BETHESDA, Md., April 27,
2015 /PRNewswire/ -- American Capital Agency Corp. ("AGNC" or
the "Company") (Nasdaq: AGNC) today reported comprehensive income
for the first quarter of 2015 of $0.46 per common share and net book value of
$25.53 per common share.
Economic return for the period, defined as dividends per common
share and the change in net book value ("NAV") per common share,
was 1.7% for the quarter, or 7.1% on an annualized basis.
FIRST QUARTER 2015 FINANCIAL HIGHLIGHTS
- $0.46 comprehensive income per
common share, comprised of:
- $(0.73) net loss per common
share
- $1.19 other comprehensive income
("OCI") per common share
- Includes net unrealized gains on investments marked-to-market
through OCI
- $0.70 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost
- Includes $0.16 per common share
of dollar roll income associated with the Company's $7.0 billion average net long position in forward
purchases and sales of agency mortgage-backed securities ("MBS") in
the "to-be-announced" ("TBA") market
- Excludes $(0.05) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $25.53 net book value per common
share as of March 31, 2015
- Decreased $(0.21) per common
share, or -0.8%, from $25.74 per
common share as of December 31,
2014
- $0.66 dividend declared per
common share during the quarter
- 12.4% annualized dividend yield based on March 31, 2015 closing stock price of
$21.33 per common share
- 1.7% economic return on common equity for the quarter, or 7.1%
annualized
Comprised of $0.66 dividend per
common share and $(0.21) decrease in
net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $66.2 billion agency MBS
investment portfolio as of March 31, 2015
- Includes $4.9 billion net long
TBA mortgage position as of March 31, 2015
- 6.4x "at risk" leverage as of March 31, 2015
- 5.8x leverage excluding net long TBA mortgage position as of
March 31, 2015
- 8.4% portfolio CPR for the quarter
- 9.8% average projected portfolio life CPR as of March 31,
2015
- 1.53% annualized net interest rate spread for the quarter,
including TBA dollar roll income
- 1.64% annualized net interest rate spread, including TBA dollar
roll income for the quarter and excluding -11 bps of "catch up"
premium amortization cost due to change in projected CPR
estimates
MANAGEMENT REMARKS
Gary
Kain, President and Chief Investment Officer, commented,
"Toward the end of last year we made the decision to reduce
leverage, reposition our portfolio away from higher coupon generic
MBS and reduce our aggregate interest rate exposure. We feel
good about this decision given the unprecedented interest rate
volatility we experienced during the first quarter of this
year. In January, we experienced a 50 basis point decline in
the 10 year U.S. Treasury rate, followed by a complete reversal of
this move in February and early March, and then yet another decline
in the 10 year U.S. Treasury rate of almost 30 basis points by the
end of March. Against the backdrop of this challenging
interest rate and global economic environment, we are very pleased
with our 7.1% annualized economic return for the quarter."
"We believe the opposing forces of global central bank easing,
incredibly low European interest rates, the strengthening U.S.
Dollar, energy related deflationary pressures and a Federal Reserve
that would like to commence the process of normalizing rates will
continue to create significant volatility in global financial
markets for the foreseeable future," continued Mr. Kain. "In
response, we continue to believe that we need to prioritize risk
management over incremental returns, at least in the short
term."
John Erickson, Chief Financial
Officer and Executive Vice President, commented, "Against the
backdrop of a very volatile quarter, the lack of meaningful
variability in our NAV per common share during the quarter, as
evidenced by our monthly NAV disclosures, is a testament to the
team's ability to navigate these volatile markets. We are now
operating at our lowest leverage level in over 6 years with more
conservative asset and hedge positioning, and while the decision to
reduce our monthly dividend from $0.22 to
$0.20 per common share is never an easy one, we believe it
is the best course of action for our stockholders. Moreover,
when expressed as a function of our closing stock price of
$21.58 per common share on
April 24, 2015, our revised dividend
equates to an annualized dividend yield of 11.1%, which we believe
is very attractive given the environment we are in."
INVESTMENT PORTFOLIO
As of March 31, 2015, the
Company's investment portfolio totaled $66.2
billion of agency MBS and TBA securities, comprised of:
- $64.0 billion of fixed-rate
securities, comprised of:
- $25.7 billion ≤ 15-year
securities,
- $(1.4) billion 15-year net short
TBA securities,
- $1.2 billion 20-year fixed-rate
securities,
- $32.2 billion 30-year fixed-rate
securities and
- $6.3 billion 30-year net long TBA
securities;
- $0.6 billion of adjustable-rate
securities; and
- $1.6 billion of collateralized
mortgage obligations ("CMOs"), including principal and
interest-only strips.
As of March 31, 2015, inclusive of the net TBA position, ≤
15-year and 30-year fixed rate securities represented 37% and 58%
of the Company's investment portfolio, respectively, unchanged from
December 31, 2014.
As of March 31, 2015, the Company's fixed-rate mortgage
assets, inclusive of the net TBA position, had a weighted average
coupon of 3.42%, compared to 3.45% as of December 31, 2014,
comprised of the following weighted average coupons:
- 3.16% for </= 15-year
fixed rate securities;
- 3.49% for 20-year fixed-rate securities; and
- 3.59% for 30-year fixed-rate securities.
As of March 31, 2015, the Company's higher coupon holdings
largely consisted of lower loan balance and "HARP" specified pools,
which offer more favorable prepayment attributes in lower interest
rate environments. Lower loan balance specified pools, which are
backed by mortgages with original loan balances of less than
$150,000, represented approximately
40% of the Company's fixed-rate portfolio, with an average loan
balance of $97,000 as of
March 31, 2015. HARP specified pools, which are backed
by loans originated under the U.S. Government sponsored Home
Affordable Refinance Program with original loan-to-values ("LTV")
of >/= 80%, represented
approximately 16% of the Company's fixed-rate portfolio, with an
average LTV of 117% as of March 31, 2015. In aggregate,
lower loan balance and HARP specified pools represented
approximately 56% of the Company's fixed rate portfolio, inclusive
of the net TBA position, compared to 53% as of December 31,
2014.
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
March 31, 2015, the Company's net TBA position had a total
fair value of $4.9 billion, a cost
basis of $4.8 billion and a net
carrying value of $79 million
reported in derivative assets/(liabilities) on the Company's
balance sheet, compared to a total fair value of $14.8 billion, a cost basis of $14.6 billion and a net carrying value of
$192 million as of December 31, 2014, respectively.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a CPR of 8.4% for the first quarter, compared to 9.0%
for the prior quarter. The weighted average projected CPR for
the remaining life of the Company's agency securities held as of
March 31, 2015 was 9.8%, an increase from 9.0% as of
December 31, 2014.
The weighted average cost basis of the Company's investment
portfolio was 104.6% of par value as of March 31, 2015.
Net premium amortization cost on the Company's investment portfolio
for the first quarter was $(133)
million, or $(0.38) per common
share, including "catch-up" premium amortization cost of
$(19) million, or $(0.05) per common share, due to changes in the
Company's projected CPR estimates, compared to net premium
amortization cost for the prior quarter of $(121) million, or $(0.34) per common share, including "catch-up"
premium amortization cost of $(25)
million, or $(0.07) per common
share. The net unamortized premium balance as of
March 31, 2015 was $2.6
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) was unchanged for the first quarter at 2.57%,
inclusive of "catch-up" premium amortization cost.
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) relative to the Company's daily weighted
average repo and other debt balance outstanding. For the
first quarter, the Company's average cost of funds declined to
1.28%, compared to 1.39% for the prior quarter, due primarily to
the Company's relative shift from TBA dollar roll funded to repo
funded assets. Excluding swap costs related to the Company's
TBA dollar roll funded assets, the Company's adjusted cost of funds
for its repo funded assets was approximately 1.15% for the first
quarter, compared to approximately 1.11% 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 1.53%,
compared to 1.85% 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 1.64%, compared to 2.00% for the prior
quarter. The quarterly decline in the Company's combined
annualized net interest rate spread was largely due to changes in
asset composition and the Company's relative shift from TBA dollar
roll to repo funded assets.
On a per share basis, the Company recognized $0.65 per common share of net spread and dollar
roll income (a non-GAAP financial measure) for the first quarter,
compared to $0.85 for the prior
quarter. Excluding "catch-up" premium amortization cost, the
Company's net spread and dollar roll income was $0.70 per common share, a decrease from
$0.92 per common share for the prior
quarter. Net spread and dollar roll income for the first
quarter included $0.16 per common
share of dollar roll income, compared to $0.47 per common share for the prior
quarter. 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 March 31, 2015, $54.3 billion of the Company's repurchase
agreements were used to fund acquisitions of agency securities
("agency repo"), while the remainder, or $3.8 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 6.4x as of March 31,
2015, compared to 6.9x as of December 31, 2014. The
Company's average "at risk" leverage ratio for the quarter was
6.5x, compared to 6.9x for the prior quarter. The Company's
leverage ratios exclude equity allocated to investments in REIT
equity securities.
As of March 31, 2015, the Company's agency repo agreements
had a weighted average interest rate of 0.41%, unchanged from
December 31, 2014, while the weighted average remaining days
to maturity increased to 164 days as of March 31, 2015 from
143 days as of December 31, 2014.
As of March 31, 2015, the Company's agency repo agreements
had remaining maturities consisting of:
- $24.7 billion of one month or
less;
- $15.1 billion from one to three
months;
- $5.5 billion from three to six
months;
- $2.7 billion from six to nine
months;
- $1.8 billion from nine to twelve
months;
- $0.7 billion from twelve to
twenty-four months;
- $0.9 billion from twenty-four to
thirty-six months;
- $1.2 billion from thirty-six to
forty-eight months; and
- $1.9 billion from forty-eight to
sixty months.
HEDGING ACTIVITIES
As of March 31, 2015, 78% 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 76% as of
December 31, 2014.
The Company's interest rate swap position as of March 31,
2015 totaled $44.9 billion in
notional amount, compared to $43.7
billion as of December 31, 2014. During the
quarter, the Company terminated $2.3
billion of longer dated interest rate swaps with an average
remaining life of 8.7 years, while the Company entered into new,
shorter dated swap agreements totaling $3.5
billion. The new swap agreements had an average
maturity of approximately 3.1 years as of March 31, 2015 and a
weighted average fixed pay rate of 1.18%.
As of March 31, 2015, the Company's swap position included
a total of $10.1 billion of forward
starting swaps, with an average forward start date of 0.9 years and
an average remaining maturity of 7.3 years, compared to
$12.4 billion as of December 31,
2014, with an average forward start date of 1.1 years and an
average remaining maturity of 7.9 years.
Excluding forward starting swaps, the Company's interest rate
swap portfolio had an average fixed pay rate of 1.64% and an
average receive rate of 0.25% as of March 31, 2015, compared
to 1.68% and 0.23%, as of December 31, 2014,
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 5.2 years as of March 31, 2015,
compared to 2.05% and 5.8 years as of December 31, 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, whereas the Company
generally utilizes interest rate swaptions to mitigate exposure to
larger, more rapid changes in interest rates.
During the first quarter, $1.6
billion of payer swaptions from previous quarters expired,
resulting in a net realized loss of $(15)
million. As of March 31, 2015, the Company had
payer swaptions totaling $5.2 billion
of notional value outstanding 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 interest rate swap term of 7.0
years. This compares to $6.8
billion of notional value outstanding as of
December 31, 2014 with a market value of $46 million, cost basis of $145 million, an average remaining option term of
0.7 years and an average underlying swap term of 6.2
years.
During the first quarter, $3.5
billion of receiver swaptions from previous quarters were
terminated, resulting in net realized gains of $13 million. As of March 31, 2015, the
Company had receiver swaptions totaling $0.8
billion of notional value outstanding, with a market value
of $21 million, cost basis of
$6 million, an average remaining
option term of 2 months and an average underlying interest rate
swap term of 6.7 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. As of March 31, 2015, the
Company had a net long position of $0.9
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 short position of
$2.9 billion and $0.9 billion, respectively, as of
December 31, 2014.
OTHER INCOME (LOSS), NET
For the first quarter, the
Company recorded a net loss of $(513)
million in other income (loss), net, or $(1.45) per common share, compared to a net loss
of $(538) million, or $(1.52) per common share for the prior
quarter. Other income (loss), net for the first quarter was
comprised of:
- $36 million of net realized gains
on sales of agency securities;
- $(662) million of net unrealized
losses on interest rate swaps and early termination fees (excludes
$29 million of unrealized gains
recognized in OCI);
- $(84) million of interest rate
swap periodic interest costs;
- $(50) million of net losses on
U.S. Treasury positions;
- $57 million of TBA dollar roll
income;
- $177 million of net
mark-to-market gains on TBA mortgage positions;
- $2 million of net dividends and
gains from mortgage REIT equity securities; and
- $11 million of net gains on other
derivative instruments and securities.
OTHER COMPREHENSIVE INCOME
During the first quarter,
the Company recorded other comprehensive income of $420 million, or $1.19 per common share, driven primarily by
unrealized gains on the Company's agency securities.
ESTIMATED TAXABLE INCOME
Estimated taxable income for
the first quarter was $0.47 per
common share, or $1.20 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 first quarter
excludes $0.33 per common share of
estimated net capital gains (including $0.16 per common share of TBA dollar roll income)
applied against the Company's prior year net capital loss
carryforward.
FIRST QUARTER 2015 DIVIDEND DECLARATIONS
During the
first quarter, the Company's Board of Directors declared monthly
dividends of $0.22 per share (or a
total of $0.66 per share for the
quarter, unchanged from the prior quarter) to common stockholders
of record as of January 30, 2015,
February 27, 2015 and March 31, 2015, which was paid on February 6, 2015, March 6,
2015 and April 10, 2015,
respectively, and equates to a 12.4% annualized dividend yield
based on the Company's March 31, 2015 closing stock price of
$21.33 per common share.
Since its May 2008 initial public
offering through the first quarter of 2015, the Company has
declared a total of $5.4 billion in
common dividends, or $30.88 per
common share.
On March 19, 2015, the Company's Board of Directors
declared a first 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
April 15, 2015 to preferred stockholders of record as of
April 1, 2015.
SECOND QUARTER 2015 COMMON STOCK DIVIDEND
DECLARATIONS
On April 13,
2015, the Company's Board of Directors declared a monthly
dividend of $0.22 per common share,
which will be paid on May 8, 2015 to
common stockholders of record as of April
30, 2015.
On April 27, 2015, the Company's
Board of Directors declared a monthly dividend of $0.20 per common share, which will be paid on
June 5, 2015 to common stockholders
of record as of May 29, 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)
|
|
|
|
|
|
|
|
|
|
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
2015
|
|
2014
|
|
2014
|
|
2014
|
2014
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$56,836,
$51,629, $46,162, $50,057 and $51,850, respectively)
|
$
|
60,131
|
|
|
$
|
55,482
|
|
|
$
|
50,420
|
|
|
$
|
52,174
|
|
|
$
|
54,960
|
|
Agency
securities transferred to consolidated variable interest entities,
at
fair value (pledged securities)
|
1,221
|
|
|
1,266
|
|
|
1,310
|
|
|
1,377
|
|
|
1,417
|
|
U.S.
Treasury securities, at fair value (including pledged securities of
$4,328, $2,375, $1,214, $1,247 and $196, respectively)
|
4,328
|
|
|
2,427
|
|
|
1,214
|
|
|
1,247
|
|
|
196
|
|
REIT
equity securities, at fair value
|
68
|
|
|
68
|
|
|
66
|
|
|
202
|
|
|
352
|
|
Cash and
cash equivalents
|
1,708
|
|
|
1,720
|
|
|
1,708
|
|
|
1,747
|
|
|
1,726
|
|
Restricted
cash
|
1,108
|
|
|
713
|
|
|
794
|
|
|
783
|
|
|
269
|
|
Derivative
assets, at fair value
|
229
|
|
|
408
|
|
|
462
|
|
|
593
|
|
|
686
|
|
Receivable for
securities sold (including pledged securities of $721, $79, $694,
$441 and $772, respectively)
|
908
|
|
|
239
|
|
|
905
|
|
|
1,872
|
|
|
799
|
|
Receivable
under reverse repurchase agreements
|
3,175
|
|
|
5,218
|
|
|
5,258
|
|
|
6,621
|
|
|
6,685
|
|
Other
assets
|
229
|
|
|
225
|
|
|
211
|
|
|
238
|
|
|
228
|
|
Total
assets
|
$
|
73,105
|
|
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
58,112
|
|
|
$
|
50,296
|
|
|
$
|
45,327
|
|
|
$
|
48,714
|
|
|
$
|
49,729
|
|
Debt of
consolidated variable interest entities, at fair value
|
725
|
|
|
761
|
|
|
796
|
|
|
844
|
|
|
874
|
|
Payable
for securities purchased
|
50
|
|
|
843
|
|
|
1,150
|
|
|
558
|
|
|
324
|
|
Derivative liabilities, at fair
value
|
1,352
|
|
|
890
|
|
|
510
|
|
|
583
|
|
|
417
|
|
Dividends
payable
|
85
|
|
|
85
|
|
|
236
|
|
|
235
|
|
|
232
|
|
Obligation to
return securities borrowed under reverse
|
3,363
|
|
|
5,363
|
|
|
4,742
|
|
|
6,094
|
|
|
6,658
|
|
repurchase
agreements, at fair value
|
Accounts
payable and other accrued liabilities
|
62
|
|
|
100
|
|
|
230
|
|
|
215
|
|
|
270
|
|
Total
liabilities
|
63,749
|
|
|
58,338
|
|
|
52,991
|
|
|
57,243
|
|
|
58,504
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred
stock - aggregate liquidation preference of $348, $348, $348,
$348 and $173, respectively
|
336
|
|
|
336
|
|
|
336
|
|
|
336
|
|
|
167
|
|
Common stock -
$0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
352.8 shares
issued and outstanding
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Additional
paid-in capital
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
Retained
deficit
|
(2,166)
|
|
|
(1,674)
|
|
|
(1,112)
|
|
|
(1,073)
|
|
|
(870)
|
|
Accumulated
other comprehensive income (loss)
|
850
|
|
|
430
|
|
|
(203)
|
|
|
12
|
|
|
(819)
|
|
Total stockholders'
equity
|
9,356
|
|
|
9,428
|
|
|
9,357
|
|
|
9,611
|
|
|
8,814
|
|
Total liabilities and
stockholders' equity
|
$
|
73,105
|
|
|
$
|
67,766
|
|
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$
|
25.53
|
|
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
2015
|
|
2014
|
|
2014
|
|
2014
|
2014
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
383
|
|
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
Interest
expense 1
|
86
|
|
|
81
|
|
|
88
|
|
|
95
|
|
|
108
|
|
Net interest income
|
297
|
|
|
250
|
|
|
269
|
|
|
290
|
|
|
291
|
|
|
|
|
|
|
|
|
|
|
|
Other loss,
net:
|
|
|
|
|
|
|
|
|
|
Gain
(loss) on sale of agency securities, net
|
36
|
|
|
34
|
|
|
14
|
|
|
22
|
|
|
(19)
|
|
Loss on
derivative instruments and other securities, net
1
|
(549)
|
|
|
(572)
|
|
|
(51)
|
|
|
(244)
|
|
|
(378)
|
|
Total other loss, net
|
(513)
|
|
|
(538)
|
|
|
(37)
|
|
|
(222)
|
|
|
(397)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management fees
|
30
|
|
|
30
|
|
|
30
|
|
|
30
|
|
|
29
|
|
General
and administrative expenses
|
6
|
|
|
5
|
|
|
5
|
|
|
6
|
|
|
6
|
|
Total expenses
|
36
|
|
|
35
|
|
|
35
|
|
|
36
|
|
|
35
|
|
Net (loss)
income
|
(252)
|
|
|
(323)
|
|
|
197
|
|
|
32
|
|
|
(141)
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
Net (loss) income
(attributable) available to common stockholders
|
$
|
(259)
|
|
|
$
|
(330)
|
|
|
$
|
190
|
|
|
$
|
27
|
|
|
$
|
(144)
|
|
|
|
|
|
|
|
|
|
|
|
Net (loss)
income
|
$
|
(252)
|
|
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
Other
comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
Unrealized gain (loss) on available-for-sale securities,
net
|
391
|
|
|
599
|
|
|
(253)
|
|
|
790
|
|
|
521
|
|
Unrealized gain on derivative instruments, net
1
|
29
|
|
|
35
|
|
|
38
|
|
|
40
|
|
|
43
|
|
Other comprehensive
income (loss)
|
420
|
|
|
634
|
|
|
(215)
|
|
|
830
|
|
|
564
|
|
Comprehensive
income (loss)
|
168
|
|
|
311
|
|
|
(18)
|
|
|
862
|
|
|
423
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
|
161
|
|
|
$
|
304
|
|
|
$
|
(25)
|
|
|
$
|
857
|
|
|
$
|
420
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
basic and
diluted
|
Net (loss) income
per common share - basic and diluted
|
$
|
(0.73)
|
|
|
$
|
(0.94)
|
|
|
$
|
0.54
|
|
|
$
|
0.08
|
|
|
$
|
(0.41)
|
|
Comprehensive
income (loss) per common share - basic and diluted
|
$
|
0.46
|
|
|
$
|
0.86
|
|
|
$
|
(0.07)
|
|
|
$
|
2.43
|
|
|
$
|
1.18
|
|
Dividends declared
per common share
|
$
|
0.66
|
|
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
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
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
2015
|
|
2014
|
|
2014
|
|
2014
|
2014
|
Interest
income
|
$
|
383
|
|
|
$
|
331
|
|
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt
|
57
|
|
|
46
|
|
|
50
|
|
|
55
|
|
|
65
|
|
Interest rate
swap periodic costs1
|
29
|
|
|
35
|
|
|
38
|
|
|
40
|
|
|
43
|
|
Total interest
expense
|
86
|
|
|
81
|
|
|
88
|
|
|
95
|
|
|
108
|
|
Net interest
income
|
297
|
|
|
250
|
|
|
269
|
|
|
290
|
|
|
291
|
|
Other interest
rate swap periodic costs 3
|
(84)
|
|
|
(78)
|
|
|
(82)
|
|
|
(87)
|
|
|
(83)
|
|
Dividend on
REIT equity securities4
|
2
|
|
|
2
|
|
|
2
|
|
|
6
|
|
|
10
|
|
TBA dollar
roll income 16
|
57
|
|
|
167
|
|
|
152
|
|
|
138
|
|
|
48
|
|
Adjusted net interest
and dollar roll income
|
272
|
|
|
341
|
|
|
341
|
|
|
347
|
|
|
266
|
|
Operating
expenses
|
36
|
|
|
35
|
|
|
35
|
|
|
36
|
|
|
35
|
|
Net spread and dollar
roll income
|
236
|
|
|
306
|
|
|
306
|
|
|
311
|
|
|
231
|
|
Dividend on
preferred stock
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
Net spread and dollar
roll income available to common stockholders
|
229
|
|
|
299
|
|
|
299
|
|
|
306
|
|
|
228
|
|
Estimated
"catch-up" premium amortization cost due to change in CPR
forecast
|
19
|
|
|
25
|
|
|
3
|
|
|
—
|
|
|
25
|
|
Net spread and dollar
roll income, excluding "catch-up" premium
amortization, available to common stockholders
|
$
|
248
|
|
|
$
|
324
|
|
|
$
|
302
|
|
|
$
|
306
|
|
|
$
|
253
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
Net spread and dollar
roll income per common share - basic and diluted
|
$
|
0.65
|
|
|
$
|
0.85
|
|
|
$
|
0.85
|
|
|
$
|
0.87
|
|
|
$
|
0.64
|
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common share - basic and diluted
|
$
|
0.70
|
|
|
$
|
0.92
|
|
|
$
|
0.86
|
|
|
$
|
0.87
|
|
|
$
|
0.71
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
2015
|
|
2014
|
|
2014
|
|
2014
|
2014
|
Net (loss)
income
|
$
|
(252)
|
|
|
$
|
(323)
|
|
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
26
|
|
|
15
|
|
|
(7)
|
|
|
(5)
|
|
|
31
|
|
Realized loss/gain,
net
|
(113)
|
|
|
318
|
|
|
136
|
|
|
5
|
|
|
36
|
|
Capital loss
carryforward 5
|
(115)
|
|
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
Unrealized loss,
net
|
627
|
|
|
449
|
|
|
12
|
|
|
384
|
|
|
346
|
|
Other
|
—
|
|
|
—
|
|
|
—
|
|
|
(1)
|
|
|
—
|
|
Total book to tax
differences
|
425
|
|
|
418
|
|
|
(105)
|
|
|
73
|
|
|
311
|
|
Estimated REIT
taxable income
|
173
|
|
|
95
|
|
|
92
|
|
|
105
|
|
|
170
|
|
Dividend on preferred
stock
|
7
|
|
|
7
|
|
|
7
|
|
|
5
|
|
|
3
|
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
|
166
|
|
|
$
|
88
|
|
|
$
|
85
|
|
|
$
|
100
|
|
|
$
|
167
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.47
|
|
|
$
|
0.25
|
|
|
$
|
0.24
|
|
|
$
|
0.28
|
|
|
$
|
0.47
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital losses
|
$
|
763
|
|
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
|
$
|
1,785
|
|
Capital loss
carryforward
|
(115)
|
|
|
(364)
|
|
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
Ending cumulative
non-deductible capital losses
|
$
|
648
|
|
|
$
|
763
|
|
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
Ending cumulative
non-deductible capital losses per common share
|
$
|
1.84
|
|
|
$
|
2.16
|
|
|
$
|
3.19
|
|
|
$
|
3.89
|
|
|
$
|
4.77
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
2015
|
|
2014
|
|
2014
|
|
2014
|
2014
|
Fixed-rate agency
securities, at fair value - as of period end
19
|
$
|
59,140
|
|
|
$
|
54,473
|
|
|
$
|
49,170
|
|
|
$
|
50,871
|
|
|
$
|
53,461
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$
|
642
|
|
|
$
|
678
|
|
|
$
|
922
|
|
|
$
|
988
|
|
|
$
|
1,195
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
1,173
|
|
|
$
|
1,195
|
|
|
$
|
1,224
|
|
|
$
|
1,268
|
|
|
$
|
1,289
|
|
Interest-only strips
agency securities, at fair value - as of period end
|
$
|
198
|
|
|
$
|
203
|
|
|
$
|
217
|
|
|
$
|
219
|
|
|
$
|
230
|
|
Principal-only strips
agency securities, at fair value - as of period end
|
$
|
199
|
|
|
$
|
199
|
|
|
$
|
197
|
|
|
$
|
205
|
|
|
$
|
202
|
|
Total agency
securities, at fair value - as of period end
19
|
$
|
61,352
|
|
|
$
|
56,748
|
|
|
$
|
51,730
|
|
|
$
|
53,551
|
|
|
$
|
56,377
|
|
Total agency
securities, at cost - as of period end 19
|
$
|
60,349
|
|
|
$
|
56,148
|
|
|
$
|
51,730
|
|
|
$
|
53,301
|
|
|
$
|
56,928
|
|
Total agency
securities, at par - as of period end 6, 19
|
$
|
57,710
|
|
|
$
|
53,666
|
|
|
$
|
49,475
|
|
|
$
|
50,887
|
|
|
$
|
54,336
|
|
Average agency
securities, at cost 19
|
$
|
59,479
|
|
|
$
|
51,592
|
|
|
$
|
52,767
|
|
|
$
|
56,923
|
|
|
$
|
62,920
|
|
Average agency
securities, at par 6, 19
|
$
|
56,874
|
|
|
$
|
49,347
|
|
|
$
|
50,498
|
|
|
$
|
54,365
|
|
|
$
|
60,103
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
|
4,894
|
|
|
$
|
14,768
|
|
|
$
|
17,748
|
|
|
$
|
18,384
|
|
|
$
|
14,102
|
|
Net TBA portfolio -
as of period end, at cost
|
$
|
4,815
|
|
|
$
|
14,576
|
|
|
$
|
17,769
|
|
|
$
|
18,184
|
|
|
$
|
14,127
|
|
Net TBA portfolio -
as of period end, carrying value
|
$
|
79
|
|
|
$
|
192
|
|
|
$
|
(21)
|
|
|
$
|
200
|
|
|
$
|
(25)
|
|
Average net TBA
portfolio, at cost
|
$
|
6,957
|
|
|
$
|
18,492
|
|
|
$
|
15,680
|
|
|
$
|
13,963
|
|
|
$
|
4,534
|
|
Average repurchase
agreements and other debt
|
$
|
53,963
|
|
|
$
|
45,554
|
|
|
$
|
46,694
|
|
|
$
|
50,448
|
|
|
$
|
57,544
|
|
Average stockholders'
equity 7
|
$
|
9,401
|
|
|
$
|
9,408
|
|
|
$
|
9,455
|
|
|
$
|
9,315
|
|
|
$
|
8,975
|
|
Net book value per
common share as of period end 8
|
$
|
25.53
|
|
|
$
|
25.74
|
|
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
Leverage - average
during the period 9, 19
|
5.8:1
|
|
4.9:1
|
|
5.0:1
|
|
5.6:1
|
|
6.7:1
|
Leverage - average
during the period, including net TBA position
10
|
6.5:1
|
|
6.9:1
|
|
6.7:1
|
|
7.1:1
|
|
7.2:1
|
Leverage - as of
period end 11, 19
|
5.8:1
|
|
5.3:1
|
|
4.8:1
|
|
5.0:1
|
|
5.9:1
|
Leverage - as of
period end, including net TBA position 12
|
6.4:1
|
|
6.9:1
|
|
6.7:1
|
|
6.9:1
|
|
7.6:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Average coupon
13, 19
|
3.63
|
%
|
|
3.66
|
%
|
|
3.63
|
%
|
|
3.63
|
%
|
|
3.60
|
%
|
Average asset yield
14, 19
|
2.57
|
%
|
|
2.57
|
%
|
|
2.71
|
%
|
|
2.71
|
%
|
|
2.54
|
%
|
Average cost of funds
15, 19
|
(1.28)
|
%
|
|
(1.39)
|
%
|
|
(1.44)
|
%
|
|
(1.45)
|
%
|
|
(1.35)
|
%
|
Average net interest
rate spread 19
|
1.29
|
%
|
|
1.18
|
%
|
|
1.27
|
%
|
|
1.26
|
%
|
|
1.19
|
%
|
Average net interest
rate spread, including TBA dollar roll income/loss
16
|
1.53
|
%
|
|
1.85
|
%
|
|
1.90
|
%
|
|
1.84
|
%
|
|
1.43
|
%
|
Average coupon - as
of period end 19
|
3.58
|
%
|
|
3.65
|
%
|
|
3.65
|
%
|
|
3.63
|
%
|
|
3.65
|
%
|
Average asset
yield - as of period end 19
|
2.64
|
%
|
|
2.74
|
%
|
|
2.78
|
%
|
|
2.70
|
%
|
|
2.72
|
%
|
Average cost of funds
- as of period end 17, 19
|
(1.34)
|
%
|
|
(1.40)
|
%
|
|
(1.42)
|
%
|
|
(1.53)
|
%
|
|
(1.45)
|
%
|
Average net interest
rate spread - as of period end 19
|
1.30
|
%
|
|
1.34
|
%
|
|
1.36
|
%
|
|
1.17
|
%
|
|
1.27
|
%
|
Average actual CPR
for securities held during the period 19
|
8
|
%
|
|
9
|
%
|
|
10
|
%
|
|
9
|
%
|
|
7
|
%
|
Average forecasted
CPR - as of period end 19
|
10
|
%
|
|
9
|
%
|
|
8
|
%
|
|
8
|
%
|
|
8
|
%
|
Total premium
amortization, net
|
$
|
(133)
|
|
|
$
|
(121)
|
|
|
$
|
(101)
|
|
|
$
|
(109)
|
|
|
$
|
(142)
|
|
Expenses % of average
total assets - annualized
|
0.20
|
%
|
|
0.22
|
%
|
|
0.22
|
%
|
|
0.21
|
%
|
|
0.19
|
%
|
Expenses % of average
stockholders' equity - annualized
|
1.55
|
%
|
|
1.48
|
%
|
|
1.47
|
%
|
|
1.55
|
%
|
|
1.58
|
%
|
Net comprehensive
income (loss) return on average common equity -
annualized
|
7.2
|
%
|
|
13.3
|
%
|
|
(1.1)
|
%
|
|
38.0
|
%
|
|
19.4
|
%
|
Dividends declared
per common share
|
$
|
0.66
|
|
|
$
|
0.66
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
Economic return
(loss) on common equity - annualized 18
|
7.1
|
%
|
|
13.4
|
%
|
|
(1.1)
|
%
|
|
39.6
|
%
|
|
20.5
|
%
|
*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 April 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 Q1 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 April 28, 2015. In addition, there will be a
phone recording available one hour after the live call on
April 28, 2015 through May 12,
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
10063169.
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 $22
billion of assets, including assets on its balance sheet and
fee earning assets under management by affiliated managers, with
$86 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-046-comprehensive-income-per-common-share-and-2553-net-book-value-per-common-share-300072736.html
SOURCE American Capital Agency Corp.