BETHESDA, Md., July 27, 2015 /PRNewswire/ -- American Capital
Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
reported a comprehensive loss for the second quarter of 2015 of
$(0.97) per common share and net book
value of $24.00 per common
share. Economic loss for the period, defined as dividends per
common share and the change in net book value ("NAV") per common
share, was -3.6% for the quarter, or -14.3% on an annualized
basis.
SECOND QUARTER 2015 FINANCIAL
HIGHLIGHTS
- $(0.97) comprehensive loss per
common share, comprised of:
- $1.43 net income per common
share
- $(2.40) other comprehensive loss
("OCI") per common share
- Includes net unrealized losses on investments marked-to-market
through OCI
- $0.60 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization benefit
- Includes $0.15 per common share
of dollar roll income associated with the Company's $6.0 billion average net long position in forward
purchases and sales of agency mortgage-backed securities ("MBS") in
the "to-be-announced" ("TBA") market
- Excludes $0.10 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $24.00 net book value per common
share as of June 30, 2015
- Decreased $(1.53) per common
share, or -6.0%, from $25.53 per
common share as of March 31,
2015
- $0.62 dividend declared per
common share during the quarter
- 13.5% annualized dividend yield based on June 30, 2015 closing stock price of $18.37 per common share
- -3.6% economic loss on common equity for the quarter, or -14.3%
annualized
- Comprised of $0.62 dividend per
common share and $(1.53) decrease in
net book value per common share
- 4.0 million shares of common stock repurchased during the
quarter
- Represents 1% of common shares outstanding as of March 31, 2015
- $19.86 per share average
repurchase price, inclusive of transaction costs
OTHER SECOND QUARTER HIGHLIGHTS
- $59.2 billion agency MBS
investment portfolio as of June 30, 2015
- Includes $7.1 billion net long
TBA mortgage position as of June 30, 2015
- 6.1x "at risk" leverage as of June 30, 2015
- 5.3x leverage excluding net long TBA mortgage position as of
June 30, 2015
- 11.6% portfolio CPR for the quarter
- 8.3% average projected portfolio life CPR as of June 30,
2015
- 1.74% annualized net interest rate spread for the quarter,
including TBA dollar roll income
- Includes 24 bps of "catch up" premium amortization benefit due
to change in projected CPR estimates
- Compares to 1.53% annualized net interest spread for the first
quarter of 2015, inclusive of -11 bps of "catch-up" premium
amortization cost
MANAGEMENT REMARKS
"The second quarter
was challenging for the entire fixed income market and agency MBS
were clearly no exception," said Gary
Kain, President and Chief Investment Officer. "Global
economic uncertainty, particularly in Europe and China, continued to clash with the growing
probability that the Federal Reserve will soon begin to raise short
term interest rates. This time, however, unlike the first
quarter, the resulting volatility led to higher rates and a
steepening of the yield curve. Against this backdrop,
AGNC's book value was negatively impacted by both the rate move and
a significant widening in agency MBS spreads."
"While we are clearly not pleased with AGNC's
economic return during the second quarter, we do feel good about
recognizing the unfavorable risk/return landscape and entering the
quarter with the lowest leverage we have employed since 2008,"
continued Mr. Kain. "Moreover, our conservative risk profile
gives us significant capacity to take advantage of attractive
opportunities as they arise, thereby meaningfully enhancing the
long term earnings profile of our portfolio. To this point,
now that MBS spreads are more reasonable and rates are higher,
further increases in either rates or spreads are likely to present
a compelling investment environment for us to return to a more
normal risk profile with higher leverage and a larger duration
gap."
Malon Wilkus,
Chair and Chief Executive Officer, commented, "With our stock
trading at meaningful discounts to our net book value during the
second quarter, we repurchased approximately 1% of our outstanding
shares of common stock at an average price of $19.86 per share. Accretion from share
repurchases can be material when markets overreact to short term
concerns, driving stock valuations to relatively extreme price/book
discounts, and we expect to continue to take advantage of these
opportunities."
NET BOOK VALUE
As of June 30,
2015, the Company's net book value per common share was
$24.00, or $(1.53) lower than its March 31, 2015 net
book value per common share of $25.53. The 6.0% decline in the Company's
net book value per common share was primarily due to higher
interest rates and wider spreads for agency MBS relative to
benchmark interest rates.
INVESTMENT PORTFOLIO
As of
June 30, 2015, the Company's investment portfolio totaled
$59.2 billion of agency MBS and TBA
securities, comprised of:
- $57.1 billion of fixed-rate
securities, comprised of:
- $19.9 billion ≤ 15-year
securities,
- $0.1 billion 15-year net long TBA
securities,
- $1.2 billion 20-year fixed-rate
securities,
- $29.0 billion 30-year fixed-rate
securities and
- $6.9 billion 30-year net long TBA
securities;
- $0.6 billion of adjustable-rate
securities; and
- $1.4 billion of collateralized
mortgage obligations ("CMOs"), including principal and
interest-only strips.
As of June 30, 2015, inclusive of the net
TBA position, ≤ 15-year fixed rate securities represented 34% of
the Company's investment portfolio, a decrease from 37% as of
March 31, 2015, and 30-year fixed rate securities represented
61% of the Company's investment portfolio, an increase from 58% as
of March 31, 2015.
As of June 30, 2015, the Company's
fixed-rate mortgage assets, inclusive of the net TBA position, had
a weighted average coupon of 3.50%, compared to 3.42% as of
March 31, 2015, comprised of the following weighted average
coupons:
- 3.27% for ≤ 15-year fixed rate securities;
- 3.49% for 20-year fixed-rate securities; and
- 3.63% 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 June 30, 2015, the Company's net TBA position had a total
fair value and total cost basis of $7.1
billion and a net carrying value of $(46) million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to a
total fair value of $4.9 billion, a
cost basis of $4.8 billion and a net
carrying value of $79 million as of
March 31, 2015, respectively.
CONSTANT PREPAYMENT RATES
The
Company's investment portfolio had a weighted average CPR of 11.6%
for the second quarter, compared to 8.4% for the prior
quarter. The weighted average projected CPR for the remaining
life of the Company's agency securities held as of June 30,
2015 decreased to 8.3% from 9.8% as of March 31, 2015 due to
higher interest rates.
The weighted average cost basis of the Company's
investment portfolio was 104.6% of par value as of June 30,
2015. Net premium amortization cost on the Company's
investment portfolio for the second quarter was $(69) million, or $(0.20) per common share, including a "catch-up"
premium amortization benefit of $37
million, or $0.10 per common
share, due to changes in the Company's projected CPR
estimates. This compares to net premium amortization cost for
the prior quarter of $(133) million,
or $(0.38) per common share,
including "catch-up" premium amortization cost of $(19) million, or $(0.05) per common share. The net
unamortized premium balance as of June 30, 2015 was
$2.3 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 repayments over the remaining life of the
security. Faster actual or projected repayments can have a
meaningful negative impact on the Company's asset yields, while
slower actual or projected repayments can have a meaningful
positive impact.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST
RATE SPREAD
The Company's average asset yield on its "repo
funded assets" (i.e., the Company's investment portfolio excluding
the net TBA position), inclusive of "catch-up" premium
amortization benefit/(cost), was 2.95% for the second quarter, an
increase from 2.57% for the prior quarter.
For the second quarter, the Company's average
cost of funds was 1.43%, an increase from 1.28% for the prior
quarter. The Company's average cost of funds includes the
cost of repurchase agreements, other debt and interest rate swaps
(including interest rate swaps used to hedge the Company's dollar
roll funded assets) measured against the Company's daily weighted
average repo and other debt balance outstanding. Excluding
swap costs related to the Company's TBA dollar roll funded assets,
the Company's cost of funds for its repo funded assets was
approximately 1.28% for the second quarter, an increase from
approximately 1.15% for the prior quarter. The increase in
the Company's average cost of funds during the second quarter was
primarily due to a higher ratio of interest rate swaps to agency
repo and other debt outstanding during the quarter.
The Company's combined annualized net interest
rate spread on its repo and dollar roll funded assets for the
quarter was 1.74%, compared to 1.53% for the prior quarter.
Excluding "catch-up" premium amortization benefit/(cost), the
Company's combined annualized net interest rate spread on its repo
and dollar roll funded assets for the quarter was 1.50%, compared
to 1.64% for the prior quarter.
On a per share basis, the Company recognized
$0.70 per common share of net spread
and dollar roll income (a non-GAAP financial measure) for the
second quarter, compared to $0.65 for
the prior quarter. Excluding "catch-up" premium amortization
benefit/(cost), the Company's net spread and dollar roll income was
$0.60 per common share for the second
quarter, a decrease from $0.70 per
common share for the prior quarter. Net spread and dollar
roll income for the second quarter included $0.15 per common share of dollar roll income,
compared to $0.16 per common share
for the prior quarter. The decline in net spread and
dollar roll income, excluding catch-up premium amortization
benefit/(cost), was primarily due to the combination of lower
leverage and higher swap costs. A reconciliation of the
Company's net interest income to net spread and dollar roll income
and additional information regarding the Company's use of non-GAAP
measures are included later in this release.
LEVERAGE
As of June 30, 2015,
$45.2 billion of the Company's
repurchase agreements were used to fund acquisitions of agency
securities ("agency repo"), while the remainder, or $5.0 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 6.1x as of June 30,
2015, compared to 6.4x as of March 31, 2015. The
Company's average "at risk" leverage ratio for the quarter was
6.2x, compared to 6.5x for the prior quarter. The Company's
leverage ratios exclude equity allocated to investments in REIT
equity securities.
As of June 30, 2015, the Company's agency
repo agreements had a weighted average interest rate of 0.45%, an
increase from 0.41% as of March 31, 2015, and a weighted
average remaining days to maturity of 177 days, an increase from
164 days as of March 31, 2015.
As of June 30, 2015, the Company's agency
repo agreements had remaining maturities consisting of:
- $22.1 billion of one month or
less;
- $11.9 billion from one to three
months;
- $3.1 billion from three to six
months;
- $1.8 billion from six to nine
months;
- $1.8 billion from nine to twelve
months;
- $0.8 billion from twelve to
twenty-four months;
- $0.7 billion from twenty-four to
thirty-six months;
- $0.8 billion from thirty-six to
forty-eight months; and
- $2.3 billion from forty-eight to
sixty months.
During the second quarter, a wholly-owned
subsidiary of the Company was approved as a member of the Federal
Home Loan Bank of Des Moines.
HEDGING ACTIVITIES
As of June 30,
2015, 84% 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, an
increase from 78% as of March 31, 2015.
The Company's interest rate swap position as of
June 30, 2015 totaled $44.9
billion in notional amount, unchanged from March 31,
2015.
As of June 30, 2015, the Company's swap
position included a total of $8.8
billion of forward starting swaps, with an average forward
start date of 0.8 years and an average remaining maturity of 6.6
years, compared to $10.1 billion as
of March 31, 2015, with an average forward start date of 0.9
years and an average remaining maturity of 7.3 years.
Excluding forward starting swaps, the Company's
interest rate swap portfolio had an average fixed pay rate of 1.69%
and an average receive rate of 0.27% as of June 30, 2015,
compared to 1.64% and 0.25% as of March 31, 2015,
respectively. Including forward starting swaps, the Company's
interest rate swap portfolio had an average fixed pay rate of 1.94%
and an average maturity of 4.9 years as of June 30, 2015,
compared to 1.94% and 5.2 years as of March 31, 2015,
respectively.
During the second quarter, $0.3 billion of payer swaptions from previous
quarters expired, resulting in a net realized gain of $3 million. As of June 30, 2015, the
Company had payer swaptions totaling $5.5
billion of notional value outstanding with a market value of
$45 million, cost basis of
$136 million, an average remaining
option term of 0.5 years and an average underlying interest rate
swap term of 7.1 years. This compares to $5.2 billion of notional value outstanding as of
March 31, 2015 with a market value of $29 million, cost basis of $130 million, an average remaining option term of
0.6 years and an average underlying swap term of 7.0
years.
During the second quarter, $0.8 billion of receiver swaptions from previous
quarters expired, resulting in a net realized gain of $2 million. As of June 30, 2015, the
Company had no receiver swaptions outstanding.
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. As of
June 30, 2015, the Company had a net long position of
$2.9 billion (market value) in U.S.
Treasury securities and a net short position of $0.9 billion in U.S. Treasury futures, compared
to a net long position of $0.9
billion and a net short position of $0.9 billion, respectively, as of March 31,
2015.
OTHER INCOME (LOSS), NET
For the
second quarter, the Company recorded a net gain of $215 million in other income (loss), net, or
$0.61 per common share, compared to a
net loss of $(513) million, or
$(1.45) per common share for the
prior quarter. Other income (loss), net for the second
quarter was comprised of:
- $(22) million of net realized
losses on sales of agency securities;
- $534 million of net unrealized
gains on interest rate swaps (excludes $26
million of unrealized gains recognized in OCI);
- $(99) million of interest rate
swap periodic interest costs;
- $(83) million of net losses on
U.S. Treasury positions;
- $54 million of TBA dollar roll
income;
- $(164) million of net
mark-to-market losses on TBA mortgage positions;
- $(6) million of net dividends and
unrealized losses on mortgage REIT equity securities; and
- $1 million of net gains on other
derivative instruments and securities.
OTHER COMPREHENSIVE LOSS
During the
second quarter, the Company recorded other comprehensive loss of
$(846) million, or $(2.40) per common share, due to unrealized
losses on the Company's agency securities.
ESTIMATED TAXABLE INCOME
Estimated
taxable income for the second quarter was $0.33 per common share, or $1.10 lower than the Company's GAAP net income of
$1.43 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
second quarter excludes $(0.34) per
common share of estimated net capital losses (net of $0.15 per common share of TBA dollar roll
income). The Company's estimated net capital loss
carryforward was $2.20 per common
share as of June 30, 2015, versus
$1.84 per common share as of
March 31, 2015, which may be offset
against future net capital gains through calendar year 2018.
SECOND QUARTER 2015 DIVIDEND
DECLARATIONS
During the second quarter, the Company's Board
of Directors declared monthly dividends of $0.22, $0.20 and
$0.20 per share to common
stockholders of record as of April
30, May 29 and June 30, 2015, respectively, which were paid on
May 8, June
5 and July 8, 2015,
respectively. This equates to a second quarter annualized
dividend yield of 13.5% based on the Company's June 30, 2015 closing stock price of $18.37 per common share (or to a monthly
annualized dividend yield of 13.1% based on the Company's June
dividend and June 30, 2015 closing
stock price).
Since its May 2008
initial public offering through the second quarter of 2015, the
Company has declared a total of $5.6
billion in common dividends, or $31.50 per common share.
On June 15, 2015, the Company's Board of
Directors declared a second 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
July 15, 2015 to preferred stockholders of record as of
July 1, 2015.
STOCK REPURCHASE PROGRAM
During the
second quarter, the Company repurchased 4.0 million shares of its
common stock, or 1% of the Company's outstanding shares as of
March 31, 2015. The shares were
repurchased at an average price of $19.86 per share, including expenses, totaling
approximately $79 million. Since
commencing a stock repurchase program in the fourth quarter of
2012, the Company has repurchased 50.3 million shares of its common
stock for total consideration of approximately $1.1 billion, including expenses. As of
June 30, 2015, the Company had
$0.9 billion available under its
current Board of Directors' authorization for repurchases of its
common stock through December 31,
2015.
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2015
|
|
2015
|
|
2014
|
|
2014
|
|
2014
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$48,128,
$56,836, $51,629, $46,162 and $50,057,
respectively)
|
$
|
50,976
|
|
|
$
|
60,131
|
|
|
$
|
55,482
|
|
|
$
|
50,420
|
|
|
$
|
52,174
|
|
Agency
securities transferred to consolidated variable interest entities,
at
fair value (pledged securities)
|
1,142
|
|
|
1,221
|
|
|
1,266
|
|
|
1,310
|
|
|
1,377
|
|
U.S. Treasury
securities, at fair value (including pledged securities of
$4,756, $4,328, $2,375, $1,214 and $1,247,
respectively)
|
5,124
|
|
|
4,328
|
|
|
2,427
|
|
|
1,214
|
|
|
1,247
|
|
REIT equity
securities, at fair value
|
60
|
|
|
68
|
|
|
68
|
|
|
66
|
|
|
202
|
|
Cash and
cash equivalents
|
1,510
|
|
|
1,708
|
|
|
1,720
|
|
|
1,708
|
|
|
1,747
|
|
Restricted cash
|
778
|
|
|
1,108
|
|
|
713
|
|
|
794
|
|
|
783
|
|
Derivative assets, at fair value
|
164
|
|
|
229
|
|
|
408
|
|
|
462
|
|
|
593
|
|
Receivable for
securities sold (including pledged securities of $221,
$721, $79, $694 and $441, respectively)
|
221
|
|
|
908
|
|
|
239
|
|
|
905
|
|
|
1,872
|
|
Receivable under reverse repurchase agreements
|
2,741
|
|
|
3,175
|
|
|
5,218
|
|
|
5,258
|
|
|
6,621
|
|
Other
assets
|
169
|
|
|
229
|
|
|
225
|
|
|
211
|
|
|
238
|
|
Total
assets
|
$
|
62,885
|
|
|
$
|
73,105
|
|
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
50,178
|
|
|
$
|
58,112
|
|
|
$
|
50,296
|
|
|
$
|
45,327
|
|
|
$
|
48,714
|
|
Debt of
consolidated variable interest entities, at fair value
|
674
|
|
|
725
|
|
|
761
|
|
|
796
|
|
|
844
|
|
Payable
for securities purchased
|
90
|
|
|
50
|
|
|
843
|
|
|
1,150
|
|
|
558
|
|
Derivative liabilities, at fair value
|
844
|
|
|
1,352
|
|
|
890
|
|
|
510
|
|
|
583
|
|
Dividends payable
|
77
|
|
|
85
|
|
|
85
|
|
|
236
|
|
|
235
|
|
Obligation to return securities borrowed under reverse
|
2,230
|
|
|
3,363
|
|
|
5,363
|
|
|
4,742
|
|
|
6,094
|
|
repurchase agreements, at fair value
|
Accounts
payable and other accrued liabilities
|
74
|
|
|
62
|
|
|
100
|
|
|
230
|
|
|
215
|
|
Total
liabilities
|
54,167
|
|
|
63,749
|
|
|
58,338
|
|
|
52,991
|
|
|
57,243
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred
stock - aggregate liquidation preference of $348
|
336
|
|
|
336
|
|
|
336
|
|
|
336
|
|
|
336
|
|
Common stock -
$0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
348.8, 352.8,
352.8, 352.8 and 352.8 shares issued and outstanding
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Additional
paid-in capital
|
10,253
|
|
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
Retained
deficit
|
(1,879)
|
|
|
(2,166)
|
|
|
(1,674)
|
|
|
(1,112)
|
|
|
(1,073)
|
|
Accumulated
other comprehensive income (loss)
|
4
|
|
|
850
|
|
|
430
|
|
|
(203)
|
|
|
12
|
|
Total stockholders'
equity
|
8,718
|
|
|
9,356
|
|
|
9,428
|
|
|
9,357
|
|
|
9,611
|
|
Total liabilities and
stockholders' equity
|
$
|
62,885
|
|
|
$
|
73,105
|
|
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$
|
24.00
|
|
|
$
|
25.53
|
|
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
2015
|
|
2015
|
|
2014
|
|
2014
|
|
2014
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
414
|
|
|
$
|
383
|
|
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
Interest
expense 1
|
81
|
|
|
86
|
|
|
81
|
|
|
88
|
|
|
95
|
|
Net interest income
|
333
|
|
|
297
|
|
|
250
|
|
|
269
|
|
|
290
|
|
|
|
|
|
|
|
|
|
|
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
(Loss)
gain on sale of agency securities, net
|
(22)
|
|
|
36
|
|
|
34
|
|
|
14
|
|
|
22
|
|
Gain
(loss) on derivative instruments and other securities, net
1
|
237
|
|
|
(549)
|
|
|
(572)
|
|
|
(51)
|
|
|
(244)
|
|
Total other gain (loss), net
|
215
|
|
|
(513)
|
|
|
(538)
|
|
|
(37)
|
|
|
(222)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management fee
|
29
|
|
|
30
|
|
|
30
|
|
|
30
|
|
|
30
|
|
General
and administrative expenses
|
7
|
|
|
6
|
|
|
5
|
|
|
5
|
|
|
6
|
|
Total expenses
|
36
|
|
|
36
|
|
|
35
|
|
|
35
|
|
|
36
|
|
Net income
(loss)
|
512
|
|
|
(252)
|
|
|
(323)
|
|
|
197
|
|
|
32
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
Net income (loss)
available (attributable) to common stockholders
|
$
|
505
|
|
|
$
|
(259)
|
|
|
$
|
(330)
|
|
|
$
|
190
|
|
|
$
|
27
|
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
|
512
|
|
|
$
|
(252)
|
|
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
Other
comprehensive (loss) income:
|
|
|
|
|
|
|
|
|
|
Unrealized (loss) gain on available-for-sale securities,
net
|
(872)
|
|
|
391
|
|
|
599
|
|
|
(253)
|
|
|
790
|
|
Unrealized gain on derivative instruments, net
1
|
26
|
|
|
29
|
|
|
35
|
|
|
38
|
|
|
40
|
|
Other comprehensive (loss) income
|
(846)
|
|
|
420
|
|
|
634
|
|
|
(215)
|
|
|
830
|
|
Comprehensive
(loss) income
|
(334)
|
|
|
168
|
|
|
311
|
|
|
(18)
|
|
|
862
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
Comprehensive
(loss) income (attributable) available income to common
stockholders
|
$
|
(341)
|
|
|
$
|
161
|
|
|
$
|
304
|
|
|
$
|
(25)
|
|
|
$
|
857
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
352.1
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
basic and
diluted
|
Net income (loss)
per common share - basic and diluted
|
$
|
1.43
|
|
|
$
|
(0.73)
|
|
|
$
|
(0.94)
|
|
|
$
|
0.54
|
|
|
$
|
0.08
|
|
Comprehensive
(loss) income per common share - basic and diluted
|
$
|
(0.97)
|
|
|
$
|
0.46
|
|
|
$
|
0.86
|
|
|
$
|
(0.07)
|
|
|
$
|
2.43
|
|
Dividends declared
per common share
|
$
|
0.62
|
|
|
$
|
0.66
|
|
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
2015
|
2015
|
2014
|
2014
|
2014
|
Interest
income
|
$
|
414
|
|
|
$
|
383
|
|
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt
|
55
|
|
|
57
|
|
|
46
|
|
|
50
|
|
|
55
|
|
Interest rate
swap periodic costs1
|
26
|
|
|
29
|
|
|
35
|
|
|
38
|
|
|
40
|
|
Total interest
expense
|
81
|
|
|
86
|
|
|
81
|
|
|
88
|
|
|
95
|
|
Net interest
income
|
333
|
|
|
297
|
|
|
250
|
|
|
269
|
|
|
290
|
|
Other interest
rate swap periodic costs 3
|
(99)
|
|
|
(84)
|
|
|
(78)
|
|
|
(82)
|
|
|
(87)
|
|
Dividend on
REIT equity securities4
|
2
|
|
|
2
|
|
|
2
|
|
|
2
|
|
|
6
|
|
TBA dollar
roll income 16
|
54
|
|
|
57
|
|
|
167
|
|
|
152
|
|
|
138
|
|
Adjusted net interest
and dollar roll income
|
290
|
|
|
272
|
|
|
341
|
|
|
341
|
|
|
347
|
|
Operating
expenses
|
36
|
|
|
36
|
|
|
35
|
|
|
35
|
|
|
36
|
|
Net spread and dollar
roll income
|
254
|
|
|
236
|
|
|
306
|
|
|
306
|
|
|
311
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
Net spread and dollar
roll income available to common stockholders
|
247
|
|
|
229
|
|
|
299
|
|
|
299
|
|
|
306
|
|
Estimated
"catch-up" premium amortization (benefit) cost due to
change in
CPR forecast
|
(37)
|
|
|
19
|
|
|
25
|
|
|
3
|
|
|
—
|
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to common stockholders
|
$
|
210
|
|
|
$
|
248
|
|
|
$
|
324
|
|
|
$
|
302
|
|
|
$
|
306
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.1
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
Net spread and dollar
roll income per common share - basic and diluted
|
$
|
0.70
|
|
|
$
|
0.65
|
|
|
$
|
0.85
|
|
|
$
|
0.85
|
|
|
$
|
0.87
|
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common share - basic and diluted
|
$
|
0.60
|
|
|
$
|
0.70
|
|
|
$
|
0.92
|
|
|
$
|
0.86
|
|
|
$
|
0.87
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
2015
|
2015
|
2014
|
2014
|
2014
|
Net income
(loss)
|
$
|
512
|
|
|
$
|
(252)
|
|
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(55)
|
|
|
26
|
|
|
15
|
|
|
(7)
|
|
|
(5)
|
|
Realized
loss/gain, net
|
(39)
|
|
|
(113)
|
|
|
318
|
|
|
136
|
|
|
5
|
|
Net capital
loss/(utilization of net capital loss carryforward)
5
|
121
|
|
|
(115)
|
|
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
Unrealized
loss, net
|
(417)
|
|
|
627
|
|
|
449
|
|
|
12
|
|
|
384
|
|
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1)
|
|
Total book to tax
differences
|
(390)
|
|
|
425
|
|
|
418
|
|
|
(105)
|
|
|
73
|
|
Estimated REIT
taxable income
|
122
|
|
|
173
|
|
|
95
|
|
|
92
|
|
|
105
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
|
115
|
|
|
$
|
166
|
|
|
$
|
88
|
|
|
$
|
85
|
|
|
$
|
100
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.1
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.33
|
|
|
$
|
0.47
|
|
|
$
|
0.25
|
|
|
$
|
0.24
|
|
|
$
|
0.28
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital loss
|
$
|
648
|
|
|
$
|
763
|
|
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
Net capital
loss/(utilization of net capital loss carryforward)
|
121
|
|
|
(115)
|
|
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
Ending cumulative
non-deductible capital loss
|
$
|
769
|
|
|
$
|
648
|
|
|
$
|
763
|
|
|
$
|
1,127
|
|
|
$
|
1,373
|
|
Ending cumulative
non-deductible capital loss per common share
|
$
|
2.20
|
|
|
$
|
1.84
|
|
|
$
|
2.16
|
|
|
$
|
3.19
|
|
|
$
|
3.89
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
2015
|
2015
|
2014
|
2014
|
2014
|
Fixed-rate agency
securities, at fair value - as of period end
19
|
$
|
50,070
|
|
|
$
|
59,140
|
|
|
$
|
54,473
|
|
|
$
|
49,170
|
|
|
$
|
50,871
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$
|
599
|
|
|
$
|
642
|
|
|
$
|
678
|
|
|
$
|
922
|
|
|
$
|
988
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
1,078
|
|
|
$
|
1,173
|
|
|
$
|
1,195
|
|
|
$
|
1,224
|
|
|
$
|
1,268
|
|
Interest-only strips
agency securities, at fair value - as of period end
|
$
|
189
|
|
|
$
|
198
|
|
|
$
|
203
|
|
|
$
|
217
|
|
|
$
|
219
|
|
Principal-only strips
agency securities, at fair value - as of period end
|
$
|
182
|
|
|
$
|
199
|
|
|
$
|
199
|
|
|
$
|
197
|
|
|
$
|
205
|
|
Total agency
securities, at fair value - as of period end
19
|
$
|
52,118
|
|
|
$
|
61,352
|
|
|
$
|
56,748
|
|
|
$
|
51,730
|
|
|
$
|
53,551
|
|
Total agency
securities, at cost - as of period end 19
|
$
|
51,994
|
|
|
$
|
60,349
|
|
|
$
|
56,148
|
|
|
$
|
51,730
|
|
|
$
|
53,301
|
|
Total agency
securities, at par - as of period end 6, 19
|
$
|
49,688
|
|
|
$
|
57,710
|
|
|
$
|
53,666
|
|
|
$
|
49,475
|
|
|
$
|
50,887
|
|
Average agency
securities, at cost 19
|
$
|
56,106
|
|
|
$
|
59,479
|
|
|
$
|
51,592
|
|
|
$
|
52,767
|
|
|
$
|
56,923
|
|
Average agency
securities, at par 6, 19
|
$
|
53,660
|
|
|
$
|
56,874
|
|
|
$
|
49,347
|
|
|
$
|
50,498
|
|
|
$
|
54,365
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
|
7,058
|
|
|
$
|
4,894
|
|
|
$
|
14,768
|
|
|
$
|
17,748
|
|
|
$
|
18,384
|
|
Net TBA portfolio -
as of period end, at cost
|
$
|
7,104
|
|
|
$
|
4,815
|
|
|
$
|
14,576
|
|
|
$
|
17,769
|
|
|
$
|
18,184
|
|
Net TBA portfolio -
as of period end, carrying value
|
$
|
(46)
|
|
|
$
|
79
|
|
|
$
|
192
|
|
|
$
|
(21)
|
|
|
$
|
200
|
|
Average net TBA
portfolio, at cost
|
$
|
5,973
|
|
|
$
|
6,957
|
|
|
$
|
18,492
|
|
|
$
|
15,680
|
|
|
$
|
13,963
|
|
Average repurchase
agreements and other debt
|
$
|
50,410
|
|
|
$
|
53,963
|
|
|
$
|
45,554
|
|
|
$
|
46,694
|
|
|
$
|
50,448
|
|
Average stockholders'
equity 7
|
$
|
9,108
|
|
|
$
|
9,401
|
|
|
$
|
9,408
|
|
|
$
|
9,455
|
|
|
$
|
9,315
|
|
Net book value per
common share as of period end 8
|
$
|
24.00
|
|
|
$
|
25.53
|
|
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
Leverage - average
during the period 9, 19
|
5.6:1
|
|
5.8:1
|
|
4.9:1
|
|
5.0:1
|
|
5.6:1
|
Leverage - average
during the period, including net TBA position
10
|
6.2:1
|
|
6.5:1
|
|
6.9:1
|
|
6.7:1
|
|
7.1:1
|
Leverage - as of
period end 11, 19
|
5.3:1
|
|
5.8:1
|
|
5.3:1
|
|
4.8:1
|
|
5.0:1
|
Leverage - as of
period end, including net TBA position 12
|
6.1:1
|
|
6.4:1
|
|
6.9:1
|
|
6.7:1
|
|
6.9:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Average coupon
13, 19
|
3.60
|
%
|
|
3.63
|
%
|
|
3.66
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
Average asset yield
14, 19
|
2.95
|
%
|
|
2.57
|
%
|
|
2.57
|
%
|
|
2.71
|
%
|
|
2.71
|
%
|
Average cost of funds
15, 19
|
(1.43)
|
%
|
|
(1.28)
|
%
|
|
(1.39)
|
%
|
|
(1.44)
|
%
|
|
(1.45)
|
%
|
Average net interest
rate spread 19
|
1.52
|
%
|
|
1.29
|
%
|
|
1.18
|
%
|
|
1.27
|
%
|
|
1.26
|
%
|
Average net interest
rate spread, including TBA dollar roll income/loss
16
|
1.74
|
%
|
|
1.53
|
%
|
|
1.85
|
%
|
|
1.90
|
%
|
|
1.84
|
%
|
Average coupon - as
of period end 19
|
3.62
|
%
|
|
3.58
|
%
|
|
3.65
|
%
|
|
3.65
|
%
|
|
3.63
|
%
|
Average asset
yield - as of period end 19
|
2.75
|
%
|
|
2.64
|
%
|
|
2.74
|
%
|
|
2.78
|
%
|
|
2.70
|
%
|
Average cost of funds
- as of period end 17, 19
|
(1.56)
|
%
|
|
(1.34)
|
%
|
|
(1.40)
|
%
|
|
(1.42)
|
%
|
|
(1.53)
|
%
|
Average net interest
rate spread - as of period end 19
|
1.19
|
%
|
|
1.30
|
%
|
|
1.34
|
%
|
|
1.36
|
%
|
|
1.17
|
%
|
Average actual CPR
for securities held during the period 19
|
12
|
%
|
|
8
|
%
|
|
9
|
%
|
|
10
|
%
|
|
9
|
%
|
Average forecasted
CPR - as of period end 19
|
8
|
%
|
|
10
|
%
|
|
9
|
%
|
|
8
|
%
|
|
8
|
%
|
Total premium
amortization, net
|
$
|
(69)
|
|
|
$
|
(133)
|
|
|
$
|
(121)
|
|
|
$
|
(101)
|
|
|
$
|
(109)
|
|
Expenses % of average
total assets - annualized
|
0.21
|
%
|
|
0.20
|
%
|
|
0.22
|
%
|
|
0.22
|
%
|
|
0.21
|
%
|
Expenses % of average
stockholders' equity - annualized
|
1.59
|
%
|
|
1.55
|
%
|
|
1.48
|
%
|
|
1.47
|
%
|
|
1.55
|
%
|
Net comprehensive
(loss) income return on average common equity -
annualized
|
(15.6)
|
%
|
|
7.2
|
%
|
|
13.3
|
%
|
|
(1.1)
|
%
|
|
38.0
|
%
|
Dividends declared
per common share
|
$
|
0.62
|
|
|
$
|
0.66
|
|
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
Economic (loss)
return on common equity - annualized 18
|
(14.3)
|
%
|
|
7.1
|
%
|
|
13.4
|
%
|
|
(1.1)
|
%
|
|
39.6
|
%
|
*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.
- 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.
- Table includes non-GAAP financial measures. Refer to "Use
of Non-GAAP Financial Information" for additional discussion of
non-GAAP financial measures.
- 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.
- Dividend on REIT equity securities is reported in gain (loss)
on derivative instruments and other securities, net.
- 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.
- Agency securities at par value exclude the underlying
unamortized principal balance ("UPB") of the Company's
interest-only securities. Excludes TBAs.
- Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 U.S. 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.
- 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.
- 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 U.S. Treasury or
TBA positions.
- 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.
- Excludes net TBA mortgage position.
STOCKHOLDER CALL
AGNC invites
stockholders, prospective stockholders and analysts to attend the
AGNC stockholder call on July 28, 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
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 Q2 2015
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 available on the AGNC
website after the call on July 28, 2015. In addition,
there will be a phone recording available one hour after the live
call on July 28, 2015 through August
11, 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
10068975.
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 $23
billion of assets, including assets on its balance sheet and
fee earning assets under management by affiliated managers, with
$92 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 $600
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-097-comprehensive-loss-per-common-share-and-2400-net-book-value-per-common-share-300119222.html
SOURCE American Capital Agency Corp.