BETHESDA, Md., Feb. 3, 2014 /PRNewswire/ -- American
Capital Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
reported a comprehensive loss for the fourth quarter of 2013 of
$(366) million, or $(0.99) per common share, and net book value of
$23.93 per common share.
Economic return for the period, defined as dividends per common
share plus the change in net book value per common share, was a
loss of $(0.69) per common share, or
-2.7% for the quarter. For the full year, AGNC reported a -12.5%
economic return on common equity.
FOURTH QUARTER 2013 FINANCIAL HIGHLIGHTS
- $(0.99) comprehensive loss per
common share, comprised of:
- $(0.28) net loss per common
share
- $(0.71) other comprehensive
income/(loss) ("OCI") per common share
- Includes net unrealized losses on investments marked-to-market
through OCI
- $0.75 net spread and dollar roll
income/(loss) per common share, comprised of:
- Interest income, net of cost of funds (including interest rate
swaps) and operating expenses
- Estimated net carry loss (also known as "dollar roll
income/(loss)") of $(0.02) per common
share associated with the Company's net short position in agency
mortgage backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Estimated "catch-up" premium amortization benefit of
$0.07 per common share due to a
change in projected constant prepayment rate ("CPR") estimates
- $0.65 estimated taxable income
per common share
- $0.65 dividend per common share
declared on December 18, 2013
- $0.59 estimated undistributed
taxable income per common share as of December 31, 2013
- $23.93 net book value per common
share as of December 31, 2013
- Decreased $(1.34) per common
share, or -5%, from $25.27 per common
share as of September 30, 2013
- -2.7% economic return on common equity for the quarter, or
-10.8% annualized
- Comprised of $0.65 dividend per
common share and $(1.34) decrease in
net book value per common share
OTHER FOURTH QUARTER HIGHLIGHTS
- $68.2 billion agency MBS
investment portfolio as of December 31, 2013
- Includes $2.3 billion net long
TBA mortgage position as of December 31, 2013
- $237 million investment in
mortgage REIT equity securities as of December 31, 2013
- Consists of common stock investments across the agency mortgage
REIT sector
- 7.5x "at risk" leverage as of December 31, 2013
- 7.3x leverage excluding net long TBA mortgage position as of
December 31, 2013
- Increase of 0.3x from September 30, 2013 "at risk"
leverage of 7.2x
- 7.5x average "at risk" leverage during the quarter
- 7.6x average leverage during the quarter excluding net TBA
mortgage position
- 8% actual portfolio CPR for the quarter
- 7% average projected portfolio life CPR as of December 31,
2013
- Excludes net TBA mortgage position
- 1.39% annualized net interest rate spread as of
December 31, 2013
- Increase from 1.37% annualized net interest rate spread as of
September 30, 2013
- Excludes net TBA mortgage position
- 1.56% annualized net interest rate spread and TBA dollar roll
income/(loss) for the quarter
- Includes -1 bps of estimated TBA dollar roll loss
- Includes 14 bps of "catch-up" premium amortization benefit due
to change in projected CPR estimates
- 28.2 million shares of common stock repurchased during the
quarter
- Represents 7% of common shares outstanding as of
September 30, 2013
- $20.82 per share average
repurchase price, net of expenses
- Existing share repurchase authorization increased by
$1 billion to $2 billion for total repurchases of
outstanding shares of common stock since the inception of the
buyback program through December 31,
2014
2013 FULL YEAR FINANCIAL HIGHLIGHTS
- -12.5% economic return on common equity
- Comprised of $3.75 in dividends
per common share and $(7.71) decrease
in net book value per common share
- $(4.47) comprehensive loss per
common share, comprised of:
- $3.28 net income per common
share
- $(7.75) OCI per common share
- $2.48 estimated taxable income
per common share
- Estimated undistributed taxable income decreased from
$2.18 per common share as of
December 31, 2012 to $0.59 per
common share as of December 31, 2013
- 57.5 million shares of common stock issued during the year
- $31.33 per share offering price,
net of expenses
- 40.3 million shares of common stock repurchased during the year
- $21.25 per share average
repurchase price, net of expenses
"The year 2013 was a difficult year for all fixed income
markets, with the agency MBS market being one of the worst
performing sectors," commented Gary
Kain, President and Chief Investment Officer. "In the
face of challenging market conditions and extreme interest rate
volatility, particularly in the middle of the year, we prioritized
risk management over short term returns. By the end of the
fourth quarter, market conditions were decidedly more stable and
many of the idiosyncratic risks that we faced earlier in the year
had abated. In addition to reduced volatility, the
combination of higher yields on MBS, a steeper yield curve and
benign prepayments make the current return landscape more
appealing. As such, we were considerably more
comfortable positioning the portfolio with a larger duration gap as
we moved forward toward a more normal balance between risk and
return. Given the decline in interest rates and the strong
performance of agency MBS in January, we have already seen a
meaningful increase in our book value."
John Erickson, Chief Financial
Officer and Executive Vice President, commented, "With our stock
trading at meaningful discounts to our net book value, we chose to
significantly increase our stock repurchase activity this
quarter. We repurchased approximately 7% of our outstanding
shares of common stock at an average price of $20.82 per share. Overall, since we
commenced our share repurchase program in late 2012, we have
repurchased approximately $934
million of our common stock. We remain committed to
our stock repurchase program under the right market conditions and
our Board of Directors has authorized us to increase our share
repurchases up to another $1
billion. The liquidity of our assets gives us
incremental flexibility to repurchase shares when our common stock
trades at meaningful discounts to our net book value, providing us
an additional tool to generate long term value for our
shareholders."
NET BOOK VALUE
As of December 31, 2013,
the Company's net book value per common share was $23.93, or $(1.34)
lower than the September 30, 2013 net book value per common
share of $25.27. The decline in
net book value per common share was due to a combination of wider
mortgage spreads and higher interest rates.
INVESTMENT PORTFOLIO
As of December 31,
2013, the Company's investment portfolio totaled $68.2 billion of agency MBS, including
$2.3 billion of net long TBA mortgage
positions, at fair value, and $237
million of investments in agency mortgage REIT equity
securities.
The Company accounts for TBA dollar roll positions as derivative
instruments and recognizes dollar roll income/(loss) in other
income (loss), net on the Company's financial statements. As of
December 31, 2013, the Company's net TBA mortgage portfolio
had a fair value and cost basis of approximately $2.3 billion and a net carrying value of
$(5) million reported in derivative
assets/(liabilities) on the Company's balance sheet.
As of December 31, 2013, the Company's investment portfolio
was comprised of $65.2 billion of
fixed-rate securities, inclusive of the net long TBA position;
$1.2 billion of adjustable-rate
securities; and $1.8 billion of
collateralized mortgage obligations ("CMOs"), including principal
and interest-only strips.
As of December 31, 2013, the Company's fixed-rate mortgage
assets were comprised of $38.7
billion < 15-year securities, $1.4
billion 20-year fixed-rate securities, $22.9 billion 30-year fixed-rate securities,
$(4.1) billion < 15-year net
short TBA securities and $6.4 billion
30-year net long TBA securities, at fair value. As of
December 31, 2013, inclusive of net TBA positions, <
15-year fixed rate securities represented 51% of the Company's
investment portfolio and 30-year fixed rate securities represented
43% of the Company's investment portfolio, largely unchanged from
September 30, 2013.
As of December 31, 2013, the Company's fixed-rate mortgage
assets, inclusive of the net TBA position, had a weighted average
coupon of 3.59%, comprised of a weighted average coupon of 3.25%
for < 15-year fixed rate securities, 3.50% for 20-year
fixed-rate securities and 3.95% for 30-year fixed-rate
securities.
CONSTANT PREPAYMENT RATES
The actual CPR for
the Company's investment portfolio during the fourth quarter was
8%, compared to 10% for the prior quarter. The weighted
average projected CPR for the remaining life of all of the
Company's agency securities held as of December 31, 2013 was
7%, a decrease from 8% as of September 30, 2013. The
Company's net TBA dollar roll position is not included in the CPR
calculations above.
The Company amortizes or accretes premiums and discounts
associated with purchases of agency securities into interest income
using the effective yield method over the estimated life of such
securities, incorporating both actual repayments to date and
projected CPRs over the remaining life of the security. The
weighted average cost basis of the Company's investment portfolio
was 104.6% of par value as of December 31, 2013; therefore,
faster actual or projected prepayments can have a meaningful
negative impact on the Company's asset yields, while slower actual
or projected prepayments can have a meaningful positive
impact.
Net premium amortization on the Company's investment portfolio
for the fourth quarter was $(117)
million, or $(0.31) per common
share, compared to $(168) million, or
$(0.43) per common share, for the
third quarter. The change in the Company's weighted average
projected CPR estimate resulted in recognition of approximately
$28 million, or $0.07 per common share, of "catch-up" premium
amortization benefit during the fourth quarter, compared to
approximately $(12) million, or
$(0.03) per common share, of
"catch-up" premium amortization cost during the third
quarter. The unamortized net premium balance as of
December 31, 2013 was $3.0
billion.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its
agency security portfolio for the fourth quarter was 2.82%,
compared to 2.59% for the third quarter. The Company's
average asset yield for the fourth quarter includes 14 bps of
"catch-up" premium amortization benefit due to changes in projected
CPR estimates, compared to -6 bps of "catch-up" premium
amortization cost during the third quarter. Excluding the
impact of "catch-up" premium amortization benefit/cost, the
Company's average asset yield was 2.68% for the current quarter,
compared to 2.64% for the prior quarter. The Company's
average asset yield reported as of December 31, 2013 was
2.70%, unchanged from September 30, 2013.
The Company's average cost of funds (derived from the cost of
repurchase agreements, other debt and interest rate swaps) for the
fourth quarter decreased 14 bps to 1.25% from 1.39% for the third
quarter. The Company's average cost of funds as of
December 31, 2013 decreased 2 bps to 1.31% from 1.33% as of
September 30, 2013.
The Company's average net interest rate spread for the fourth
quarter was 1.57%, an increase of 37 bps from the third quarter of
1.20%. Including estimated TBA dollar roll income/(loss), the
Company's average net interest rate spread for the fourth quarter
was 1.56%, an increase of 42 bps from 1.14% during the third
quarter. As of December 31, 2013, the Company's average
net interest rate spread was 1.39%, compared to 1.37%, as of
September 30, 2013.
LEVERAGE
As of December 31, 2013, $61.2 billion of the Company's repurchase
agreements were used to fund acquisitions of agency securities
("agency repo"), while the remainder, or $2.3 billion, was used to fund purchases of U.S.
Treasury securities and is not included in the Company's leverage
measurements. The Company's leverage ratio as of
December 31, 2013 was 7.3x. Inclusive of the net TBA
position, the Company's "at risk" leverage ratio as of
December 31, 2013 was 7.5x. The Company's average
leverage ratio and average "at risk" leverage ratio for the fourth
quarter was 7.6x and 7.5x, respectively.
As of December 31, 2013, the Company's agency repo
agreements had a weighted average interest rate of 0.45%, largely
unchanged from 0.44% as of September 30, 2013. As of
December 31, 2013, the Company's agency repo agreements had
remaining maturities consisting of:
- $23.6 billion of one month or
less;
- $20.5 billion from one to three
months;
- $6.9 billion from three to six
months;
- $2.2 billion from six to nine
months;
- $3.6 billion from nine to twelve
months;
- $3.3 billion from twelve to
twenty-four months;
- $0.5 billion from twenty-four to
thirty-six months; and
- $0.6 billion of greater than
thirty-six months.
As of December 31, 2013, the Company's agency repo
agreements had a weighted average remaining days to maturity of 124
days, compared to 112 days as of September 30, 2013.
HEDGING ACTIVITIES
As of December 31,
2013, 86% of the Company's outstanding balance of repurchase
agreements, other debt and net TBA position was hedged through
interest rate swaps, swaptions and net Treasury positions, compared
to 91% as of September 30, 2013.
The Company's interest rate swap positions as of
December 31, 2013 totaled $43.3
billion in notional amount. During the fourth quarter,
the Company terminated $11.1 billion
of interest rate swaps and entered into new swap agreements
totaling $4.1 billion. The new swap
agreements have a weighted average fixed pay rate of 2.94%, an
average forward start date of 1.9 years and an average maturity of
approximately 7.5 years as of December
31, 2013. Excluding $4.0
billion of forward starting swaps as of December 31, 2013, the Company's interest rate
swap portfolio had an average fixed pay rate of 1.57% and a
weighted average receive rate of 0.22%. Including forward starting
swaps, the Company's interest rate swap portfolio had an average
fixed pay rate of 1.70% and an average maturity of 4.7 years from
December 31, 2013. The Company
enters into swaps with longer maturities with the intention of
protecting its net book value and longer term earnings potential
against the impact of rising interest rates.
The Company utilizes interest rate swaptions to mitigate
exposure to larger, more rapid increases in interest rates.
During the fourth quarter, $6.0
billion of payer swaptions from previous quarters expired or
were terminated resulting in net realized gains of $8 million. As of December 31, 2013,
the Company had $14.3 billion of
notional value in payer swaptions outstanding at a market value of
$258 million and a cost basis of
$335 million, with an average
remaining option term of 0.9 years and an average underlying
interest rate swap term of 7.0 years. The Company did not
enter into any new payer swaptions during the quarter.
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 December 31, 2013,
the Company had a net long position of $2.0
billion (market value) in U.S. Treasury securities and a
short position of $2.1 billion
(market value) in U.S. Treasury futures.
OTHER INCOME (LOSS), NET
During the fourth
quarter, the Company recorded a net loss of $(483) million in other income (loss), net, or
$(1.29) per common share, compared to
a net loss of $(1.1) billion, or
$(2.74) per common share for the
prior quarter. Other income (loss), net for the fourth
quarter was comprised of:
- $(667) million of net realized
losses on sales of agency securities;
- $282 million of net unrealized
gains on interest rate swaps and early termination fee income/cost
(excludes $46 million of unrealized
gains recognized in OCI);
- $(104) million of interest rate
swap periodic interest costs;
- $8 million of net realized gains
on interest rate swaptions;
- $(26) million of net unrealized
losses on interest rate swaptions;
- $(18) million of net losses on
U.S. Treasury positions;
- $(5) million of TBA dollar roll
loss;
- $34 million of net mark-to-market
gains on TBA mortgage positions; and
- $13 million of income from other
derivative instruments and securities.
OTHER COMPREHENSIVE INCOME (LOSS)
During the
fourth quarter, the Company recorded other comprehensive loss of
$(265) million, or $(0.71) per common share.
ESTIMATED TAXABLE INCOME
Estimated taxable
income for the fourth quarter was $0.65 per common share, or $0.93 higher than GAAP net loss per common
share.
The primary differences between tax and GAAP net income are (i)
unrealized gains and losses associated with interest rate swaps and
other derivatives and securities marked-to-market in current income
for GAAP purposes, but excluded from taxable income until realized
or settled, (ii) timing differences, both temporary and potentially
permanent, in the recognition of certain realized gains and losses
and (iii) temporary differences related to the amortization of net
premiums paid on investments.
The Company's estimated taxable income for the fourth quarter
excludes $(2.51) per common share of
estimated capital losses, which are not deductible from the
Company's ordinary taxable income.
FOURTH QUARTER 2013 DIVIDEND
DECLARATIONS
On December 18, 2013, the Board of
Directors of the Company declared a fourth quarter dividend on its
common stock of $0.65 per share,
compared to $0.80 per share declared
in the prior quarter, which was paid on January 28, 2014 to
common stockholders of record as of December 31, 2013. Since
its May 2008 initial public offering,
the Company has paid a total of $4.2
billion in common dividends, or $27.61 per common share.
On December 18, 2013, the Board of Directors of the Company
declared a fourth quarter dividend on its 8.000% Series A
Cumulative Redeemable Preferred Stock ("Series A Preferred Stock")
of $0.50 per share. The dividend was
paid on January 15, 2014 to preferred stockholders of record
as of January 1, 2014.
As of December 31, 2013, the Company had approximately
$210 million of estimated
undistributed taxable income ("UTI"), or $0.59 per common share, net of dividends
declared. UTI excludes total estimated non-deductible capital
losses of $(1.8) billion, or
$(5.01) per common share, as of
December 31, 2013, which may be
carried forward and applied against future net capital gains for up
to five years.
The Company also announced the tax characteristics of its 2013
dividends. The Company's 2013 common stock dividends of
$3.75 per common share consisted of
$3.75 per common share of ordinary
dividends, of which $0.029963 per
common share were qualified dividends for federal income tax
purposes. The Company's 2013 Series A Preferred Stock dividends of
$2.00 per preferred share consisted
of $2.00 per preferred share of
ordinary dividends, of which $0.015980 per preferred share were qualified
dividends for federal income tax purposes. Stockholders should
receive an IRS Form 1099-DIV containing this information from their
brokers, transfer agents or other institutions. For additional
detail please visit the Company's website at www.AGNC.com.
STOCK REPURCHASE PROGRAM
During the fourth
quarter, the Company made open market purchases of approximately
28.2 million shares of its common stock, or 7% of the Company's
outstanding shares as of September 30,
2013. The shares were purchased at an average price of
$20.82 per share, including expenses,
totaling approximately $586 million.
Since commencing a stock repurchase program in the fourth quarter
of 2012, the Company has purchased approximately 43.0 million
shares of its common stock, or approximately 10% of the Company's
outstanding shares at its peak in March
2013, for total consideration of approximately $934 million, including expenses.
The Company also announced that its Board of Directors has
increased the Company's existing stock repurchase authorization by
$1 billion to $2 billion for total
repurchases of its outstanding shares of common stock since
inception of the program through December
31, 2014. The Company intends to only repurchase shares when
the repurchase price is less than its estimate of the current net
book value per common share.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating
performance include net spread income and estimated taxable income,
which are Non-GAAP financial measures. Please refer to "Use of
Non-GAAP Financial Information" later in this release for further
discussion of non-GAAP measures.
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
2013
|
|
September 30,
2013
|
|
June 30,
2013
|
|
March 31,
2013
|
|
December 31,
2012
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at fair
value (including pledged securities of
$62,205, $80,721, $71,261, $70,094, and $79,966,
respectively)
|
$
|
64,482
|
|
|
$
|
83,805
|
|
|
$
|
75,926
|
|
|
$
|
74,874
|
|
|
$
|
83,710
|
|
Agency securities transferred to consolidated variable interest
entities,
at fair value (pledged securities)
|
1,459
|
|
|
1,204
|
|
|
1,281
|
|
|
1,421
|
|
|
1,535
|
|
U.S. Treasury securities (including pledged securities of $3,778,
$4,710
and $2,569, respectively)
|
3,822
|
|
|
4,823
|
|
|
3,671
|
|
|
—
|
|
|
—
|
|
REIT equity securities, at fair value
|
237
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Cash and cash equivalents
|
2,143
|
|
|
2,129
|
|
|
2,923
|
|
|
2,826
|
|
|
2,430
|
|
Restricted cash
|
101
|
|
|
77
|
|
|
1,216
|
|
|
499
|
|
|
399
|
|
Derivative assets, at fair value
|
1,194
|
|
|
1,246
|
|
|
1,876
|
|
|
480
|
|
|
301
|
|
Receivable for securities sold (including pledged securities of
$622,
$1,417, $1,338, $484, and $0,
respectively)
|
652
|
|
|
1,807
|
|
|
2,070
|
|
|
734
|
|
|
—
|
|
Receivable under reverse repurchase agreements
|
1,881
|
|
|
1,808
|
|
|
9,430
|
|
|
12,291
|
|
|
11,818
|
|
Other assets
|
284
|
|
|
372
|
|
|
270
|
|
|
244
|
|
|
260
|
|
Total
assets
|
$
|
76,255
|
|
|
$
|
97,271
|
|
|
$
|
98,663
|
|
|
$
|
93,369
|
|
|
$
|
100,453
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
63,533
|
|
|
$
|
82,473
|
|
|
$
|
72,451
|
|
|
$
|
66,260
|
|
|
$
|
74,478
|
|
Debt of consolidated variable interest entities, at fair
value
|
910
|
|
|
736
|
|
|
783
|
|
|
862
|
|
|
937
|
|
Payable for securities purchased
|
118
|
|
|
979
|
|
|
3,167
|
|
|
259
|
|
|
556
|
|
Derivative liabilities, at fair value
|
422
|
|
|
1,015
|
|
|
1,544
|
|
|
1,217
|
|
|
1,264
|
|
Dividends payable
|
235
|
|
|
311
|
|
|
420
|
|
|
499
|
|
|
427
|
|
Obligation to return securities borrowed under
reverse
|
1,848
|
|
|
1,801
|
|
|
9,931
|
|
|
12,548
|
|
|
11,763
|
|
repurchase agreements, at fair value
|
Accounts payable and other accrued liabilities
|
492
|
|
|
71
|
|
|
87
|
|
|
82
|
|
|
132
|
|
Total
liabilities
|
67,558
|
|
|
87,386
|
|
|
88,383
|
|
|
81,727
|
|
|
89,557
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred stock - $0.01 par value; 10.0 shares
authorized:
|
|
|
|
|
|
|
|
|
|
8.000% Series A Cumulative Redeemable Preferred Stock; 6.9
shares
issued and outstanding; liquidation preference
of $25 per share ($173)
|
167
|
|
|
167
|
|
|
167
|
|
|
167
|
|
|
167
|
|
Common stock - $0.01 par value; 600.0 shares authorized:
|
|
|
|
|
|
|
|
|
|
356.2, 384.3, 396.2, 396.5, and 338.9 shares issued and
outstanding,
respectively
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
3
|
|
Additional paid-in capital
|
10,406
|
|
|
10,992
|
|
|
11,255
|
|
|
11,261
|
|
|
9,460
|
|
Retained (deficit) earnings
|
(497)
|
|
|
(160)
|
|
|
852
|
|
|
(557)
|
|
|
(289)
|
|
Accumulated other comprehensive (loss) income
|
(1,383)
|
|
|
(1,118)
|
|
|
(1,998)
|
|
|
767
|
|
|
1,555
|
|
Total stockholders'
equity
|
8,697
|
|
|
9,885
|
|
|
10,280
|
|
|
11,642
|
|
|
10,896
|
|
Total liabilities and
stockholders' equity
|
$
|
76,255
|
|
|
$
|
97,271
|
|
|
$
|
98,663
|
|
|
$
|
93,369
|
|
|
$
|
100,453
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$
|
23.93
|
|
|
$
|
25.27
|
|
|
$
|
25.51
|
|
|
$
|
28.93
|
|
|
$
|
31.64
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
2013
|
|
September
30,
2013
|
|
June 30,
2013
|
|
March 31,
2013
|
|
December
31,
2013
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest income
|
$
|
542
|
|
|
$
|
558
|
|
|
$
|
545
|
|
|
$
|
547
|
|
|
$
|
2,193
|
|
Interest expense 1
|
120
|
|
|
145
|
|
|
131
|
|
|
140
|
|
|
536
|
|
Net interest
income
|
422
|
|
|
413
|
|
|
414
|
|
|
407
|
|
|
1,657
|
|
|
|
|
|
|
|
|
|
|
|
Other (loss)
income, net:
|
|
|
|
|
|
|
|
|
|
(Loss) gain on sale of agency securities, net
|
(667)
|
|
|
(733)
|
|
|
17
|
|
|
(26)
|
|
|
(1,408)
|
|
Gain (loss) on derivative instruments and other securities,
net 1, 4
|
184
|
|
|
(339)
|
|
|
1,444
|
|
|
(98)
|
|
|
1,191
|
|
Total other (loss)
income, net
|
(483)
|
|
|
(1,072)
|
|
|
1,461
|
|
|
(124)
|
|
|
(217)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management fees
|
31
|
|
|
35
|
|
|
37
|
|
|
33
|
|
|
136
|
|
General and administrative expenses
|
6
|
|
|
7
|
|
|
9
|
|
|
9
|
|
|
32
|
|
Total expenses
|
37
|
|
|
42
|
|
|
46
|
|
|
42
|
|
|
168
|
|
(Loss) income
before income tax provision
|
(98)
|
|
|
(701)
|
|
|
1,829
|
|
|
241
|
|
|
1,272
|
|
Income tax provision
|
3
|
|
|
—
|
|
|
—
|
|
|
10
|
|
|
13
|
|
Net (loss)
income
|
(101)
|
|
|
(701)
|
|
|
1,829
|
|
|
231
|
|
|
1,259
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
14
|
|
Net (loss) income
(attributable) available to common shareholders
|
$
|
(104)
|
|
|
$
|
(704)
|
|
|
$
|
1,826
|
|
|
$
|
228
|
|
|
$
|
1,245
|
|
|
|
|
|
|
|
|
|
|
|
Net (loss)
income
|
$
|
(101)
|
|
|
$
|
(701)
|
|
|
$
|
1,829
|
|
|
$
|
231
|
|
|
$
|
1,259
|
|
Other
comprehensive (loss) income:
|
|
|
|
|
|
|
|
|
|
Unrealized (loss) gain on available-for-sale securities,
net
|
(311)
|
|
|
833
|
|
|
(2,813)
|
|
|
(837)
|
|
|
(3,127)
|
|
Unrealized gain on derivative instruments, net
1
|
46
|
|
|
47
|
|
|
48
|
|
|
49
|
|
|
189
|
|
Other
comprehensive (loss) income
|
(265)
|
|
|
880
|
|
|
(2,765)
|
|
|
(788)
|
|
|
(2,938)
|
|
Comprehensive
(loss) income
|
(366)
|
|
|
179
|
|
|
(936)
|
|
|
(557)
|
|
|
(1,679)
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
14
|
|
Comprehensive
(loss) income (attributable) available to common
shareholders
|
$
|
(369)
|
|
|
$
|
176
|
|
|
$
|
(939)
|
|
|
$
|
(560)
|
|
|
$
|
(1,693)
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
373.0
|
|
|
390.6
|
|
|
396.4
|
|
|
356.2
|
|
|
379.1
|
|
basic and diluted
|
Net (loss) income
per common share - basic and diluted
|
$
|
(0.28)
|
|
|
$
|
(1.80)
|
|
|
$
|
4.61
|
|
|
$
|
0.64
|
|
|
$
|
3.28
|
|
Comprehensive
(loss) income per common share - basic and diluted
|
$
|
(0.99)
|
|
|
$
|
0.45
|
|
|
$
|
(2.37)
|
|
|
$
|
(1.57)
|
|
|
$
|
(4.47)
|
|
Estimated REIT
taxable income per common share -
|
$
|
0.65
|
|
|
$
|
0.29
|
|
|
$
|
1.04
|
|
|
$
|
0.50
|
|
|
$
|
2.48
|
|
basic and diluted
2
|
Dividends declared
per common share
|
$
|
0.65
|
|
|
$
|
0.80
|
|
|
$
|
1.05
|
|
|
$
|
1.25
|
|
|
$
|
3.75
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL
INCOME/(LOSS) 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
2013
|
|
September
30,
2013
|
|
June 30,
2013
|
|
March 31,
2013
|
|
December
31,
2013
|
Interest
income
|
$
|
542
|
|
|
$
|
558
|
|
|
$
|
545
|
|
|
$
|
547
|
|
|
$
|
2,193
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt
|
74
|
|
|
98
|
|
|
83
|
|
|
91
|
|
|
346
|
|
Interest rate
swap periodic costs 1
|
46
|
|
|
47
|
|
|
48
|
|
|
49
|
|
|
190
|
|
Total interest
expense
|
120
|
|
|
145
|
|
|
131
|
|
|
140
|
|
|
536
|
|
Net interest
income
|
422
|
|
|
413
|
|
|
414
|
|
|
407
|
|
|
1,657
|
|
Other interest
rate swap periodic costs 3
|
(104)
|
|
|
(131)
|
|
|
(105)
|
|
|
(84)
|
|
|
(424)
|
|
Dividend on
REIT equity securities 4
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5
|
|
Adjusted net interest
income
|
323
|
|
|
282
|
|
|
309
|
|
|
323
|
|
|
1,238
|
|
Operating
expenses
|
37
|
|
|
42
|
|
|
46
|
|
|
42
|
|
|
168
|
|
Net spread
income
|
286
|
|
|
240
|
|
|
263
|
|
|
281
|
|
|
1,070
|
|
Dividend on
preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
14
|
|
Net spread income
available to common shareholders
|
283
|
|
|
237
|
|
|
260
|
|
|
278
|
|
|
1,056
|
|
TBA dollar
roll (loss) income
|
(5)
|
|
|
(12)
|
|
|
195
|
|
|
142
|
|
|
320
|
|
Net spread and dollar
roll income available to common shareholders
|
$
|
278
|
|
|
$
|
225
|
|
|
$
|
455
|
|
|
$
|
420
|
|
|
$
|
1,376
|
|
Weighted average
number of common shares outstanding - basic and
diluted
|
373.0
|
|
|
390.6
|
|
|
396.4
|
|
|
356.2
|
|
|
379.1
|
|
Net spread income per
common share - basic and diluted
|
$
|
0.76
|
|
|
$
|
0.61
|
|
|
$
|
0.66
|
|
|
$
|
0.78
|
|
|
$
|
2.79
|
|
Net spread and dollar
roll income per common share - basic and diluted
|
$
|
0.75
|
|
|
$
|
0.58
|
|
|
$
|
1.15
|
|
|
$
|
1.18
|
|
|
$
|
3.63
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year Ended
|
|
December
31,
2013
|
|
September
30,
2013
|
|
June 30,
2013
|
|
March 31,
2013
|
|
December
31,
2013
|
Net (loss)
income
|
$
|
(101)
|
|
|
$
|
(701)
|
|
|
$
|
1,829
|
|
|
$
|
231
|
|
|
$
|
1,259
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium
amortization, net
|
(21)
|
|
|
(6)
|
|
|
(75)
|
|
|
(34)
|
|
|
(137)
|
|
Realized
(gains) losses, net
|
(92)
|
|
|
(255)
|
|
|
(15)
|
|
|
(53)
|
|
|
(414)
|
|
Capital losses
in excess of capital gains 5
|
936
|
|
|
849
|
|
|
—
|
|
|
—
|
|
|
1,785
|
|
Unrealized
losses (gains), net
|
(480)
|
|
|
229
|
|
|
(1,324)
|
|
|
30
|
|
|
(1,546)
|
|
Other
|
2
|
|
|
—
|
|
|
(1)
|
|
|
6
|
|
|
7
|
|
Total book to tax
differences
|
345
|
|
|
817
|
|
|
(1,415)
|
|
|
(51)
|
|
|
(305)
|
|
Estimated REIT
taxable income
|
244
|
|
|
116
|
|
|
414
|
|
|
180
|
|
|
954
|
|
Dividend on
preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
14
|
|
Estimated REIT
taxable income available to common shareholders
|
$
|
241
|
|
|
$
|
113
|
|
|
$
|
411
|
|
|
$
|
177
|
|
|
$
|
940
|
|
Weighted average
number of common shares outstanding - basic and
diluted
|
373.0
|
|
|
390.6
|
|
|
396.4
|
|
|
356.2
|
|
|
379.1
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.65
|
|
|
$
|
0.29
|
|
|
$
|
1.04
|
|
|
$
|
0.50
|
|
|
$
|
2.48
|
|
Estimated cumulative
undistributed REIT taxable income per common
share 6
|
$
|
0.59
|
|
|
$
|
0.57
|
|
|
$
|
1.07
|
|
|
$
|
1.08
|
|
|
$
|
0.59
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
December
31,
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
2013
|
|
2013
|
|
2013
|
|
2013
|
|
2012
|
Fixed-rate agency
securities, at fair value - as of period end
|
$
|
62,961
|
|
|
$
|
82,310
|
|
|
$
|
75,910
|
|
|
$
|
74,829
|
|
|
$
|
83,635
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$
|
1,235
|
|
|
$
|
1,015
|
|
|
$
|
694
|
|
|
$
|
794
|
|
|
$
|
891
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
1,308
|
|
|
$
|
1,244
|
|
|
$
|
141
|
|
|
$
|
157
|
|
|
$
|
173
|
|
Interest-only strips
agency securities, at fair value - as of period end
|
$
|
232
|
|
|
$
|
224
|
|
|
$
|
236
|
|
|
$
|
272
|
|
|
$
|
292
|
|
Principal-only strips
agency securities, at fair value - as of period end
|
$
|
205
|
|
|
$
|
216
|
|
|
$
|
226
|
|
|
$
|
243
|
|
|
$
|
254
|
|
Total agency
securities, at fair value - as of period end
|
$
|
65,941
|
|
|
$
|
85,009
|
|
|
$
|
77,207
|
|
|
$
|
76,295
|
|
|
$
|
85,245
|
|
Total agency
securities, at cost - as of period end
|
$
|
67,025
|
|
|
$
|
85,789
|
|
|
$
|
78,834
|
|
|
$
|
75,088
|
|
|
$
|
83,193
|
|
Total agency
securities, at par - as of period end 7
|
$
|
64,048
|
|
|
$
|
82,003
|
|
|
$
|
74,966
|
|
|
$
|
71,253
|
|
|
$
|
78,788
|
|
Average agency
securities, at cost
|
$
|
76,991
|
|
|
$
|
86,407
|
|
|
$
|
74,816
|
|
|
$
|
78,009
|
|
|
$
|
80,932
|
|
Average agency
securities, at par 7
|
$
|
73,527
|
|
|
$
|
82,751
|
|
|
$
|
70,851
|
|
|
$
|
73,922
|
|
|
$
|
76,710
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
|
2,271
|
|
|
$
|
(7,256)
|
|
|
$
|
14,514
|
|
|
$
|
27,283
|
|
|
$
|
12,870
|
|
Net TBA portfolio -
as of period end, at cost
|
$
|
2,276
|
|
|
$
|
(7,060)
|
|
|
$
|
15,285
|
|
|
$
|
27,294
|
|
|
$
|
12,775
|
|
Net TBA portfolio -
as of period end, carrying value
|
$
|
(5)
|
|
|
$
|
(196)
|
|
|
$
|
(771)
|
|
|
$
|
(11)
|
|
|
$
|
95
|
|
Average net TBA
portfolio, at cost
|
$
|
(486)
|
|
|
$
|
131
|
|
|
$
|
28,904
|
|
|
$
|
17,892
|
|
|
$
|
13,069
|
|
Average repurchase
agreements and other debt
|
$
|
71,260
|
|
|
$
|
78,845
|
|
|
$
|
66,060
|
|
|
$
|
70,591
|
|
|
$
|
74,649
|
|
Average stockholders'
equity 8
|
$
|
9,432
|
|
|
$
|
10,064
|
|
|
$
|
11,256
|
|
|
$
|
10,843
|
|
|
$
|
11,177
|
|
Net book value per
common share as of period end 9
|
$
|
23.93
|
|
|
$
|
25.27
|
|
|
$
|
25.51
|
|
|
$
|
28.93
|
|
|
$
|
31.64
|
|
Leverage - average
during the period 10
|
7.6:1
|
|
7.8:1
|
|
5.9:1
|
|
6.5:1
|
|
6.7:1
|
Leverage - average
during the period, including net TBA position
11
|
7.5:1
|
|
7.8:1
|
|
8.4:1
|
|
8.2:1
|
|
7.8:1
|
Leverage - as of
period end 12
|
7.3:1
|
|
7.9:1
|
|
7.0:1
|
|
5.7:1
|
|
7.0:1
|
Leverage - as of
period end, including net TBA position 13
|
7.5:1
|
|
7.2:1
|
|
8.5:1
|
|
8.1:1
|
|
8.2:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Average coupon
14
|
3.59
|
%
|
|
3.50
|
%
|
|
3.63
|
%
|
|
3.68
|
%
|
|
3.77
|
%
|
Average asset yield
15
|
2.82
|
%
|
|
2.59
|
%
|
|
2.92
|
%
|
|
2.80
|
%
|
|
2.82
|
%
|
Average cost of funds
16
|
(1.25)
|
%
|
|
(1.39)
|
%
|
|
(1.43)
|
%
|
|
(1.28)
|
%
|
|
(1.19)
|
%
|
Average net interest
rate spread
|
1.57
|
%
|
|
1.20
|
%
|
|
1.49
|
%
|
|
1.52
|
%
|
|
1.63
|
%
|
Average net interest
rate spread, including estimated TBA dollar roll
income/loss 17
|
1.56
|
%
|
|
1.14
|
%
|
|
1.86
|
%
|
|
1.87
|
%
|
|
1.84
|
%
|
Average coupon - as
of period end
|
3.58
|
%
|
|
3.54
|
%
|
|
3.56
|
%
|
|
3.73
|
%
|
|
3.69
|
%
|
Average asset
yield - as of period end
|
2.70
|
%
|
|
2.70
|
%
|
|
2.71
|
%
|
|
2.75
|
%
|
|
2.61
|
%
|
Average cost of funds
- as of period end 18
|
(1.31)
|
%
|
|
(1.33)
|
%
|
|
(1.47)
|
%
|
|
(1.32)
|
%
|
|
(1.22)
|
%
|
Average net interest
rate spread - as of period end
|
1.39
|
%
|
|
1.37
|
%
|
|
1.24
|
%
|
|
1.43
|
%
|
|
1.39
|
%
|
Average actual CPR
for securities held during the period
|
8
|
%
|
|
10
|
%
|
|
11
|
%
|
|
10
|
%
|
|
10
|
%
|
Average forecasted
CPR - as of period end
|
7
|
%
|
|
8
|
%
|
|
7
|
%
|
|
9
|
%
|
|
11
|
%
|
Total premium
amortization, net
|
$
|
(117)
|
|
|
$
|
(168)
|
|
|
$
|
(98)
|
|
|
$
|
(134)
|
|
|
$
|
(153)
|
|
Expenses % of average
total assets - annualized
|
0.17
|
%
|
|
0.15
|
%
|
|
0.19
|
%
|
|
0.18
|
%
|
|
0.16
|
%
|
Expenses % of average
stockholders' equity - annualized
|
1.56
|
%
|
|
1.66
|
%
|
|
1.64
|
%
|
|
1.57
|
%
|
|
1.42
|
%
|
Net comprehensive
(loss) income return on average common equity -
annualized 19
|
(15.8)
|
%
|
|
7.1
|
%
|
|
(34.0)
|
%
|
|
(21.3)
|
%
|
|
4.4
|
%
|
Dividends declared
per common share
|
$
|
0.65
|
|
|
$
|
0.80
|
|
|
$
|
1.05
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
Economic (loss)
return on common equity - annualized 20
|
(10.8)
|
%
|
|
8.7
|
%
|
|
(32.9)
|
%
|
|
(18.7)
|
%
|
|
4.9
|
%
|
*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.
1. The Company voluntarily discontinued hedge accounting under
GAAP for interest rate swaps as of September
30, 2011. Accumulated other comprehensive loss ("OCI") on
the Company's de-designated interest rate swaps as of September 30, 2011 is being amortized on a
straight-line basis over the remaining swap terms into interest
expense. All other periodic interest costs, termination fees and
mark-to-market adjustments associated with interest rate swaps are
reported in other income (loss), net pursuant to GAAP.
2. Table includes non-GAAP financial measures. Refer to "Use of
Non-GAAP Financial Information" for additional discussion of
non-GAAP financial measures.
3. Other interest rate swap periodic costs represent periodic
interest costs on the Company's interest rate swap portfolio in
excess of amounts reclassified from accumulated OCI into interest
expense. Other interest rate swap periodic costs does not include
termination fees or mark-to-market adjustments associated with
interest rate swaps (see footnote 1 for additional
information).
4. Dividends on REIT equity securities are reported in gain (loss)
on derivative instruments and other securities, net.
5. Capital losses in excess of capital gains are not deductible
from the Company's ordinary taxable income, but may be carried
forward for up to five years and applied against future net capital
gains.
6. Estimated cumulative undistributed REIT taxable income ("UTI")
as of period end is net of common and preferred dividends declared
during the period. Amount divided by total common shares
outstanding as of each period end. UTI as of December 31, 2013 excludes the Company's
cumulative non-deductible net capital losses.
7. Agency securities at par value excludes the underlying
unamortized principal balance ("UPB") of the Company's
interest-only securities. Exclude TBAs.
8. Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
9. Net book value per common share calculated as total
stockholders' equity, less the Company's Series A Preferred Stock
liquidation preference of $25 per
preferred share, divided by the number of common shares outstanding
as of period end.
10. Leverage during the period was calculated by dividing the daily
weighted average agency repurchase agreements and other debt
outstanding for the period by the sum of average stockholders'
equity less the average investment in REIT equity securities for
the period. Leverage excludes U.S. Treasury repurchase
agreements.
11. Leverage during the period, including net TBA position,
includes the components of "leverage - average during the period",
plus the Company's daily weighted average net TBA dollar roll
position (at cost) during the period.
12. Leverage at period end was calculated by dividing the sum of
the amount outstanding under agency repurchase agreements, net
receivable / payable for unsettled agency securities and other debt
by the sum of total stockholders' equity less the fair value of
investments in REIT equity securities at period end. Leverage
excludes U.S. Treasury repurchase agreements.
13. Leverage at period end, including net TBA position, includes
the components of "leverage - as of period end", plus the Company's
net TBA dollar roll position (at cost) as of period end.
14. Weighted average coupon for the period was calculated by
dividing the total coupon (or cash) interest income on agency
securities by average agency securities held at par.
15. Weighted average asset yield for the period was calculated by
dividing the total interest income on agency securities (coupon
interest less amortization of premiums and discounts) by the
average amortized cost of agency securities held.
16. Cost of funds includes repurchase agreements, other debt and
interest rate swaps, but excludes swap termination fees and costs
associated with other supplemental hedges such as swaptions and
short treasury or TBA positions. Weighted average cost of funds for
the period was calculated by dividing the total cost of funds by
the average repurchase agreements and other debt outstanding, less
repurchase agreements for treasury securities, for the
period.
17. Estimated TBA dollar roll income/loss is net of TBAs used for
hedging purposes. Dollar roll income/loss excludes the impact of
other supplemental hedges, and is recognized in gain (loss) on
derivative instruments and other securities, net.
18. Cost of funds as of period end includes repurchase agreements
and other debt outstanding, plus the impact of interest rate swaps
in effect as of each period end and forward starting swaps becoming
effective, net of swaps expiring, within three months of each
period end, but excludes costs associated with other supplemental
hedges such as swaptions and short treasury or TBA
positions.
19. Net comprehensive income (loss) return on average common equity
for the period was calculated by dividing comprehensive income
(loss) available (attributable) to common shareholders by average
common equity.
20. Economic return (loss) on common equity represents the sum of
the change in net asset value per common share and dividends
declared on common stock during the period over the beginning net
asset value per common share.
STOCKHOLDER CALL
AGNC invites
stockholders, prospective stockholders and analysts to attend the
AGNC stockholder call on February 4, 2014 at 11:00 am ET. Interested persons who do not plan
on asking a question and have access to the internet are encouraged
to utilize the free live webcast at www.AGNC.com. Those who
do plan on participating in the Q&A or do not have the internet
available may access the call by dialing (888) 317-6016 (U.S.
domestic) or (412) 317-6016 (international). Please advise the
operator you are dialing in for the American Capital Agency
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q4 2013 Earnings
Presentation link to download and print the presentation in advance
of the Stockholder Call.
An archived audio of the shareholder call combined with the
slide presentation will be made available on the AGNC website after
the call on February 4, 2014. In addition, there will be
a phone recording available from 1:00 pm
ET February 4, 2014 until 9:00
am ET February 18, 2014. 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
10039631.
For further information, please contact Investor Relations at
(301) 968-9220 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 $20
billion of assets, including assets on its balance sheet and
fee earning assets under management by affiliated managers, with
$117 billion of total assets under
management (including levered assets). Through an affiliate,
American Capital manages publicly traded American Capital Agency
Corp. (Nasdaq: AGNC) with approximately $8.7
billion of net book value, American Capital Mortgage
Investment Corp. (Nasdaq: MTGE) with approximately $1 billion of net book value and American Capital
Senior Floating, Ltd. (Nasdaq: ACSF). From its eight offices in the
U.S. and Europe, American Capital
and its affiliate, European Capital, will consider investment
opportunities from $10 million to $750
million. For further information, please refer to
www.AmericanCapital.com.
FORWARD LOOKING STATEMENTS
This press release
contains forward-looking statements. Forward-looking
statements are based on estimates, projections, beliefs and
assumptions of management of the Company at the time of such
statements and are not guarantees of future performance.
Forward-looking statements involve risks and uncertainties in
predicting future results and conditions. Actual results
could differ materially from those projected in these
forward-looking statements due to a variety of important factors,
including, without limitation, changes in interest rates, changes
in the yield curve, changes in prepayment rates, the availability
and terms of financing, changes in the market value of the
Company's assets, general economic conditions, market conditions,
conditions in the market for agency securities, and legislative and
regulatory changes that could adversely affect the business of the
Company. Certain factors that could cause actual results to
differ materially from those contained in the forward-looking
statements, are included in the Company's periodic reports filed
with the Securities and Exchange Commission ("SEC"). Copies
are available on the SEC's website, www.sec.gov. The Company
disclaims any obligation to update or revise any forward-looking
statements based on the occurrence of future events, the receipt or
new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In
addition to the results presented in accordance with GAAP, this
release includes certain non-GAAP financial information, including
net spread income, estimated taxable income and certain financial
metrics derived from non-GAAP information, such as estimated
undistributed taxable income, which the Company's management uses
in its internal analysis of results, and believes may be
informative to investors.
Net spread income consists of adjusted net interest income, less
total operating expenses. Adjusted net interest income is
interest income less interest expense (or "GAAP net interest
income"), less other periodic interest rate swap interest costs
reported in other income (loss), net.
Estimated taxable income is pre-tax income calculated in
accordance with the requirements of the Internal Revenue Code
rather than GAAP. Estimated taxable income differs from GAAP
income because of both temporary and permanent differences in
income and expense recognition. Examples include (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 estimated 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.
Furthermore, estimated taxable income can include certain
information that is subject to potential adjustments up to the time
of filing of the appropriate tax returns, which occurs after the
end of the calendar year of the Company.
The Company believes that these non-GAAP financial measures
provide information useful to investors because net spread income
is a financial metric used by management and investors and
estimated taxable income is directly related to the amount of
dividends the Company is required to distribute in order to
maintain its REIT tax qualification status. The Company also
believes that providing investors with net spread income, estimated
taxable income and certain financial metrics derived based on such
estimated taxable income, in addition to the related GAAP measures,
gives investors greater transparency to the information used by
management in its financial and operational decision-making.
However, because net spread income and estimated taxable income are
an incomplete measure of the Company's financial performance and
involve differences from net income computed in accordance with
GAAP, net spread income and estimated taxable income should be
considered as supplementary to, and not as a substitute for, the
Company's net income computed in accordance with GAAP as a measure
of the Company's financial performance. In addition, because not
all companies use identical calculations, the Company's
presentation of net spread income and estimated taxable income may
not be comparable to other similarly-titled measures of other
companies.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9400
SOURCE American Capital Agency Corp.