BETHESDA, Md., Oct. 27,
2014 /PRNewswire/ -- American Capital Agency Corp. ("AGNC" or
the "Company") (Nasdaq: AGNC) today reported a comprehensive loss
for the third quarter of 2014 of $(0.07) per common share and net book value of
$25.54 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 $(0.07) per common share, or
-0.3% for the quarter, or -1.1% on an annualized basis. Net
spread and dollar roll income for the period totaled $0.85 per common share.
THIRD QUARTER 2014 FINANCIAL HIGHLIGHTS
- $(0.07) comprehensive loss per
common share, comprised of:
- $0.54 net income per common
share
- $(0.61) other comprehensive
(loss)/income ("OCI") per common share
- Includes net unrealized losses on investments marked-to-market
through OCI
- $0.85 net spread and dollar roll
income per common share
- Includes $0.43 per common share
of dollar roll income associated with the Company's $15.7 billion average net long position in agency
mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Includes $(0.01) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $0.65 dividend per common share
declared on September 18, 2014
- 12.2% annualized dividend yield based on September 30, 2014 closing stock price of
$21.25 per common share
- $25.54 net book value per common
share as of September 30, 2014
- Decreased $(0.72) per common
share, or -2.7%, from $26.26 per
common share as of June 30, 2014
- -0.3% economic loss on common equity for the quarter, or -1.1%
annualized
- Comprised of $0.65 dividend per
common share and $(0.72) decrease in
net book value per common share
OTHER THIRD QUARTER HIGHLIGHTS
- $69.5 billion agency MBS
investment portfolio as of September 30, 2014
- Includes $17.7 billion net long
TBA mortgage position as of September 30, 2014
- 6.7x "at risk" leverage as of September 30, 2014
- 4.8x leverage excluding net long TBA mortgage position as of
September 30, 2014
- 10% portfolio CPR for the quarter
- 8% average projected portfolio life CPR as of
September 30, 2014
- 1.90% annualized net interest rate spread for the quarter,
including TBA dollar roll income
Gary Kain, President and Chief
Investment Officer, commented, "The clear consensus at the
beginning of the year was that interest rates would rise and agency
MBS would underperform. Instead, in response to the slower
pace of global economic growth and lack of inflationary pressure,
interest rates have fallen dramatically. Moreover, despite
the tapering of QE3, agency MBS have performed very well even after
giving back some of their gains during the third quarter."
Malon Wilkus, Chair and Chief
Executive Officer, commented, "We are pleased with AGNC's total
economic return for the first three quarters of the year of just
under 15%. Times like these reinforce the value of our active
portfolio management philosophy that stresses the need to
reevaluate and adjust our assets and hedges in light of an ever
changing interest rate and mortgage market landscape."
NET BOOK VALUE
As of September 30, 2014, the
Company's net book value per common share was $25.54, or $(0.72)
lower than its June 30, 2014 net book value per common share
of $26.26, driven by wider mortgage
spreads.
INVESTMENT PORTFOLIO
As of September 30, 2014,
the Company's investment portfolio totaled $69.5 billion of agency MBS, including a
$17.7 billion net long TBA mortgage
position, at fair value.
The Company accounts for TBA dollar roll positions as derivative
instruments and recognizes dollar roll income in other income
(loss), net on the Company's financial statements. As of
September 30, 2014, the Company's net TBA mortgage portfolio
had a fair value of approximately $17.7
billion, a cost basis of $17.8
billion and a net carrying value of $(21) million reported in derivative
assets/(liabilities) on the Company's balance sheet.
As of September 30, 2014, the Company's investment
portfolio was comprised of $66.9
billion of fixed-rate securities, inclusive of the net long
TBA position; $0.9 billion of
adjustable-rate securities; and $1.6
billion of collateralized mortgage obligations ("CMOs"),
including principal and interest-only strips.
As of September 30, 2014, the Company's fixed-rate
investment portfolio was comprised of:
- $22.7 billion </= 15-year
securities;
- $(2.3) billion 15-year net short
TBA securities;
- $1.3 billion 20-year fixed-rate
securities;
- $25.1 billion 30-year fixed-rate
securities; and
- $20.0 billion 30-year net long
TBA securities.
As of September 30, 2014, inclusive of net TBA mortgage
positions, </= 15-year fixed rate securities represented
30% of the Company's investment portfolio, a decrease from 38% as
of June 30, 2014, and 30-year fixed rate securities
represented 65% of the Company's investment portfolio, an increase
from 57% as of June 30, 2014.
As of September 30, 2014, 75% of the Company's fixed-rate
securities, or 55% inclusive of net TBA mortgage positions, were
comprised of securities backed by lower loan balance mortgages and
loans originated under the U.S. Government sponsored Home
Affordable Refinance Program ("HARP"), which have favorable
prepayment attributes and, therefore, a lower risk of prepayment
relative to generic agency securities. The Company defines lower
loan balance securities as pools backed by original loan balances
of up to $150,000 and HARP securities
as pools backed by 100% refinance loans with original
loan-to-values of >/= 80%.
As of September 30, 2014, 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 3.23%
for </= 15-year fixed rate securities, 3.49% for 20-year
fixed-rate securities and 3.75% for 30-year fixed-rate
securities.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a CPR of 10% for the third quarter, compared to 9%
for the prior quarter. The weighted average projected CPR for
the remaining life of the Company's agency securities held as of
September 30, 2014 was 8%, largely unchanged from
June 30, 2014.
Net premium amortization on the Company's investment portfolio
for the third quarter was $(101)
million, or $(0.29) per common
share, compared to $(109) million, or
$(0.31) per common share, for the
second quarter. The Company recognized "catch-up" premium
amortization cost of $(3) million, or
$(0.01) per common share, for the
third quarter, compared to no "catch-up" amortization recognized
for the prior quarter. The unamortized net premium balance as
of September 30, 2014 was $2.3
billion.
The Company amortizes or accretes premiums and discounts
associated with purchases of agency securities into interest income
using the effective yield method over the estimated life of such
securities, incorporating both actual repayments to date and
projected 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 September 30, 2014; 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.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its agency
security portfolio (or "repo funded assets") for the third quarter
was 2.71%, unchanged from the prior quarter. The Company's
average cost of funds (derived from the cost of repurchase
agreements, other debt and interest rate swaps) for the third
quarter was largely unchanged from the prior quarter at
1.44%. The Company's combined annualized net interest rate
spread on its repo and dollar roll funded assets for the quarter
was 1.90%, compared to 1.84% for the prior quarter.
On a per share basis, the Company recognized $0.85 per common share of net spread and dollar
roll income for the third quarter, compared to $0.87 per common share for the prior
quarter. Net spread and dollar roll income for the third
quarter included $0.43 per common
share of dollar roll income, an increase from $0.39 per common share for the prior quarter.
LEVERAGE
As of September 30, 2014, $43.6 billion of the Company's repurchase
agreements were used to fund acquisitions of agency securities
("agency repo"), while the remainder, or $1.8 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 6.7x as of
September 30, 2014, compared to 6.9x as of June 30,
2014. The Company's average "at risk" leverage ratio for the
quarter was 6.7x, compared to 7.1x for the prior quarter. The
Company's leverage ratios exclude equity allocated to investments
in REIT equity securities.
As of September 30, 2014, the Company's agency repo
agreements had a weighted average interest rate of 0.41%, unchanged
from June 30, 2014, while the weighted average remaining days
to maturity decreased to 152 days as of September 30, 2014
from 170 days as of June 30, 2014.
As of September 30, 2014, the Company's agency repo
agreements had remaining maturities consisting of:
- $15.0 billion of one month or
less;
- $14.1 billion from one to three
months;
- $6.0 billion from three to six
months;
- $2.8 billion from six to nine
months;
- $1.3 billion from nine to twelve
months;
- $2.6 billion from twelve to
twenty-four months;
- $0.1 billion from twenty-four to
thirty-six months;
- $0.8 billion from thirty-six to
forty-eight months; and
- $0.9 billion from forty-eight to
sixty months.
HEDGING ACTIVITIES
As of September 30, 2014, 76%
of the Company's outstanding balance of repurchase agreements,
other debt and net TBA position was hedged through interest rate
swaps, swaptions and U.S. Treasury positions, compared to 88% as of
June 30, 2014.
The Company's interest rate swap position as of
September 30, 2014 totaled $40.2
billion in notional amount. During the quarter, the
Company terminated $9.8 billion of
interest rate swaps with an average remaining life of 1.4 years
while an additional $1.5 billion of
interest rate swaps expired during the quarter. The
Company entered into new swap agreements during the quarter
totaling $3.6 billion. The new
swap agreements had a weighted average fixed pay rate of 2.73%, an
average forward start date of 1.2 years and an average maturity of
approximately 9.4 years as of September 30, 2014.
As of September 30, 2014, the Company's swap position
included a total of $13.2 billion of
forward starting swaps, with an average forward start date of 1.4
years and an average maturity of 8.3 years, compared to
$11.7 billion as of June 30,
2014 with an average forward start date of 1.7 years and an average
maturity of 8.6 years.
Excluding forward starting swaps, the Company's interest rate
swap portfolio had an average fixed pay rate of 1.82% and a
weighted average receive rate of 0.22% as of September 30,
2014, compared to 1.61% and 0.20%, respectively, as of
June 30, 2014. Including forward starting swaps, the
Company's interest rate swap portfolio had an average fixed pay
rate of 2.22% and an average maturity of 6.4 years as of
September 30, 2014, compared to 1.97% and 5.4 years,
respectively, as of June 30, 2014. 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 changes in interest rates.
During the third quarter, the Company added $1.5 billion in notional amount of payer
swaptions, at a total cost of $7
million, while $3.0 billion of
payer swaptions from previous quarters expired or were terminated
resulting in a net realized loss of $(53)
million. As of September 30, 2014, the Company
had payer swaptions totaling $6.2
billion of notional value outstanding at a market value of
$61 million and a cost basis of
$132 million, with an average
remaining option term of 0.8 years and an average underlying
interest rate swap term of 4.9 years. This compares to
$7.7 billion of notional value
outstanding as of June 30, 2014 at a market value of
$62 million and a cost basis of
$179 million, with an average
remaining option term of 0.8 years and an average underlying swap
term of 5.6 years.
During the third quarter the Company added $0.8 billion in notional value of receiver
swaptions. As of September 30, 2014, the Company had receiver
swaptions totaling $2.5 billion of
notional value outstanding at a cost basis of $10 million, with an average remaining option
term of 4 months and an average underlying interest rate swap term
of 8.2 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 September 30, 2014,
the Company had a net short position of $3.5
billion and $0.9 billion
(market value) in U.S. Treasury securities and U.S. Treasury
futures, respectively. This compares to a $4.8 billion and $0.9
billion net short position in U.S. Treasury securities and
U.S. Treasury futures, respectively, as of June 30, 2014.
OTHER INCOME (LOSS), NET
For the third quarter, the
Company recorded a net loss of $(37)
million in other income (loss), net, or $(0.10) per common share, compared to a net loss
of $(222) million, or $(0.63) per common share for the prior
quarter. Other income (loss), net for the third quarter was
comprised of:
- $14 million of net realized gains
on sales of agency securities;
- $56 million of net unrealized
gains on interest rate swaps and early termination fees (excludes
$38 million of unrealized gains
recognized in OCI);
- $(82) million of interest rate
swap periodic interest costs;
- $(14) million of net losses on
interest rate swaptions;
- $(52) million of net losses on
U.S. Treasury positions;
- $152 million of TBA dollar roll
income;
- $(119) million of net
mark-to-market losses on TBA mortgage positions;
- $(2) million of net dividends and
losses from mortgage REIT equity securities; and
- $10 million of net gains on other
derivative instruments and securities.
OTHER COMPREHENSIVE LOSS
During the third quarter, the
Company recorded an other comprehensive loss of $(215) million, or $(0.61) per common share, driven primarily by
unrealized losses on the Company's agency securities.
ESTIMATED TAXABLE INCOME
Estimated taxable income for
the third quarter was $0.24 per
common share, or $0.30 lower than the
Company's GAAP net income 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 third quarter
excludes $0.70 per common share of
estimated net capital gains (including $0.43 per common share of TBA dollar roll income)
applied against the Company's prior year net capital loss
carryforward.
THIRD QUARTER 2014 DIVIDEND DECLARATIONS
On
September 18, 2014, the Company's Board of Directors declared
a third quarter dividend on its common stock of $0.65 per share, unchanged from the prior
quarter, which was paid on October 27, 2014 to common
stockholders of record as of September 30, 2014. This
equates to a 12.2% annualized dividend yield based on the Company's
September 30, 2014 closing stock price of $21.25 per common share.
On September 30, 2014, the Company
announced that its Board of Directors approved a change to the
Company's common stock dividend distribution schedule so that
distributions will now be made monthly rather than quarterly.
On October 16, 2014, the Company's
Board of Directors declared its first monthly dividend of
$0.22 per share to common
stockholders of record as of October 31,
2014, payable on November 7,
2014.
The Company anticipates that the 2014 dividend distributions on
its common stock will likely represent ordinary dividend income for
stockholders when the final tax characterization of such dividends
is determined and reported to stockholders on Form 1099-DIV after
the end of the year.
Since its May 2008 initial public
offering, the Company has paid a total of $4.9 billion in common dividends, or $29.56 per common share.
On September 18, 2014, the Company's Board of Directors
declared a third 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
October 15, 2014 to preferred stockholders of record as of
October 1, 2014.
STOCK REPURCHASE PROGRAM
The Company also announced
that its Board of Directors has extended the Company's existing
stock repurchase program through December
31, 2015. The Company did not repurchase any of its
shares of common stock during the third quarter. As of
September 30, 2014, the total
remaining amount authorized under the program for repurchases of
the Company's common stock was $992
million. The Company intends to only consider
repurchasing shares of its common stock 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 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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
2013
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value (including pledged securities of
$46,162, $50,057, $51,850, $62,205 and $80,721,
respectively)
|
$
|
50,420
|
|
|
$
|
52,174
|
|
|
$
|
54,960
|
|
|
$
|
64,482
|
|
|
$
|
83,805
|
|
Agency
securities transferred to consolidated variable interest
entities, at fair value (pledged
securities)
|
1,310
|
|
|
1,377
|
|
|
1,417
|
|
|
1,459
|
|
|
1,204
|
|
U.S.
Treasury securities, at fair value (including pledged
securities
of $1,214, $1,247, $196, $3,778 and $4,710,
respectively)
|
1,214
|
|
|
1,247
|
|
|
196
|
|
|
3,822
|
|
|
4,823
|
|
REIT
equity securities, at fair value
|
66
|
|
|
202
|
|
|
352
|
|
|
237
|
|
|
—
|
|
Cash and
cash equivalents
|
1,708
|
|
|
1,747
|
|
|
1,726
|
|
|
2,143
|
|
|
2,129
|
|
Restricted cash
|
794
|
|
|
783
|
|
|
269
|
|
|
101
|
|
|
77
|
|
Derivative assets, at fair value
|
462
|
|
|
593
|
|
|
686
|
|
|
1,194
|
|
|
1,246
|
|
Receivable for securities sold (including pledged securities of
$694, $441, $772, $622 and $1,417,
respectively)
|
905
|
|
|
1,872
|
|
|
799
|
|
|
652
|
|
|
1,807
|
|
Receivable under reverse repurchase agreements
|
5,258
|
|
|
6,621
|
|
|
6,685
|
|
|
1,881
|
|
|
1,808
|
|
Other
assets
|
211
|
|
|
238
|
|
|
228
|
|
|
284
|
|
|
372
|
|
Total
assets
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
$
|
76,255
|
|
|
$
|
97,271
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
45,327
|
|
|
$
|
48,714
|
|
|
$
|
49,729
|
|
|
$
|
63,533
|
|
|
$
|
82,473
|
|
Debt of
consolidated variable interest entities, at fair value
|
796
|
|
|
844
|
|
|
874
|
|
|
910
|
|
|
736
|
|
Payable
for securities purchased
|
1,150
|
|
|
558
|
|
|
324
|
|
|
118
|
|
|
979
|
|
Derivative liabilities, at fair value
|
510
|
|
|
583
|
|
|
417
|
|
|
422
|
|
|
1,015
|
|
Dividends payable
|
236
|
|
|
235
|
|
|
232
|
|
|
235
|
|
|
311
|
|
Obligation to return securities borrowed under reverse
|
4,742
|
|
|
6,094
|
|
|
6,658
|
|
|
1,848
|
|
|
1,801
|
|
repurchase agreements, at fair value
|
Accounts
payable and other accrued liabilities
|
230
|
|
|
215
|
|
|
270
|
|
|
492
|
|
|
71
|
|
Total
liabilities
|
52,991
|
|
|
57,243
|
|
|
58,504
|
|
|
67,558
|
|
|
87,386
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Redeemable Preferred Stock - aggregate liquidation preference
of $348, $348, $173, $173 and $173,
respectively
|
336
|
|
|
336
|
|
|
167
|
|
|
167
|
|
|
167
|
|
Common
stock - $0.01 par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
352.8,
352.8, 352.8, 356.2 and 384.3 shares issued and
outstanding, respectively
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
|
4
|
|
Additional paid-in capital
|
10,332
|
|
|
10,332
|
|
|
10,332
|
|
|
10,406
|
|
|
10,992
|
|
Retained deficit
|
(1,112)
|
|
|
(1,073)
|
|
|
(870)
|
|
|
(497)
|
|
|
(160)
|
|
Accumulated other comprehensive (loss) income
|
(203)
|
|
|
12
|
|
|
(819)
|
|
|
(1,383)
|
|
|
(1,118)
|
|
Total stockholders'
equity
|
9,357
|
|
|
9,611
|
|
|
8,814
|
|
|
8,697
|
|
|
9,885
|
|
Total liabilities and
stockholders' equity
|
$
|
62,348
|
|
|
$
|
66,854
|
|
|
$
|
67,318
|
|
|
$
|
76,255
|
|
|
$
|
97,271
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
|
$
|
23.93
|
|
|
$
|
25.27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
2013
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
|
$
|
542
|
|
|
$
|
558
|
|
Interest
expense 1
|
88
|
|
|
95
|
|
|
108
|
|
|
120
|
|
|
145
|
|
Net interest income
|
269
|
|
|
290
|
|
|
291
|
|
|
422
|
|
|
413
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (loss),
net:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain
(loss) on sale of agency securities, net
|
14
|
|
|
22
|
|
|
(19)
|
|
|
(667)
|
|
|
(733)
|
|
(Loss)
gain on derivative instruments and other securities, net
1
|
(51)
|
|
|
(244)
|
|
|
(378)
|
|
|
184
|
|
|
(339)
|
|
Total other loss, net
|
(37)
|
|
|
(222)
|
|
|
(397)
|
|
|
(483)
|
|
|
(1,072)
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees
|
30
|
|
|
30
|
|
|
29
|
|
|
31
|
|
|
35
|
|
General
and administrative expenses
|
5
|
|
|
6
|
|
|
6
|
|
|
6
|
|
|
7
|
|
Total expenses
|
35
|
|
|
36
|
|
|
35
|
|
|
37
|
|
|
42
|
|
Income (loss)
before income tax provision
|
197
|
|
|
32
|
|
|
(141)
|
|
|
(98)
|
|
|
(701)
|
|
Income tax provision
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
Net income
(loss)
|
197
|
|
|
32
|
|
|
(141)
|
|
|
(101)
|
|
|
(701)
|
|
Dividend on preferred stock
|
7
|
|
|
5
|
|
|
3
|
|
|
3
|
|
|
3
|
|
Net income (loss)
available (attributable) to common shareholders
|
$
|
190
|
|
|
$
|
27
|
|
|
$
|
(144)
|
|
|
$
|
(104)
|
|
|
$
|
(704)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
|
$
|
(101)
|
|
|
$
|
(701)
|
|
Other
comprehensive (loss) income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized (loss) gain on available-for-sale securities,
net
|
(253)
|
|
|
790
|
|
|
521
|
|
|
(311)
|
|
|
833
|
|
Unrealized gain on derivative instruments, net
1
|
38
|
|
|
40
|
|
|
43
|
|
|
46
|
|
|
47
|
|
Other
comprehensive (loss) income
|
(215)
|
|
|
830
|
|
|
564
|
|
|
(265)
|
|
|
880
|
|
Comprehensive
(loss) income
|
(18)
|
|
|
862
|
|
|
423
|
|
|
(366)
|
|
|
179
|
|
Dividend on preferred
stock
|
7
|
|
|
5
|
|
|
3
|
|
|
3
|
|
|
3
|
|
Comprehensive
(loss) income (attributable) available to common
shareholders
|
$
|
(25)
|
|
|
$
|
857
|
|
|
$
|
420
|
|
|
$
|
(369)
|
|
|
$
|
176
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
373.0
|
|
|
390.6
|
|
basic and
diluted
|
Net income (loss)
per common share - basic and diluted
|
$
|
0.54
|
|
|
$
|
0.08
|
|
|
$
|
(0.41)
|
|
|
$
|
(0.28)
|
|
|
$
|
(1.80)
|
|
Comprehensive
(loss) income per common share - basic and diluted
|
$
|
(0.07)
|
|
|
$
|
2.43
|
|
|
$
|
1.18
|
|
|
$
|
(0.99)
|
|
|
$
|
0.45
|
|
Dividends declared
per common share
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.80
|
|
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
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
2013
|
Interest
income
|
$
|
357
|
|
|
$
|
385
|
|
|
$
|
399
|
|
|
$
|
542
|
|
|
$
|
558
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
and other debt
|
50
|
|
|
55
|
|
|
65
|
|
|
74
|
|
|
98
|
|
Interest rate swap
periodic costs1
|
38
|
|
|
40
|
|
|
43
|
|
|
46
|
|
|
47
|
|
Total interest
expense
|
88
|
|
|
95
|
|
|
108
|
|
|
120
|
|
|
145
|
|
Net interest
income
|
269
|
|
|
290
|
|
|
291
|
|
|
422
|
|
|
413
|
|
Other interest rate
swap periodic costs 3
|
(82)
|
|
|
(87)
|
|
|
(83)
|
|
|
(104)
|
|
|
(131)
|
|
Dividend on REIT
equity securities4
|
2
|
|
|
6
|
|
|
10
|
|
|
5
|
|
|
—
|
|
TBA dollar roll
income (loss) 17
|
152
|
|
|
138
|
|
|
48
|
|
|
(5)
|
|
|
(12)
|
|
Adjusted net interest
and dollar roll income
|
341
|
|
|
347
|
|
|
266
|
|
|
318
|
|
|
270
|
|
Operating
expenses
|
35
|
|
|
36
|
|
|
35
|
|
|
37
|
|
|
42
|
|
Net spread and dollar
roll income
|
306
|
|
|
311
|
|
|
231
|
|
|
281
|
|
|
228
|
|
Dividend on preferred
stock
|
7
|
|
|
5
|
|
|
3
|
|
|
3
|
|
|
3
|
|
Net spread and dollar
roll income available to common shareholders
|
299
|
|
|
306
|
|
|
228
|
|
|
278
|
|
|
225
|
|
Estimated
"catch-up" premium amortization
cost (benefit) due to change in CPR forecast
|
3
|
|
|
—
|
|
|
25
|
|
|
(28)
|
|
|
12
|
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to common shareholders
|
$
|
302
|
|
|
$
|
306
|
|
|
$
|
253
|
|
|
$
|
250
|
|
|
$
|
237
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
373.0
|
|
|
390.6
|
|
Net spread and dollar
roll income per common share - basic and diluted
|
$
|
0.85
|
|
|
$
|
0.87
|
|
|
$
|
0.64
|
|
|
$
|
0.75
|
|
|
$
|
0.58
|
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common share - basic and diluted
|
$
|
0.86
|
|
|
$
|
0.87
|
|
|
$
|
0.71
|
|
|
$
|
0.67
|
|
|
$
|
0.61
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
2013
|
Net income
(loss)
|
$
|
197
|
|
|
$
|
32
|
|
|
$
|
(141)
|
|
|
$
|
(101)
|
|
|
$
|
(701)
|
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
(7)
|
|
|
(5)
|
|
|
31
|
|
|
(21)
|
|
|
(6)
|
|
Realized losses
(gains), net
|
136
|
|
|
5
|
|
|
36
|
|
|
(92)
|
|
|
(255)
|
|
Capital loss
(carryforward)/excess over capital gains 5
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
|
936
|
|
|
849
|
|
Unrealized losses
(gains), net
|
12
|
|
|
384
|
|
|
346
|
|
|
(480)
|
|
|
229
|
|
Other
|
—
|
|
|
(1)
|
|
|
—
|
|
|
2
|
|
|
—
|
|
Total book to tax
differences
|
(105)
|
|
|
73
|
|
|
311
|
|
|
345
|
|
|
817
|
|
Estimated REIT
taxable income
|
92
|
|
|
105
|
|
|
170
|
|
|
244
|
|
|
116
|
|
Dividend on preferred
stock
|
7
|
|
|
5
|
|
|
3
|
|
|
3
|
|
|
3
|
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$
|
85
|
|
|
$
|
100
|
|
|
$
|
167
|
|
|
$
|
241
|
|
|
$
|
113
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
352.8
|
|
|
352.8
|
|
|
354.8
|
|
|
373.0
|
|
|
390.6
|
|
Estimated REIT
taxable income per common share - basic and diluted
|
$
|
0.24
|
|
|
$
|
0.28
|
|
|
$
|
0.47
|
|
|
$
|
0.65
|
|
|
$
|
0.29
|
|
Cumulative dividend
distributions to common stockholders (in excess of)/below estimated
cumulative REIT taxable income 6
|
$
|
(0.37)
|
|
|
$
|
0.04
|
|
|
$
|
0.42
|
|
|
$
|
0.59
|
|
|
$
|
0.57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital losses
|
$
|
1,373
|
|
|
$
|
1,683
|
|
|
$
|
1,785
|
|
|
$
|
849
|
|
|
$
|
—
|
|
Capital loss
(carryforward)/excess over capital gains
|
(246)
|
|
|
(310)
|
|
|
(102)
|
|
|
936
|
|
|
849
|
|
Ending cumulative
non-deductible capital losses
|
$
|
1,127
|
|
|
$
|
1,373
|
|
|
$
|
1,683
|
|
|
$
|
1,785
|
|
|
$
|
849
|
|
Ending cumulative
non-deductible capital losses per common share
|
$
|
3.19
|
|
|
$
|
3.89
|
|
|
$
|
4.77
|
|
|
$
|
5.01
|
|
|
$
|
2.21
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
September
30,
|
|
June 30,
|
|
March 31,
|
|
December
31,
|
|
September
30,
|
2014
|
|
2014
|
|
2014
|
|
2013
|
|
2013
|
Fixed-rate agency
securities, at fair value - as of period end
|
$
|
49,170
|
|
|
$
|
50,871
|
|
|
$
|
53,461
|
|
|
$
|
62,961
|
|
|
$
|
82,310
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$
|
922
|
|
|
$
|
988
|
|
|
$
|
1,195
|
|
|
$
|
1,235
|
|
|
$
|
1,015
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
1,224
|
|
|
$
|
1,268
|
|
|
$
|
1,289
|
|
|
$
|
1,308
|
|
|
$
|
1,244
|
|
Interest-only strips
agency securities, at fair value - as of period end
|
$
|
217
|
|
|
$
|
219
|
|
|
$
|
230
|
|
|
$
|
232
|
|
|
$
|
224
|
|
Principal-only strips
agency securities, at fair value - as of period end
|
$
|
197
|
|
|
$
|
205
|
|
|
$
|
202
|
|
|
$
|
205
|
|
|
$
|
216
|
|
Total agency
securities, at fair value - as of period end
|
$
|
51,730
|
|
|
$
|
53,551
|
|
|
$
|
56,377
|
|
|
$
|
65,941
|
|
|
$
|
85,009
|
|
Total agency
securities, at cost - as of period end
|
$
|
51,730
|
|
|
$
|
53,301
|
|
|
$
|
56,928
|
|
|
$
|
67,025
|
|
|
$
|
85,789
|
|
Total agency
securities, at par - as of period end 7
|
$
|
49,475
|
|
|
$
|
50,887
|
|
|
$
|
54,336
|
|
|
$
|
64,048
|
|
|
$
|
82,003
|
|
Average agency
securities, at cost
|
$
|
52,767
|
|
|
$
|
56,923
|
|
|
$
|
62,920
|
|
|
$
|
76,991
|
|
|
$
|
86,407
|
|
Average agency
securities, at par 7
|
$
|
50,498
|
|
|
$
|
54,365
|
|
|
$
|
60,103
|
|
|
$
|
73,527
|
|
|
$
|
82,751
|
|
Net TBA portfolio -
as of period end, at fair value
|
$
|
17,748
|
|
|
$
|
18,384
|
|
|
$
|
14,102
|
|
|
$
|
2,271
|
|
|
$
|
(7,256)
|
|
Net TBA portfolio -
as of period end, at cost
|
$
|
17,769
|
|
|
$
|
18,184
|
|
|
$
|
14,127
|
|
|
$
|
2,276
|
|
|
$
|
(7,060)
|
|
Net TBA portfolio -
as of period end, carrying value
|
$
|
(21)
|
|
|
$
|
200
|
|
|
$
|
(25)
|
|
|
$
|
(5)
|
|
|
$
|
(196)
|
|
Average net TBA
portfolio, at cost
|
$
|
15,680
|
|
|
$
|
13,963
|
|
|
$
|
4,534
|
|
|
$
|
(486)
|
|
|
$
|
131
|
|
Average repurchase
agreements and other debt
|
$
|
46,694
|
|
|
$
|
50,448
|
|
|
$
|
57,544
|
|
|
$
|
71,260
|
|
|
$
|
78,845
|
|
Average stockholders'
equity 8
|
$
|
9,455
|
|
|
$
|
9,315
|
|
|
$
|
8,975
|
|
|
$
|
9,432
|
|
|
$
|
10,064
|
|
Net book value per
common share as of period end 9
|
$
|
25.54
|
|
|
$
|
26.26
|
|
|
$
|
24.49
|
|
|
$
|
23.93
|
|
|
$
|
25.27
|
|
Leverage - average
during the period 10
|
5.0:1
|
|
5.6:1
|
|
6.7:1
|
|
7.6:1
|
|
7.8:1
|
Leverage - average
during the period, including net TBA position
11
|
6.7:1
|
|
7.1:1
|
|
7.2:1
|
|
7.5:1
|
|
7.8:1
|
Leverage - as of
period end 12
|
4.8:1
|
|
5.0:1
|
|
5.9:1
|
|
7.3:1
|
|
7.9:1
|
Leverage - as of
period end, including net TBA position 13
|
6.7:1
|
|
6.9:1
|
|
7.6:1
|
|
7.5:1
|
|
7.2:1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average coupon
14
|
3.63
|
%
|
|
3.63
|
%
|
|
3.60
|
%
|
|
3.59
|
%
|
|
3.50
|
%
|
Average asset yield
15
|
2.71
|
%
|
|
2.71
|
%
|
|
2.54
|
%
|
|
2.82
|
%
|
|
2.59
|
%
|
Average cost of funds
16
|
(1.44)
|
%
|
|
(1.45)
|
%
|
|
(1.35)
|
%
|
|
(1.25)
|
%
|
|
(1.39)
|
%
|
Average net interest
rate spread
|
1.27
|
%
|
|
1.26
|
%
|
|
1.19
|
%
|
|
1.57
|
%
|
|
1.20
|
%
|
Average net interest
rate spread, including TBA dollar roll income/loss
17
|
1.90
|
%
|
|
1.84
|
%
|
|
1.43
|
%
|
|
1.56
|
%
|
|
1.14
|
%
|
Average coupon - as
of period end
|
3.65
|
%
|
|
3.63
|
%
|
|
3.65
|
%
|
|
3.58
|
%
|
|
3.54
|
%
|
Average asset
yield - as of period end
|
2.78
|
%
|
|
2.70
|
%
|
|
2.72
|
%
|
|
2.70
|
%
|
|
2.70
|
%
|
Average cost of funds
- as of period end 18
|
(1.42)
|
%
|
|
(1.53)
|
%
|
|
(1.45)
|
%
|
|
(1.31)
|
%
|
|
(1.33)
|
%
|
Average net interest
rate spread - as of period end
|
1.36
|
%
|
|
1.17
|
%
|
|
1.27
|
%
|
|
1.39
|
%
|
|
1.37
|
%
|
Average actual CPR
for securities held during the period
|
10
|
%
|
|
9
|
%
|
|
7
|
%
|
|
8
|
%
|
|
10
|
%
|
Average forecasted
CPR - as of period end
|
8
|
%
|
|
8
|
%
|
|
8
|
%
|
|
7
|
%
|
|
8
|
%
|
Total premium
amortization, net
|
$
|
(101)
|
|
|
$
|
(109)
|
|
|
$
|
(142)
|
|
|
$
|
(117)
|
|
|
$
|
(168)
|
|
Expenses % of average
total assets - annualized
|
0.22
|
%
|
|
0.21
|
%
|
|
0.19
|
%
|
|
0.17
|
%
|
|
0.15
|
%
|
Expenses % of average
stockholders' equity - annualized
|
1.47
|
%
|
|
1.55
|
%
|
|
1.58
|
%
|
|
1.56
|
%
|
|
1.66
|
%
|
Net comprehensive
(loss) income return on average common equity - annualized
19
|
(1.1)
|
%
|
|
38.0
|
%
|
|
19.4
|
%
|
|
(15.8)
|
%
|
|
7.1
|
%
|
Dividends declared
per common share
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.65
|
|
|
$
|
0.80
|
|
Economic (loss)
return on common equity - annualized 20
|
(1.1)
|
%
|
|
39.6
|
%
|
|
20.5
|
%
|
|
(10.8)
|
%
|
|
8.7
|
%
|
*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. The accumulated other
comprehensive loss on the Company's de-designated interest rate
swaps as of September 30, 2011 is being amortized on a
straight-line basis over the remaining swap terms into interest
expense. All other periodic interest costs, termination fees
and mark-to-market adjustments associated with interest rate swaps
are reported in other income (loss), net pursuant to
GAAP.
|
2.
|
Table includes
non-GAAP financial measures. Refer to "Use of Non-GAAP
Financial Information" for additional discussion of non-GAAP
financial measures.
|
3.
|
Other interest rate
swap periodic costs represent periodic interest costs on the
Company's interest rate swap portfolio in excess of amounts
reclassified from accumulated OCI into interest expense. 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.
|
Dividend on REIT
equity securities is reported in gain (loss) on derivative
instruments and other securities, net.
|
5.
|
Capital losses in
excess of capital gains are not deductible from the Company's
ordinary taxable income, but may be carried forward for up to five
years and applied against future net capital
gains.
|
6.
|
Cumulative dividend
distributions to common stockholders (in excess of)/below estimated
cumulative REIT taxable income as of period end is net of common
and preferred dividends declared during the period. Amount
divided by total common shares outstanding as of each period end.
Amount excludes non-deductible net capital losses.
|
7.
|
Agency securities at
par value excludes the underlying unamortized principal balance
("UPB") of the Company's interest-only securities. Excludes
TBAs.
|
8.
|
Average stockholders'
equity calculated as the average month-ended stockholders' equity
during the quarter.
|
9.
|
Net book value per
common share calculated as total stockholders' equity, less the
preferred stock liquidation preference, divided by the number of
common shares outstanding as of period end.
|
10.
|
Leverage during the
period was calculated by dividing the daily weighted average agency
repurchase agreements and other debt outstanding for the period by
the sum of average stockholders' equity less the average investment
in REIT equity securities for the period. Leverage excludes
U.S. Treasury repurchase agreements.
|
11.
|
Leverage during the
period, including net TBA position, includes the components of
"leverage - average during the period", plus the Company's daily
weighted average net TBA dollar roll position (at cost) during the
period.
|
12.
|
Leverage at period
end was calculated by dividing the sum of the amount outstanding
under agency repurchase agreements, net receivable / payable for
unsettled agency securities and other debt by the sum of total
stockholders' equity less the fair value of investments in REIT
equity securities at period end. Leverage excludes U.S. Treasury
repurchase agreements.
|
13.
|
Leverage at period
end, including net TBA position, includes the components of
"leverage - as of period end", plus the Company's net TBA dollar
roll position (at cost) as of period end.
|
14.
|
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 net premiums and discounts) by the average
amortized cost of agency securities held.
|
16.
|
Cost of funds
includes agency 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
agency repurchase agreements and other debt outstanding for the
period. Cost of funds excludes U.S. Treasury repurchase
agreements.
|
17.
|
Estimated TBA dollar
roll income/loss is net of TBAs used for hedging purposes. Dollar
roll income/loss excludes the impact of other supplemental hedges,
and is recognized in gain (loss) on derivative instruments and
other securities, net.
|
18.
|
Cost of funds as of
period end includes agency repurchase agreements and other debt
outstanding, plus the impact of interest rate swaps in effect as of
each period end and forward starting swaps becoming effective, net
of swaps expiring, within three months of each period end, but
excludes costs associated with other supplemental hedges such as
swaptions and short treasury or TBA
positions.
|
19.
|
Net comprehensive
income (loss) return on average common equity for the period was
calculated by dividing comprehensive income (loss) available
(attributable) to common shareholders by average common
equity.
|
20.
|
Economic return
(loss) on common equity represents the sum of the change in net
asset value per common share and dividends declared on common stock
during the period over the beginning net asset value per common
share.
|
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on October 28, 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 (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 Q3 2014 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 October 28, 2014. In addition, there will be
a phone recording available from 1:00 pm
ET October 28, 2014 until 9:00
am ET November 12, 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
10054108.
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 $19
billion of assets, including assets on its balance sheet and
fee earning assets under management by affiliated managers, with
$83 billion of total assets under
management (including levered assets). Through an 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 aggregate net book value. 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, 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, it 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) 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-007-comprehensive-loss-per-common-share-and-2554-net-book-value-per-common-share-416963518.html
SOURCE American Capital Agency Corp.