American Capital Agency Corp. Reports $(0.99) Comprehensive Loss Per Common Share And $23.93 Net Book Value Per Common Share
BETHESDA, Md.,
FOURTH QUARTER 2013 FINANCIAL HIGHLIGHTS
$(0.99) comprehensive loss per common share, comprised of:$(0.28) net loss per common share$(0.71) other comprehensive income/(loss) ("OCI") per common share- Includes net unrealized losses on investments marked-to-market through OCI
$0.75 net spread and dollar roll income/(loss) per common share, comprised of:- Interest income, net of cost of funds (including interest rate swaps) and operating expenses
- Estimated net carry loss (also known as "dollar roll income/(loss)") of
$(0.02) per common share associated with the Company's net short position in agency mortgage backed securities ("MBS") in the "to-be-announced" ("TBA") market - Estimated "catch-up" premium amortization benefit of
$0.07 per common share due to a change in projected constant prepayment rate ("CPR") estimates
$0.65 estimated taxable income per common share$0.65 dividend per common share declared on December 18, 2013$0.59 estimated undistributed taxable income per common share as of December 31, 2013$23.93 net book value per common share as of December 31, 2013- Decreased
$(1.34) per common share, or -5%, from$25.27 per common share as of September 30, 2013
- Decreased
- -2.7% economic return on common equity for the quarter, or -10.8% annualized
- Comprised of
$0.65 dividend per common share and$(1.34) decrease in net book value per common share
- Comprised of
OTHER FOURTH QUARTER HIGHLIGHTS
$68.2 billion agency MBS investment portfolio as of December 31, 2013- Includes
$2.3 billion net long TBA mortgage position as of December 31, 2013
- Includes
$237 million investment in mortgage REIT equity securities as of December 31, 2013- Consists of common stock investments across the agency mortgage REIT sector
- 7.5x "at risk" leverage as of December 31, 2013
- 7.3x leverage excluding net long TBA mortgage position as of December 31, 2013
- Increase of 0.3x from September 30, 2013 "at risk" leverage of 7.2x
- 7.5x average "at risk" leverage during the quarter
- 7.6x average leverage during the quarter excluding net TBA mortgage position
- 8% actual portfolio CPR for the quarter
- 7% average projected portfolio life CPR as of December 31, 2013
- Excludes net TBA mortgage position
- 1.39% annualized net interest rate spread as of December 31, 2013
- Increase from 1.37% annualized net interest rate spread as of September 30, 2013
- Excludes net TBA mortgage position
- 1.56% annualized net interest rate spread and TBA dollar roll income/(loss) for the quarter
- Includes -1 bps of estimated TBA dollar roll loss
- Includes 14 bps of "catch-up" premium amortization benefit due to change in projected CPR estimates
- 28.2 million shares of common stock repurchased during the quarter
- Represents 7% of common shares outstanding as of September 30, 2013
$20.82 per share average repurchase price, net of expenses- Existing share repurchase authorization increased by
$1 billion to $2 billion for total repurchases of outstanding shares of common stock since the inception of the buyback program throughDecember 31, 2014
2013 FULL YEAR FINANCIAL HIGHLIGHTS
- -12.5% economic return on common equity
- Comprised of
$3.75 in dividends per common share and$(7.71) decrease in net book value per common share
- Comprised of
$(4.47) comprehensive loss per common share, comprised of:$3.28 net income per common share$(7.75) OCI per common share
$2.48 estimated taxable income per common share- Estimated undistributed taxable income decreased from
$2.18 per common share as of December 31, 2012 to$0.59 per common share as of December 31, 2013
- Estimated undistributed taxable income decreased from
- 57.5 million shares of common stock issued during the year
$31.33 per share offering price, net of expenses
- 40.3 million shares of common stock repurchased during the year
$21.25 per share average repurchase price, net of expenses
"The year 2013 was a difficult year for all fixed income markets, with the agency MBS market being one of the worst performing sectors," commented
NET BOOK VALUE
As of December 31, 2013, the Company's net book value per common share was
INVESTMENT PORTFOLIO
As of December 31, 2013, the Company's investment portfolio totaled
The Company accounts for TBA dollar roll positions as derivative instruments and recognizes dollar roll income/(loss) in other income (loss), net on the Company's financial statements. As of December 31, 2013, the Company's net TBA mortgage portfolio had a fair value and cost basis of approximately
As of December 31, 2013, the Company's investment portfolio was comprised of
As of December 31, 2013, the Company's fixed-rate mortgage assets were comprised of
As of December 31, 2013, the Company's fixed-rate mortgage assets, inclusive of the net TBA position, had a weighted average coupon of 3.59%, comprised of a weighted average coupon of 3.25% for < 15-year fixed rate securities, 3.50% for 20-year fixed-rate securities and 3.95% for 30-year fixed-rate securities.
CONSTANT PREPAYMENT RATES
The actual CPR for the Company's investment portfolio during the fourth quarter was 8%, compared to 10% for the prior quarter. The weighted average projected CPR for the remaining life of all of the Company's agency securities held as of December 31, 2013 was 7%, a decrease from 8% as of September 30, 2013. The Company's net TBA dollar roll position is not included in the CPR calculations above.
The Company amortizes or accretes premiums and discounts associated with purchases of agency securities into interest income using the effective yield method over the estimated life of such securities, incorporating both actual repayments to date and projected CPRs over the remaining life of the security. The weighted average cost basis of the Company's investment portfolio was 104.6% of par value as of December 31, 2013; therefore, faster actual or projected prepayments can have a meaningful negative impact on the Company's asset yields, while slower actual or projected prepayments can have a meaningful positive impact.
Net premium amortization on the Company's investment portfolio for the fourth quarter was
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
The Company's average asset yield on its agency security portfolio for the fourth quarter was 2.82%, compared to 2.59% for the third quarter. The Company's average asset yield for the fourth quarter includes 14 bps of "catch-up" premium amortization benefit due to changes in projected CPR estimates, compared to -6 bps of "catch-up" premium amortization cost during the third quarter. Excluding the impact of "catch-up" premium amortization benefit/cost, the Company's average asset yield was 2.68% for the current quarter, compared to 2.64% for the prior quarter. The Company's average asset yield reported as of December 31, 2013 was 2.70%, unchanged from September 30, 2013.
The Company's average cost of funds (derived from the cost of repurchase agreements, other debt and interest rate swaps) for the fourth quarter decreased 14 bps to 1.25% from 1.39% for the third quarter. The Company's average cost of funds as of December 31, 2013 decreased 2 bps to 1.31% from 1.33% as of September 30, 2013.
The Company's average net interest rate spread for the fourth quarter was 1.57%, an increase of 37 bps from the third quarter of 1.20%. Including estimated TBA dollar roll income/(loss), the Company's average net interest rate spread for the fourth quarter was 1.56%, an increase of 42 bps from 1.14% during the third quarter. As of December 31, 2013, the Company's average net interest rate spread was 1.39%, compared to 1.37%, as of September 30, 2013.
LEVERAGE
As of December 31, 2013,
As of December 31, 2013, the Company's agency repo agreements had a weighted average interest rate of 0.45%, largely unchanged from 0.44% as of September 30, 2013. As of December 31, 2013, the Company's agency repo agreements had remaining maturities consisting of:
$23.6 billion of one month or less;$20.5 billion from one to three months;$6.9 billion from three to six months;$2.2 billion from six to nine months;$3.6 billion from nine to twelve months;$3.3 billion from twelve to twenty-four months;$0.5 billion from twenty-four to thirty-six months; and$0.6 billion of greater than thirty-six months.
As of December 31, 2013, the Company's agency repo agreements had a weighted average remaining days to maturity of 124 days, compared to 112 days as of September 30, 2013.
HEDGING ACTIVITIES
As of December 31, 2013, 86% of the Company's outstanding balance of repurchase agreements, other debt and net TBA position was hedged through interest rate swaps, swaptions and net Treasury positions, compared to 91% as of September 30, 2013.
The Company's interest rate swap positions as of December 31, 2013 totaled
The Company utilizes interest rate swaptions to mitigate exposure to larger, more rapid increases in interest rates. During the fourth quarter,
The Company also utilizes long and short positions in U.S. Treasury securities and U.S. Treasury futures to mitigate exposure to changes in interest rates. As of December 31, 2013, the Company had a net long position of
OTHER INCOME (LOSS), NET
During the fourth quarter, the Company recorded a net loss of
$(667) million of net realized losses on sales of agency securities;$282 million of net unrealized gains on interest rate swaps and early termination fee income/cost (excludes$46 million of unrealized gains recognized in OCI);$(104) million of interest rate swap periodic interest costs;$8 million of net realized gains on interest rate swaptions;$(26) million of net unrealized losses on interest rate swaptions;$(18) million of net losses on U.S. Treasury positions;$(5) million of TBA dollar roll loss;$34 million of net mark-to-market gains on TBA mortgage positions; and$13 million of income from other derivative instruments and securities.
OTHER COMPREHENSIVE INCOME (LOSS)
During the fourth quarter, the Company recorded other comprehensive loss of
ESTIMATED TAXABLE INCOME
Estimated taxable income for the fourth quarter was
The primary differences between tax and GAAP net income are (i) unrealized gains and losses associated with interest rate swaps and other derivatives and securities marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of net premiums paid on investments.
The Company's estimated taxable income for the fourth quarter excludes
FOURTH QUARTER 2013 DIVIDEND DECLARATIONS
On December 18, 2013, the Board of Directors of the Company declared a fourth quarter dividend on its common stock of
On December 18, 2013, the Board of Directors of the Company declared a fourth quarter dividend on its 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") of
As of December 31, 2013, the Company had approximately
The Company also announced the tax characteristics of its 2013 dividends. The Company's 2013 common stock dividends of
STOCK REPURCHASE PROGRAM
During the fourth quarter, the Company made open market purchases of approximately 28.2 million shares of its common stock, or 7% of the Company's outstanding shares as of
The Company also announced that its Board of Directors has increased the Company's existing stock repurchase authorization by
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) |
|||||||||||||||||||
December 31, 2013 |
September 30, 2013 |
June 30, |
March 31, |
December 31, 2012 |
|||||||||||||||
(unaudited) |
(unaudited) |
(unaudited) |
(unaudited) |
||||||||||||||||
Assets: |
|||||||||||||||||||
Agency securities, at fair value (including pledged securities of |
$ |
64,482 |
$ |
83,805 |
$ |
75,926 |
$ |
74,874 |
$ |
83,710 |
|||||||||
Agency securities transferred to consolidated variable interest entities, |
1,459 |
1,204 |
1,281 |
1,421 |
1,535 |
||||||||||||||
U.S. Treasury securities (including pledged securities of $3,778, $4,710 |
3,822 |
4,823 |
3,671 |
— |
— |
||||||||||||||
REIT equity securities, at fair value |
237 |
— |
— |
— |
— |
||||||||||||||
Cash and cash equivalents |
2,143 |
2,129 |
2,923 |
2,826 |
2,430 |
||||||||||||||
Restricted cash |
101 |
77 |
1,216 |
499 |
399 |
||||||||||||||
Derivative assets, at fair value |
1,194 |
1,246 |
1,876 |
480 |
301 |
||||||||||||||
Receivable for securities sold (including pledged securities of $622, |
652 |
1,807 |
2,070 |
734 |
— |
||||||||||||||
Receivable under reverse repurchase agreements |
1,881 |
1,808 |
9,430 |
12,291 |
11,818 |
||||||||||||||
Other assets |
284 |
372 |
270 |
244 |
260 |
||||||||||||||
Total assets |
$ |
76,255 |
$ |
97,271 |
$ |
98,663 |
$ |
93,369 |
$ |
100,453 |
|||||||||
Liabilities: |
|||||||||||||||||||
Repurchase agreements |
$ |
63,533 |
$ |
82,473 |
$ |
72,451 |
$ |
66,260 |
$ |
74,478 |
|||||||||
Debt of consolidated variable interest entities, at fair value |
910 |
736 |
783 |
862 |
937 |
||||||||||||||
Payable for securities purchased |
118 |
979 |
3,167 |
259 |
556 |
||||||||||||||
Derivative liabilities, at fair value |
422 |
1,015 |
1,544 |
1,217 |
1,264 |
||||||||||||||
Dividends payable |
235 |
311 |
420 |
499 |
427 |
||||||||||||||
Obligation to return securities borrowed under reverse |
1,848 |
1,801 |
9,931 |
12,548 |
11,763 |
||||||||||||||
repurchase agreements, at fair value |
|||||||||||||||||||
Accounts payable and other accrued liabilities |
492 |
71 |
87 |
82 |
132 |
||||||||||||||
Total liabilities |
67,558 |
87,386 |
88,383 |
81,727 |
89,557 |
||||||||||||||
Stockholders' equity: |
|||||||||||||||||||
Preferred stock - $0.01 par value; 10.0 shares authorized: |
|||||||||||||||||||
8.000% Series A Cumulative Redeemable Preferred Stock; 6.9 shares |
167 |
167 |
167 |
167 |
167 |
||||||||||||||
Common stock - $0.01 par value; 600.0 shares authorized: |
|||||||||||||||||||
356.2, 384.3, 396.2, 396.5, and 338.9 shares issued and outstanding, |
4 |
4 |
4 |
4 |
3 |
||||||||||||||
Additional paid-in capital |
10,406 |
10,992 |
11,255 |
11,261 |
9,460 |
||||||||||||||
Retained (deficit) earnings |
(497) |
(160) |
852 |
(557) |
(289) |
||||||||||||||
Accumulated other comprehensive (loss) income |
(1,383) |
(1,118) |
(1,998) |
767 |
1,555 |
||||||||||||||
Total stockholders' equity |
8,697 |
9,885 |
10,280 |
11,642 |
10,896 |
||||||||||||||
Total liabilities and stockholders' equity |
$ |
76,255 |
$ |
97,271 |
$ |
98,663 |
$ |
93,369 |
$ |
100,453 |
|||||||||
Net book value per common share |
$ |
23.93 |
$ |
25.27 |
$ |
25.51 |
$ |
28.93 |
$ |
31.64 |
|||||||||
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
Year Ended |
||||||||||||||||||
December 31, 2013 |
September 30, 2013 |
June 30, 2013 |
March 31, 2013 |
December 31, 2013 |
|||||||||||||||
Interest income: |
|||||||||||||||||||
Interest income |
$ |
542 |
$ |
558 |
$ |
545 |
$ |
547 |
$ |
2,193 |
|||||||||
Interest expense 1 |
120 |
145 |
131 |
140 |
536 |
||||||||||||||
Net interest income |
422 |
413 |
414 |
407 |
1,657 |
||||||||||||||
Other (loss) income, net: |
|||||||||||||||||||
(Loss) gain on sale of agency securities, net |
(667) |
(733) |
17 |
(26) |
(1,408) |
||||||||||||||
Gain (loss) on derivative instruments and other securities, net 1, 4 |
184 |
(339) |
1,444 |
(98) |
1,191 |
||||||||||||||
Total other (loss) income, net |
(483) |
(1,072) |
1,461 |
(124) |
(217) |
||||||||||||||
Expenses: |
|||||||||||||||||||
Management fees |
31 |
35 |
37 |
33 |
136 |
||||||||||||||
General and administrative expenses |
6 |
7 |
9 |
9 |
32 |
||||||||||||||
Total expenses |
37 |
42 |
46 |
42 |
168 |
||||||||||||||
(Loss) income before income tax provision |
(98) |
(701) |
1,829 |
241 |
1,272 |
||||||||||||||
Income tax provision |
3 |
— |
— |
10 |
13 |
||||||||||||||
Net (loss) income |
(101) |
(701) |
1,829 |
231 |
1,259 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
3 |
3 |
14 |
||||||||||||||
Net (loss) income (attributable) available to common shareholders |
$ |
(104) |
$ |
(704) |
$ |
1,826 |
$ |
228 |
$ |
1,245 |
|||||||||
Net (loss) income |
$ |
(101) |
$ |
(701) |
$ |
1,829 |
$ |
231 |
$ |
1,259 |
|||||||||
Other comprehensive (loss) income: |
|||||||||||||||||||
Unrealized (loss) gain on available-for-sale securities, net |
(311) |
833 |
(2,813) |
(837) |
(3,127) |
||||||||||||||
Unrealized gain on derivative instruments, net 1 |
46 |
47 |
48 |
49 |
189 |
||||||||||||||
Other comprehensive (loss) income |
(265) |
880 |
(2,765) |
(788) |
(2,938) |
||||||||||||||
Comprehensive (loss) income |
(366) |
179 |
(936) |
(557) |
(1,679) |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
3 |
3 |
14 |
||||||||||||||
Comprehensive (loss) income (attributable) available to common |
$ |
(369) |
$ |
176 |
$ |
(939) |
$ |
(560) |
$ |
(1,693) |
|||||||||
Weighted average number of common shares outstanding - |
373.0 |
390.6 |
396.4 |
356.2 |
379.1 |
||||||||||||||
basic and diluted |
|||||||||||||||||||
Net (loss) income per common share - basic and diluted |
$ |
(0.28) |
$ |
(1.80) |
$ |
4.61 |
$ |
0.64 |
$ |
3.28 |
|||||||||
Comprehensive (loss) income per common share - basic and diluted |
$ |
(0.99) |
$ |
0.45 |
$ |
(2.37) |
$ |
(1.57) |
$ |
(4.47) |
|||||||||
Estimated REIT taxable income per common share - |
$ |
0.65 |
$ |
0.29 |
$ |
1.04 |
$ |
0.50 |
$ |
2.48 |
|||||||||
basic and diluted 2 |
|||||||||||||||||||
Dividends declared per common share |
$ |
0.65 |
$ |
0.80 |
$ |
1.05 |
$ |
1.25 |
$ |
3.75 |
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
RECONCILIATION OF GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME/(LOSS) 2 |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
Year Ended |
||||||||||||||||||
December 31, 2013 |
September 30, 2013 |
June 30, 2013 |
March 31, 2013 |
December 31, 2013 |
|||||||||||||||
Interest income |
$ |
542 |
$ |
558 |
$ |
545 |
$ |
547 |
$ |
2,193 |
|||||||||
Interest expense: |
|||||||||||||||||||
Repurchase agreements and other debt |
74 |
98 |
83 |
91 |
346 |
||||||||||||||
Interest rate swap periodic costs 1 |
46 |
47 |
48 |
49 |
190 |
||||||||||||||
Total interest expense |
120 |
145 |
131 |
140 |
536 |
||||||||||||||
Net interest income |
422 |
413 |
414 |
407 |
1,657 |
||||||||||||||
Other interest rate swap periodic costs 3 |
(104) |
(131) |
(105) |
(84) |
(424) |
||||||||||||||
Dividend on REIT equity securities 4 |
5 |
— |
— |
— |
5 |
||||||||||||||
Adjusted net interest income |
323 |
282 |
309 |
323 |
1,238 |
||||||||||||||
Operating expenses |
37 |
42 |
46 |
42 |
168 |
||||||||||||||
Net spread income |
286 |
240 |
263 |
281 |
1,070 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
3 |
3 |
14 |
||||||||||||||
Net spread income available to common shareholders |
283 |
237 |
260 |
278 |
1,056 |
||||||||||||||
TBA dollar roll (loss) income |
(5) |
(12) |
195 |
142 |
320 |
||||||||||||||
Net spread and dollar roll income available to common shareholders |
$ |
278 |
$ |
225 |
$ |
455 |
$ |
420 |
$ |
1,376 |
|||||||||
Weighted average number of common shares outstanding - basic and |
373.0 |
390.6 |
396.4 |
356.2 |
379.1 |
||||||||||||||
Net spread income per common share - basic and diluted |
$ |
0.76 |
$ |
0.61 |
$ |
0.66 |
$ |
0.78 |
$ |
2.79 |
|||||||||
Net spread and dollar roll income per common share - basic and diluted |
$ |
0.75 |
$ |
0.58 |
$ |
1.15 |
$ |
1.18 |
$ |
3.63 |
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
RECONCILIATION OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 2 |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
Year Ended |
||||||||||||||||||
December 31, 2013 |
September 30, 2013 |
June 30, 2013 |
March 31, 2013 |
December 31, 2013 |
|||||||||||||||
Net (loss) income |
$ |
(101) |
$ |
(701) |
$ |
1,829 |
$ |
231 |
$ |
1,259 |
|||||||||
Book to tax differences: |
|||||||||||||||||||
Premium amortization, net |
(21) |
(6) |
(75) |
(34) |
(137) |
||||||||||||||
Realized (gains) losses, net |
(92) |
(255) |
(15) |
(53) |
(414) |
||||||||||||||
Capital losses in excess of capital gains 5 |
936 |
849 |
— |
— |
1,785 |
||||||||||||||
Unrealized losses (gains), net |
(480) |
229 |
(1,324) |
30 |
(1,546) |
||||||||||||||
Other |
2 |
— |
(1) |
6 |
7 |
||||||||||||||
Total book to tax differences |
345 |
817 |
(1,415) |
(51) |
(305) |
||||||||||||||
Estimated REIT taxable income |
244 |
116 |
414 |
180 |
954 |
||||||||||||||
Dividend on preferred stock |
3 |
3 |
3 |
3 |
14 |
||||||||||||||
Estimated REIT taxable income available to common shareholders |
$ |
241 |
$ |
113 |
$ |
411 |
$ |
177 |
$ |
940 |
|||||||||
Weighted average number of common shares outstanding - basic and |
373.0 |
390.6 |
396.4 |
356.2 |
379.1 |
||||||||||||||
Estimated REIT taxable income per common share - basic and diluted |
$ |
0.65 |
$ |
0.29 |
$ |
1.04 |
$ |
0.50 |
$ |
2.48 |
|||||||||
Estimated cumulative undistributed REIT taxable income per common |
$ |
0.59 |
$ |
0.57 |
$ |
1.07 |
$ |
1.08 |
$ |
0.59 |
AMERICAN CAPITAL AGENCY CORP. |
|||||||||||||||||||
KEY STATISTICS* |
|||||||||||||||||||
(in millions, except per share data) |
|||||||||||||||||||
(unaudited) |
|||||||||||||||||||
Three Months Ended |
|||||||||||||||||||
Key Balance Sheet Statistics: |
December 31, |
September 30, |
June 30, |
March 31, |
December 31, |
||||||||||||||
2013 |
2013 |
2013 |
2013 |
2012 |
|||||||||||||||
Fixed-rate agency securities, at fair value - as of period end |
$ |
62,961 |
$ |
82,310 |
$ |
75,910 |
$ |
74,829 |
$ |
83,635 |
|||||||||
Adjustable-rate agency securities, at fair value - as of period end |
$ |
1,235 |
$ |
1,015 |
$ |
694 |
$ |
794 |
$ |
891 |
|||||||||
CMO agency securities, at fair value - as of period end |
$ |
1,308 |
$ |
1,244 |
$ |
141 |
$ |
157 |
$ |
173 |
|||||||||
Interest-only strips agency securities, at fair value - as of period end |
$ |
232 |
$ |
224 |
$ |
236 |
$ |
272 |
$ |
292 |
|||||||||
Principal-only strips agency securities, at fair value - as of period end |
$ |
205 |
$ |
216 |
$ |
226 |
$ |
243 |
$ |
254 |
|||||||||
Total agency securities, at fair value - as of period end |
$ |
65,941 |
$ |
85,009 |
$ |
77,207 |
$ |
76,295 |
$ |
85,245 |
|||||||||
Total agency securities, at cost - as of period end |
$ |
67,025 |
$ |
85,789 |
$ |
78,834 |
$ |
75,088 |
$ |
83,193 |
|||||||||
Total agency securities, at par - as of period end 7 |
$ |
64,048 |
$ |
82,003 |
$ |
74,966 |
$ |
71,253 |
$ |
78,788 |
|||||||||
Average agency securities, at cost |
$ |
76,991 |
$ |
86,407 |
$ |
74,816 |
$ |
78,009 |
$ |
80,932 |
|||||||||
Average agency securities, at par 7 |
$ |
73,527 |
$ |
82,751 |
$ |
70,851 |
$ |
73,922 |
$ |
76,710 |
|||||||||
Net TBA portfolio - as of period end, at fair value |
$ |
2,271 |
$ |
(7,256) |
$ |
14,514 |
$ |
27,283 |
$ |
12,870 |
|||||||||
Net TBA portfolio - as of period end, at cost |
$ |
2,276 |
$ |
(7,060) |
$ |
15,285 |
$ |
27,294 |
$ |
12,775 |
|||||||||
Net TBA portfolio - as of period end, carrying value |
$ |
(5) |
$ |
(196) |
$ |
(771) |
$ |
(11) |
$ |
95 |
|||||||||
Average net TBA portfolio, at cost |
$ |
(486) |
$ |
131 |
$ |
28,904 |
$ |
17,892 |
$ |
13,069 |
|||||||||
Average repurchase agreements and other debt |
$ |
71,260 |
$ |
78,845 |
$ |
66,060 |
$ |
70,591 |
$ |
74,649 |
|||||||||
Average stockholders' equity 8 |
$ |
9,432 |
$ |
10,064 |
$ |
11,256 |
$ |
10,843 |
$ |
11,177 |
|||||||||
Net book value per common share as of period end 9 |
$ |
23.93 |
$ |
25.27 |
$ |
25.51 |
$ |
28.93 |
$ |
31.64 |
|||||||||
Leverage - average during the period 10 |
7.6:1 |
7.8:1 |
5.9:1 |
6.5:1 |
6.7:1 |
||||||||||||||
Leverage - average during the period, including net TBA position 11 |
7.5:1 |
7.8:1 |
8.4:1 |
8.2:1 |
7.8:1 |
||||||||||||||
Leverage - as of period end 12 |
7.3:1 |
7.9:1 |
7.0:1 |
5.7:1 |
7.0:1 |
||||||||||||||
Leverage - as of period end, including net TBA position 13 |
7.5:1 |
7.2:1 |
8.5:1 |
8.1:1 |
8.2:1 |
||||||||||||||
Key Performance Statistics: |
|||||||||||||||||||
Average coupon 14 |
3.59 |
% |
3.50 |
% |
3.63 |
% |
3.68 |
% |
3.77 |
% |
|||||||||
Average asset yield 15 |
2.82 |
% |
2.59 |
% |
2.92 |
% |
2.80 |
% |
2.82 |
% |
|||||||||
Average cost of funds 16 |
(1.25) |
% |
(1.39) |
% |
(1.43) |
% |
(1.28) |
% |
(1.19) |
% |
|||||||||
Average net interest rate spread |
1.57 |
% |
1.20 |
% |
1.49 |
% |
1.52 |
% |
1.63 |
% |
|||||||||
Average net interest rate spread, including estimated TBA dollar roll |
1.56 |
% |
1.14 |
% |
1.86 |
% |
1.87 |
% |
1.84 |
% |
|||||||||
Average coupon - as of period end |
3.58 |
% |
3.54 |
% |
3.56 |
% |
3.73 |
% |
3.69 |
% |
|||||||||
Average asset yield - as of period end |
2.70 |
% |
2.70 |
% |
2.71 |
% |
2.75 |
% |
2.61 |
% |
|||||||||
Average cost of funds - as of period end 18 |
(1.31) |
% |
(1.33) |
% |
(1.47) |
% |
(1.32) |
% |
(1.22) |
% |
|||||||||
Average net interest rate spread - as of period end |
1.39 |
% |
1.37 |
% |
1.24 |
% |
1.43 |
% |
1.39 |
% |
|||||||||
Average actual CPR for securities held during the period |
8 |
% |
10 |
% |
11 |
% |
10 |
% |
10 |
% |
|||||||||
Average forecasted CPR - as of period end |
7 |
% |
8 |
% |
7 |
% |
9 |
% |
11 |
% |
|||||||||
Total premium amortization, net |
$ |
(117) |
$ |
(168) |
$ |
(98) |
$ |
(134) |
$ |
(153) |
|||||||||
Expenses % of average total assets - annualized |
0.17 |
% |
0.15 |
% |
0.19 |
% |
0.18 |
% |
0.16 |
% |
|||||||||
Expenses % of average stockholders' equity - annualized |
1.56 |
% |
1.66 |
% |
1.64 |
% |
1.57 |
% |
1.42 |
% |
|||||||||
Net comprehensive (loss) income return on average common equity - |
(15.8) |
% |
7.1 |
% |
(34.0) |
% |
(21.3) |
% |
4.4 |
% |
|||||||||
Dividends declared per common share |
$ |
0.65 |
$ |
0.80 |
$ |
1.05 |
$ |
1.25 |
$ |
1.25 |
|||||||||
Economic (loss) return on common equity - annualized 20 |
(10.8) |
% |
8.7 |
% |
(32.9) |
% |
(18.7) |
% |
4.9 |
% |
*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.
1. The Company voluntarily discontinued hedge accounting under GAAP for interest rate swaps as of
2. Table includes non-GAAP financial measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.
3. Other interest rate swap periodic costs represent periodic interest costs on the Company's interest rate swap portfolio in excess of amounts reclassified from accumulated OCI into interest expense. Other interest rate swap periodic costs does not include termination fees or mark-to-market adjustments associated with interest rate swaps (see footnote 1 for additional information).
4. Dividends on REIT equity securities are reported in gain (loss) on derivative instruments and other securities, net.
5. Capital losses in excess of capital gains are not deductible from the Company's ordinary taxable income, but may be carried forward for up to five years and applied against future net capital gains.
6. Estimated cumulative undistributed REIT taxable income ("UTI") as of period end is net of common and preferred dividends declared during the period. Amount divided by total common shares outstanding as of each period end. UTI as of
7. Agency securities at par value excludes the underlying unamortized principal balance ("UPB") of the Company's interest-only securities. Exclude TBAs.
8. Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.
9. Net book value per common share calculated as total stockholders' equity, less the Company's Series A Preferred Stock liquidation preference of
10. Leverage during the period was calculated by dividing the daily weighted average agency repurchase agreements and other debt outstanding for the period by the sum of average stockholders' equity less the average investment in REIT equity securities for the period. Leverage excludes U.S. Treasury repurchase agreements.
11. Leverage during the period, including net TBA position, includes the components of "leverage - average during the period", plus the Company's daily weighted average net TBA dollar roll position (at cost) during the period.
12. Leverage at period end was calculated by dividing the sum of the amount outstanding under agency repurchase agreements, net receivable / payable for unsettled agency securities and other debt by the sum of total stockholders' equity less the fair value of investments in REIT equity securities at period end. Leverage excludes U.S. Treasury repurchase agreements.
13. Leverage at period end, including net TBA position, includes the components of "leverage - as of period end", plus the Company's net TBA dollar roll position (at cost) as of period end.
14. Weighted average coupon for the period was calculated by dividing the total coupon (or cash) interest income on agency securities by average agency securities held at par.
15. Weighted average asset yield for the period was calculated by dividing the total interest income on agency securities (coupon interest less amortization of premiums and discounts) by the average amortized cost of agency securities held.
16. Cost of funds includes repurchase agreements, other debt and interest rate swaps, but excludes swap termination fees and costs associated with other supplemental hedges such as swaptions and short treasury or TBA positions. Weighted average cost of funds for the period was calculated by dividing the total cost of funds by the average repurchase agreements and other debt outstanding, less repurchase agreements for treasury securities, for the period.
17. Estimated TBA dollar roll income/loss is net of TBAs used for hedging purposes. Dollar roll income/loss excludes the impact of other supplemental hedges, and is recognized in gain (loss) on derivative instruments and other securities, net.
18. Cost of funds as of period end includes repurchase agreements and other debt outstanding, plus the impact of interest rate swaps in effect as of each period end and forward starting swaps becoming effective, net of swaps expiring, within three months of each period end, but excludes costs associated with other supplemental hedges such as swaptions and short treasury or TBA positions.
19. Net comprehensive income (loss) return on average common equity for the period was calculated by dividing comprehensive income (loss) available (attributable) to common shareholders by average common equity.
20. Economic return (loss) on common equity represents the sum of the change in net asset value per common share and dividends declared on common stock during the period over the beginning net asset value per common share.
STOCKHOLDER CALL
AGNC invites stockholders, prospective stockholders and analysts to attend the AGNC stockholder call on February 4, 2014 at
A slide presentation will accompany the call and will be available at www.AGNC.com. Select the Q4 2013 Earnings Presentation link to download and print the presentation in advance of the Stockholder Call.
An archived audio of the shareholder call combined with the slide presentation will be made available on the AGNC website after the call on February 4, 2014. In addition, there will be a phone recording available from
For further information, please contact Investor Relations at (301) 968-9220 or [email protected].
ABOUT AMERICAN CAPITAL AGENCY CORP.
ABOUT AMERICAN CAPITAL, LTD.
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of important factors, including, without limitation, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability and terms of financing, changes in the market value of the Company's assets, general economic conditions, market conditions, conditions in the market for agency securities, and legislative and regulatory changes that could adversely affect the business of the Company. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements, are included in the Company's periodic reports filed with the
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) timing differences, both temporary and potentially permanent, in the recognition of certain realized gains and losses and (iii) temporary differences related to the amortization of net premiums paid on investments. 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