American Capital Agency Corp. Reports $3.98 Comprehensive Income Per Common Share And $32.49 Net Book Value Per Common Share
BETHESDA, Md., Oct. 29, 2012 /PRNewswire/ --
THIRD QUARTER 2012 FINANCIAL HIGHLIGHTS
$3.98 comprehensive income per common share, comprised of:$0.25 net income per common share$3.73 other comprehensive income ("OCI") per common share- Driven by net unrealized gains on investments marked-to-market through OCI
$0.79 net spread income per common share- Comprised of interest income, net of cost of funds (including interest rate swaps) and operating expenses
$0.86 per common share, excluding approximately$(0.07) per common share of "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates
$1.36 estimated taxable income per common share$1.25 dividend per common share declared onSeptember 11, 2012 $1.52 estimated undistributed taxable income per common share as of September 30, 2012- Represents an increase of
$26 million from$492 million as of June 30, 2012 to$518 million as of September 30, 2012 - On a per share basis, decreased
$0.09 per common share from June 30, 2012
- Represents an increase of
$32.49 net book value per common share as of September 30, 2012- Increased
$3.08 per common share, or 10%, from$29.41 per common share as of June 30, 2012
- Increased
- 59% annualized economic return on common shares
- Comprised of
$1.25 dividend per common share and$3.08 increase in net book value per common share
- Comprised of
OTHER THIRD QUARTER HIGHLIGHTS
$90 billion investment portfolio as of September 30, 2012- 7.0x leverage as of September 30, 2012
- 7.1x average leverage for the quarter
- 9% actual portfolio CPR for the quarter
- 9% actual portfolio CPR for the month of
October 2012 - 14% average projected portfolio life CPR as of September 30, 2012
- 9% actual portfolio CPR for the month of
- 1.42% annualized net interest rate spread for the quarter
- 1.53% annualized net interest rate spread for the quarter, excluding "catch-up" premium amortization cost due to change in projected CPR estimates
- 1.50% net interest rate spread as of September 30, 2012
$1.2 billion of net equity proceeds raised during the quarter from a follow-on common stock offering
"We are very pleased with AGNC's performance during the third quarter as we were able to generate economic returns (dividends plus gains in our net asset value per common share) of
"These results, coupled with our average actual CPR of 9% for the third quarter (and 9% CPR in the latest prepayment release), clearly demonstrate the benefits of active portfolio management, especially in an evolving landscape. Looking ahead, we believe prepayment speed increases will remain muted on our portfolio despite today's record low mortgage rates and the Federal Reserve's third quantitative easing program, commonly known as QE3."
"QE3 has presented both challenges and opportunities," said
NET BOOK VALUE
As of September 30, 2012, the Company's net book value per common share was
The Company's investment portfolio appreciated following the implementation of QE3, an open-ended program by the Federal Reserve to purchase agency securities, which was initiated during the third quarter.
"Valuations of certain segments of the agency mortgage market benefited materially with the announcement of QE3, while others did not," commented
INVESTMENT PORTFOLIO
As of September 30, 2012, the Company's investment portfolio totaled
As of September 30, 2012, 71% of the Company's fixed rate investment portfolio was comprised of agency securities backed by lower loan balance mortgages and loans originated under the
CONSTANT PREPAYMENT RATES
The actual CPR for the Company's portfolio during the third quarter was 9%, a decrease from 10% for the second quarter. The most recent CPR published in
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% as of September 30, 2012; 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 investment portfolio for the quarter was
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company's average asset yield for the third quarter decreased 18 bps to 2.55%, from 2.73% for the second quarter. Excluding the impact of "catch-up" premium amortization cost recognized during the current and prior quarter due to changes in projected CPR estimates, the annualized weighted average yield on the Company's investment portfolio was 2.66% for the current quarter, compared to 2.91% for the prior quarter. The Company's average asset yield reported as of September 30, 2012 was 2.61%, a decrease of 20 bps from 2.81% as of June 30, 2012. The decline in the Company's average asset yield was largely a function of the increase in forecasted prepayment speeds associated with QE3 and record low mortgage rates.
The Company's average cost of funds (derived from the cost of repurchase agreements ("repos"), other debt and interest rate swaps) increased 5 bps to 1.13% for the third quarter, from 1.08% for the second quarter. The Company's average cost of funds as of September 30, 2012, decreased 8 bps to 1.11% from 1.19% as of June 30, 2012. The decrease in the Company's average cost of funds as of
The Company's average net interest rate spread for the third quarter was 1.42%, a decrease of 23 bps from the second quarter of 1.65%. Excluding the impact of "catch-up" premium amortization cost during the current and prior quarter due to changes in projected CPR estimates, the Company's average net interest rate spread was 1.53% for the current quarter, a decrease of 30 bps from the second quarter of 1.83%. As of September 30, 2012, the Company's average net interest rate spread was 1.50%, a decrease of 12 bps from the net interest rate spread as of June 30, 2012 of 1.62%.
LEVERAGE AND HEDGING ACTIVITIES
As of September 30, 2012, the Company had total repurchase agreements and other debt outstanding of
The
$4.7 billion of one month or less;$31.3 billion from one to three months;$25.6 billion from three to six months;$8.7 billion from six to nine months;$7.5 billion from nine to twelve months;$0.7 billion from twelve to twenty-four months; and$0.8 billion from twenty-four to thirty-six months.
The Company increased the weighted average original maturity of its repurchase agreements to 141 days as of September 30, 2012, from 121 days as of June 30, 2012. As of September 30, 2012, the Company's repurchase agreements had a weighted average remaining days to maturity of 89 days, compared to 74 days as of
The Company's interest rate swap positions as of September 30, 2012 totaled
The Company also utilizes interest rate swaptions to mitigate exposure to larger changes in interest rates. During the quarter, the Company added
As of September 30, 2012, 61% of the Company's outstanding balances of repurchase agreements and other debt were hedged through interest rate swap agreements, a decrease from 69% as of June 30, 2012. Including swaps underlying the payer swaptions noted above, this percentage increases to 72% as of September 30, 2012, a decrease from 81% as of June 30, 2012.
OTHER INCOME (LOSS), NET
During the quarter, the Company recorded a loss of
$210 million of net realized gains on sales of agency securities;$(74) million of other interest rate swap periodic interest costs (recognized in addition to$(51) million of interest rate swap costs recorded in interest expense);$(266) million of net unrealized losses on interest rate swaps;$(98) million of interest rate swap termination fees;$(156) million of net realized losses on other derivative instruments and securities; and$134 million of net unrealized gains 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, short or long positions in "to-be-announced" mortgage securities ("TBA's"), treasury securities and treasury futures contracts) to supplement the Company's interest rate risk management strategies.
OTHER COMPREHENSIVE INCOME
During the quarter, the Company recorded other comprehensive income of
ESTIMATED TAXABLE INCOME
Estimated taxable income for the third quarter was
THIRD QUARTER 2012 DIVIDEND DECLARATIONS
On September 11, 2012, the Board of Directors of the Company declared a third quarter dividend on its common stock of
On September 13, 2012, the Board of Directors of the Company declared a third quarter dividend on its 8.000% Series A Cumulative Redeemable Preferred Stock of
The Company had approximately
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) |
||||||||||||||||||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, |
||||||||||||||||||||
(unaudited) |
(unaudited) |
(unaudited) |
(unaudited) |
|||||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Agency securities, at fair value (including pledged securities of $85,223, $71,809, $71,156, $50,405 and $36,166, respectively) |
$ |
88,020 |
$ |
76,378 |
$ |
80,517 |
$ |
54,625 |
$ |
41,909 |
||||||||||||||
Agency securities transferred to consolidated variable interest entities, at fair value |
1,620 |
1,544 |
53 |
58 |
61 |
|||||||||||||||||||
U.S. Treasury securities, at fair value (including pledged securities of $101 and $0, respectively) |
— |
— |
— |
101 |
301 |
|||||||||||||||||||
Cash and cash equivalents |
2,569 |
2,099 |
1,762 |
1,367 |
984 |
|||||||||||||||||||
Restricted cash |
369 |
302 |
315 |
336 |
375 |
|||||||||||||||||||
Derivative assets, at fair value |
292 |
64 |
184 |
82 |
55 |
|||||||||||||||||||
Receivable for securities sold (including pledged securities of $1,466, $2,674, $1,442, $319 and $2,694, respectively) |
2,326 |
2,877 |
1,706 |
443 |
2,698 |
|||||||||||||||||||
Receivable under reverse repurchase agreements |
6,712 |
1,274 |
3,613 |
763 |
474 |
|||||||||||||||||||
Other assets |
269 |
244 |
267 |
197 |
182 |
|||||||||||||||||||
Total assets |
$ |
102,177 |
$ |
84,782 |
$ |
88,417 |
$ |
57,972 |
$ |
47,039 |
||||||||||||||
Liabilities: |
||||||||||||||||||||||||
Repurchase agreements |
$ |
79,254 |
$ |
69,540 |
$ |
69,816 |
$ |
47,681 |
$ |
38,842 |
||||||||||||||
Other debt (1) |
1,008 |
954 |
50 |
54 |
57 |
|||||||||||||||||||
Payable for securities purchased |
1,311 |
2,198 |
4,852 |
1,919 |
1,660 |
|||||||||||||||||||
Derivative liabilities, at fair value |
1,562 |
1,250 |
827 |
853 |
793 |
|||||||||||||||||||
Dividends payable |
430 |
384 |
286 |
314 |
257 |
|||||||||||||||||||
Obligation to return securities borrowed under reverse |
7,265 |
1,269 |
3,816 |
899 |
473 |
|||||||||||||||||||
repurchase agreements, at fair value |
||||||||||||||||||||||||
Accounts payable and other accrued liabilities |
74 |
51 |
52 |
40 |
17 |
|||||||||||||||||||
Total liabilities |
90,904 |
75,646 |
79,699 |
51,760 |
42,099 |
|||||||||||||||||||
Stockholders' equity: |
||||||||||||||||||||||||
8.000% Series A Cumulative Redeemable Preferred Stock; $0.01 par value; 6.9, 6.9, 0.0, 0.0 and 0.0 shares issued and outstanding, respectively; liquidation preference of $25 per share ($173) |
167 |
167 |
— |
— |
— |
|||||||||||||||||||
Common stock, $0.01 par value; 600.0, 600.0, 300.0, 300.0, and 300.0 shares authorized; 341.6, 304.8, 300.0, 224.1 and 183.6 shares issued and outstanding, respectively |
3 |
3 |
3 |
2 |
2 |
|||||||||||||||||||
Additional paid-in capital |
9,536 |
8,296 |
8,141 |
5,937 |
4,829 |
|||||||||||||||||||
Retained (deficit) earnings |
(671) |
(328) |
317 |
(38) |
67 |
|||||||||||||||||||
Accumulated other comprehensive income |
2,238 |
998 |
257 |
311 |
42 |
|||||||||||||||||||
Total stockholders' equity |
11,273 |
9,136 |
8,718 |
6,212 |
4,940 |
|||||||||||||||||||
Total liabilities and stockholders' equity |
$ |
102,177 |
$ |
84,782 |
$ |
88,417 |
$ |
57,972 |
$ |
47,039 |
||||||||||||||
Net book value per common share |
$ |
32.49 |
$ |
29.41 |
$ |
29.06 |
$ |
27.71 |
$ |
26.90 |
||||||||||||||
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, |
|||||||||||||||
Interest income: |
|||||||||||||||||||
Interest income |
$ |
520 |
$ |
504 |
$ |
514 |
$ |
353 |
$ |
327 |
|||||||||
Interest expense (2) |
139 |
120 |
106 |
90 |
95 |
||||||||||||||
Net interest income |
381 |
384 |
408 |
263 |
232 |
||||||||||||||
Other (loss) income, net: |
|||||||||||||||||||
Gain on sale of agency securities, net |
210 |
417 |
216 |
112 |
263 |
||||||||||||||
(Loss) gain on derivative instruments and other securities, net (2) |
(460) |
(1,029) |
47 |
(137) |
(222) |
||||||||||||||
Total other (loss) income, net |
(250) |
(612) |
263 |
(25) |
41 |
||||||||||||||
Expenses: |
|||||||||||||||||||
Management fees |
32 |
28 |
22 |
18 |
16 |
||||||||||||||
General and administrative expenses |
8 |
8 |
6 |
6 |
6 |
||||||||||||||
Total expenses |
40 |
36 |
28 |
24 |
22 |
||||||||||||||
Income (loss) before income tax provision (benefit) |
91 |
(264) |
643 |
214 |
251 |
||||||||||||||
Income tax provision (benefit) |
5 |
(3) |
2 |
5 |
1 |
||||||||||||||
Net income (loss) |
86 |
(261) |
641 |
209 |
250 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
- |
- |
- |
||||||||||||||
Net income (loss) available (attributable) to common shareholders |
$ |
83 |
$ |
(264) |
$ |
641 |
$ |
209 |
$ |
250 |
|||||||||
Net income (loss) |
$ |
86 |
$ |
(261) |
$ |
641 |
$ |
209 |
$ |
250 |
|||||||||
Other comprehensive income (loss): |
|||||||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net |
1,190 |
689 |
(106) |
214 |
536 |
||||||||||||||
Unrealized gain (loss) on derivative instruments, net (2) |
51 |
52 |
52 |
54 |
(512) |
||||||||||||||
Other comprehensive income (loss) |
1,241 |
741 |
(54) |
268 |
24 |
||||||||||||||
Comprehensive income |
1,327 |
480 |
587 |
477 |
274 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
- |
- |
- |
||||||||||||||
Comprehensive income available to common shareholders |
$ |
1,324 |
$ |
477 |
$ |
587 |
$ |
477 |
$ |
274 |
|||||||||
Weighted average number of common shares outstanding - basic and diluted |
|||||||||||||||||||
Net income (loss) per common share - basic and diluted |
$ |
0.25 |
$ |
(0.88) |
$ |
2.66 |
$ |
0.99 |
$ |
1.39 |
|||||||||
Comprehensive income per common share - basic and diluted |
$ |
3.98 |
$ |
1.58 |
$ |
2.44 |
$ |
2.27 |
$ |
1.51 |
|||||||||
Estimated REIT taxable income per common share - basic and diluted (3) |
|||||||||||||||||||
Dividends declared per common share |
$ |
1.25 |
$ |
1.25 |
$ |
1.25 |
$ |
1.40 |
$ |
1.40 |
|||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
RECONCILIATION OF GAAP NET INTEREST INCOME TO ADJUSTED NET INTEREST INCOME AND NET SPREAD INCOME(3) |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
|||||||||||||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, |
|||||||||||||||
Interest income |
$ |
520 |
$ |
504 |
$ |
514 |
$ |
353 |
$ |
327 |
|||||||||
Interest expense: |
|||||||||||||||||||
Repurchase agreements and other debt |
88 |
68 |
54 |
36 |
24 |
||||||||||||||
Interest rate swap periodic costs(2) |
51 |
52 |
52 |
54 |
71 |
||||||||||||||
Total interest expense |
139 |
120 |
106 |
90 |
95 |
||||||||||||||
Net interest income |
381 |
384 |
408 |
263 |
232 |
||||||||||||||
Other interest rate swap periodic costs (4) |
74 |
62 |
39 |
33 |
2 |
||||||||||||||
Adjusted net interest income |
307 |
322 |
369 |
230 |
230 |
||||||||||||||
Operating expenses |
40 |
36 |
28 |
24 |
22 |
||||||||||||||
Net spread income |
267 |
286 |
341 |
206 |
208 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
- |
- |
- |
||||||||||||||
Net spread income available to common shareholders |
$ |
264 |
$ |
283 |
$ |
341 |
$ |
206 |
$ |
208 |
|||||||||
Weighted average number of common shares outstanding - basic and diluted |
332.8 |
301.0 |
240.6 |
210.3 |
180.7 |
||||||||||||||
Net spread income per common share - basic and diluted |
$ |
0.79 |
$ |
0.94 |
$ |
1.42 |
$ |
0.98 |
$ |
1.15 |
|||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME(3) |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
|||||||||||||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, |
|||||||||||||||
Net income (loss) |
$ |
86 |
$ |
(261) |
$ |
641 |
$ |
209 |
$ |
250 |
|||||||||
Book to tax differences: |
|||||||||||||||||||
Premium amortization, net |
55 |
43 |
(28) |
20 |
34 |
||||||||||||||
Realized loss (gain), net |
167 |
54 |
(46) |
28 |
3 |
||||||||||||||
Unrealized loss (gain), net |
128 |
647 |
(80) |
86 |
47 |
||||||||||||||
Other |
20 |
9 |
2 |
(5) |
1 |
||||||||||||||
Total book to tax differences |
370 |
753 |
(152) |
129 |
85 |
||||||||||||||
Estimated REIT taxable income |
456 |
492 |
489 |
338 |
335 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
- |
- |
- |
||||||||||||||
Estimated REIT taxable income available to common shareholders |
$ |
453 |
$ |
489 |
$ |
489 |
$ |
338 |
$ |
335 |
|||||||||
Weighted average number of common shares outstanding - basic and diluted |
332.8 |
301.0 |
240.6 |
210.3 |
180.7 |
||||||||||||||
Estimated REIT taxable income per common share - basic and diluted |
$ |
1.36 |
$ |
1.62 |
$ |
2.03 |
$ |
1.61 |
$ |
1.86 |
|||||||||
Estimated cumulative undistributed REIT taxable income per common share (5) |
$ |
1.52 |
$ |
1.61 |
$ |
1.28 |
$ |
0.80 |
$ |
0.85 |
|||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
KEY STATISTICS* |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
|||||||||||||||||||
September 30, |
June 30, |
March 31, |
December 31, |
September 30, |
|||||||||||||||
Fixed-rate agency securities, at fair value - as of period end |
$ |
87,882 |
$ |
75,732 |
$ |
77,675 |
$ |
51,484 |
$ |
38,278 |
|||||||||
Adjustable-rate agency securities, at fair value - as of period end |
$ |
992 |
$ |
1,072 |
$ |
2,500 |
$ |
2,774 |
$ |
3,238 |
|||||||||
CMO agency securities, at fair value - as of period end |
$ |
191 |
$ |
568 |
$ |
228 |
$ |
247 |
$ |
246 |
|||||||||
Interest-only strips agency securities, at fair value - as of period end |
$ |
307 |
$ |
276 |
$ |
133 |
$ |
141 |
$ |
168 |
|||||||||
Principal-only strips agency securities, at fair value - as of period end |
$ |
268 |
$ |
274 |
$ |
34 |
$ |
37 |
$ |
40 |
|||||||||
Total agency securities, at fair value - as of period end |
$ |
89,640 |
$ |
77,922 |
$ |
80,570 |
$ |
54,683 |
$ |
41,970 |
|||||||||
Total agency securities, at cost - as of period end |
$ |
86,850 |
$ |
76,352 |
$ |
79,687 |
$ |
53,694 |
$ |
41,204 |
|||||||||
Total agency securities, at par - as of period end (6) |
$ |
82,435 |
$ |
72,683 |
$ |
76,023 |
$ |
51,266 |
$ |
39,319 |
|||||||||
Average agency securities, at cost |
$ |
81,500 |
$ |
74,007 |
$ |
61,962 |
$ |
46,060 |
$ |
41,668 |
|||||||||
Average agency securities, at par (6) |
$ |
77,519 |
$ |
70,549 |
$ |
59,082 |
$ |
43,968 |
$ |
39,892 |
|||||||||
Average repurchase agreements and other debt |
$ |
75,106 |
$ |
67,997 |
$ |
57,480 |
$ |
42,184 |
$ |
38,484 |
|||||||||
Average stockholders' equity (7) |
$ |
10,602 |
$ |
9,071 |
$ |
6,984 |
$ |
5,564 |
$ |
4,872 |
|||||||||
Net book value per common share as of period end (8) |
$ |
32.49 |
$ |
29.41 |
$ |
29.06 |
$ |
27.71 |
$ |
26.90 |
|||||||||
Leverage - average during the period (9) |
7.1:1 |
7.5:1 |
8.2:1 |
7.6:1 |
7.9:1 |
||||||||||||||
Leverage - as of period end (10) |
7.0:1 |
7.6:1 |
8.4:1 |
7.9:1 |
7.7:1 |
||||||||||||||
Key Performance Statistics: |
|||||||||||||||||||
Average coupon (11) |
3.81 |
% |
3.96 |
% |
4.15 |
% |
4.31 |
% |
4.40 |
% |
|||||||||
Average asset yield (12) |
2.55 |
% |
2.73 |
% |
3.32 |
% |
3.06 |
% |
3.14 |
% |
|||||||||
Average cost of funds (13) |
(1.13) |
% |
(1.08) |
% |
(1.01) |
% |
(1.16) |
% |
(1.00) |
% |
|||||||||
Average net interest rate spread (14) |
1.42 |
% |
1.65 |
% |
2.31 |
% |
1.90 |
% |
2.14 |
% |
|||||||||
Average coupon - as of period end |
3.77 |
% |
3.86 |
% |
3.99 |
% |
4.23 |
% |
4.35 |
% |
|||||||||
Average asset yield - as of period end |
2.61 |
% |
2.81 |
% |
3.06 |
% |
3.07 |
% |
3.18 |
% |
|||||||||
Average cost of funds - as of period end (15) |
(1.11) |
% |
(1.19) |
% |
(0.99) |
% |
(1.13) |
% |
(1.24) |
% |
|||||||||
Average net interest rate spread - as of period end |
1.50 |
% |
1.62 |
% |
2.07 |
% |
1.94 |
% |
1.94 |
% |
|||||||||
Average actual CPR for securities held during the period |
9 |
% |
10 |
% |
10 |
% |
9 |
% |
8 |
% |
|||||||||
Average forecasted CPR - as of period end |
14 |
% |
12 |
% |
9 |
% |
14 |
% |
13 |
% |
|||||||||
Total premium amortization, net |
$ |
(219) |
$ |
(196) |
$ |
(100) |
$ |
(121) |
$ |
(113) |
|||||||||
Expenses % of average assets |
0.17 |
% |
0.18 |
% |
0.16 |
% |
0.19 |
% |
0.18 |
% |
|||||||||
Expenses % of average stockholders' equity |
1.50 |
% |
1.59 |
% |
1.60 |
% |
1.74 |
% |
1.75 |
% |
|||||||||
Net comprehensive income return on average common equity - annualized (16) |
50.4 |
% |
21.5 |
% |
33.7 |
% |
34.0 |
% |
22.3 |
% |
|||||||||
Dividends declared per common share |
$ |
1.25 |
$ |
1.25 |
$ |
1.25 |
$ |
1.40 |
$ |
1.40 |
|||||||||
Economic return on common equity - annualized (17) |
58.6 |
% |
22.1 |
% |
37.7 |
% |
32.6 |
% |
22.9 |
% |
|||||||||
*Except as noted below, average numbers for each period are weighted based on days on the Company's books and records. All percentages are annualized.
- Other debt consists of debt outstanding in connection with the consolidation of structured transactions under GAAP.
- 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 ofSeptember 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. Other income (loss), net includes$74 million ,$62 million ,$39 million ,$33 million and$2 million of other periodic swap interest costs for the three months endedSeptember 30, 2012 ,June 30, 2012 ,March 31, 2012 ,December 31, 2011 andSeptember 30, 2011 , respectively. - Table includes non-GAAP financial measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.
- Other interest rate swap periodic costs represent periodic interest costs on the Company's interest rate swap portfolio in excess of amounts reclassified from accumulated OCI into interest expense. Other interest rate swap periodic costs does not include termination fees or mark-to-market adjustments associated with interest rate swaps.
- 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 8.000% Series A Cumulative Redeemable Preferred Stock. Amount divided by total common shares outstanding as of each period end.
- Average agency securities, at par, excludes the underlying unamortized principal balance ("UPB") of the Company's interest-only securities.
- Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.
- Net book value per common share calculated as total stockholders' equity, less the Company's 8.000% Series A Cumulative Redeemable Preferred Stock liquidation preference of
$25 per preferred share, divided by the number of common shares outstanding as of period end. - 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.
- 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.
- 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.
- 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.
- Cost of funds includes repurchase agreements, other debt and interest rate swaps (including de-designated swaps and swaps never designated as hedges under GAAP), 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.
- Net interest rate spread for the period was calculated by subtracting the average cost of funds from the average asset yield.
- 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.
- Net comprehensive income return on average common equity for the period was calculated by dividing comprehensive income available to common shareholders by average common equity.
- Economic 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
A slide presentation will accompany the call and will be available at www.AGNC.com. Select the Q3 2012 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 November 1. In addition, there will be a phone recording available from 2:00 pm ET November 1 until
For further information, please contact Investor Relations at (301) 968-9300 or [email protected].
ABOUT
ABOUT
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
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