BETHESDA, Md., May 2, 2013 /PRNewswire/ -- American Capital
Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
reported comprehensive loss for the first quarter of 2013 of
$(557) million, or $(1.57) per common share, and net book value of
$28.93 per common share.
Economic return for the period, defined as dividends on common
shares plus the change in net book value per common share, was a
loss of $(1.46) per common share,
(4.6)% for the quarter, or (18.7)% on an annualized basis.
FIRST QUARTER 2013 FINANCIAL HIGHLIGHTS
- $(1.57) comprehensive loss per
common share, comprised of:
- $0.64 net income per common
share
- $(2.21) other comprehensive
income (loss) ("OCI") per common share
- Includes net unrealized losses on investments marked-to-market
through OCI
- $0.78 net spread income per
common share
- Comprised of interest income, net of cost of funds (including
interest rate swaps) and operating expenses
- $1.18 per common share, including
$0.40 per common share of estimated
net carry income (also known as "dollar roll income") associated
with purchases of agency mortgage backed securities ("MBS") on a
forward-settlement basis through the "to-be-announced" ("TBA")
dollar roll market
- Includes $0.09 per common share
of estimated "catch-up" premium amortization benefit due to change
in projected constant prepayment rate ("CPR") estimates
- $0.50 estimated taxable income
per common share
- Estimated taxable income was negatively impacted by net
realized losses of approximately $(0.55) per common share recognized for tax
during the quarter due to monthly settlements of TBA dollar roll
positions during a period of price declines
- Total estimated net taxable income (loss) attributable to TBA
dollar roll positions was $(0.15) per
common share, net of estimated TBA net carry income
- $1.25 dividend per common share
declared on March 7, 2013
- $1.08 estimated undistributed
taxable income per common share as of March 31, 2013
- Decreased $(319) million from
$749 million as of December 31,
2012 to $430 million as of
March 31, 2013
- On a per share basis, decreased $(1.13) per common share from $2.21 per common share as of December 31,
2012
- $28.93 net book value per common
share as of March 31, 2013
- Decreased $(2.71) per common
share, or (8.6)%, from $31.64 per
common share as of December 31, 2012
- (4.6)% economic loss on common equity for the quarter, or
(18.7)% annualized
- Comprised of $1.25 dividend per
common share and $(2.71) decrease in
net book value per common share
OTHER FIRST QUARTER HIGHLIGHTS
- $76.3 billion investment
portfolio as of March 31, 2013
- $103.6 billion including net TBA
mortgage position as of March 31, 2013
- 6.5x average leverage for the quarter
- 8.2x including average net TBA mortgage position during the
quarter
- 5.7x leverage as of March 31, 2013
- 8.1x including net TBA mortgage position as of March 31,
2013
- 10% actual portfolio CPR for the quarter
- 11% actual portfolio CPR for the month of April 2013
- 9% average projected portfolio life CPR as of March 31,
2013
- 1.52% annualized net interest rate spread for the quarter
- 1.87% including estimated TBA dollar roll income
- Includes 16 bps of "catch-up" premium amortization benefit due
to change in projected CPR estimates
- 1.43% net interest rate spread as of March 31, 2013
- 1.71% including net TBA mortgage position as of March 31,
2013
- $1.8 billion of net equity
proceeds raised from a common stock offering during the
quarter
"Fixed-rate agency MBS prices declined considerably more than
both U.S. Treasury securities and interest rate swaps during the
first quarter, as market participants began to price in an early
end to the Federal Reserve's third round of quantitative easing
("QE3") amid stronger economic data," commented Gary Kain, President and Chief Investment
Officer. "Specified mortgage securities also materially
underperformed generic securities as investors focused on extension
risk instead of prepayment risk. This underperformance of both TBAs
and specified MBS led to the decline in our net book value.
However, as economic activity both globally and in the U.S. has
weakened over the past month, interest rates have fallen again and
mortgages have recovered some of their first quarter weakness."
"Importantly, prepayments on our portfolio remained low and we
continue to achieve very favorable financing levels on our dollar
roll positions," added Mr. Kain. "Additionally, recent declines in
repurchase agreement rates should benefit our total funding
cost. As such, despite what we believe to be temporary
weakness in MBS valuations, our assets continue to perform as
expected from a cash flow perspective. Furthermore, we view
the cheapening of specified mortgages as a good opportunity to add
some excellent assets at attractive valuations."
"Given the magnitude of the Federal Reserve's involvement in the
mortgage market and the shifting sentiment on the strength of the
economy, the volatility we experienced during the quarter is not
surprising," said Malon Wilkus,
Chair and Chief Executive Officer. "However, despite the
recent volatility, we believe our portfolio is appropriately
positioned to create excellent risk adjusted returns for our
shareholders over the long-term."
NET BOOK VALUE
As of March 31, 2013, the
Company's net book value per common share was $28.93, or $(2.71)
lower than the December 31, 2012 net book value per common
share of $31.64, reflective of
generally lower pricing on the Company's MBS portfolio and due
to lower "pay-ups" (or price premiums) on specified pools of
securities with favorable prepayment attributes.
INVESTMENT PORTFOLIO
As of March 31, 2013, the
Company's investment portfolio totaled $76.3
billion of agency securities and $27.3 billion of net TBA mortgage positions, at
fair value.
TBA dollar roll transactions are a form of off-balance sheet
financing of agency MBS. The price differential between agency MBS
purchased for a forward settlement date through a TBA dollar roll
transaction and the price of agency MBS for settlement in the
current month is referred to as the "price drop". The price
drop is the economic equivalent of the net interest carry (interest
income less implied financing cost), also referred to as "dollar
roll income," on the agency MBS earned during the roll period.
Given the attractive terms available in the dollar roll market, the
Company maintained an average net forward TBA position of
$17.9 billion (cost basis) during the
quarter.
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
March 31, 2013, the Company's net TBA mortgage portfolio had a
fair value and cost basis of approximately $27.3 billion and a net fair value of
$(11) million reported in derivative
assets/(liabilities) on the Company's balance sheet.
As of March 31, 2013, the Company's agency securities were
comprised of $74.8 billion of
fixed-rate securities, $0.8 billion
of adjustable-rate securities and $0.7
billion of collateralized mortgage obligations ("CMOs")
backed by fixed and adjustable-rate securities, including principal
and interest-only strips. As of March 31, 2013, the
Company's fixed-rate securities were comprised of $22.6 billion less than or equal to 15-year
fixed-rate securities, $0.4 billion
20-year fixed-rate securities and $51.8
billion 30-year fixed-rate securities and the Company's net
TBA mortgage portfolio was comprised of $12.5 billion 15-year net TBA securities and
$14.8 billion 30-year net TBA
securities, at fair value.
As of March 31, 2013, 78% of the Company's fixed-rate
securities, or 57% 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 greater than or equal to 80%. The remainder of
the Company's portfolio was primarily comprised of low coupon, new
issuance fixed-rate agency securities.
CONSTANT PREPAYMENT RATES
The actual CPR for the
Company's investment portfolio during the first quarter was 10%,
unchanged from the fourth quarter. The most recent CPR
published in April 2013 for the
Company's portfolio held as of March 31, 2013 was 11%.
The weighted average projected CPR for the remaining life of all of
the Company's agency securities held as of March 31, 2013 was
9%, a decrease from 11% as of December 31, 2012, primarily due
to wider mortgage spreads as compared to modest increases in the
five and 10-year U.S. Treasury rates during the quarter. The
Company's net TBA dollar roll position was concentrated in low
coupon securities and 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 105.4% of par value as of March 31, 2013; therefore,
faster actual or projected prepayments can have a meaningful
negative impact, while slower actual or projected prepayments can
have a meaningful positive impact, on the Company's asset
yields.
The amortization of premiums, net of any accretion of discounts,
on the Company's investment portfolio for the first quarter was
$(134) million, or $(0.38) per common share, compared to
$(153) million, or $(0.45) per common share, for the fourth
quarter. The change in the Company's weighted average
projected CPR estimate resulted in recognition of approximately
$32 million, or $0.09 per common share, of "catch-up" premium
amortization benefit during the quarter, compared to approximately
$37 million, or $0.11 per common share, of "catch-up" premium
amortization benefit during the fourth quarter. The unamortized net
premium balance as of March 31, 2013 was $3.8 billion.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its agency
security portfolio for the first quarter was 2.80%, compared to
2.82% for the fourth quarter. Excluding the impact of
"catch-up" premium amortization benefit recognized during the
current and prior quarter due to changes in projected CPR
estimates, the annualized weighted average yield on the Company's
agency security portfolio was 2.64% for the current quarter,
compared to 2.63% for the prior quarter. The Company's
average asset yield reported as of March 31, 2013 was 2.75%, a
14 bps increase from 2.61% as of December 31, 2012.
The Company's average cost of funds (derived from the cost of
repurchase agreements, other debt and interest rate swaps)
increased 9 bps to 1.28% for the first quarter, from 1.19% for the
fourth quarter. The Company's average cost of funds as of
March 31, 2013 increased 10 bps to 1.32% from 1.22% as of
December 31, 2012. The increase in the Company's average
cost of funds was due to higher average swap costs.
The Company's average net interest rate spread for the first
quarter was 1.52%, a decrease of 11 bps from the fourth quarter of
1.63%. Including estimated TBA dollar roll income, the
Company's average net interest rate spread for the first quarter
was 1.87%, an increase from 1.84% during the fourth quarter.
The Company's average net spread income for the first quarter
includes 16 bps of "catch-up" premium amortization benefit due to
changes in projected CPR estimates, compared to 19 bps of
"catch-up" premium amortization benefit during the fourth
quarter. As of March 31, 2013, the Company's average net
interest rate spread was 1.43%, or 1.71% inclusive of net TBA
dollar roll positions, compared to 1.39%, or 1.61% inclusive of net
TBA dollar roll positions as of December 31, 2012.
LEVERAGE AND HEDGING ACTIVITIES
As of March 31,
2013, the Company had total repurchase agreements and other debt
outstanding of $67.1 billion,
resulting in a leverage ratio of 5.7x including the net
payable/receivable for agency securities not yet settled, or 8.1x
inclusive of off-balance sheet TBA financing. Average
leverage for the quarter was 6.5x, or 8.2x inclusive of off-balance
sheet TBA financing.
The $66.3 billion borrowed under
repurchase agreements as of March 31, 2013 had original
maturities consisting of:
- $8.0 billion of one month or
less;
- $29.5 billion from one to three
months;
- $11.2 billion from three to six
months;
- $4.4 billion from six to nine
months;
- $8.1 billion from nine to twelve
months;
- $2.1 billion from twelve to
twenty-four months;
- $2.8 billion from twenty-four to
thirty-six months; and
- $0.2 billion of greater than
thirty-six months.
The weighted average original maturity of the Company's
repurchase agreements was 183 days as of March 31, 2013,
largely unchanged from 181 days as of December 31, 2012.
As of March 31, 2013, the Company's repurchase agreements had
a weighted average remaining days to maturity of 118 days,
unchanged from December 31, 2012.
The Company's interest rate swap positions as of March 31,
2013 totaled $51.3 billion in
notional amount and had an average fixed pay rate of 1.51%, a
weighted average receive rate of 0.28% and a weighted average
maturity of 4.8 years. During the quarter, the Company
increased its swap position, including forward starting swaps
ranging up to September 2013, by
$5.8 billion, while $1.4 billion of the Company's shorter duration
swaps were terminated during the quarter. The new swap
agreements entered into during the quarter have an average maturity
of approximately 8.8 years from March 31, 2013 and a weighted
average fixed pay rate of 1.91%. The Company enters into
swaps with longer maturities with the intention of protecting its
net book value and longer term earnings potential.
The Company utilizes interest rate swaptions to mitigate
exposure to larger changes in interest rates. During the
quarter, the Company added $11.2
billion in notional amount of payer swaptions at a cost of
$205 million, while $2.7 billion of payer swaptions from previous
quarters expired at an original cost of $42
million. As of March 31, 2013, the Company had
$22.9 billion in payer swaptions
outstanding at a market value of $332
million with an average option term of 17 months and an
average underlying interest rate swap term of 7.9 years.
The Company also utilizes short positions in U.S. Treasury
securities to mitigate exposure to increases in interest
rates. As of March 31, 2013, the Company had
$12.6 billion in notional amount of
short Treasury positions and $0.8
billion in notional amount of short U.S. Treasury
futures. As of March 31, 2013, 94% of the Company's
outstanding balance of repurchase agreements, other debt and net
TBA dollar roll position was hedged through interest rate swaps,
swaptions and short Treasury positions, an increase from 83% as of
December 31, 2012.
OTHER INCOME (LOSS), NET
During the quarter, the
Company recorded a loss of $(124)
million in other income (loss), net, or $(0.35) per common share. Other income
(loss), net is comprised of:
- $(26) million of net realized
losses on sales of agency securities;
- $(84) million of other interest
rate swap periodic interest costs (excludes $(49) million of interest rate swap costs
recorded in interest expense);
- $162 million of net unrealized
gains on interest rate swaps;
- $(24) million of interest rate
swap termination fees;
- $142 million of TBA dollar roll
income;
- $(244) million of net losses on
TBA mortgage positions and forward settling securities; and
- $(50) million of net losses on
other derivative instruments and securities.
Other derivative instruments and securities generally represent
instruments that are used in addition to interest rate swaps (such
as swaptions, treasury securities and treasury futures contracts)
to supplement the Company's interest rate risk management
strategies.
OTHER COMPREHENSIVE INCOME (LOSS)
During the quarter,
the Company recorded other comprehensive loss of $(788) million, or $(2.21) per common share, comprised of
$(837) million of net unrealized
losses on agency securities and $49
million of net unrealized gains on interest rate
swaps. The net unrealized gains on interest rate swaps
consist of amounts reclassified out of accumulated OCI into
interest expense for the amortization of deferred losses associated
with interest rate swaps that were de-designated as hedges in the
third quarter of 2011.
ESTIMATED TAXABLE INCOME
Estimated taxable income for
the first quarter was $0.50 per
common share, or $0.14 lower than
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)
temporary differences related to the amortization of premiums paid
on investments and (iii) timing differences in the recognition of
certain realized gains and losses.
Estimated taxable income for the quarter was negatively impacted
by net realized losses of approximately $(0.55) per common share recognized for tax
purposes due to monthly settlements of the Company's TBA dollar
roll positions during a period of price declines. By
comparison, price changes on the Company's agency MBS portfolio are
recognized for tax purposes upon a sale of the security.
Total estimated net taxable income (loss) attributable to the
Company's TBA dollar roll position was $(0.15) per common share, net of $0.40 estimated net carry income.
FIRST QUARTER 2013 DIVIDEND DECLARATIONS
On
March 7, 2013, the Board of Directors of the Company declared
a first quarter dividend on its common stock of $1.25 per share, which was paid on April 26,
2013 to common stockholders of record as of March 20, 2013.
Since its May 2008 initial public
offering, the Company has paid a total of $3.3 billion in common dividends, or $25.11 per common share.
On March 11, 2013, the Board of Directors of the Company
declared a first 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 April 15, 2013 to preferred stockholders of record as
of April 1, 2013.
The Company had approximately $430
million of estimated undistributed taxable income as of
March 31, 2013, or $1.08 per
common share, net of dividends declared, but without adjustment for
future quarterly dividends not yet declared on the Company's Series
A Preferred Stock.
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)
|
|
|
|
|
|
|
|
|
|
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
2013
|
2012
|
2012
|
2012
|
2012
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at fair value
(including pledged securities of $70,094,
$79,966, $83,600, $71,809, and $71,156,
respectively)
|
$
|
74,874
|
|
|
$
|
83,710
|
|
|
$
|
88,020
|
|
|
$
|
76,378
|
|
|
$
|
80,517
|
|
Agency securities transferred to
consolidated variable interest entities, at
fair value (pledged
securities)
|
1,421
|
|
|
1,535
|
|
|
1,620
|
|
|
1,544
|
|
|
53
|
|
Cash and cash equivalents
|
2,826
|
|
|
2,430
|
|
|
2,569
|
|
|
2,099
|
|
|
1,762
|
|
Restricted cash
|
499
|
|
|
399
|
|
|
369
|
|
|
302
|
|
|
315
|
|
Derivative assets, at fair
value
|
480
|
|
|
301
|
|
|
292
|
|
|
64
|
|
|
184
|
|
Receivable for securities sold
(including pledged securities of $484,
$0,
$1,466, $2,674, and $1,442,
respectively)
|
734
|
|
|
—
|
|
|
2,326
|
|
|
2,877
|
|
|
1,706
|
|
Receivable under reverse repurchase
agreements
|
12,291
|
|
|
11,818
|
|
|
6,712
|
|
|
1,274
|
|
|
3,613
|
|
Other assets
|
244
|
|
|
260
|
|
|
269
|
|
|
244
|
|
|
267
|
|
Total
assets
|
$
|
93,369
|
|
|
$
|
100,453
|
|
|
$
|
102,177
|
|
|
$
|
84,782
|
|
|
$
|
88,417
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
66,260
|
|
|
$
|
74,478
|
|
|
$
|
79,254
|
|
|
$
|
69,540
|
|
|
$
|
69,816
|
|
Debt of consolidated variable interest
entities, at fair value
|
862
|
|
|
937
|
|
|
1,008
|
|
|
954
|
|
|
50
|
|
Payable for securities
purchased
|
259
|
|
|
556
|
|
|
1,311
|
|
|
2,198
|
|
|
4,852
|
|
Derivative liabilities, at fair
value
|
1,217
|
|
|
1,264
|
|
|
1,562
|
|
|
1,250
|
|
|
827
|
|
Dividends payable
|
499
|
|
|
427
|
|
|
430
|
|
|
384
|
|
|
286
|
|
Obligation to return securities borrowed
under reverse
|
12,548
|
|
|
11,763
|
|
|
7,265
|
|
|
1,269
|
|
|
3,816
|
|
repurchase agreements, at fair
value
|
Accounts payable and other accrued
liabilities
|
82
|
|
|
132
|
|
|
74
|
|
|
51
|
|
|
52
|
|
Total
liabilities
|
81,727
|
|
|
89,557
|
|
|
90,904
|
|
|
75,646
|
|
|
79,699
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders' equity:
|
|
|
|
|
|
|
|
|
|
8.000% Series A Cumulative Redeemable
Preferred Stock; $0.01 par
value; 6.9, 6.9, 6.9, 6.9 and 0.0 shares
issued and outstanding,
respectively; liquidation preference of
$25 per share ($173)
|
167
|
|
|
167
|
|
|
167
|
|
|
167
|
|
|
—
|
|
Common stock, $0.01 par value; 600.0,
600.0, 600.0, 600.0, and 300.0
shares authorized; 396.5, 338.9, 341.6,
304.8, and 300.0 shares issued
and outstanding, respectively
|
4
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
Additional paid-in capital
|
11,261
|
|
|
9,460
|
|
|
9,536
|
|
|
8,296
|
|
|
8,141
|
|
Retained (deficit) earnings
|
(557)
|
|
|
(289)
|
|
|
(672)
|
|
(328)
|
|
|
317
|
|
Accumulated other comprehensive
income
|
767
|
|
|
1,555
|
|
|
2,239
|
|
|
998
|
|
|
257
|
|
Total
stockholders' equity
|
11,642
|
|
|
10,896
|
|
|
11,273
|
|
|
9,136
|
|
|
8,718
|
|
Total
liabilities and stockholders' equity
|
$
|
93,369
|
|
|
$
|
100,453
|
|
|
$
|
102,177
|
|
|
$
|
84,782
|
|
|
$
|
88,417
|
|
|
|
|
|
|
|
|
|
|
|
Net
book value per common share
|
$
|
28.93
|
|
|
$
|
31.64
|
|
|
$
|
32.49
|
|
|
$
|
29.41
|
|
|
$
|
29.06
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
CONSOLIDATED STATEMENTS OF OPERATIONS
|
(in
millions, except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three
Months Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
2013
|
2012
|
2012
|
2012
|
2012
|
Interest income:
|
|
|
|
|
|
|
|
|
|
Interest income
|
$
|
547
|
|
|
$
|
570
|
|
|
$
|
520
|
|
|
$
|
504
|
|
|
$
|
514
|
|
Interest expense
(1)
|
140
|
|
|
147
|
|
|
139
|
|
|
120
|
|
|
106
|
|
Net interest
income
|
407
|
|
|
423
|
|
|
381
|
|
|
384
|
|
|
408
|
|
|
|
|
|
|
|
|
|
|
|
Other
(loss) income, net:
|
|
|
|
|
|
|
|
|
|
(Loss) gain on sale of agency
securities, net
|
(26)
|
|
|
353
|
|
|
210
|
|
|
417
|
|
|
216
|
|
(Loss) gain on derivative instruments
and other securities, net (1)
|
(98)
|
|
|
89
|
|
|
(460)
|
|
|
(1,029)
|
|
|
47
|
|
Total other (loss)
income, net
|
(124)
|
|
|
442
|
|
|
(250)
|
|
|
(612)
|
|
|
263
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management fees
|
33
|
|
|
31
|
|
|
32
|
|
|
28
|
|
|
22
|
|
General and administrative
expenses
|
9
|
|
|
9
|
|
|
8
|
|
|
8
|
|
|
6
|
|
Total
expenses
|
42
|
|
|
40
|
|
|
40
|
|
|
36
|
|
|
28
|
|
Income
(loss) before income tax provision (benefit)
|
241
|
|
|
825
|
|
|
91
|
|
|
(264)
|
|
|
643
|
|
Income tax provision
(benefit)
|
10
|
|
|
15
|
|
|
5
|
|
|
(3)
|
|
|
2
|
|
Net
income (loss)
|
231
|
|
|
810
|
|
|
86
|
|
|
(261)
|
|
|
641
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
—
|
|
Net
income (loss) available (attributable) to common
shareholders
|
$
|
228
|
|
|
$
|
807
|
|
|
$
|
83
|
|
|
$
|
(264)
|
|
|
$
|
641
|
|
|
|
|
|
|
|
|
|
|
|
Net
income (loss)
|
$
|
231
|
|
|
$
|
810
|
|
|
$
|
86
|
|
|
$
|
(261)
|
|
|
$
|
641
|
|
Other
comprehensive (loss) income:
|
|
|
|
|
|
|
|
|
|
Unrealized (loss) gain on
available-for-sale securities, net
|
(837)
|
|
|
(734)
|
|
|
1,190
|
|
|
689
|
|
|
(106)
|
|
Unrealized gain on derivative
instruments, net (1)
|
49
|
|
|
50
|
|
|
51
|
|
|
52
|
|
|
52
|
|
Other
comprehensive (loss) income
|
(788)
|
|
|
(684)
|
|
|
1,241
|
|
|
741
|
|
|
(54)
|
|
Comprehensive (loss) income
|
(557)
|
|
|
126
|
|
|
1,327
|
|
|
480
|
|
|
587
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
—
|
|
Comprehensive (loss) income (attributable)
available to common shareholders
|
$
|
(560)
|
|
|
$
|
123
|
|
|
$
|
1,324
|
|
|
$
|
477
|
|
|
$
|
587
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares
outstanding -
|
356.2
|
|
|
340.3
|
|
|
332.8
|
|
|
301.0
|
|
|
240.6
|
|
basic and
diluted
|
Net
income (loss) per common share - basic and diluted
|
$
|
0.64
|
|
|
$
|
2.37
|
|
|
$
|
0.25
|
|
|
$
|
(0.88)
|
|
|
$
|
2.66
|
|
Comprehensive (loss) income per common share -
basic and diluted
|
$
|
(1.57)
|
|
|
$
|
0.36
|
|
|
$
|
3.98
|
|
|
$
|
1.58
|
|
|
$
|
2.44
|
|
Estimated REIT taxable income per common share
-
|
$
|
0.50
|
|
|
$
|
1.93
|
|
|
$
|
1.36
|
|
|
$
|
1.62
|
|
|
$
|
2.03
|
|
basic and diluted
(2)
|
Dividends declared per common share
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
RECONCILIATION OF GAAP NET INTEREST INCOME TO
ADJUSTED NET INTEREST INCOME AND NET SPREAD
INCOME(2)
|
(in
millions, except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three
Months Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2013
|
2012
|
2012
|
2012
|
2012
|
Interest
income
|
$
|
547
|
|
|
$
|
570
|
|
|
$
|
520
|
|
|
$
|
504
|
|
|
$
|
514
|
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements and other
debt
|
91
|
|
|
97
|
|
|
88
|
|
|
68
|
|
|
54
|
|
Interest rate swap periodic
costs(1)
|
49
|
|
|
50
|
|
|
51
|
|
|
52
|
|
|
52
|
|
Total
interest expense
|
140
|
|
|
147
|
|
|
139
|
|
|
120
|
|
|
106
|
|
Net
interest income
|
407
|
|
|
423
|
|
|
381
|
|
|
384
|
|
|
408
|
|
Other interest rate swap periodic costs
(3)
|
84
|
|
|
77
|
|
|
74
|
|
|
62
|
|
|
39
|
|
Adjusted
net interest income
|
323
|
|
|
346
|
|
|
307
|
|
|
322
|
|
|
369
|
|
Operating expenses
|
42
|
|
|
40
|
|
|
40
|
|
|
36
|
|
|
28
|
|
Net spread
income
|
281
|
|
|
306
|
|
|
267
|
|
|
286
|
|
|
341
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
—
|
|
Net spread
income available to common shareholders
|
$
|
278
|
|
|
$
|
303
|
|
|
$
|
264
|
|
|
$
|
283
|
|
|
$
|
341
|
|
Weighted
average number of common shares outstanding - basic and
diluted
|
356.2
|
|
|
340.3
|
|
|
332.8
|
|
|
301.0
|
|
|
240.6
|
|
Net spread
income per common share - basic and diluted
|
$
|
0.78
|
|
|
$
|
0.89
|
|
|
$
|
0.79
|
|
|
$
|
0.94
|
|
|
$
|
1.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED
TAXABLE INCOME(2)
|
(in
millions, except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three
Months Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
2013
|
2012
|
2012
|
2012
|
2012
|
Net income
(loss)
|
$
|
231
|
|
|
$
|
810
|
|
|
$
|
86
|
|
|
$
|
(261)
|
|
|
$
|
641
|
|
Book to
tax differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization, net
|
(34)
|
|
|
(19)
|
|
|
55
|
|
|
43
|
|
|
(28)
|
|
Realized (gain) loss, net
|
(53)
|
|
|
(16)
|
|
|
167
|
|
|
54
|
|
|
(46)
|
|
Unrealized (gain) loss, net
|
30
|
|
|
(121)
|
|
|
128
|
|
|
647
|
|
|
(80)
|
|
Other
|
6
|
|
|
6
|
|
|
20
|
|
|
9
|
|
|
2
|
|
Total book
to tax differences
|
(51)
|
|
|
(150)
|
|
|
370
|
|
|
753
|
|
|
(152)
|
|
Estimated
REIT taxable income
|
180
|
|
|
660
|
|
|
456
|
|
|
492
|
|
|
489
|
|
Dividend on preferred stock
|
3
|
|
|
3
|
|
|
3
|
|
|
3
|
|
|
—
|
|
Estimated
REIT taxable income available to common shareholders
|
$
|
177
|
|
|
$
|
657
|
|
|
$
|
453
|
|
|
$
|
489
|
|
|
$
|
489
|
|
Weighted
average number of common shares outstanding - basic and
diluted
|
356.2
|
|
|
340.3
|
|
|
332.8
|
|
|
301.0
|
|
|
240.6
|
|
Estimated
REIT taxable income per common share - basic and diluted
|
$
|
0.50
|
|
|
$
|
1.93
|
|
|
$
|
1.36
|
|
|
$
|
1.62
|
|
|
$
|
2.03
|
|
Estimated
cumulative undistributed REIT taxable income per common share
(4)
|
$
|
1.08
|
|
|
$
|
2.21
|
|
|
$
|
1.52
|
|
|
$
|
1.61
|
|
|
$
|
1.28
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
KEY
STATISTICS*
|
(in
millions, except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three
Months Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
Key
Balance Sheet Statistics:
|
2013
|
2012
|
2012
|
2012
|
2012
|
Fixed-rate
agency securities, at fair value - as of period end
|
$
|
74,829
|
|
|
$
|
83,635
|
|
|
$
|
87,882
|
|
|
$
|
75,732
|
|
|
$
|
77,675
|
|
Adjustable-rate agency securities, at fair value - as
of period end
|
$
|
794
|
|
|
$
|
891
|
|
|
$
|
992
|
|
|
$
|
1,072
|
|
|
$
|
2,500
|
|
CMO agency
securities, at fair value - as of period end
|
$
|
157
|
|
|
$
|
173
|
|
|
$
|
191
|
|
|
$
|
568
|
|
|
$
|
228
|
|
Interest-only strips agency securities, at fair value
- as of period end
|
$
|
272
|
|
|
$
|
292
|
|
|
$
|
307
|
|
|
$
|
276
|
|
|
$
|
133
|
|
Principal-only strips agency securities, at fair
value - as of period end
|
$
|
243
|
|
|
$
|
254
|
|
|
$
|
268
|
|
|
$
|
274
|
|
|
$
|
34
|
|
Total
agency securities, at fair value - as of period end
|
$
|
76,295
|
|
|
$
|
85,245
|
|
|
$
|
89,640
|
|
|
$
|
77,922
|
|
|
$
|
80,570
|
|
Total
agency securities, at cost - as of period end
|
$
|
75,088
|
|
|
$
|
83,193
|
|
|
$
|
86,850
|
|
|
$
|
76,352
|
|
|
$
|
79,687
|
|
Total
agency securities, at par - as of period end
(5)
|
$
|
71,253
|
|
|
$
|
78,788
|
|
|
$
|
82,435
|
|
|
$
|
72,683
|
|
|
$
|
76,023
|
|
Average
agency securities, at cost
|
$
|
78,009
|
|
|
$
|
80,932
|
|
|
$
|
81,500
|
|
|
$
|
74,007
|
|
|
$
|
61,962
|
|
Average
agency securities, at par (5)
|
$
|
73,922
|
|
|
$
|
76,710
|
|
|
$
|
77,519
|
|
|
$
|
70,549
|
|
|
$
|
59,082
|
|
Net TBA
portfolio - as of period end, at fair value
|
$
|
27,283
|
|
|
$
|
12,870
|
|
|
NM
|
|
NM
|
|
NM
|
Average
net TBA portfolio, at cost
|
$
|
17,892
|
|
|
$
|
13,069
|
|
|
NM
|
|
NM
|
|
NM
|
Average
repurchase agreements and other debt
|
$
|
70,591
|
|
|
$
|
74,649
|
|
|
$
|
75,106
|
|
|
$
|
67,997
|
|
|
$
|
57,480
|
|
Average
stockholders' equity (6)
|
$
|
10,843
|
|
|
$
|
11,177
|
|
|
$
|
10,602
|
|
|
$
|
9,071
|
|
|
$
|
6,984
|
|
Net book
value per common share as of period end (7)
|
$
|
28.93
|
|
|
$
|
31.64
|
|
|
$
|
32.49
|
|
|
$
|
29.41
|
|
|
$
|
29.06
|
|
Leverage -
average during the period (8)
|
6.5:1
|
|
6.7:1
|
|
7.1:1
|
|
7.5:1
|
|
8.2:1
|
Leverage -
average during the period, including net TBA position
|
8.2:1
|
|
7.8:1
|
|
NM
|
|
NM
|
|
NM
|
Leverage -
as of period end (9)
|
5.7:1
|
|
7.0:1
|
|
7.0:1
|
|
7.6:1
|
|
8.4:1
|
Leverage -
as of period end, including net TBA position
|
8.1:1
|
|
8.2:1
|
|
NM
|
|
NM
|
|
NM
|
|
|
|
|
|
|
|
|
|
|
Key
Performance Statistics:
|
|
|
|
|
|
|
|
|
|
Average
coupon (10)
|
3.68
|
%
|
|
3.77
|
%
|
|
3.81
|
%
|
|
3.96
|
%
|
|
4.15
|
%
|
Average
asset yield (11)
|
2.80
|
%
|
|
2.82
|
%
|
|
2.55
|
%
|
|
2.73
|
%
|
|
3.32
|
%
|
Average
cost of funds (12)
|
(1.28)
|
%
|
|
(1.19)
|
%
|
|
(1.13)
|
%
|
|
(1.08)
|
%
|
|
(1.01)
|
%
|
Average
net interest rate spread (13)
|
1.52
|
%
|
|
1.63
|
%
|
|
1.42
|
%
|
|
1.65
|
%
|
|
2.31
|
%
|
Average
net interest rate spread, including estimated TBA dollar roll
income (14)
|
1.87
|
%
|
|
1.84
|
%
|
|
NM
|
|
NM
|
|
NM
|
Average
coupon - as of period end
|
3.73
|
%
|
|
3.69
|
%
|
|
3.77
|
%
|
|
3.86
|
%
|
|
3.99
|
%
|
Average
asset yield - as of period end
|
2.75
|
%
|
|
2.61
|
%
|
|
2.61
|
%
|
|
2.81
|
%
|
|
3.06
|
%
|
Average
cost of funds - as of period end (15)
|
(1.32)
|
%
|
|
(1.22)
|
%
|
|
(1.11)
|
%
|
|
(1.19)
|
%
|
|
(0.99)
|
%
|
Average
net interest rate spread - as of period end
|
1.43
|
%
|
|
1.39
|
%
|
|
1.50
|
%
|
|
1.62
|
%
|
|
2.07
|
%
|
Average
net interest rate spread - as of period end, including estimated
TBA
|
1.71
|
%
|
|
1.61
|
%
|
|
NM
|
|
NM
|
|
NM
|
dollar
roll income (14)
|
Average
actual CPR for securities held during the period
|
10
|
%
|
|
10
|
%
|
|
9
|
%
|
|
10
|
%
|
|
10
|
%
|
Average
forecasted CPR - as of period end
|
9
|
%
|
|
11
|
%
|
|
14
|
%
|
|
12
|
%
|
|
9
|
%
|
Total
premium amortization, net
|
$
|
(134)
|
|
|
$
|
(153)
|
|
|
$
|
(219)
|
|
|
$
|
(196)
|
|
|
$
|
(100)
|
|
Expenses %
of average total assets
|
0.22
|
%
|
|
0.16
|
%
|
|
0.17
|
%
|
|
0.18
|
%
|
|
0.16
|
%
|
Expenses %
of average stockholders' equity
|
1.57
|
%
|
|
1.42
|
%
|
|
1.50
|
%
|
|
1.59
|
%
|
|
1.60
|
%
|
Net
comprehensive income (loss) return on average common equity -
annualized (16)
|
(21.3)
|
%
|
|
4.4
|
%
|
|
50.4
|
%
|
|
21.5
|
%
|
|
33.7
|
%
|
Dividends
declared per common share
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
|
$
|
1.25
|
|
Economic
(loss) return on common equity - annualized
(17)
|
(18.7)
|
%
|
|
4.9
|
%
|
|
58.6
|
%
|
|
22.1
|
%
|
|
37.7
|
%
|
*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.
NM = Not meaningful. Prior to the
fourth quarter of 2012, the Company's net TBA position primarily
consisted of short TBAs used for hedging purposes.
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.
4. Estimated
cumulative undistributed REIT taxable income as of period end is
net of common and preferred dividends declared during the period,
without adjustment for future quarterly dividends not yet declared
on the Company's Series A Preferred Stock. Amount divided by
total common shares outstanding as of each period end.
5. Agency
securities par value excludes the underlying unamortized principal
balance ("UPB") of the Company's interest-only securities.
6. Average
stockholders' equity calculated as the average month-ended
stockholders' equity during the quarter.
7. 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.
8. Leverage
during the period was calculated by dividing the daily weighted
average repurchase agreements and other debt outstanding, less
repurchase agreements for treasury securities, for the period by
the average stockholders' equity for the period.
9. Leverage
at period end was calculated by dividing the sum of the amount
outstanding under repurchase agreements, net receivable / payable
for unsettled agency securities and other debt by total
stockholders' equity at period end.
10. 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.
11. 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.
12. 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.
13. Net interest rate
spread for the period was calculated by subtracting the average
cost of funds from the average asset yield.
14. Estimated TBA dollar
roll income is net of short TBAs used for hedging purposes. Dollar
roll income excludes the impact of other supplemental hedges, and
is recognized in gain (loss) on derivative instruments and other
securities, net.
15. 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.
16. Net comprehensive
income (loss) return on average common equity for the period was
calculated by dividing comprehensive (loss) income (attributable)
available to common shareholders by average common equity.
17. Economic (loss)
return 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 May 3, 2013 at
11:00 am ET. The stockholder
call can be accessed through a live webcast, free of charge, at
www.AGNC.com or 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.
If you do not plan on asking a question on the call and have access
to the internet, please take advantage of the webcast.
A slide presentation will accompany
the call and will be available at www.AGNC.com. Select the Q1
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 May 3, 2013. In
addition, there will be a phone recording available from
1:00 pm ET May 3, 2013 until
9:00 am ET May
17, 2013. 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
10027585.
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 entity. 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 and structured
products. American Capital manages $21.2 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 a $13
billion market capitalization and American Capital Mortgage
Investment Corp. (NASDAQ: MTGE) with approximately a $1.5
billion market capitalization. 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
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) temporary
differences related to the amortization of premiums paid on
investments and (iii) timing differences in the recognition of
certain realized gains and losses. 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.