BETHESDA, Md., July 26, 2011 /PRNewswire/ -- American Capital
Agency Corp. (“AGNC” or the “Company”) (Nasdaq: AGNC) today
reported net income for the second quarter of 2011 of $177.8 million, or $1.36 per share, and book value of $26.76 per share. Additionally, the Company
announced that Robert M. Couch and
Samuel A. Flax were elected today to
its Board of Directors.
SECOND QUARTER 2011 FINANCIAL HIGHLIGHTS
- $1.36 per share of net income
- $1.41 per share, excluding
$0.05 per share of other investment
related losses
- $1.56 per share of taxable
income(1)
- $1.40 per share second quarter
dividend
- $0.44 per share of undistributed
taxable income as of June 30, 2011
- Increased $0.02, or 5%, from
$0.42 per share as of March 31, 2011
- $26.76 book value per share as of
June 30, 2011
- Increased $0.80, or 3%, from
$25.96 per share as of March 31, 2011
- 19% annualized return on average stockholders’ equity (“ROE”)
for the quarter(2)
OTHER SECOND QUARTER HIGHLIGHTS
- $40 billion investment portfolio
value as of June 30, 2011
- 7.5x leverage as of June 30,
2011(3)
- 7.6x average leverage for the quarter(4)(5)
- 9% constant prepayment rate (“CPR”) for the second quarter of
2011(6)
- 8% CPR for the month of July
2011(7)
- 2.46% annualized net interest rate spread for the quarter
- 2.36% net interest spread as of June 30,
2011
- $1.37 billion of net proceeds
raised from follow-on equity offering during quarter
- Equity raise was accretive to book value
“AGNC continued to produce strong results despite considerable
volatility in the markets. In addition to paying $1.40 per share of dividends for the ninth
straight quarter, we were able to grow our book value, increase
what many analysts refer to as core earnings and grow our
undistributed taxable income,” said Gary
Kain, AGNC President and Chief Investment Officer.
“Importantly, despite our growth, AGNC’s commitment to asset
quality has never been stronger with an increase in the percentage
of securities backed by loans with favorable prepayment attributes
to approximately 85% of our 15 year mortgage securities and almost
70% of our 30 year mortgage securities backed by either lower loan
balances or higher loan to-value loans refinanced through the Home
Affordable Refinance Program (“HARP”). This marks nearly a 37%
increase in the total percentage of 15 year and 30 year securities
with similar attributes over March
31, 2011,” continued Mr. Kain.
INVESTMENT PORTFOLIO
As of June 30, 2011, the Company’s
investment portfolio totaled $39.9
billion of agency securities, at fair value, comprised of
$34.8 billion of fixed-rate
securities, $4.6 billion of
adjustable-rate securities (“ARMs”) and $0.5
billion of collateralized mortgage obligations ("CMOs")
backed by fixed and adjustable-rate securities(8). As of
June 30, 2011, AGNC's investment
portfolio was comprised of 49% less than or equal to 15-year
fixed-rate securities, 4% 20-year fixed-rate securities, 34%
30-year fixed-rate securities(9), 12% ARMs and 1% CMOs backed by
fixed and adjustable-rate agency securities.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
During the quarter, the annualized weighted average yield on the
Company’s average earning assets was 3.35% and its annualized
average cost of funds was 0.89%, which resulted in a net interest
rate spread of 2.46%, a decrease of 12 bps from the first quarter
of 2011. As of June 30, 2011,
the weighted average yield on the Company’s earning assets was
3.45% and its weighted average cost of funds was 1.09%(10).
This resulted in a net interest rate spread of 2.36% as of
June 30, 2011, a decrease of 6 bps
from the weighted average net interest rate spread as of
March 31, 2011 of 2.42%(11).
The weighted average cost basis of the investment portfolio was
104.4% (or 103.8% excluding interest-only strips) as of
June 30, 2011. The amortization of
premiums (net of any accretion of discounts) on the investment
portfolio for the quarter was $78.9
million, or $0.60 per share.
The unamortized net premium as of June
30, 2011 was $1.7 billion.
Premiums and discounts associated with purchases of agency
securities are amortized or accreted into interest income over the
estimated life of such securities, using the effective yield
method. Given that the cost basis of the Company’s mortgage assets
exceeds the underlying principal balance by 4.4% as of June 30, 2011, slower actual and projected
prepayments can have a meaningful positive impact, while faster
actual or projected prepayments can have a meaningful negative
impact, on the Company’s asset yields.
The weighted average projected CPR for the remaining life of all
of the Company’s investments held as of June
30, 2011 was 10%; unchanged from March 31, 2011. The actual CPR for the
Company’s portfolio during the second quarter of 2011 was 9%, a
decrease from 13% during the first quarter of 2011. The most recent
CPR published in July 2011 for the
Company’s portfolio held as June 30,
2011 was 8%.
“We are very pleased with the prepayment performance of our
securities. The aggregate projected CPR of our portfolio as of
June 30, 2011 benefited from the
changing composition of our portfolio including our acquisition of
newer, lower coupon securities backed by loans with favorable
prepayment attributes during the quarter. Our projected CPR
remained unchanged from March 31,
2011 at 10%, despite an overall decrease in interest rates
during the second quarter,” said Chris
Kuehl, AGNC Senior Vice President, Mortgage Investments.
The Company’s average cost of funds increased 8 basis points
from 0.81% for the first quarter of 2011 to 0.89% for the second
quarter of 2011, due largely to timing differences between asset
settlements and the initiation of new interest rate swap
contracts.
LEVERAGE AND HEDGING ACTIVITIES
As of June 30, 2011, the Company’s
$39.9 billion investment portfolio
was financed with $33.5 billion of
repurchase agreements, $0.1 billion
of other debt(12) and $4.8 billion of
equity capital, resulting in a leverage ratio of 7.0x. When
adjusted for the net payable for agency securities not yet settled,
the leverage ratio was 7.5x as of June 30,
2011. The average leverage for the quarter was 7.6x,
which is calculated as the daily weighted average repurchase
agreement and other debt balance outstanding, excluding repurchase
agreements for treasury securities, divided by the average
month-ended equity for the quarter. Average leverage was 8.3x,
pro forma, when average month-ended equity is adjusted to
exclude the June 2011 follow-on
equity offering that closed on June 28,
2011.
Of the $33.5 billion borrowed
under repurchase agreements as of June 30,
2011, $13.5 billion had
original maturities of 30 days or less, $11.8 billion had original maturities greater
than 30 days and less than or equal to 60 days, $4.2 billion had original maturities greater than
60 days and less than or equal to 90 days and the remaining
$4.0 billion had original maturities
of 91 days or more. As of June 30,
2011, the Company had repurchase agreements with 26
financial institutions.
The Company’s interest rate swap positions as of June 30, 2011 totaled $22.2 billion in notional amount at an average
fixed pay rate of 1.68%, a weighted average receive rate of 0.19%
and a weighted average maturity of 3.6 years. During the
quarter, the Company increased its swap position, including forward
starting swaps ranging up to seven months, by $7.3 billion in conjunction with an increase in
the portfolio size. The new swap agreements entered into
during the quarter have an average term of approximately 3.9 years
and a weighted average fixed pay rate of 1.44%. The Company enters
into swaps with longer maturities with the intention of protecting
its book value and longer term earnings potential.
The Company also utilizes interest rate swaptions to mitigate
the Company’s exposure to larger changes in interest rates.
During the quarter, the Company added $2.7 billion of payer swaptions at a cost of
$36.3 million, while $700 million of payer and $250 million of receiver swaptions from previous
quarters expired for a total loss of $3.9
million. As of June 30,
2011, the Company had $4.1
billion in payer swaptions outstanding at a market value of
$36.4 million with an average
maturity of 7.0 years.
As of June 30, 2011, 66% of the
Company’s repurchase agreement balance and other debt were hedged
through interest rate swap agreements. If net unsettled purchases
and sales of securities are incorporated, this percentage declines
to 62%. These percentages do not reflect the swaps underlying
the payer swaptions noted above.
OTHER INCOME (LOSS), NET
During the quarter, the Company recorded $6.1 million in other loss, net, or $0.05 per share. Other loss is comprised of
$93.9 million of net realized gains
on sales of agency securities, $80.4
million of net realized losses on derivative and trading
securities and $19.6 million of net
unrealized losses, including reversals of prior period unrealized
gains and losses realized during the current quarter, on derivative
and trading securities that are marked-to-market in current income.
The net gains and losses (realized and unrealized) on derivative
and trading securities generally represent instruments that are
used to supplement the Company’s interest rate swaps (such as
swaptions and short or long positions in “to-be-announced” mortgage
securities ("TBA’s"), Markit IOS total return swaps(13) and
treasury securities). Under accounting rules, these positions are
not in hedge relationships and consequently changes in fair value
are recorded in current income instead of shareholders’ equity.
The Company uses these supplemental hedges to reduce its
exposure to interest rates.
TAXABLE INCOME
Taxable income for the second quarter of 2011 was $1.56 per share, or $0.20 higher than GAAP net income per share for
the quarter. The primary difference between tax and GAAP net income
is unrealized gains and losses associated with derivatives
marked-to-market in current income for GAAP purposes but excluded
from taxable income until realized or settled. For the second
quarter, $19.6 million of net
unrealized losses, including prior period reversals, were
recognized for GAAP but excluded from taxable income for the
quarter.
NET ASSET VALUE
As of June 30, 2011, the Company’s
net asset value per share was $26.76,
or $0.80 higher than the March 31, 2011 net asset value per share of
$25.96.
SECOND QUARTER 2011 DIVIDEND DECLARATION
On June 10, 2011, the Board of
Directors of the Company declared a second quarter 2011 dividend of
$1.40 per share payable on
July 27, 2011, to stockholders of
record as of June 23, 2011. Since its
May 2008 initial public offering, the
Company has paid or declared a total of $679.6 million in dividends, or $16.06 per share. After adjusting for the
second quarter 2011 accrued dividend, the Company had approximately
$78 million of undistributed taxable
income as of June 30, 2011.
Undistributed taxable income per share as of June 30, 2011 was $0.44 per share, a $0.02 per share increase from March 31, 2011.
BOARD OF DIRECTORS
At its meeting on July 26, 2011,
the Company’s Board of Directors voted to increase the size of the
Board by two and elected Robert M.
Couch and Samuel A. Flax to
the new positions.
“We are very excited to have Rob and Sam join our Board of
Directors,” said Malon Wilkus,
Chairman and Chief Executive Officer of AGNC. “Both of these
Directors bring a wealth of insight and experience which will be
invaluable to our Board, and I expect that they will play an
integral role in guiding AGNC in the years ahead.”
Mr. Couch is President and Chief Executive Officer of ARK Real
Estate Strategies, LLC and Counsel to Bradley Arant Boult Cummings, a Birmingham based
law firm. He is also a member of the Board of Directors of Prospect
Holding Company, LLC, the parent company of Prospect Mortgage of
Sherman Oaks, California.
Mr. Couch is the former President of the Government National
Mortgage Association (“Ginnie Mae”). As President of
Ginnie Mae, Mr. Couch administered
Ginnie Mae's mortgage-backed
securities program, valued at over $414
billion, and its $123 billion
Real Estate Mortgage Investment Conduit program. Also, Mr.
Couch served as General Counsel of the United States Department of
Housing and Urban Development (“HUD”) from June 2007 to November
2008. Prior to his government service, Mr. Couch served as
President and CEO of New South Federal Savings Bank. At the
time, New South was the largest thrift in Alabama. An active member of the
mortgage banking industry, Mr. Couch is the former Chairman and a
member of the Board of Directors of the Mortgage Bankers
Association of America.
Mr. Flax has served as Executive Vice President and Secretary of
the Company and as Vice President and the Secretary of its manager,
American Capital Agency Management, LLC, since their formation in
2008. Also, he has served as Executive Vice President,
General Counsel, Chief Compliance Officer and Secretary of American
Capital, Ltd. (“American Capital”) since 2005. Prior to
joining American Capital, Mr. Flax was a partner in the corporate
and securities practice group of the Washington, D.C. law firm of Arnold &
Porter LLP from 1990 to 2005, where he was American Capital’s
principal outside counsel.
(1) Based on the weighted average shares outstanding for the
quarter. Please refer to the section on the use of Non-GAAP
financial information
(2) Annualized ROE based on net income and average month-ended
stockholders’ equity for the quarter. Average ROE was 21%, pro
forma, when average equity is adjusted to exclude the
June 2011 follow-on equity offering
that closed on June 28, 2011
(3) Leverage calculated as the sum of total repurchase
agreements, net payable for unsettled purchases and sales of
securities and other debt divided by total stockholders’ equity as
of June 30, 2011
(4) Average leverage calculated as the daily weighted average
repurchase agreement balance outstanding, less repurchase
agreements for treasury securities and other debt divided by
average month-ended equity
(5) Average leverage was 8.3x, pro forma, when average
equity is adjusted to exclude the June
2011 follow-on equity offering that closed on June 28, 2011
(6) Weighted average monthly annualized CPR published during
April, May and June 2011 for
securities held during the quarter
(7) Weighted average actual annualized CPR published in
July 2011 for securities held as of
June 30, 2011
(8) CMO balance includes $0.2
billion of fixed and adjustable rate interest-only and
principal-only strips
(9) 30-year fixed rate securities includes $95 million of 40-year fixed rate securities
(10) Cost of funds as of June 30,
2011 includes the impact of swaps in effect as of
June 30, 2011 of $14.1 billion, plus $6.9
billion of forward starting swaps becoming effective, net of
swap expirations, within the three month period following
June 30, 2011
(11) Cost of funds as of March 31,
2011 includes the impact of swaps in effect as of
March 31, 2011 of $9.4 billion, plus $3.7
billion of forward starting swaps becoming effective, net of
swap expirations, within the three month period following
March 31, 2011
(12) Other debt consists of other variable rate debt outstanding
at Libor + 25 bps in connection with the consolidation of a
structured transaction recorded as a financing transaction under
GAAP
(13) Long total return swap positions on the Markit IOS index
synthetically replicate the purchase of interest only securities
funded at 1 month LIBOR
Financial highlights for the quarter are as follows:
AMERICAN
CAPITAL AGENCY CORP.
|
|
CONSOLIDATED
BALANCE SHEETS
|
|
(in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
2011
|
|
March 31,
2011
|
|
December 31,
2010
|
|
September
30, 2010
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities,
at fair value (including pledged assets of $35,117,998,
$23,190,698, $12,270,909 and $8,321,498, respectively)
|
|
$ 39,925,707
|
|
$
28,192,575
|
|
$
13,510,280
|
|
$
9,736,463
|
|
Cash and cash
equivalents
|
|
625,850
|
|
300,574
|
|
173,258
|
|
115,266
|
|
Restricted
cash
|
|
188,772
|
|
75,221
|
|
76,094
|
|
62,462
|
|
Interest
receivable
|
|
139,265
|
|
102,438
|
|
56,485
|
|
42,034
|
|
Derivative assets, at
fair value
|
|
86,064
|
|
142,047
|
|
76,593
|
|
11,344
|
|
Receivable for agency
securities sold
|
|
1,251,624
|
|
298,320
|
|
258,984
|
|
350,056
|
|
Principal payments
receivable
|
|
29,254
|
|
42,667
|
|
75,524
|
|
40,129
|
|
Receivable under reverse
repurchase agreements
|
|
1,388,188
|
|
-
|
|
247,438
|
|
-
|
|
Other assets
|
|
1,846
|
|
1,121
|
|
1,173
|
|
1,052
|
|
Total assets
|
|
$ 43,636,570
|
|
$
29,154,963
|
|
$
14,475,829
|
|
$
10,358,806
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$ 33,505,142
|
|
$
21,994,039
|
|
$
11,680,092
|
|
$
7,969,399
|
|
Other debt
|
|
61,757
|
|
67,845
|
|
72,927
|
|
80,822.00
|
|
Payable for agency
securities purchased
|
|
3,336,485
|
|
3,504,600
|
|
727,374
|
|
1,223,064
|
|
Derivative liabilities,
at fair value
|
|
290,286
|
|
92,658
|
|
78,590
|
|
113,900
|
|
Dividend
payable
|
|
180,360
|
|
135,280
|
|
90,798
|
|
54,554
|
|
Obligation to return
securities borrowed under reverse repurchase agreements, at fair
value
|
|
1,459,298
|
|
-
|
|
245,532
|
|
-
|
|
Accounts payable and
other accrued liabilities
|
|
26,596
|
|
16,040
|
|
8,452
|
|
4,022
|
|
Total
liabilities
|
|
38,859,924
|
|
25,810,462
|
|
12,903,765
|
|
9,445,761
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred stock, $0.01 par
value; 10,000 shares authorized, 0 shares issued and outstanding,
respectively
|
|
-
|
|
-
|
|
-
|
|
-
|
|
Common stock, $0.01 par
value; 300,000 shares authorized, 178,509, 128,829, 64,856 and
38,967 shares issued and outstanding, respectively
|
|
1,785
|
|
1,288
|
|
649
|
|
390
|
|
Additional paid-in
capital
|
|
4,682,070
|
|
3,314,119
|
|
1,561,908
|
|
880,571
|
|
Retained
earnings
|
|
73,841
|
|
76,379
|
|
78,116
|
|
30,835
|
|
Accumulated other
comprehensive income (loss)
|
|
18,950
|
|
(47,285)
|
|
(68,609)
|
|
1,249
|
|
Total stockholders'
equity
|
|
4,776,646
|
|
3,344,501
|
|
1,572,064
|
|
913,045
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and
stockholders' equity
|
|
$ 43,636,570
|
|
$
29,154,963
|
|
$
14,475,829
|
|
$
10,358,806
|
|
|
|
|
|
|
|
|
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
|
(unaudited)
|
|
(in
thousands, except per share data)
|
|
|
|
|
|
Three Months
Ended June 30,
|
|
Six Months
Ended June 30,
|
|
|
|
2011
|
|
2010
|
|
2011
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
|
$ 264,728
|
|
$ 50,589
|
|
$ 429,221
|
|
$ 89,386
|
|
Interest
expense
|
|
63,816
|
|
17,348
|
|
99,464
|
|
32,858
|
|
Net interest income
|
|
200,912
|
|
33,241
|
|
329,757
|
|
56,528
|
|
|
|
|
|
|
|
|
|
|
|
Other (loss) income,
net:
|
|
|
|
|
|
|
|
|
|
Gain on sale of agency
securities, net
|
|
93,892
|
|
29,585
|
|
98,112
|
|
56,993
|
|
Loss on derivative
instruments and trading securities, net
|
|
(100,013)
|
|
(21,867)
|
|
(88,484)
|
|
(15,947)
|
|
Total other (loss) income, net
|
|
(6,121)
|
|
7,718
|
|
9,628
|
|
41,046
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management
fees
|
|
12,423
|
|
2,314
|
|
20,877
|
|
4,098
|
|
General and
administrative expenses
|
|
4,546
|
|
1,787
|
|
7,143
|
|
3,468
|
|
Total expenses
|
|
16,969
|
|
4,101
|
|
28,020
|
|
7,566
|
|
|
|
|
|
|
|
|
|
|
|
Net income
|
|
$ 177,822
|
|
$ 36,858
|
|
$ 311,365
|
|
$ 90,008
|
|
|
|
|
|
|
|
|
|
|
|
Net income per common share -
basic and diluted
|
|
$
1.36
|
|
$ 1.23
|
|
$
2.82
|
|
$ 3.28
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of
common shares outstanding - basic and diluted
|
|
130,467
|
|
29,872
|
|
110,496
|
|
27,451
|
|
|
|
|
|
|
|
|
|
|
|
Dividends declared per common
share
|
|
$
1.40
|
|
$ 1.40
|
|
$
2.80
|
|
$ 2.80
|
|
|
|
|
|
|
|
|
|
|
AMERICAN
CAPITAL AGENCY CORP.
|
|
KEY
PORTFOLIO CHARACTERISTICS*
|
|
(unaudited)
|
|
(in
thousands, except per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
|
|
June 30,
2011
|
|
March 31,
2011
|
|
December 31,
2010
|
|
September
30, 2010
|
|
June 30,
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average agency
securities, at cost
|
|
$ 31,552,263
|
|
$
19,361,473
|
|
$
11,603,957
|
|
$
7,751,068
|
|
$
5,886,806
|
|
Average total
assets, at fair value
|
|
$ 34,442,961
|
|
$
20,472,785
|
|
$
11,605,200
|
|
$
8,454,760
|
|
$
6,498,247
|
|
Average repurchase
agreements
|
|
$ 28,668,011
|
|
$
17,755,790
|
|
$
10,813,568
|
|
$
7,241,783
|
|
$
5,548,225
|
|
Average
stockholders' equity
|
|
$
3,785,199
|
|
$
2,411,628
|
|
$
1,291,127
|
|
$
853,250
|
|
$
705,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed-rate agency
securities, at fair value - as of period end
|
|
$ 34,800,625
|
|
$
22,875,909
|
|
$
9,101,479
|
|
$
5,647,393
|
|
$
3,063,016
|
|
Adjustable-rate
agency securities, at fair value - as of period end
|
|
$
4,612,940
|
|
$
4,915,994
|
|
$
3,950,164
|
|
$
3,630,469
|
|
$
3,589,711
|
|
CMO agency
securities, at fair value - as of period end
|
|
$
265,099
|
|
$
290,321
|
|
$
401,898
|
|
$
439,347
|
|
$
483,667
|
|
Interest-only
strips agency securities, at fair value - as of period
end
|
|
$
206,829
|
|
$
110,351
|
|
$
56,739
|
|
$
19,254
|
|
$
29,996
|
|
Principal-only
strips agency securities, at fair value - as of period
end
|
|
$
40,215
|
|
$
-
|
|
$
-
|
|
$
-
|
|
$
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average coupon
(1)
|
|
4.44%
|
|
4.58%
|
|
4.86%
|
|
5.03%
|
|
5.20%
|
|
Average asset
yield (2)
|
|
3.35%
|
|
3.39%
|
|
3.48%
|
|
3.23%
|
|
3.44%
|
|
Average cost of
funds (3)
|
|
0.89%
|
|
0.81%
|
|
0.90%
|
|
1.02%
|
|
1.07%
|
|
Average cost of
funds - terminated swap amortization expense (4)
|
|
-
|
|
-
|
|
-
|
|
-
|
|
0.19%
|
|
Average net
interest rate spread (5)
|
|
2.46%
|
|
2.58%
|
|
2.58%
|
|
2.21%
|
|
2.18%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average actual CPR
for securities held during the period
|
|
9%
|
|
13%
|
|
18%
|
|
15%
|
|
28%
|
|
Average forecasted
CPR as of period end
|
|
10%
|
|
10%
|
|
12%
|
|
18%
|
|
20%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leverage
(average during the
period) (6)
|
|
7.6:1
|
|
7.4:1
|
|
8.4:1
|
|
8.5:1
|
|
7.9:1
|
|
Leverage
(as of period
end) (7)
|
|
7.5:1
|
|
7.6:1
|
|
7.8:1
|
|
9.8:1
|
|
8.2:1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses % of
average assets (8)
|
|
0.20%
|
|
0.22%
|
|
0.23%
|
|
0.22%
|
|
0.25%
|
|
Expenses % of
average stockholders' equity (9)
|
|
1.80%
|
|
1.86%
|
|
2.03%
|
|
2.15%
|
|
2.33%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value
per common share as of period end (10)
|
|
$
26.76
|
|
$
25.96
|
|
$
24.24
|
|
$
23.43
|
|
$
23.54
|
|
Dividends declared
per common share
|
|
$
1.40
|
|
$
1.40
|
|
$
1.40
|
|
$
1.40
|
|
$
1.40
|
|
Annualized
economic return (11)
|
|
34.0%
|
|
52.2%
|
|
37.4%
|
|
21.7%
|
|
35.5%
|
|
Net return on
average stockholders' equity (12)
|
|
18.8%
|
|
22.5%
|
|
42.4%
|
|
27.9%
|
|
21.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
* Average numbers for each period are weighted based on
days on the Company’s books and records. All percentages are
annualized.
(1) Weighted average coupon for the period was calculated
by dividing the Company’s total coupon (or cash) interest income on
agency securities by the Company’s daily weighted average agency
securities held.
(2) Weighted average asset yield for the period was
calculated by dividing the Company’s total interest income on
agency securities, less amortization of premiums and discounts, by
the Company’s daily weighted average agency securities held.
(3) Weighted average cost of funds for the period was
calculated by dividing the Company’s total interest expense, less
amortization expense related to the termination of interest rate
swaps, by the Company’s daily weighted average repurchase
agreements and other debt outstanding, less repurchase agreements
for treasury securities, for the period.
(4) Weighted average cost of funds related to terminated
interest rate swap amortization expense was calculated by dividing
the Company’s amortization expense by the Company’s weighted
average repurchase agreements. The amortization expense
associated with the termination of interest rate swaps was $ - , $
-, $ - , $ - and $2.6 million for the
respective periods presented.
(5) Net interest rate spread for the period was calculated
by subtracting the Company’s weighted average cost of funds, net of
interest rate swaps and terminated swap amortization expense, from
the Company’s weighted average asset yield.
(6) Leverage during the period was calculated by dividing
the Company’s daily weighted average repurchase agreements and
other debt outstanding, less repurchase agreements for treasury
securities, for the period by the Company’s average month-ended
stockholders’ equity for the period. Average leverage for the
quarter-ended June 30, 2011 was 8.3x,
pro forma, when average equity is adjusted to exclude the
June 2011 follow-on equity offering
that closed on June 28, 2011.
(7) Leverage at period end was calculated by dividing the
sum of the amount outstanding under the Company’s repurchase
agreements, net receivable / payable for unsettled agency
securities and other debt by the Company’s total stockholders’
equity at period end.
(8) Expenses as a % of average total assets was calculated
by dividing the Company’s total expenses by the Company’s average
total assets for the period.
(9) Expenses as a % of average stockholders’ equity was
calculated by dividing the Company’s total expenses by the
Company’s average month-ended stockholders’ equity.
(10) Book value per share was calculated by dividing the
Company’s total stockholders’ equity by the Company’s number of
shares outstanding.
(11) Annualized economic return represents the sum of the
change in net asset value over the period and dividends declared
during the period over the beginning net asset value on an
annualized basis.
(12) Annualized net return on average stockholders’ equity
for the period was calculated by dividing the Company’s net income
by the Company’s average month-ended stockholders’ equity on an
annualized basis. Average ROE was 21%, pro forma, when
average equity is adjusted to exclude the June 2011 follow-on equity offering that closed
on June 28, 2011.
DIVIDEND REINVESTMENT AND DIRECT STOCK PURCHASE PLAN
During the quarter, AGNC did not issue shares under the Dividend
Reinvestment and Direct Stock Purchase Plan (the “Plan”) through
either direct stock purchases or dividend reinvestment.
AGNC’s Plan provides prospective investors and existing
stockholders with a convenient and economical method to purchase
shares of the Company’s common stock. By participating in the
Plan, investors may purchase additional shares of common stock by
reinvesting some or all of the cash dividends received on shares of
the Company’s common stock. Investors may also make optional
cash purchases of shares of the Company’s common stock subject to
certain limitations detailed in the Plan prospectus. To
review the Plan prospectus, please visit the Company’s Investor
Relations website at www.AGNC.com.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts
to attend the AGNC stockholder call on July
27, 2011 at 8:00 am ET.
The stockholder call can be accessed through a live webcast,
free of charge, at www.AGNC.com or by dialing (877) 569-8701 (U.S.
domestic) or +1 (574) 941-7382 (international). Please provide the
operator with the conference ID number 84890133. 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 Q2 2011 Earnings
Presentation link to download and print the presentation in advance
of the Stockholder Call.
An archived audio of the stockholder call combined with the
slide presentation will be made available on the Company’s website
after the call on July 27. In
addition, there will be a phone recording available from
11:00 am ET July 27 until 11:59 pm
ET August 10. If you are
interested in hearing the recording of the presentation, please
dial (800) 642-1687 (U.S. domestic) or +1 (706) 645-9291
(international). The conference ID number is 84890133.
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 Agency Management, LLC, an
affiliate of American Capital. For further information,
please refer to www.AGNC.com.
ABOUT AMERICAN CAPITAL
American Capital 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. Founded in 1986,
American Capital has $37 billion in
assets under management and eight offices in the U.S., Europe and Asia. American Capital and its
affiliates will consider investment opportunities from $10 million to $300 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 our 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 non-GAAP financial information, including our
taxable income and certain financial metrics derived based on
taxable income, which management uses in its internal analysis of
results, and believes may be informative to investors.
Taxable income is pre-tax income calculated in accordance
with the requirements of the Internal Revenue Code rather than
GAAP. Taxable income differs from GAAP income because of both
temporary and permanent differences in income and expense
recognition. Examples include temporary differences for
unrealized gains and losses on derivative instruments and trading
securities recognized in income for GAAP but excluded from taxable
income until realized or settled, differences in the CPR used to
amortize premiums or accrete discounts as well as treatment of
start-up organizational costs, hedge ineffectiveness, and
stock-based compensation and permanent differences for excise tax
expense. Furthermore, taxable income can include certain
estimated information and 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 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 our
taxable income and certain financial metrics derived based on such
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 taxable income is an incomplete measure of
the Company's financial performance and involves differences from
net income computed in accordance with GAAP, 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, our presentation of our
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.