
U.S. Treasury
securities, at fair value (including pledged securities
of
$2,375, $1,214, $1,247, $196 and $3,778,
respectively)
|
2,427
|
|
|
1,214
|
|
|
1,247
|
|
|
196
|
|
|
3,822
|
|
REIT equity
securities, at fair value
|
68
|
|
|
66
|
|
|
202
|
|
|
352
|
|
|
237
|
|
Cash and cash
equivalents
|
1,720
|
|
|
1,708
|
|
|
1,747
|
|
|
1,726
|
|
|
2,143
|
|
Restricted cash
|
713
|
|
|
794
|
|
|
783
|
|
|
269
|
|
|
101
|
|
Derivative assets, at fair
value
|
408
|
|
|
462
|
|
|
593
|
|
|
686
|
|
|
1,194
|
|
Receivable for
securities sold (including pledged securities of $0, $694,
$441, $772 and $622, respectively)
|
239
|
|
|
905
|
|
|
1,872
|
|
|
799
|
|
|
652
|
|
Receivable
under reverse repurchase agreements
|
5,218
|
|
|
5,258
|
|
|
6,621
|
|
|
6,685
|
|
|
1,881
|
|
Other
assets
|
225
|
|
|
211
|
|
|
238
|
|
|
228
|
|
|
284
|
|
Total
assets
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
$
|
76,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
50,296
|
|
|
$
|
45,327
|
|
|
$
|
48,714
|
|
|
$
|
49,729
|
|
|
$
|
63,533
|
|
Debt of
consolidated variable interest entities, at fair value
|
761
|
|
|
796
|
|
|
844
|
|
|
874
|
|
|
910
|
|
Payable
for securities purchased
|
843
|
|
|
1,150
|
|
|
558
|
|
|
324
|
|
|
118
|
|
Derivative liabilities, at fair value
|
890
|
|
|
510
|
|
|
583
|
|
|
417
|
|
|
422
|
|
Dividends payable
|
85
|
|
|
236
|
|
|
235
|
|
|
232
|
|
|
235
|
|
Obligation to return securities borrowed under reverse
|
5,363
|
|
|
4,742
|
|
|
6,094
|
|
|
6,658
|
|
|
1,848
|
|
repurchase agreements, at fair value
|
Accounts
payable and other accrued liabilities
|
100
|
|
|
230
|
|
|
215
|
|
|
270
|
|
|
492
|
|
Total
liabilities
|
58,338
|
|
|
52,991
|
|
|
57,243
|
|
|
58,504
|
|
|
67,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Redeemable
Preferred Stock - aggregate liquidation preference of $348,
$348, $348, $173 and $173, respectively
|
336
|
|
|
336
|
|
|
336
|
|
|
167
|
|
|
167
|
|
Common stock -
$0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
352.8, 352.8,
352.8, 352.8 and 356.2 shares issued and outstanding,
respectively
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Additional
paid-in capital
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,406
|
|
Retained
deficit
|
(1,674)
|
|
|
(1,112)
|
|
(1,073)
|
|
(870)
|
|
(497)
|
|
Accumulated
other comprehensive income (loss)
|
430
|
|
|
(203)
|
|
|
12
|
|
|
(819)
|
|
|
(1,383)
|
|
Total stockholders'
equity
|
9,428
|
|
|
9,357
|
|
|
9,611
|
|
|
8,814
|
|
|
8,697
|
|
Total liabilities and
stockholders' equity
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
$
|
76,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
|
$
|
23.93
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
2014
|
|
2014
|
|
2014
|
|
2014
|
|
2014
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
|
$
|
1,472
|
|
Interest
expense 1
|
81
|
|
|
88
|
|
|
95
|
|
|
108
|
|
|
372
|
|
Net interest income
|
250
|
|
|
269
|
|
|
290
|
|
|
291
|
|
|
1,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other loss,
net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain
(loss) on sale of agency securities, net
|
34
|
|
|
14
|
|
|
22
|
|
|
(19)
|
|
|
51
|
|
Loss on
derivative instruments and other securities, net
1
|
(572)
|
|
|
(51)
|
|
|
(244)
|
|
|
(378)
|
|
|
(1,243)
|
|
Total other loss, net
|
(538)
|
|
|
(37)
|
|
|
(222)
|
|
|
(397)
|
|
|
(1,192)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees
|
30
|
|
|
30
|
|
|
30
|
|
|
29
|
|
|
119
|
|
General
and administrative expenses
|
5
|
|
|
5
|
|
|
6
|
|
|
6
|
|
|
22
|
|
Total expenses
|
35
|
|
|
35
|
|
|
36
|
|
|
35
|
|
|
141
|
|
Net (loss)
income
|
(323)
|
|
|
197
|
|
|
32
|
|
|
(141)
|
|
|
(233)
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
|
22
|
|
Net (loss) income
(attributable) available to common shareholders
|
$
|
(330)
|
|
|
$
|
190
|
|
|
$
|
27
|
|
|
$
|
(144)
|
|
|
$
|
(255)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net (loss)
income
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
|
$
|
(233)
|
|
Other
comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gain (loss) on available-for-sale securities,
net
|
599
|
|
|
(253)
|
|
|
790
|
|
|
521
|
|
|
1,657
|
|
Unrealized gain on derivative instruments, net
1
|
35
|
|
|
38
|
|
|
40
|
|
|
43
|
|
|
156
|
|
Other comprehensive
income (loss)
|
634
|
|
|
(215)
|
|
|
830
|
|
|
564
|
|
|
1,813
|
|
Comprehensive
income (loss)
|
311
|
|
|
(18)
|
|
|
862
|
|
|
423
|
|
|
1,580
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
|
22
|
|
Comprehensive
income (loss) available (attributable) to common
shareholders
|
$
|
304
|
|
|
$
|
(25)
|
|
|
$
|
857
|
|
|
$
|
420
|
|
|
$
|
1,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
353.3
|
|
basic and
diluted
|
Net (loss) income
per common share - basic and diluted
|
$
|
(0.94)
|
|
|
$
|
0.54
|
|
|
$
|
0.08
|
|
|
$
|
(0.41)
|
|
|
$
|
(0.72)
|
|
Comprehensive
income (loss) per common share - basic and diluted
|
$
|
0.86
|
|
|
$
|
(0.07)
|
|
|
$
|
2.43
|
|
|
$
|
1.18
|
|
|
$
|
4.41
|
|
Dividends declared
per common share
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
2.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL
INCOME2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
2014
|
|
2014
|
|
2014
|
|
2014
|
|
2014
|
Interest
income
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
|
$
|
1,472
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt
|
46
|
|
|
50
|
|
|
55
|
|
|
65
|
|
|
216
|
|
Interest rate
swap periodic costs1
|
35
|
|
|
38
|
|
|
40
|
|
|
43
|
|
|
156
|
|
Total interest
expense
|
81
|
|
|
88
|
|
|
95
|
|
|
108
|
|
|
372
|
|
Net interest
income
|
250
|
|
|
269
|
|
|
290
|
|
|
291
|
|
|
1,100
|
|
Other interest
rate swap periodic costs 3
|
(78)
|
|
|
(82)
|
|
|
(87)
|
|
|
(83)
|
|
|
(330)
|
|
Dividend on
REIT equity securities4
|
2
|
|
|
2
|
|
|
6
|
|
|
10
|
|
|
20
|
|
TBA dollar
roll income 17
|
167
|
|
|
152
|
|
|
138
|
|
|
48
|
|
|
505
|
|
Adjusted net interest
and dollar roll income
|
341
|
|
|
341
|
|
|
347
|
|
|
266
|
|
|
1,295
|
|
Operating
expenses
|
35
|
|
|
35
|
|
|
36
|
|
|
35
|
|
|
141
|
|
Net spread and dollar
roll income
|
306
|
|
|
306
|
|
|
311
|
|
|
231
|
|
|
1,154
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
|
22
|
|
Net spread and dollar
roll income available to common shareholders
|
299
|
|
|
299
|
|
|
306
|
|
|
228
|
|
|
1,132
|
|
Estimated
"catch-up" premium amortization cost due to change in CPR
forecast
|
25
|
|
|
3
|
|
|
—
|
|
|
25
|
|
|
53
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common shareholders
|
$
|
324
|
|
|
$
|
302
|
|
|
$
|
306
|
|
|
$
|
253
|
|
|
$
|
1,185
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
353.3
|
|
Net spread and dollar
roll income per common share - basic and diluted
|
$
|
0.85
|
|
|
$
|
0.85
|
|
|
$
|
0.87
|
|
|
$
|
0.64
|
|
|
$
|
3.20
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, per common share - basic and diluted
|
$
|
0.92
|
|
|
$
|
0.86
|
|
|
$
|
0.87
|
|
|
$
|
0.71
|
|
|
$
|
3.35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
2014
|
|
2014
|
|
2014
|
|
2014
|
|
2014
|
Net (loss)
income
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
|
$
|
(233)
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
15
|
|
|
(7)
|
|
|
(5)
|
|
|
31
|
|
|
34
|
|
Realized
loss/gain, net
|
318
|
|
|
136
|
|
|
5
|
|
|
36
|
|
|
495
|
|
Capital loss
carryforward 5
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
|
(1,022)
|
|
Unrealized
loss, net
|
449
|
|
|
12
|
|
|
384
|
|
|
346
|
|
|
1,191
|
|
Other
|
—
|
|
|
—
|
|
|
(1)
|
|
|
—
|
|
|
(1)
|
|
Total book to tax
differences
|
418
|
|
|
(105)
|
|
|
73
|
|
|
311
|
|
|
697
|
|
Estimated REIT
taxable income
|
95
|
|
|
92
|
|
|
105
|
|
|
170
|
|
|
464
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
|
22
|
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
|
88
|
|
|
$
|
85
|
|
|
$
|
100
|
|
|
$
|
167
|
|
|
$
|
442
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
353.3
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.25
|
|
|
$
|
0.24
|
|
|
$
|
0.28
|
|
|
$
|
0.47
|
|
|
$
|
1.25
|
|
Cumulative common
stock dividend distributions (in excess of)/below
estimated cumulative REIT taxable income, net of preferred stock
dividends 6
|
$
|
(0.77)
|
|
|
$
|
(0.37)
|
|
|
$
|
0.04
|
|
|
$
|
0.42
|
|
|
$
|
(0.77)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital losses
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
|
$
|
1,785
|
|
|
$
|
1,785
|
|
Capital loss
carryforward
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
|
(1,022)
|
|
Ending cumulative
non-deductible capital losses
|
$
|
763
|
|
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
|
$
|
763
|
|
Ending cumulative
non-deductible capital losses per common share
|
$
|
2.16
|
|
|
$
|
3.19
|
|
|
$
|
3.89
|
|
|
$
|
4.77
|
|
|
$
|
2.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
December 31,
2014
|
|
|
September 30,
2014
|
|
June 30,
2014
|
|
March 31,
2014
|
|
December 31,
2013
|
Fixed-rate agency
securities, at fair value - as of period end
21
|
$
|
54,473
|
|
|
$
|
49,170
|
|
|
$
|
50,871
|
|
|
$
|
53,461
|
|
|
$
|
62,961
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$
|
678
|
|
|
$
|
922
|
|
|
$
|
988
|
|
|
$
|
1,195
|
|
|
$
|
1,235
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
1,195
|
|
|
$
|
1,224
|
|
|
$
|
1,268
|
|
|
$
|
1,289
|
|
|
$
|
1,308
|
|
Interest-only strips
agency securities, at fair value - as of period end
|
$
|
203
|
|
|
$
|
217
|
|
|
$
|
219
|
|
|
$
|
230
|
|
|
$
|
232
|
|
Principal-only strips
agency securities, at fair value - as of period end
|
$
|
199
|
|
|
$
|
197
|
|
|
$
|
205
|
|
|
$
|
202
|
|
|
$
|
205
|
|
Total agency
securities, at fair value - as of period end
21
|
$
|
56,748
|
|
|
$
|
51,730
|
|
|
$
|
53,551
|
|
|
$
|
56,377
|
|
|
$
|
65,941
|
|
Total agency
securities, at cost - as of period end 21
|
$
|
56,148
|
|
|
$
|
51,730
|
|
|
$
|
53,301
|
|
|
$
|
56,928
|
|
|
$
|
67,025
|
|
Total agency
securities, at par - as of period end 7, 21
|
$
|
53,666
|
|
|
$
|
49,475
|
|
|
$
|
50,887
|
|
|
$
|
54,336
|
|
|
$
|
64,048
|
|
Average agency
securities, at cost 21
|
$
|
51,592
|
|
|
$
|
52,767
|
|
|
$
|
56,923
|
|
|
$
|
62,920
|
|
|
$
|
76,991
|
|
Average agency
securities, at par 7, 21
|
$
|
49,347
|
|
|
$
|
50,498
|
|
|
$
|
54,365
|
|
|
$
|
60,103
|
|
|
$
|
73,527
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
|
14,768
|
|
|
$
|
17,748
|
|
|
$
|
18,384
|
|
|
$
|
14,102
|
|
|
$
|
2,271
|
|
Net TBA portfolio -
as of period end, at cost
|
$
|
14,576
|
|
|
$
|
17,769
|
|
|
$
|
18,184
|
|
|
$
|
14,127
|
|
|
$
|
2,276
|
|
Net TBA portfolio -
as of period end, carrying value
|
$
|
192
|
|
|
$
|
(21)
|
|
|
$
|
200
|
|
|
$
|
(25)
|
|
|
$
|
(5)
|
|
Average net TBA
portfolio, at cost
|
$
|
18,492
|
|
|
$
|
15,680
|
|
|
$
|
13,963
|
|
|
$
|
4,534
|
|
|
$
|
(486)
|
|
Average repurchase
agreements and other debt
|
$
|
45,554
|
|
|
$
|
46,694
|
|
|
$
|
50,448
|
|
|
$
|
57,544
|
|
|
$
|
71,260
|
|
Average stockholders'
equity 8
|
$
|
9,408
|
|
|
$
|
9,455
|
|
|
$
|
9,315
|
|
|
$
|
8,975
|
|
|
$
|
9,432
|
|
Net book value per
common share as of period end 9
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
|
$
|
23.93
|
|
Leverage - average
during the period 10
|
|
4.9:1
|
|
|
|
5.0:1
|
|
|
|
5.6:1
|
|
|
|
6.7:1
|
|
|
|
7.6:1
|
|
Leverage - average
during the period, including net TBA position
11
|
|
6.9:1
|
|
|
|
6.7:1
|
|
|
|
7.1:1
|
|
|
|
7.2:1
|
|
|
|
7.5:1
|
|
Leverage - as of
period end 12
|
|
5.3:1
|
|
|
|
4.8:1
|
|
|
|
5.0:1
|
|
|
|
5.9:1
|
|
|
|
7.3:1
|
|
Leverage - as of
period end, including net TBA position 13
|
|
6.9:1
|
|
|
|
6.7:1
|
|
|
|
6.9:1
|
|
|
|
7.6:1
|
|
|
|
7.5:1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average coupon
14, 21
|
3.66
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
|
3.60
|
%
|
|
3.59
|
%
|
Average asset yield
15, 21
|
2.57
|
%
|
|
2.71
|
%
|
|
2.71
|
%
|
|
2.54
|
%
|
|
2.82
|
%
|
Average cost of funds
16, 21
|
(1.39)%
|
|
|
(1.44)%
|
|
|
(1.45)%
|
|
|
(1.35)%
|
|
|
(1.25)%
|
|
Average net interest
rate spread 21
|
1.18
|
%
|
|
1.27
|
%
|
|
1.26
|
%
|
|
1.19
|
%
|
|
1.57
|
%
|
Average net interest
rate spread, including TBA dollar roll income/loss
17
|
1.85
|
%
|
|
1.90
|
%
|
|
1.84
|
%
|
|
1.43
|
%
|
|
1.56
|
%
|
Average coupon - as
of period end 21
|
3.65
|
%
|
|
3.65
|
%
|
|
3.63
|
%
|
|
3.65
|
%
|
|
3.58
|
%
|
Average asset
yield - as of period end 21
|
2.74
|
%
|
|
2.78
|
%
|
|
2.70
|
%
|
|
2.72
|
%
|
|
2.70
|
%
|
Average cost of funds
- as of period end 18, 21
|
(1.40)%
|
|
|
(1.42)%
|
|
|
(1.53)%
|
|
|
(1.45)%
|
|
|
(1.31)%
|
|
Average net interest
rate spread - as of period end 21
|
1.34
|
%
|
|
1.36
|
%
|
|
1.17
|
%
|
|
1.27
|
%
|
|
1.39
|
%
|
Average actual CPR
for securities held during the period 21
|
9
|
%
|
|
10
|
%
|
|
9
|
%
|
|
7
|
%
|
|
8
|
%
|
Average forecasted
CPR - as of period end 21
|
9
|
%
|
|
8
|
%
|
|
8
|
%
|
|
8
|
%
|
|
7
|
%
|
Total premium
amortization, net
|
$
|
(121)
|
|
|
$
|
(101)
|
|
|
$
|
(109)
|
|
|
$
|
(142)
|
|
|
$
|
(117)
|
|
Expenses % of average
total assets - annualized
|
0.22
|
%
|
|
0.22
|
%
|
|
0.21
|
%
|
|
0.19
|
%
|
|
0.17
|
%
|
Expenses % of average
stockholders' equity - annualized
|
1.48
|
%
|
|
1.47
|
%
|
|
1.55
|
%
|
|
1.58
|
%
|
|
1.56
|
%
|
Net comprehensive
income (loss) return on average common equity - annualized
19
|
13.3
|
%
|
|
(1.1)%
|
|
|
38.0
|
%
|
|
19.4
|
%
|
|
(15.8)%
|
|
Dividends declared
per common share
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
Economic return
(loss) on common equity - annualized 20
|
13.4
|
%
|
|
(1.1)%
|
|
|
39.6
|
%
|
|
20.5
|
%
|
|
(10.8)%
|
|
|
*Except as noted
below, average numbers for each period are weighted based on days
on the Company's books and records. All percentages are
annualized.
|
** Numbers may not
total due to rounding.
|
|
1.
|
The Company
voluntarily discontinued hedge accounting under GAAP for interest
rate swaps as of September 30, 2011. The accumulated other
comprehensive loss on the Company's de-designated interest rate
swaps as of September 30, 2011 is being amortized on a
straight-line basis over the remaining swap terms into interest
expense. All other periodic interest costs, termination fees
and mark-to-market adjustments associated with interest rate swaps
are reported in other income (loss), net pursuant to
GAAP.
|
2.
|
Table includes
non-GAAP financial measures. Refer to "Use of Non-GAAP
Financial Information" for additional discussion of non-GAAP
financial measures.
|
3.
|
Other interest rate
swap periodic costs represent periodic interest costs on the
Company's interest rate swap portfolio in excess of amounts
reclassified from accumulated OCI into interest expense (see
footnote 1 for additional information). Other interest rate swap
periodic costs do not include termination fees or mark-to-market
adjustments associated with interest rate swaps.
|
4.
|
Dividend on REIT
equity securities is reported in gain (loss) on derivative
instruments and other securities, net.
|
5.
|
Capital losses in
excess of capital gains are not deductible from the Company's
ordinary taxable income, but may be carried forward for up to five
years and applied against future net capital
gains.
|
6.
|
Cumulative dividend
distributions to common stockholders (in excess of)/below estimated
cumulative REIT taxable income as of period end is net of common
and preferred dividends declared during the period. Amount
divided by total common shares outstanding as of each period end.
Amount excludes non-deductible net capital losses.
|
7.
|
Agency securities at
par value exclude the underlying unamortized principal balance
("UPB") of the Company's interest-only securities. Excludes
TBAs.
|
8.
|
Average stockholders'
equity calculated as the average month-ended stockholders' equity
during the quarter.
|
9.
|
Net book value per
common share calculated as total stockholders' equity, less the
preferred stock liquidation preference, divided by the number of
common shares outstanding as of period end.
|
10.
|
Leverage during the
period was calculated by dividing the daily weighted average agency
repurchase agreements and other debt outstanding for the period by
the sum of average stockholders' equity less the average investment
in REIT equity securities for the period. Leverage excludes
U.S. Treasury repurchase agreements.
|
11.
|
Leverage during the
period, including net TBA position, includes the components of
"leverage - average during the period," plus the Company's daily
weighted average net TBA dollar roll position (at cost) during the
period.
|
12.
|
Leverage at period
end was calculated by dividing the sum of the amount outstanding
under agency repurchase agreements, net receivable / payable for
unsettled agency securities and other debt by the sum of total
stockholders' equity less the fair value of investments in REIT
equity securities at period end. Leverage excludes U.S. Treasury
repurchase agreements.
|
13.
|
Leverage at period
end, including net TBA position, includes the components of
"leverage - as of period end," plus the Company's net TBA dollar
roll position (at cost) as of period end.
|
14.
|
Average coupon for
the period was calculated by dividing the total coupon (or cash)
interest income on agency securities by average agency securities
held at par.
|
15.
|
Average asset yield
for the period was calculated by dividing the total interest income
on agency securities (coupon interest less amortization of net
premiums and discounts) by the average amortized cost of agency
securities held.
|
16.
|
Cost of funds
includes agency repurchase agreements, other debt and current pay
interest rate swaps, but excludes swap termination fees, forward
starting swaps and costs associated with other supplemental hedges
such as swaptions and short treasury or TBA positions.
Average cost of funds for the period was calculated by dividing the
total cost of funds by the average agency repurchase agreements and
other debt outstanding for the period. Cost of funds excludes
U.S. Treasury repurchase agreements.
|
17.
|
Estimated TBA dollar
roll income/loss is net of TBAs used for hedging purposes. Dollar
roll income/loss excludes the impact of other supplemental hedges,
and is recognized in gain (loss) on derivative instruments and
other securities, net.
|
18.
|
Cost of funds as of
period end includes agency repurchase agreements and other debt
outstanding, plus the impact of interest rate swaps in effect as of
each period end and forward starting swaps becoming effective, net
of swaps expiring, within three months of each period end, but
excludes costs associated with other supplemental hedges such as
swaptions and short treasury or TBA
positions.
|
19.
|
Net comprehensive
income (loss) return on average common equity for the period was
calculated by dividing comprehensive income (loss) available
(attributable) to common shareholders by average common
equity.
|
20.
|
Economic return
(loss) on common equity represents the sum of the change in net
asset value per common share and dividends declared on common stock
during the period over the beginning net asset value per common
share.
|
21.
|
Excludes net
TBA mortgage position.
|
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on February 3, 2015 at 11:00 am ET. Interested persons who do not plan
on asking a question and have access to the internet are encouraged
to utilize the free live webcast at www.AGNC.com. Those who
do plan on participating in the Q&A or do not have the internet
available may access the call by dialing (877) 300-5922 (U.S.
domestic) or (412) 902-6621 (international). Please advise the
operator you are dialing in for the American Capital Agency
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q4 2014 Earnings
Presentation link to download and print the presentation in advance
of the Stockholder Call.
An archived audio of the stockholder call combined with the
slide presentation will be made available on the AGNC website after
the call on February 3, 2015. In addition, there will be
a phone recording available one hour after the live call on
February 3, 2015 through February 17,
2015. If you are interested in hearing the recording of the
presentation, please dial (877) 344-7529 (U.S. domestic) or (412)
317-0088 (international). The conference number is
10058856.
For further information, please contact Investor Relations at
(301) 968-9300 or IR@AGNC.com.
ABOUT AMERICAN CAPITAL AGENCY CORP.
American Capital
Agency Corp. is a real estate investment trust ("REIT") that
invests in agency pass-through securities and collateralized
mortgage obligations for which the principal and interest payments
are guaranteed by a U.S. Government agency or a U.S.
Government-sponsored enterprise. The Company is externally
managed and advised by American Capital AGNC Management, LLC, an
affiliate of American Capital, Ltd. For further information,
please refer to www.AGNC.com.
ABOUT AMERICAN CAPITAL, LTD.
American Capital, Ltd.
(Nasdaq: ACAS) is a publicly traded private equity firm and global
asset manager. American Capital, both directly and through
its asset management business, originates, underwrites and manages
investments in middle market private equity, leveraged finance,
real estate, energy & infrastructure and structured
products. American Capital manages $21
billion of assets, including assets on its balance sheet and
fee earning assets under management by affiliated managers, with
$80 billion of total assets under
management (including levered assets). Through a wholly owned
affiliate, American Capital manages publicly traded American
Capital Agency Corp. (Nasdaq: AGNC), American Capital Mortgage
Investment Corp. (Nasdaq: MTGE) and American Capital Senior
Floating, Ltd. (Nasdaq: ACSF) with approximately $11 billion of total net book value. From
its eight offices in the U.S., Europe and Asia, American Capital and its wholly owned
affiliate, European Capital, will consider investment opportunities
from $10 million to $750
million. For further information, please refer to
www.AmericanCapital.com.
FORWARD LOOKING STATEMENTS
This press release
contains forward-looking statements. Forward-looking
statements are based on estimates, projections, beliefs and
assumptions of management of the Company at the time of such
statements and are not guarantees of future performance.
Forward-looking statements involve risks and uncertainties in
predicting future results and conditions. Actual results
could differ materially from those projected in these
forward-looking statements due to a variety of important factors,
including, without limitation, changes in interest rates, changes
in the yield curve, changes in prepayment rates, the availability
and terms of financing, changes in the market value of the
Company's assets, general economic conditions, market conditions,
conditions in the market for agency securities, and legislative and
regulatory changes that could adversely affect the business of the
Company. Certain factors that could cause actual results to
differ materially from those contained in the forward-looking
statements, are included in the Company's periodic reports filed
with the Securities and Exchange Commission ("SEC"). Copies
are available on the SEC's website, www.sec.gov. The Company
disclaims any obligation to update or revise any forward-looking
statements based on the occurrence of future events, the receipt or
new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to
the results presented in accordance with GAAP, the Company's
results of operations discussed in this release include certain
non-GAAP financial information, including "adjusted net interest
expense" (defined as interest expense plus the periodic interest
rate costs of the Company's interest rate swaps reported in gain
(loss) on derivatives and other securities, net in its consolidated
statements of comprehensive income), "net spread and dollar roll
income" (defined as interest income, TBA dollar roll income and
dividends from REIT equity securities, net of adjusted net interest
expense and operating expenses) and "estimated taxable income" and
certain financial metrics derived from non-GAAP information, such
as "cost of funds" and "net interest rate spread."
By providing users of the Company's financial information with
such measures in addition to the related GAAP measures, the Company
believes it gives users greater transparency into the information
used by the Company's management in its financial and operational
decision-making and that it is meaningful information to consider
related to: (i) in the case of adjusted net interest expense, the
economic costs of financing the Company's investment portfolio
inclusive of interest rate swaps used to economically hedge against
fluctuations in its borrowing costs, (ii) in the case of net spread
and dollar roll income, the Company's current financial performance
without the effects of certain transactions that are not
necessarily indicative of its current investment portfolio and
operations, and (iii) in the case of estimated taxable income,
information that is directly related to the amount of dividends the
Company is required to distribute in order to maintain its REIT
qualification status. However, because such measures are
incomplete measures of the Company's financial performance and
involve differences from results computed in accordance with GAAP,
they should be considered as supplementary to, and not as a
substitute for, results computed in accordance with GAAP. In
addition, because not all companies use identical calculations, the
Company's presentation of such non-GAAP measures may not be
comparable to other similarly-titled measures of other
companies. Furthermore, estimated taxable income can include
certain information that is subject to potential adjustments up to
the time of filing the Company's income tax returns, which occurs
after the end of its fiscal year.
A reconciliation of GAAP net interest income to non-GAAP net
spread and dollar roll income and a reconciliation of GAAP net
income to non-GAAP estimated taxable income is included in this
release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9400
To view the original version on PR Newswire,
visit:http://www.prnewswire.com/news-releases/american-capital-agency-corp-reports-086-comprehensive-income-per-common-share-and-2574-net-book-value-per-common-share-300029412.html
SOURCE American Capital Agency Corp.