BETHESDA, Md., April 25, 2016 /PRNewswire/ -- American Capital
Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today
reported comprehensive income for the first quarter of 2016 of
$0.01 per common share and net book
value of $22.09 per common
share. Economic return for the period, defined as dividends
per common share and the change in net book value ("NAV") per
common share, was 0.4% for the quarter, or 1.8% on an annualized
basis.
FIRST QUARTER 2016 FINANCIAL HIGHLIGHTS
- $0.01 comprehensive income per
common share, comprised of:
- $(2.33) net loss per common
share
- $2.34 other comprehensive income
("OCI") per common share
- Includes net unrealized gains on investments recognized through
OCI
- $0.52 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization cost
- Includes $0.15 per common share
of dollar roll income associated with the Company's $8.1 billion average net long position in forward
purchases and sales of agency mortgage-backed securities ("MBS") in
the "to-be-announced" ("TBA") market
- Excludes $(0.16) per common share
of estimated "catch-up" premium amortization cost due to change in
projected constant prepayment rate ("CPR") estimates
- $22.09 net book value per common
share as of March 31, 2016
- Decreased $(0.50) per common
share, or -2.2%, from $22.59 per
common share as of December 31, 2015
- $0.60 dividend declared per
common share during the quarter
- 12.9% annualized dividend yield based on March 31, 2016
closing stock price of $18.63 per
common share
- 0.4% economic return on common equity for the quarter, or 1.8%
annualized
- Comprised of $0.60 dividend per
common share and $(0.50) decrease in
net book value per common share
- 6.5 million shares, or $116
million, of common stock repurchased during the quarter
- Represents 1.9% of common stock outstanding as of
December 31, 2015
- $17.89 per share average
repurchase price, inclusive of transaction costs
OTHER FIRST QUARTER HIGHLIGHTS
- $62.1 billion investment
portfolio as of March 31, 2016,
comprised of:
- $56.0 billion agency MB
- $6.0 billion TBA mortgage
position
- $0.1 billion AAA non-agency
MBS
- 7.3x "at risk" leverage as of March 31,
2016
- Increased from 6.8x "at risk" leverage as of December 31, 2015
- 6.5x leverage, excluding TBA mortgage position, as of
March 31, 2016
- 8.8% portfolio CPR for the quarter
- 10.2% average projected portfolio life CPR as of March 31, 2016
- 1.31% annualized net interest rate spread and TBA dollar roll
income for the quarter, excluding estimated "catch-up" premium
amortization cost
- Excludes -37 bps of "catch up" premium amortization cost due to
change in projected CPR estimates
- Decreased from 1.38% for the prior quarter, excluding 9 bps of
"catch-up" premium amortization benefit
MANAGEMENT REMARKS
"Interest rates fell materially
during the first quarter as concerns regarding global economic
weakness dampened the market's expectations with respect to U.S.
economic growth, inflation and the pace of monetary policy
normalization," commented Gary Kain,
Chief Executive Officer, President and Chief Investment
Officer. "Consistent with this weaker outlook, the Federal
Reserve released its economic projections at its March meeting,
which showed a significant reduction in its expectations for short
term interest rates. The Federal Open Market Committee also
explicitly acknowledged the potential downside risk to the U.S.
economy associated with the deteriorating global landscape.
This weaker global growth led to significant additional easing
measures by the European Central Bank and the Bank of Japan, with the latter instituting negative
rates for the first time. Against this backdrop, the 10 year
swap rate in the U.S. moved significantly during the quarter,
rallying 70 basis points from 2.19% at the beginning of the quarter
to a low of 1.49% in early February, ultimately closing the quarter
at 1.64%, a 55 basis point decline.
"Agency MBS underperformed materially during the first two
months of the quarter as a result of the significant move in
interest rates. In March, however, as interest rates stabilized,
agency MBS outperformed U.S. Treasury and interest rate swap
hedges, leading to some recovery in our net book value. In
aggregate, spreads on agency MBS widened modestly relative to our
hedges during the quarter and were the primary driver of the 2.2%
decline in our net book value. Taking into account the
$0.60 of dividends paid during the
quarter, our economic return was slightly positive at 0.4% for the
quarter, or 1.8% on an annualized basis.
"The prevailing expectations for more muted U.S. economic growth
are consistent with the interest rate outlook that we provided at
the beginning of the year, and we continue to believe that rates
will be 'lower for longer.' Furthermore, we believe this rate
environment, coupled with increasingly attractive investment
spreads on agency MBS, will be supportive of improved economic
returns for our stockholders. Given this view, we chose to
increase our leverage level again this quarter by purchasing agency
MBS and repurchasing 6.5 million shares, or 1.9%, of our common
stock during the quarter."
NET BOOK VALUE
As of March 31, 2016, the
Company's net book value per common share was $22.09, a decline of $(0.50), or -2.2%, from its December 31,
2015 net book value per common share of $22.59, largely due to wider spreads between the
yield on agency MBS and benchmark interest rates underlying the
Company's interest rate hedges.
INVESTMENT PORTFOLIO
As of March 31, 2016, the
Company's investment portfolio totaled $62.1
billion, comprised of:
- $62.0 billion of agency MBS and
TBA securities, including:
- $60.2 billion of fixed-rate
securities, comprised of:
- $16.5 billion ≤ 15-year
securities,
- $0.1 billion 15-year net long TBA
securities,
- $1.1 billion 20-year fixed-rate
securities,
- $36.6 billion 30-year fixed-rate
securities, and
- $5.9 billion 30-year net long TBA
securities;
- $0.5 billion of adjustable-rate
securities; and
- $1.3 billion of collateralized
mortgage obligations ("CMOs"), including principal and
interest-only strips; and
- $0.1 billion of AAA non-agency
securities.
As of March 31, 2016, inclusive of TBA securities, ≤
15-year and 30 year fixed rate securities represented 27% and 68%
of the Company's investment portfolio, respectively, compared to
29% and 66%, respectively, as of December 31, 2015.
As of March 31, 2016, the Company's fixed-rate securities,
inclusive of TBA securities, had a weighted average coupon of
3.52%, unchanged from December 31, 2015, comprised of the
following weighted average coupons:
- 3.24% for ≤ 15-year fixed rate securities;
- 3.48% for 20-year fixed-rate securities; and
- 3.62% for 30-year fixed-rate securities.
The Company accounts for its TBA mortgage portfolio (also
referred to as "dollar roll funded assets") as derivative
instruments and recognizes dollar roll income in other gain (loss),
net on the Company's financial statements. As of
March 31, 2016, the Company's net TBA position had a total
fair value and a total cost basis of $6.0
billion and a net carrying value of $41 million reported in derivative
assets/(liabilities) on the Company's balance sheet, compared to a
total fair value and a total cost basis of $7.4 billion and a net carrying value of
$14 million as of December 31,
2015.
CONSTANT PREPAYMENT RATES
The Company's investment
portfolio had a weighted average CPR of 8.8% for the first quarter,
compared to 9.5% for the prior quarter. The weighted average
projected CPR for the remaining life of the Company's agency
securities held as of March 31, 2016 was 10.2%, an increase
from 8.4% as of December 31, 2015 from higher prepayment
expectations following the decline in the 10 year U.S. Treasury
rate during the first quarter to 1.78% as of March 31, 2016 from 2.27% as of December 31, 2015.
The weighted average cost basis of the Company's investment
portfolio was 104.6% of par value as of March 31, 2016.
Net premium amortization cost on the Company's investment portfolio
for the first quarter was $(150)
million, or $(0.45) per common
share, including "catch-up" premium amortization cost of
$(55) million, or $(0.16) per common share, due to changes in the
Company's projected CPR estimates. This compares to net
premium amortization cost for the prior quarter of $(78) million, or $(0.23) per common share, including a "catch-up"
premium amortization benefit of $14
million, or $0.04 per common
share. The net unamortized premium balance as of
March 31, 2016 was $2.4
billion.
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 repayments over the remaining life of the security.
Faster actual or projected repayments can have a meaningful
negative impact on the Company's asset yields, while slower actual
or projected repayments can have a meaningful positive impact.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its investment
portfolio, excluding the net TBA position, (also referred to as
"balance sheet funded assets") was 2.32% for the first quarter, a
decrease from 2.87% for the prior quarter. Excluding
"catch-up" premium amortization (cost) or benefit, the Company's
average asset yield was 2.75% for the first quarter, largely
unchanged from 2.76% for the prior quarter.
For the first quarter, the Company's average cost of funds was
1.64%, an increase from 1.60% for the prior quarter. The
Company's average cost of funds includes the cost of agency
repurchase agreements ("agency repo"), Federal Home Loan Bank
("FHLB") advances, debt of consolidated variable interest entities
("other debt") and interest rate swaps (including interest rate
swaps used to hedge the Company's dollar roll funded assets)
measured against the Company's daily weighted average agency repo,
FHLB advances and other debt balance outstanding.
Excluding swap costs related to the Company's TBA dollar roll
funded assets, the Company's cost of funds for its balance sheet
funded assets was 1.51% for the first quarter, an increase from
1.45% for the prior quarter, largely due to higher repo funding
costs, partially offset by a decline in interest rate swap costs
largely due to an increase in the receive rate on resetting
swaps.
The Company's combined annualized net interest rate spread on
its balance sheet and dollar roll funded assets for the quarter was
0.94%, compared to 1.47% for the prior quarter. Excluding
"catch-up" premium amortization (cost) or benefit, the Company's
combined annualized net interest rate spread on its balance sheet
and dollar roll funded assets for the quarter was 1.31%, compared
to 1.38% for the prior quarter.
On a per share basis, the Company recognized $0.36 per common share of net spread and dollar
roll income (a non-GAAP financial measure) for the first quarter,
compared to $0.58 for the prior
quarter. Excluding "catch-up" premium amortization (cost) or
benefit, the Company's net spread and dollar roll income was
$0.52 per common share for the first
quarter, a decrease from $0.54 per
common share for the prior quarter. Net spread and dollar
roll income for the first quarter included $0.15 per common share of dollar roll income,
compared to $0.16 per common share
for the prior quarter. A reconciliation of the Company's net
interest income to net spread and dollar roll income and additional
information regarding the Company's use of non-GAAP measures are
included later in this release.
LEVERAGE
As of March 31, 2016, $45.3 billion of agency repo, $3.0 billion of FHLB advances and $0.6 billion of other debt were used to fund
acquisitions of agency and AAA non-agency securities.
Inclusive of its net TBA position, the Company's "at risk" leverage
ratio was 7.3x as of March 31, 2016, compared to 6.8x as of
December 31, 2015. The Company's average "at risk"
leverage ratio for the quarter was 7.0x, compared to 6.8x for the
prior quarter.
As of March 31, 2016, the Company's agency repurchase
agreements had a weighted average interest rate of 0.76%, an
increase from 0.61% as of December 31, 2015, and a weighted
average remaining days to maturity of 184 days, an increase from
173 days as of December 31, 2015.
As of March 31, 2016, the Company's agency repurchase
agreements had remaining maturities of:
- $33.5 billion of three months or
less;
- $2.2 billion from three to six
months;
- $0.9 billion from six to nine
months;
- $2.5 billion from nine to twelve
months;
- $3.3 billion from one to three
years; and
- $2.9 billion from three to five
years.
As of March 31, 2016, the Company's FHLB advances had a
weighted average interest rate of 0.56% and a weighted average
remaining maturity of 306 days. On January 12, 2016, the Federal Housing Finance
Agency ("FHFA") released its final rule on FHLB membership, which
requires the termination of the Company's captive insurance
subsidiary's FHLB membership and repayment of all FHLB advances
after a one year period ending in February
2017.
HEDGING ACTIVITIES
As of March 31, 2016, 83% of
the Company's outstanding balance of repurchase agreements, FHLB
advances, other debt and net TBA position was hedged through
interest rate swaps, swaptions and net U.S. Treasury positions, a
decrease from 87% as of December 31, 2015.
The Company's interest rate swap position as of March 31,
2016 totaled $38.2 billion in
notional amount, compared to $40.5
billion as of December 31, 2015.
As of March 31, 2016, the Company's interest rate swap
position included $2.7 billion of
forward starting swaps, with an average forward start date of 0.9
years and an average remaining maturity of 7.3 years, compared to
$4.5 billion as of December 31,
2015, with an average forward start date of 0.7 years and an
average remaining maturity of 5.5 years.
Excluding forward starting swaps, the Company's interest rate
swap portfolio had an average fixed pay rate of 1.73% and an
average receive rate of 0.62% as of March 31, 2016, compared
to 1.75% and 0.40%, respectively, as of December 31,
2015. Including forward starting swaps, the Company's
interest rate swap portfolio had an average fixed pay rate of 1.83%
and an average maturity of 4.5 years as of March 31, 2016,
compared to 1.89% and 4.6 years, respectively, as of
December 31, 2015.
During the first quarter, $0.4
billion of payer swaptions from previous quarters
expired. As of March 31, 2016, the Company had payer
swaptions totaling $1.8 billion of
notional value outstanding with a market value of $10 million, cost basis of $68 million, an average remaining option term of
0.3 years and an average underlying interest rate swap term of 7.7
years. This compares to $2.2
billion of notional value outstanding as of
December 31, 2015 with a market value of $17 million, a cost basis of $74 million, an average remaining option term of
0.3 years and an average underlying swap term of 7.0
years.
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 March 31, 2016, the
Company had a short U.S. Treasury position of $5.5 billion, compared to a $4.0 billion net short position as of
December 31, 2015.
OTHER GAIN (LOSS), NET
For the first quarter, the
Company recorded a net loss of $(935)
million in other gain (loss), net, or $(2.80) per common share, compared to a net gain
of $333 million, or $0.97 per common share, for the prior
quarter. Other gain (loss), net for the first quarter was
comprised of:
- $(2) million of net realized
losses on sales of agency securities;
- $(916) million of net losses on
interest rate swaps (excluding $19
million of net unrealized gains recognized in OCI);
- $(89) million of interest rate
swap periodic interest costs;
- $(7) million of net losses on
interest rate swaptions;
- $(155) million of net losses on
U.S. Treasury positions;
- $50 million of TBA dollar roll
income;
- $166 million of net
mark-to-market gains on TBA mortgage positions; and
- $18 million of net gains on other
derivative instruments and securities.
OTHER COMPREHENSIVE INCOME
During the first quarter,
the Company recorded other comprehensive income of $784 million, or $2.34 per common share, primarily consisting of
unrealized gains on the Company's agency securities.
FIRST QUARTER 2016 DIVIDEND DECLARATIONS
During the
first quarter, the Company's Board of Directors declared monthly
dividends of $0.20 per share to
common stockholders of record as of January
29, February 29 and
March 31, 2016, totaling $0.60 for the quarter, which were paid on
February 8, March 8 and April 8,
2016, respectively. This equates to a first quarter
annualized dividend yield of 12.9% based on the Company's
March 31, 2016 closing stock price of $18.63 per common share.
Since its May 2008 initial public
offering through the first quarter of 2016, the Company has
declared a total of $6.2 billion in
common stock dividends, or $33.30 per
common share.
On March 17, 2016, the Company's Board of Directors
declared a first quarter dividend on its 8.000% Series A Cumulative
Redeemable Preferred Stock of $0.50
per share and on its 7.750% Series B Cumulative Redeemable
Preferred Stock ("Series B Preferred Stock") underlying its
outstanding depositary shares of $0.484375 per depositary share. Each
depositary share represents a 1/1,000th interest in a share of the
Series B Preferred Stock. The dividends were paid on
April 15, 2016 to preferred stockholders of record as of
April 1, 2016.
STOCK REPURCHASE PROGRAM
During the first quarter, the
Company repurchased 6.5 million shares of its common stock, or 1.9%
of the Company's outstanding shares as of December 31, 2015.
The shares were repurchased at an average price of $17.89 per share, including expenses, totaling
$116 million. Since commencing
a stock repurchase program in the fourth quarter of 2012, the
Company has repurchased 68.1 million shares, or approximately 17%,
of its common stock for total consideration of approximately
$1.4 billion, including
expenses. As of March 31, 2016, the Company had
$0.6 billion available under its
current Board of Directors' authorization for repurchases of its
common stock through December 31,
2016.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following measures of operating performance
include net spread and dollar roll income and estimated taxable
income, which are non-GAAP financial measures. Please refer to "Use
of Non-GAAP Financial Information" later in this release for
further discussion of non-GAAP measures.
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED BALANCE
SHEETS
|
(in millions, except
per share data)
|
|
|
|
|
|
|
|
|
|
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2016
|
|
2015
|
|
2015
|
|
2015
|
|
2015
|
|
(unaudited)
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value (including pledged securities of $51,786, $48,380,
$47,319, $48,128 and $56,836, respectively)
|
$ 54,950
|
|
$ 51,331
|
|
$ 53,729
|
|
$ 50,976
|
|
$ 60,131
|
Agency securities
transferred to consolidated variable interest entities, at fair
value (pledged securities)
|
993
|
|
1,029
|
|
1,088
|
|
1,142
|
|
1,221
|
Non-agency securities,
at fair value
|
112
|
|
113
|
|
-
|
|
-
|
|
-
|
U.S. Treasury
securities, at fair value (including pledged securities of $0, $25,
$767, $4,756 and $4,328, respectively)
|
-
|
|
25
|
|
787
|
|
5,124
|
|
4,328
|
REIT equity
securities, at fair value
|
38
|
|
33
|
|
34
|
|
60
|
|
68
|
Cash and cash
equivalents
|
1,109
|
|
1,110
|
|
1,505
|
|
1,510
|
|
1,708
|
Restricted
cash
|
1,686
|
|
1,281
|
|
1,413
|
|
778
|
|
1,108
|
Derivative assets, at
fair value
|
55
|
|
81
|
|
143
|
|
164
|
|
229
|
Receivable for
securities sold (including pledged securities of $0, $0, $147, $221
and $721, respectively)
|
-
|
|
-
|
|
147
|
|
221
|
|
908
|
Receivable under
reverse repurchase agreements
|
3,163
|
|
1,713
|
|
1,463
|
|
2,741
|
|
3,175
|
Other
assets
|
290
|
|
305
|
|
300
|
|
169
|
|
229
|
Total
assets
|
$ 62,396
|
|
$ 57,021
|
|
$ 60,609
|
|
$ 62,885
|
|
$ 73,105
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
$ 45,276
|
|
$ 41,754
|
|
$ 41,014
|
|
$ 50,158
|
|
$ 58,112
|
Federal Home Loan Bank
advances
|
3,037
|
|
3,753
|
|
3,502
|
|
20
|
|
-
|
Debt of consolidated
variable interest entities, at fair value
|
562
|
|
595
|
|
626
|
|
674
|
|
725
|
Payable for securities
purchased
|
889
|
|
182
|
|
4,178
|
|
90
|
|
50
|
Derivative
liabilities, at fair value
|
1,652
|
|
935
|
|
1,536
|
|
844
|
|
1,352
|
Dividends
payable
|
73
|
|
74
|
|
76
|
|
77
|
|
85
|
Obligation to return
securities borrowed under reverse
|
|
|
|
|
|
|
|
|
|
repurchase agreements,
at fair value
|
3,175
|
|
1,696
|
|
1,309
|
|
2,230
|
|
3,363
|
Accounts payable and
other accrued liabilities
|
72
|
|
61
|
|
52
|
|
74
|
|
62
|
Total
liabilities
|
54,736
|
|
49,050
|
|
52,293
|
|
54,167
|
|
63,749
|
|
|
|
|
|
|
|
|
|
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
Preferred stock -
aggregate liquidation preference of $348
|
336
|
|
336
|
|
336
|
|
336
|
|
336
|
Common stock - $0.01
par value; 600.0 shares authorized;
|
|
|
|
|
|
|
|
|
|
331.0, 337.5, 346.5,
348.8 and 352.8 shares issued and outstanding,
respectively
|
3
|
|
3
|
|
3
|
|
3
|
|
4
|
Additional paid-in
capital
|
9,932
|
|
10,048
|
|
10,209
|
|
10,254
|
|
10,332
|
Retained
deficit
|
(3,329)
|
|
(2,350)
|
|
(2,727)
|
|
(1,879)
|
|
(2,166)
|
Accumulated other
comprehensive income (loss)
|
718
|
|
(66)
|
|
495
|
|
4
|
|
850
|
Total stockholders'
equity
|
7,660
|
|
7,971
|
|
8,316
|
|
8,718
|
|
9,356
|
Total liabilities and
stockholders' equity
|
$ 62,396
|
|
$ 57,021
|
|
$ 60,609
|
|
$ 62,885
|
|
$ 73,105
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
$ 22.09
|
|
$
22.59
|
|
$
23.00
|
|
$ 24.00
|
|
$ 25.53
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2016
|
|
2015
|
|
2015
|
|
2015
|
|
2015
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
Interest
income
|
$ 295
|
|
$
374
|
|
$
295
|
|
$ 414
|
|
$ 383
|
Interest
expense 1
|
99
|
|
86
|
|
77
|
|
81
|
|
86
|
Net interest income
|
196
|
|
288
|
|
218
|
|
333
|
|
297
|
|
|
|
|
|
|
|
|
|
|
Other gain (loss),
net:
|
|
|
|
|
|
|
|
|
|
Gain
(loss) on sale of agency securities, net
|
(2)
|
|
2
|
|
(39)
|
|
(22)
|
|
36
|
Gain
(loss) on derivative instruments and other securities, net
1
|
(933)
|
|
331
|
|
(778)
|
|
237
|
|
(549)
|
Total other gain (loss), net
|
(935)
|
|
333
|
|
(817)
|
|
215
|
|
(513)
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Management fee
|
27
|
|
28
|
|
29
|
|
29
|
|
30
|
General
and administrative expenses
|
6
|
|
5
|
|
5
|
|
7
|
|
6
|
Total expenses
|
33
|
|
33
|
|
34
|
|
36
|
|
36
|
Net income
(loss)
|
(772)
|
|
588
|
|
(633)
|
|
512
|
|
(252)
|
Dividend on preferred
stock
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
Net income (loss)
available (attributable) to common stockholders
|
$ (779)
|
|
$
581
|
|
$
(640)
|
|
$ 505
|
|
$ (259)
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$ (772)
|
|
$
588
|
|
$
(633)
|
|
$ 512
|
|
$ (252)
|
Other
comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
Unrealized gain (loss) on
available-for-sale securities, net
|
765
|
|
(583)
|
|
467
|
|
(872)
|
|
391
|
Unrealized gain on derivative
instruments, net 1
|
19
|
|
22
|
|
24
|
|
26
|
|
29
|
Other comprehensive income (loss)
|
784
|
|
(561)
|
|
491
|
|
(846)
|
|
420
|
Comprehensive
income (loss)
|
12
|
|
27
|
|
(142)
|
|
(334)
|
|
168
|
Dividend on preferred
stock
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
Comprehensive
income (loss) available (attributable) to common
stockholders
|
$
5
|
|
$
20
|
|
$
(149)
|
|
$ (341)
|
|
$ 161
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding -
|
|
|
|
|
|
|
|
|
|
basic and
diluted
|
334.4
|
|
341.6
|
|
347.8
|
|
352.1
|
|
352.8
|
Net income (loss)
per common share - basic and diluted
|
$ (2.33)
|
|
$
1.70
|
|
$
(1.84)
|
|
$ 1.43
|
|
$ (0.73)
|
Comprehensive
income (loss) per common share - basic and diluted
|
$ 0.01
|
|
$
0.06
|
|
$
(0.43)
|
|
$ (0.97)
|
|
$ 0.46
|
Dividends declared
per common share
|
$ 0.60
|
|
$
0.60
|
|
$
0.60
|
|
$ 0.62
|
|
$ 0.66
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2016
|
|
2015
|
|
2015
|
|
2015
|
|
2015
|
Interest
income
|
$ 295
|
|
$
374
|
|
$
295
|
|
$ 414
|
|
$ 383
|
Interest
expense:
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements and other debt
|
80
|
|
64
|
|
53
|
|
55
|
|
57
|
Interest rate
swap periodic costs 1
|
19
|
|
22
|
|
24
|
|
26
|
|
29
|
Total interest expense
|
99
|
|
86
|
|
77
|
|
81
|
|
86
|
Net interest
income
|
196
|
|
288
|
|
218
|
|
333
|
|
297
|
Other interest
rate swap periodic costs 3
|
(89)
|
|
(102)
|
|
(107)
|
|
(99)
|
|
(84)
|
Dividend on
REIT equity securities
|
1
|
|
1
|
|
1
|
|
2
|
|
2
|
TBA dollar roll
income 16
|
50
|
|
53
|
|
73
|
|
54
|
|
57
|
Adjusted net interest
and dollar roll income
|
158
|
|
240
|
|
185
|
|
290
|
|
272
|
Operating
expenses
|
33
|
|
33
|
|
34
|
|
36
|
|
36
|
Net spread and dollar
roll income
|
125
|
|
207
|
|
151
|
|
254
|
|
236
|
Dividend on
preferred stock
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
Net spread and dollar
roll income available to common stockholders
|
118
|
|
200
|
|
144
|
|
247
|
|
229
|
Estimated "catch-up"
premium amortization cost (benefit) due to change in CPR
forecast
|
55
|
|
(14)
|
|
33
|
|
(37)
|
|
19
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, available
to common stockholders
|
$ 173
|
|
$
186
|
|
$
177
|
|
$ 210
|
|
$ 248
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
334.4
|
|
341.6
|
|
347.8
|
|
352.1
|
|
352.8
|
Net spread and dollar
roll income per common share - basic and diluted
|
$ 0.36
|
|
$
0.58
|
|
$
0.41
|
|
$ 0.70
|
|
$ 0.65
|
Net spread and dollar
roll income, excluding "catch-up" premium amortization, per
common share - basic and diluted
|
$ 0.52
|
|
$
0.54
|
|
$
0.51
|
|
$ 0.60
|
|
$ 0.70
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
RECONCILIATION OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME 2
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
|
2016
|
|
2015
|
|
2015
|
|
2015
|
|
2015
|
Net income
(loss)
|
$ (772)
|
|
$
588
|
|
$
(633)
|
|
$ 512
|
|
$ (252)
|
Book to tax
differences:
|
|
|
|
|
|
|
|
|
|
Premium amortization,
net
|
55
|
|
(18)
|
|
15
|
|
(55)
|
|
26
|
Realized gain/loss,
net
|
93
|
|
154
|
|
12
|
|
(39)
|
|
(113)
|
Net capital
loss/(utilization of net capital loss carryforward)
5
|
(99)
|
|
(83)
|
|
—
|
|
121
|
|
(115)
|
Unrealized gain/loss,
net
|
804
|
|
(543)
|
|
672
|
|
(417)
|
|
627
|
Total
book to tax differences
|
853
|
|
(490)
|
|
699
|
|
(390)
|
|
425
|
Estimated REIT
taxable income
|
81
|
|
98
|
|
66
|
|
122
|
|
173
|
Dividend on preferred
stock
|
7
|
|
7
|
|
7
|
|
7
|
|
7
|
Estimated REIT
taxable income, net of preferred stock dividend
|
$ 74
|
|
$
91
|
|
$
59
|
|
$ 115
|
|
$ 166
|
Weighted average
number of common shares outstanding - basic and diluted
|
334.4
|
|
341.6
|
|
347.8
|
|
352.1
|
|
352.8
|
Estimated REIT
taxable income per common share - basic and diluted
|
$ 0.22
|
|
$
0.27
|
|
$
0.17
|
|
$ 0.33
|
|
$ 0.47
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital loss
|
$ 684
|
|
$
767
|
|
$
767
|
|
$ 646
|
|
$ 761
|
Net capital
loss/(utilization of net capital loss carryforward)
|
(99)
|
|
(83)
|
|
—
|
|
121
|
|
(115)
|
Ending cumulative
non-deductible capital loss
|
$ 585
|
|
$
684
|
|
$
767
|
|
$ 767
|
|
$ 646
|
Ending cumulative
non-deductible capital loss per common share
|
$ 1.77
|
|
$
2.03
|
|
$
2.21
|
|
$ 2.20
|
|
$ 1.83
|
|
|
|
|
|
|
|
|
|
|
AMERICAN CAPITAL
AGENCY CORP.
|
KEY
STATISTICS*
|
(in millions, except
per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
Key Balance Sheet
Statistics:
|
March
31,
|
|
December
31,
|
|
September
30,
|
|
June
30,
|
|
March
31,
|
2016
|
|
2015
|
|
2015
|
|
2015
|
|
2015
|
Fixed-rate agency
securities, at fair value - as of period end
19
|
$ 54,155
|
|
$ 50,522
|
|
$ 52,862
|
|
$ 50,070
|
|
$ 59,140
|
Adjustable-rate
agency securities, at fair value - as of period end
|
$ 471
|
|
$
495
|
|
$
551
|
|
$ 599
|
|
$ 642
|
AAA non-agency
securities, at fair value - as of period end
|
$ 112
|
|
$
113
|
|
$
-
|
|
$
-
|
|
$
-
|
CMO agency
securities, at fair value - as of period end
|
$ 966
|
|
$
990
|
|
$
1,041
|
|
$ 1,078
|
|
$ 1,173
|
Interest-only strips
agency securities, at fair value - as of period end
|
$ 176
|
|
$
178
|
|
$
179
|
|
$ 189
|
|
$ 198
|
Principal-only strips
agency securities, at fair value - as of period end
|
$ 175
|
|
$
175
|
|
$
184
|
|
$ 182
|
|
$ 199
|
Total securities, at
fair value - as of period end 19
|
$ 56,055
|
|
$ 52,473
|
|
$ 54,817
|
|
$ 52,118
|
|
$ 61,352
|
Total securities, at
cost - as of period end 19
|
$ 55,271
|
|
$ 52,464
|
|
$ 54,216
|
|
$ 51,994
|
|
$ 60,349
|
Total securities, at
par - as of period end 6, 19
|
$ 52,864
|
|
$ 50,163
|
|
$ 51,902
|
|
$ 49,688
|
|
$ 57,710
|
Average securities,
at cost 19
|
$ 50,897
|
|
$ 52,131
|
|
$ 48,711
|
|
$ 56,106
|
|
$ 59,479
|
Average securities,
at par 6, 19
|
$ 48,687
|
|
$ 49,890
|
|
$ 46,610
|
|
$ 53,660
|
|
$ 56,874
|
Net TBA portfolio -
as of period end, at fair value
|
$ 6,024
|
|
$
7,444
|
|
$
7,385
|
|
$ 7,058
|
|
$ 4,894
|
Net TBA portfolio -
as of period end, at cost
|
$ 5,983
|
|
$
7,430
|
|
$
7,265
|
|
$ 7,104
|
|
$ 4,815
|
Net TBA portfolio -
as of period end, carrying value
|
$ 41
|
|
$
14
|
|
$
120
|
|
$ (46)
|
|
$ 79
|
Average net TBA
portfolio, at cost
|
$ 8,144
|
|
$
7,796
|
|
$
9,434
|
|
$ 5,973
|
|
$ 6,957
|
Average repurchase
agreements and other debt 4
|
$ 45,926
|
|
$ 47,018
|
|
$ 43,308
|
|
$ 50,410
|
|
$ 53,963
|
Average stockholders'
equity 7
|
$ 7,776
|
|
$
8,143
|
|
$
8,603
|
|
$ 9,108
|
|
$ 9,401
|
Net book value per
common share as of period end 8
|
$ 22.09
|
|
$
22.59
|
|
$
23.00
|
|
$ 24.00
|
|
$ 25.53
|
Leverage - average
during the period 9, 19
|
5.9:1
|
|
5.8:1
|
|
5.1:1
|
|
5.6:1
|
|
5.8:1
|
Leverage - average
during the period, including net TBA position
10
|
7.0:1
|
|
6.8:1
|
|
6.2:1
|
|
6.2:1
|
|
6.5:1
|
Leverage - as of
period end 11, 19
|
6.5:1
|
|
5.8:1
|
|
5.9:1
|
|
5.3:1
|
|
5.8:1
|
Leverage - as of
period end, including net TBA position 12
|
7.3:1
|
|
6.8:1
|
|
6.8:1
|
|
6.1:1
|
|
6.4:1
|
|
|
|
|
|
|
|
|
|
|
Key Performance
Statistics:
|
|
|
|
|
|
|
|
|
|
Average coupon
13, 19
|
3.63%
|
|
3.62%
|
|
3.62%
|
|
3.60%
|
|
3.63%
|
Average asset yield
14, 19
|
2.32%
|
|
2.87%
|
|
2.42%
|
|
2.95%
|
|
2.57%
|
Average cost of funds
15, 19
|
(1.64%)
|
|
(1.60%)
|
|
(1.70%)
|
|
(1.43%)
|
|
(1.28%)
|
Average net interest
rate spread 19
|
0.68%
|
|
1.27%
|
|
0.72%
|
|
1.52%
|
|
1.29%
|
Average net interest
rate spread, including TBA dollar roll income/loss
16
|
0.94%
|
|
1.47%
|
|
1.14%
|
|
1.74%
|
|
1.53%
|
Average coupon - as
of period end 19
|
3.63%
|
|
3.63%
|
|
3.61%
|
|
3.62%
|
|
3.58%
|
Average asset
yield - as of period end 19
|
2.72%
|
|
2.78%
|
|
2.76%
|
|
2.75%
|
|
2.64%
|
Average cost of funds
- as of period end 17, 19
|
(1.49%)
|
|
(1.65%)
|
|
(1.64%)
|
|
(1.56%)
|
|
(1.34%)
|
Average net interest
rate spread - as of period end 19
|
1.23%
|
|
1.13%
|
|
1.12%
|
|
1.19%
|
|
1.30%
|
Average actual CPR
for securities held during the period 19
|
9%
|
|
10%
|
|
12%
|
|
12%
|
|
8%
|
Average forecasted
CPR - as of period end 19
|
10%
|
|
8%
|
|
9%
|
|
8%
|
|
10%
|
Total premium
amortization, net
|
$ (150)
|
|
$
(78)
|
|
$
(128)
|
|
$ (69)
|
|
$ (133)
|
Expenses % of average
total assets - annualized
|
0.23%
|
|
0.23%
|
|
0.25%
|
|
0.21%
|
|
0.20%
|
Expenses % of average
stockholders' equity - annualized
|
1.70%
|
|
1.61%
|
|
1.57%
|
|
1.59%
|
|
1.55%
|
Net comprehensive
income (loss) return on average common equity -
annualized
|
0.3%
|
|
1.0%
|
|
(7.1%)
|
|
(15.6%)
|
|
7.2%
|
Dividends declared
per common share
|
$ 0.60
|
|
$
0.60
|
|
$
0.60
|
|
$ 0.62
|
|
$ 0.66
|
Economic return
(loss) on common equity - annualized 18
|
1.8%
|
|
3.3%
|
|
(6.6%)
|
|
(14.3%)
|
|
7.1%
|
|
|
|
|
|
|
|
|
|
|
*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.
** Numbers may not total due to rounding.
- The Company voluntarily discontinued hedge accounting under
GAAP for interest rate swaps as of September
30, 2011. The accumulated other comprehensive loss 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.
- 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 (see footnote 1 for additional information). Other interest
rate swap periodic costs do not include termination fees or
mark-to-market adjustments associated with interest rate
swaps.
- Average repurchase agreements and other debt includes agency
repo, FHLB advances and debt of consolidated VIE's. Amount
excludes U.S. Treasury repurchase agreements.
- 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 from the year of loss and applied
against future net capital gains.
- Agency securities, at par value exclude the underlying
unamortized principal balance ("UPB") of the Company's
interest-only securities. Excludes TBAs.
- Average stockholders' equity calculated as the average
month-ended stockholders' equity during the quarter.
- Net book value per common share as of period end calculated as
total stockholders' equity, less the preferred stock liquidation
preference, divided by the number of common shares
outstanding.
- Average leverage during the period was calculated by dividing
the daily weighted average agency repurchase agreements, FHLB
advances and debt of consolidated VIEs 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.
- Average 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.
- Leverage as of period end was calculated by dividing the sum of
the amount outstanding under agency repurchase agreements, FHLB
advances, debt of consolidated VIE and net receivable / payable for
unsettled agency securities 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.
- Leverage as of 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.
- Average coupon for the period was calculated by dividing the
total coupon (or cash) interest income by average securities held
at par.
- Average asset yield for the period was calculated by dividing
the total interest income (coupon interest less amortization of net
premiums and discounts) by the average amortized cost of securities
held.
- Cost of funds includes agency repurchase agreements, other debt
and current pay interest rate swaps, but excludes swap termination
fees, forward starting swaps and costs associated with other
supplemental hedges such as swaptions and short U.S. Treasury or
TBA positions. Average cost of funds for the period was
calculated by dividing the total cost of funds by the average
agency repurchase agreements and other debt outstanding for the
period. Cost of funds excludes U.S. Treasury repurchase
agreements.
- 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.
- Cost of funds as of period end includes agency repurchase
agreements and other debt outstanding, plus the impact of interest
rate swaps in effect as of each period end. Amount excludes forward
starting swaps and costs associated with other supplemental hedges
such as swaptions and short U.S. Treasury or TBA
positions.
- 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.
- Excludes net TBA mortgage position.
STOCKHOLDER CALL
AGNC invites stockholders,
prospective stockholders and analysts to attend the AGNC
stockholder call on April 26, 2016 at 11:00 am ET. Interested persons who do not
plan on asking a question and have access to the internet are
encouraged to utilize the free live webcast at www.AGNC.com.
Those who plan on participating in the Q&A or do not have the
internet available may access the call by dialing (877) 300-5922
(U.S. domestic) or (412) 902-6621 (international). Please advise
the operator you are dialing in for the American Capital Agency
stockholder call.
A slide presentation will accompany the call and will be
available at www.AGNC.com. Select the Q1 2016 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 available on the AGNC website after the
call on April 26, 2016. In addition, there will be a
phone recording available one hour after the live call on
April 26, 2016 through May 10,
2016. If you are interested in hearing the recording of the
presentation, please dial (877) 344-7529 (U.S. domestic) or (412)
317-0088 (international). The conference number is
10083761.
For further information, please contact Investor Relations at
(301) 968-9300 or IR@AGNC.com.
ABOUT AMERICAN CAPITAL AGENCY CORP.
American Capital
Agency Corp. is a real estate investment trust ("REIT") that
invests primarily in agency pass-through securities for which the
principal and interest payments are guaranteed by a U.S. Government
agency or a U.S. Government-sponsored enterprise. The Company
is externally managed and advised by American Capital AGNC
Management, LLC, an affiliate of American Capital, Ltd. For
further information, please refer to www.AGNC.com.
ABOUT AMERICAN CAPITAL, LTD.
American Capital, Ltd.
(Nasdaq: ACAS) is a publicly traded private equity firm and global
asset manager. American Capital, both directly and through
its asset management business, originates, underwrites and manages
investments in middle market private equity, leveraged finance,
real estate and structured products. American Capital manages
$21 billion of assets, including
assets on its balance sheet and fee earning assets under management
by affiliated managers, with $73
billion of total assets under management (including levered
assets). Through a wholly owned affiliate, American Capital
manages publicly traded American Capital Agency Corp. (Nasdaq:
AGNC), American Capital Mortgage Investment Corp. (Nasdaq: MTGE)
and American Capital Senior Floating, Ltd. (Nasdaq: ACSF) with
approximately $10 billion of total
net book value. American Capital and its affiliates operate
out of six offices in the U.S. and Europe. For further
information, please refer to www.AmericanCapital.com.
FORWARD LOOKING STATEMENTS
This press release contains
forward-looking statements. Forward-looking statements are
based on estimates, projections, beliefs and assumptions of
management of the Company at the time of such statements and are
not guarantees of future performance. Forward-looking
statements involve risks and uncertainties in predicting future
results and conditions. Actual results could differ
materially from those projected in these forward-looking statements
due to a variety of 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 Securities and Exchange Commission ("SEC"). Copies
are available on the SEC's website, www.sec.gov. The Company
disclaims any obligation to update or revise any forward-looking
statements based on the occurrence of future events, the receipt or
new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to
the results presented in accordance with GAAP, the Company's
results of operations discussed in this release include certain
non-GAAP financial information, including "adjusted net interest
expense" (defined as interest expense plus the periodic interest
rate costs of the Company's interest rate swaps reported in gain
(loss) on derivatives and other securities, net in its consolidated
statements of comprehensive income), "net spread and dollar roll
income" (defined as interest income, TBA dollar roll income and
dividends from REIT equity securities, net of adjusted net interest
expense and operating expenses) and "estimated taxable income" and
certain financial metrics derived from non-GAAP information, such
as "cost of funds" and "net interest rate spread."
By providing users of the Company's financial information with
such measures in addition to the related GAAP measures, the Company
believes it gives users greater transparency into the information
used by the Company's management in its financial and operational
decision-making and that it is meaningful information to consider
related to: (i) in the case of adjusted net interest expense, the
economic costs of financing the Company's investment portfolio
inclusive of interest rate swaps used to economically hedge against
fluctuations in its borrowing costs, (ii) in the case of net spread
and dollar roll income, the Company's current financial performance
without the effects of certain transactions that are not
necessarily indicative of its current investment portfolio and
operations, and (iii) in the case of estimated taxable income,
information that is directly related to the amount of dividends the
Company is required to distribute in order to maintain its REIT
qualification status. However, because such measures are
incomplete measures of the Company's financial performance and
involve differences from results computed in accordance with GAAP,
they should be considered as supplementary to, and not as a
substitute for, results computed in accordance with GAAP. In
addition, because not all companies use identical calculations, the
Company's presentation of such non-GAAP measures may not be
comparable to other similarly-titled measures of other
companies. Furthermore, estimated taxable income can include
certain information that is subject to potential adjustments up to
the time of filing the Company's income tax returns, which occurs
after the end of its fiscal year.
A reconciliation of GAAP net interest income to non-GAAP net
spread and dollar roll income and a reconciliation of GAAP net
income to non-GAAP estimated taxable income is included in this
release.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9400
To view the original version on PR Newswire,
visit:http://www.prnewswire.com/news-releases/american-capital-agency-corp-reports-001-comprehensive-income-per-common-share-and-2209-net-book-value-per-common-share-300256945.html
SOURCE American Capital Agency Corp.