American Capital Agency Corp. Reports Net Income of $0.99 Per Share; $2.27 Comprehensive Income Per Share and $27.71 Net Book Value Per Share
BETHESDA, Md.
FOURTH QUARTER 2011 FINANCIAL HIGHLIGHTS
$2.27 comprehensive income per share, comprised of:$0.99 net income per share$1.28 other comprehensive income per share
$0.98 net spread income per share- Comprised of interest income, net of cost of funds (including interest rate swaps) and operating expenses
- Impacted by timing of fourth quarter equity raise, higher year-end repo rates and higher projected constant prepayment rates ("CPR")
$1.01 per share, excluding$0.03 per share "true-up" of estimated premium amortization cost due to changes in projected CPR
$1.61 estimated taxable income per share$1.40 dividend declared per share$0.80 estimated undistributed taxable income per share as ofDecember 31, 2011 - Increased
$24 million from$156 million as ofSeptember 30, 2011 to$180 million as ofDecember 31, 2011 - On a per share basis, decreased
$0.05 from$0.85 per share as ofSeptember 30, 2011
- Increased
$27.71 net book value per share as ofDecember 31, 2011 - Increased
$0.81 per share from$26.90 per share as of September 30, 2011
- Increased
- 33% annualized economic return
- Comprised of
$1.40 dividend per share and$0.81 increase in net book value per share
- Comprised of
OTHER FOURTH QUARTER HIGHLIGHTS
$55 billion investment portfolio as ofDecember 31, 2011 - 7.9x leverage as of December 31, 2011, including net payable for unsettled securities
- 7.6x average leverage for the quarter
- 9% actual CPR for securities held during the quarter
- 14% average projected life CPR as of
December 31, 2011
- 14% average projected life CPR as of
- 1.90% annualized net interest rate spread for the quarter
- 1.94% net interest rate spread as of
December 31, 2011
- 1.94% net interest rate spread as of
$1.1 billion of net proceeds raised in a follow-on equity offering- Equity issuance was accretive to net book value at the time of the offering
2011 FULL YEAR FINANCIAL HIGHLIGHTS
$7.50 comprehensive income per share, comprised of:$5.02 net income per share$2.48 other comprehensive income per share
$4.66 net spread income per share$6.70 estimated taxable income per share$5.60 dividends declared per share- Estimated undistributed taxable income increased from
$0.60 per share as ofDecember 31, 2010 to$0.80 per share as ofDecember 31, 2011
$3.47 per share, or 14%, increase in net book value from$24.24 per share as ofDecember 31, 2010 to$27.71 per share as ofDecember 31, 2011 - 37% economic return
$5.60 dividends per share and$3.47 increase in net book value per share
"Last year was another challenging year, with significant volatility in both interest rates and prepayments," commented
"As we enter 2012, we continue to be very optimistic about the future of our business," added Mr. Kain. "The Federal Reserve recently stated that it expects short term interest rates to remain extremely low through at least late 2014. In addition, we continue to believe our portfolio remains very well positioned for the current environment, as evidenced by the favorable prepayment performance of our specific mortgage holdings and the composition of our hedge book. In aggregate, while margins have certainly compressed, the durability of very attractive investment returns has been enhanced."
"This quarter, following our discontinuation of hedge accounting for GAAP as of the end of last quarter, we have chosen to add Comprehensive Income to our financial highlights," continued Mr. Kain. "We believe this is the most appropriate GAAP measure of our earnings performance since it reflects not only the income and gains we generated from our portfolio, net of any financing and economic hedging costs, but also the change in market value of our assets and derivative instruments."
"This was another excellent year for
INVESTMENT PORTFOLIO
As of
CONSTANT PREPAYMENT RATES
The actual CPR for the Company's portfolio during the fourth quarter was 9%, an increase from 8% during the third quarter. The most recent CPR published in
The Company amortizes or accretes premiums and discounts associated with purchases of agency securities into interest income over the estimated life of such securities based on actual and projected CPRs, using the effective yield method. The weighted average cost basis of the investment portfolio was 104.7% as of
The amortization of premiums (net of any accretion of discounts) on the investment portfolio for the quarter was
"Our portfolio continued to exhibit stable prepayment speeds at a 9% CPR during the quarter," said
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
During the quarter, the annualized weighted average yield on the Company's investment portfolio was 3.06% and its annualized average cost of funds was 1.16%, which resulted in a net interest rate spread of 1.90%, a decrease of 24 bps from the third quarter of 2011. As of
The Company's average asset yield for the fourth quarter declined 8 bps to 3.06% from 3.14% for the third quarter. The Company's average asset yield reported as of
The Company's average cost of funds (comprised of repurchase agreements ("repos") and interest rate swaps) increased 16 bps to 1.16% for the fourth quarter, from 1.00% for the third quarter, due to higher year-end repo rates (40 bps as of
The Company's net spread income for the quarter was also impacted by the timing of the Company's fourth quarter equity raise, which closed on
LEVERAGE AND HEDGING ACTIVITIES
As of
The
$2.7 billion of one month or less;$9.2 billion between one and two months;$15.3 billion between two and three months;$16.5 billion between three and six months;$2.4 billion between six and nine months; and$1.6 billion between nine and twelve months.
The Company increased the weighted average original maturity of its repurchase agreements to 90 days as of
As of
The Company's interest rate swap positions as of
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
As of
DISCONTINUATION OF HEDGE ACCOUNTING
During the third quarter, the Company discontinued its election to account for interest rate swaps as cash flow hedges under GAAP. With the change in practice, the Company stopped the designation of new swap contracts as cash flow hedges during the third quarter and de-designated all remaining swap contracts on
"As we announced last quarter, our decision to discontinue hedge accounting for interest rate swaps was done in order to give us greater flexibility to manage the term of our liabilities," said
OTHER INCOME (LOSS), NET
During the quarter, the Company recorded a loss of
$112.1 million of net realized gains on sales of agency securities;$33.3 million of other interest rate swap periodic interest costs (recognized in addition to$53.6 million of interest rate swap costs recorded in interest expense);$6.8 million of realized losses on termination of interest rate swaps;$71.7 million of net unrealized losses on interest rate swaps;$10.9 million of net realized losses on other derivative instruments and securities; and$13.9 million of net unrealized 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 and short or long positions in "to-be-announced" mortgage securities ("TBA's"), Markit IOS total return swaps and treasury securities) to supplement the Company's interest rate risk management strategies.
OTHER COMPREHENSIVE INCOME
During the quarter, the Company recorded other comprehensive income of
INCOME TAX
During the quarter, the Company recorded an income tax provision of
ESTIMATED TAXABLE INCOME
Estimated taxable income for the fourth quarter was
NET BOOK VALUE
As of
FOURTH QUARTER 2011 DIVIDEND DECLARATION
On
The Company has also announced the tax characteristics of its 2011 dividend. The Company's 2011 dividend of
FIRST QUARTER 2012 DIVIDEND DECLARATION
On
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 thousands, except per share data) |
||||||||||||||||||||
December 31, 2011 |
September 30, 2011 |
June 30, 2011 |
March 31, 2011 |
December 31, 2010 |
||||||||||||||||
(unaudited) |
(unaudited) |
(unaudited) |
(unaudited) |
|||||||||||||||||
Assets: |
||||||||||||||||||||
Agency securities, at fair value (including pledged securities of $50,824,676, $38,860,353, $35,117,998, $23,263,144 and $12,270,909 respectively) |
$ |
54,682,717 |
$ |
41,970,419 |
$ |
39,925,707 |
$ |
28,192,575 |
$ |
13,510,280 |
||||||||||
U.S. Treasury securities, at fair value |
100,973 |
300,873 |
— |
— |
— |
|||||||||||||||
Cash and cash equivalents |
1,366,895 |
984,393 |
625,850 |
300,574 |
173,258 |
|||||||||||||||
Restricted cash |
335,904 |
375,207 |
188,772 |
75,221 |
76,094 |
|||||||||||||||
Derivative assets, at fair value |
82,567 |
54,532 |
86,064 |
142,047 |
76,593 |
|||||||||||||||
Receivable for agency securities sold |
442,926 |
2,698,121 |
1,251,624 |
298,320 |
258,984 |
|||||||||||||||
Principal payments receivable |
18,834 |
33,831 |
29,254 |
42,667 |
75,524 |
|||||||||||||||
Receivable under reverse repurchase agreements |
762,899 |
473,800 |
1,388,188 |
— |
247,438 |
|||||||||||||||
Other assets |
178,582 |
148,253 |
141,111 |
103,559 |
57,658 |
|||||||||||||||
Total assets |
$ |
57,972,297 |
$ |
47,039,429 |
$ |
43,636,570 |
$ |
29,154,963 |
$ |
14,475,829 |
||||||||||
Liabilities: |
||||||||||||||||||||
Repurchase agreements |
$ |
47,681,234 |
$ |
38,841,619 |
$ |
33,505,142 |
$ |
21,994,039 |
$ |
11,680,092 |
||||||||||
Other debt |
54,061 |
56,864 |
61,757 |
67,845 |
72,927 |
|||||||||||||||
Payable for agency securities purchased |
1,919,490 |
1,660,276 |
3,336,485 |
3,504,600 |
727,374 |
|||||||||||||||
Derivative liabilities, at fair value |
852,846 |
792,714 |
290,286 |
92,658 |
78,590 |
|||||||||||||||
Dividend payable |
313,810 |
257,068 |
180,360 |
135,280 |
90,798 |
|||||||||||||||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value |
898,636 |
473,247 |
1,459,298 |
— |
245,532 |
|||||||||||||||
Accounts payable and other accrued liabilities |
40,417 |
17,385 |
26,596 |
16,040 |
8,452 |
|||||||||||||||
Total liabilities |
51,760,494 |
42,099,173 |
38,859,924 |
25,810,462 |
12,903,765 |
|||||||||||||||
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, 224,150, 183,620, 178,509, 128,829 and 64,856 shares issued and outstanding, respectively |
2,241 |
1,836 |
1,785 |
1,288 |
649 |
|||||||||||||||
Additional paid-in capital |
5,937,190 |
4,829,065 |
4,682,070 |
3,314,119 |
1,561,908 |
|||||||||||||||
Retained (deficit) earnings |
(37,922) |
67,174 |
73,841 |
76,379 |
78,116 |
|||||||||||||||
Accumulated other comprehensive income (loss) |
310,294 |
42,181 |
18,950 |
(47,285) |
(68,609) |
|||||||||||||||
Total stockholders' equity |
6,211,803 |
4,940,256 |
4,776,646 |
3,344,501 |
1,572,064 |
|||||||||||||||
Total liabilities and stockholders' equity |
$ |
57,972,297 |
$ |
47,039,429 |
$ |
43,636,570 |
$ |
29,154,963 |
$ |
14,475,829 |
||||||||||
Net book value per share |
$ |
27.71 |
$ |
26.90 |
$ |
26.76 |
$ |
25.96 |
$ |
24.24 |
||||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS |
|||||||||||||||||
(in thousands, except per share data) |
|||||||||||||||||
For the Three Months Ended December 31, |
For the Year Ended December 31, |
||||||||||||||||
2011 |
2010 |
2011 |
2010 |
||||||||||||||
(unaudited) |
(unaudited) |
(unaudited) |
|||||||||||||||
Interest income: |
|||||||||||||||||
Interest income |
$ |
352,897 |
$ |
101,019 |
$ |
1,108,872 |
$ |
253,005 |
|||||||||
Interest expense (1) |
90,075 |
24,637 |
284,575 |
76,026 |
|||||||||||||
Net interest income |
262,822 |
76,382 |
824,297 |
176,979 |
|||||||||||||
Other income (loss), net: |
|||||||||||||||||
Gain on sale of agency securities, net |
112,095 |
10,451 |
472,975 |
92,009 |
|||||||||||||
(Loss) gain on derivative instruments and other securities, net (1) |
(136,639) |
58,069 |
(446,629) |
38,389 |
|||||||||||||
Total other income (loss), net |
(24,544) |
68,520 |
26,346 |
130,398 |
|||||||||||||
Expenses: |
|||||||||||||||||
Management fees |
18,333 |
4,483 |
54,844 |
11,278 |
|||||||||||||
General and administrative expenses |
6,126 |
2,134 |
19,114 |
7,528 |
|||||||||||||
Total expenses |
24,459 |
6,617 |
73,958 |
18,806 |
|||||||||||||
Income before tax |
213,819 |
138,285 |
776,685 |
288,571 |
|||||||||||||
Income tax |
5,105 |
205 |
6,205 |
455 |
|||||||||||||
Net income |
208,714 |
138,080 |
770,480 |
288,116 |
|||||||||||||
Other comprehensive income (loss): |
|||||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net |
214,521 |
(137,046) |
1,029,057 |
(63,968) |
|||||||||||||
Unrealized gain (loss) on derivative instruments, net (1) |
53,592 |
67,188 |
(650,154) |
(23,815) |
|||||||||||||
Other comprehensive income (loss) |
268,113 |
(69,858) |
378,903 |
(87,783) |
|||||||||||||
Comprehensive income |
$ |
476,827 |
$ |
68,222 |
$ |
1,149,383 |
$ |
200,333 |
|||||||||
Weighted average number of common shares outstanding - |
210,263 |
55,291 |
153,344 |
36,495 |
|||||||||||||
Net income per common share - basic and diluted |
$ |
0.99 |
$ |
2.50 |
$ |
5.02 |
$ |
7.89 |
|||||||||
Comprehensive income per share - basic and diluted |
$ |
2.27 |
$ |
1.23 |
$ |
7.50 |
$ |
5.49 |
|||||||||
Dividends declared per common share |
$ |
1.40 |
$ |
1.40 |
$ |
5.60 |
$ |
5.60 |
|||||||||
AMERICAN CAPITAL AGENCY CORP. |
||||||||||||||||||||
RECONCILIATION OF GAAP NET INTEREST INCOME TO ADJUSTED NET INTEREST INCOME AND NET SPREAD INCOME (2) |
||||||||||||||||||||
(in thousands, except per share data) |
||||||||||||||||||||
(unaudited) |
||||||||||||||||||||
For the Three Months Ended |
For the Year Ended |
|||||||||||||||||||
December 31, 2011 |
September 30, 2011 |
June 30, 2011 |
March 31, 2011 |
December 31, 2011 |
||||||||||||||||
Interest income |
$ |
352,897 |
$ |
326,754 |
$ |
264,728 |
$ |
164,493 |
$ |
1,108,872 |
||||||||||
Interest expense: |
||||||||||||||||||||
Repurchase agreements and other debt |
36,483 |
23,982 |
17,554 |
12,466 |
90,485 |
|||||||||||||||
Interest rate swap periodic costs (1) |
53,592 |
71,054 |
46,262 |
23,182 |
194,090 |
|||||||||||||||
Total interest expense |
90,075 |
95,036 |
63,816 |
35,648 |
284,575 |
|||||||||||||||
Net interest income |
262,822 |
231,718 |
200,912 |
128,845 |
824,297 |
|||||||||||||||
Other interest rate swap periodic costs (3) |
(33,252) |
(1,773) |
— |
— |
(35,025) |
|||||||||||||||
Adjusted net interest income |
229,570 |
229,945 |
200,912 |
128,845 |
789,272 |
|||||||||||||||
Operating expenses |
24,459 |
21,479 |
16,969 |
11,051 |
73,958 |
|||||||||||||||
Net spread income |
$ |
205,111 |
$ |
208,466 |
$ |
183,943 |
$ |
117,794 |
$ |
715,314 |
||||||||||
Weighted average number of common shares outstanding - basic and diluted |
210,263 |
180,725 |
130,467 |
90,304 |
153,344 |
|||||||||||||||
Net spread income per common share - basic and diluted |
$ |
0.98 |
$ |
1.15 |
$ |
1.41 |
$ |
1.30 |
$ |
4.66 |
||||||||||
AMERICAN CAPITAL AGENCY CORP. |
||||||||||||||||||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME (2) |
||||||||||||||||||||
(in thousands, except per share data) |
||||||||||||||||||||
(unaudited) |
||||||||||||||||||||
For the Three Months Ended |
For the Year Ended |
|||||||||||||||||||
December 31, 2011 |
September 30, 2011 |
June 30, 2011 |
March 31, 2011 |
December 31, 2011 |
||||||||||||||||
Net income |
$ |
208,714 |
$ |
250,401 |
$ |
177,822 |
$ |
133,543 |
$ |
770,480 |
||||||||||
Book to tax differences: |
||||||||||||||||||||
Net income of taxable REIT subsidiary (4) |
(5,496) |
— |
— |
— |
(5,496) |
|||||||||||||||
Premium amortization, net |
19,857 |
34,304 |
8,126 |
(5,053) |
57,234 |
|||||||||||||||
Realized and unrealized gain (loss), net |
113,471 |
49,457 |
17,738 |
22,784 |
203,450 |
|||||||||||||||
Other |
1,345 |
1,126 |
— |
— |
2,471 |
|||||||||||||||
Total book to tax differences |
129,177 |
84,887 |
25,864 |
17,731 |
257,659 |
|||||||||||||||
Estimated REIT taxable income |
$ |
337,891 |
$ |
335,288 |
$ |
203,686 |
$ |
151,274 |
$ |
1,028,139 |
||||||||||
Weighted average number of common shares outstanding - basic and diluted |
210,263 |
180,725 |
130,467 |
90,304 |
153,344 |
|||||||||||||||
Estimated REIT taxable income per common share - basic and diluted |
$ |
1.61 |
$ |
1.86 |
$ |
1.56 |
$ |
1.68 |
$ |
6.70 |
||||||||||
Estimated cumulative undistributed REIT taxable income per common share - basic and diluted (5) |
$ |
0.80 |
$ |
0.85 |
$ |
0.44 |
$ |
0.42 |
$ |
0.80 |
||||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||||
KEY STATISTICS* |
|||||||||||||||||||||
(in thousands, except per share data) |
|||||||||||||||||||||
(unaudited) |
|||||||||||||||||||||
Three Months Ended |
|||||||||||||||||||||
December 31, 2011 |
September 30, 2011 |
June 30, 2011 |
March 31, 2011 |
December 31, 2010 |
|||||||||||||||||
Fixed-rate agency securities, at fair value - as of period end |
$ |
51,483,566 |
$ |
38,278,257 |
$ |
34,800,624 |
$ |
22,875,909 |
$ |
9,101,479 |
|||||||||||
Adjustable-rate agency securities, at fair value - as of period end |
2,773,638 |
3,237,779 |
4,612,940 |
4,915,994 |
3,950,164 |
||||||||||||||||
CMO agency securities, at fair value - as of period end |
246,868 |
246,157 |
265,099 |
290,321 |
401,898 |
||||||||||||||||
Interest-only strips agency securities, at fair value - as of period end |
141,768 |
168,213 |
206,829 |
110,351 |
56,739 |
||||||||||||||||
Principal-only strips agency securities, at fair value - as of period end |
36,877 |
40,013 |
40,215 |
— |
— |
||||||||||||||||
Total agency securities, at fair value - as of period end |
$ |
54,682,717 |
$ |
41,970,419 |
$ |
39,925,707 |
$ |
28,192,575 |
$ |
13,510,280 |
|||||||||||
Total agency securities, at cost - as of period end |
$ |
53,693,673 |
$ |
41,203,908 |
$ |
39,667,158 |
$ |
28,253,308 |
$ |
13,533,896 |
|||||||||||
Total agency securities, at par - as of period end (6) |
$ |
51,266,161 |
$ |
39,319,414 |
$ |
37,993,602 |
$ |
27,058,509 |
$ |
12,907,584 |
|||||||||||
Average agency securities, at cost |
$ |
46,059,878 |
$ |
41,667,838 |
$ |
31,552,263 |
$ |
19,361,473 |
$ |
11,603,957 |
|||||||||||
Average agency securities, at par |
$ |
43,967,679 |
$ |
39,891,946 |
$ |
30,219,603 |
$ |
18,540,137 |
$ |
11,028,572 |
|||||||||||
Average total assets, at fair value |
$ |
51,809,190 |
$ |
47,077,307 |
$ |
34,442,961 |
$ |
20,472,785 |
$ |
11,605,200 |
|||||||||||
Average repurchase agreements |
$ |
42,183,591 |
$ |
38,484,147 |
$ |
28,668,011 |
$ |
17,755,790 |
$ |
10,813,568 |
|||||||||||
Average stockholders' equity |
$ |
5,564,436 |
$ |
4,871,687 |
$ |
3,785,199 |
$ |
2,411,628 |
$ |
1,291,127 |
|||||||||||
Total premium amortization, net |
$ |
121,173 |
$ |
112,567 |
$ |
78,923 |
$ |
45,599 |
$ |
33,161 |
|||||||||||
Average coupon (7) |
4.31 |
% |
4.40 |
% |
4.55 |
% |
4.58 |
% |
4.86 |
% |
|||||||||||
Average asset yield (8) |
3.06 |
% |
3.14 |
% |
3.35 |
% |
3.39 |
% |
3.48 |
% |
|||||||||||
Average cost of funds (9) |
(1.16) |
% |
(1.00) |
% |
(0.89) |
% |
(0.81) |
% |
(0.90) |
% |
|||||||||||
Average net interest rate spread (10) |
1.90 |
% |
2.14 |
% |
2.46 |
% |
2.58 |
% |
2.58 |
% |
|||||||||||
Average coupon - as of period end |
4.23 |
% |
4.35 |
% |
4.44 |
% |
4.56 |
% |
4.70 |
% |
|||||||||||
Average asset yield - as of period end |
3.07 |
% |
3.18 |
% |
3.45 |
% |
3.47 |
% |
3.31 |
% |
|||||||||||
Average cost of funds - as of period end (11) |
(1.13) |
% |
(1.24) |
% |
(1.09) |
% |
(1.05) |
% |
(1.03) |
% |
|||||||||||
Average net interest rate spread - as of period end |
1.94 |
% |
1.94 |
% |
2.36 |
% |
2.42 |
% |
2.28 |
% |
|||||||||||
Average actual CPR for securities held during the period |
9 |
% |
8 |
% |
9 |
% |
13 |
% |
18 |
% |
|||||||||||
Average forecasted CPR - as of period end |
14 |
% |
13 |
% |
10 |
% |
10 |
% |
12 |
% |
|||||||||||
Leverage - average during the period (12) |
7.6:1 |
7.9:1 |
7.6:1 |
7.4:1 |
8.4:1 |
||||||||||||||||
Leverage - as of period end (13) |
7.9:1 |
7.7:1 |
7.5:1 |
7.6:1 |
7.8:1 |
||||||||||||||||
Expenses % of average assets (14) |
0.19 |
% |
0.18 |
% |
0.20 |
% |
0.22 |
% |
0.23 |
% |
|||||||||||
Expenses % of average stockholders' equity (15) |
1.74 |
% |
1.75 |
% |
1.80 |
% |
1.86 |
% |
2.03 |
% |
|||||||||||
Net book value per common share as of period end (16) |
$ |
27.71 |
$ |
26.90 |
$ |
26.76 |
$ |
25.96 |
$ |
24.24 |
|||||||||||
Dividends declared per common share |
$ |
1.40 |
$ |
1.40 |
$ |
1.40 |
$ |
1.40 |
$ |
1.40 |
|||||||||||
Annualized economic return (17) |
32.6 |
% |
22.9 |
% |
34.0 |
% |
52.2 |
% |
37.4 |
% |
|||||||||||
Net income return on average stockholders' equity (18) |
14.9 |
% |
20.4 |
% |
18.8 |
% |
22.5 |
% |
42.4 |
% |
|||||||||||
Comprehensive income return on average equity (19) |
34.0 |
% |
22.3 |
% |
25.9 |
% |
26.0 |
% |
21.0 |
% |
|||||||||||
*Average numbers for each period are weighted based on days on the Company's books and records. All percentages are annualized.
- During the third quarter 2011, the Company voluntarily discontinued hedge accounting under GAAP. 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. Subsequent to discontinuation of hedge accounting, for the three months endedDecember 31, 2011 andSeptember 30, 2011 and the year endedDecember 31, 2011 , other income (loss), net, included$33.3 million ,$1.8 million and$35.1 million of other periodic swap interest costs, 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 incremental periodic interest costs associated with interest rate swaps 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.
- Represents the GAAP net income of the Company's wholly-owned taxable REIT subsidiary, net of corporate income tax. Amount excluded from REIT taxable income until distributed to the REIT.
- Based on shares outstanding as of each period end.
- Excludes the underlying unamortized principal balance ("UPB") of our interest-only securities.
- Weighted average coupon for the period was calculated by dividing the total coupon (or cash) interest income on agency securities by the daily weighted average agency securities held.
- Weighted average asset yield for the period was calculated by dividing the total interest income on agency securities, less amortization of premiums and discounts, by the daily weighted average amortized cost of agency securities held.
- Cost of funds includes repurchase agreements and interest rate swaps (including de-designated swaps and swaps never designated as hedges under GAAP). Weighted average cost of funds for the period was calculated by dividing the total cost of funds by the daily weighted 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 weighted average cost of funds from the weighted 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 plus forward starting swaps becoming effective, net of swaps expiring, within three months of each 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 month-ended 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.
- Expenses as a % of average total assets was calculated by dividing total expenses by average total assets for the period.
- Expenses as a % of average stockholders' equity was calculated by dividing total expenses by the month-ended stockholders' equity.
- Net book value per share was calculated by dividing total stockholders' equity by the number of shares outstanding.
- Annualized economic return represents the sum of the change in net asset value and dividends declared during the period over the beginning net asset value on an annualized basis.
- Annualized net income return on average stockholders' equity for the period was calculated by dividing net income by the average month-ended stockholders' equity on an annualized basis.
- Annualized comprehensive income return on average stockholders' equity for the period was calculated by dividing comprehensive income by the average month-ended stockholders' equity on an annualized basis.
AT-THE-MARKET OFFERING PROGRAM
The Company'sAt-the-Market Offering Program enables the Company to publicly offer and sell, from time to time, shares of common stock in privately negotiated and/or at-the-market transactions pursuant to sales agreements with underwriters. During the quarter, the Company did not issue stock under the program. As of
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 website at http://www.agnc.com/.
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 http://www.agnc.com/. Select the Q4 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
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