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AT A GLANCE
American Capital Agency Corp. (Nasdaq: AGNC or the Company) is a REIT that invests in agency securities for which the principal and interest payments are guaranteed by a U.S. Government-sponsored entity (such as the Federal National Mortgage Association, or Fannie Mae, and the Federal Home Loan Mortgage Corporation, or Freddie Mac), or a U.S. Government agency (such as the Government National Mortgage Association, or Ginnie Mae). The principal objective of AGNC is to preserve our net asset value (also referred to as net book value, NAV and stockholders equity) while generating attractive risk-adjusted returns for distribution to our stockholders through regular quarterly dividends from the combination of our net interest income and net realized gains and losses on our investments and hedging activities. We fund our investments primarily through short-term borrowings structured as repurchase agreements. Our Manager is a majority-owned subsidiary of a wholly-owned portfolio company of American Capital, Ltd. (Nasdaq: ACAS).
(All data as of September 30, 2013)
Total/Weighted Average5
In terms of hedging, AGNC had $50.2 billion notional value of interest rate swaps as of September 30, 2012, representing 66% of the repurchase agreements, other debt outstanding and net TBA position. AGNC also had $20.2 billion in payer swaptions, which seek to hedge convexity risk. Interest Rate Swaps ($ in Millions)
Notional Amount $50,200 Pay Rate 1.65% Receive Rate 0.24% Weighted Average Years to Maturity 5.2
Business Economics
(unaudited)
Maturity Q3 2013
2.59% (1.39%) 1.20% 7.8x 9.38% 2.59%
Q2 2013
2.92% (1.43%) 1.49% 5.9x 8.72% 2.91%
Q1 2013
2.80% (1.28%) 1.52% 6.5x 2.80%
Q4 2012
2.82% (1.19%) 1.63% 6.7x 2.82%
Total/Weighted Average
Asset Yield Cost of Funds1 Net Interest Rate Spread1,2 Leverage3 Leveraged Net Interest Rate Spread Plus Asset Yield Gross Return on Equity (ROE) Before Expenses and Other Income Management Fees as a % of Equity Other Operating Expenses as a % of Equity Total Operating Expenses as a % of Equity Net Spread Income ROE Other Miscellaneous4 Realized Other (Loss)/Income, Net of Tax Unrealized Other (Loss)/Income Net Income ROE Other Comprehensive Income/(Loss) Comprehensive Income/(Loss) ROE Comprehensive (Loss)/Return on Preferred Equity in Excess of Preferred Dividend Net Comprehensive Income/(Loss) ROE (Attributable) Available to Common Shareholders
1. 2. 3. 4.
9.88% 10.87%
Q3 2013 $413 $(1,072) $ (42) $ (701) $(1.80) $ 0.45 $ 0.29 As of 9/30/13 $97,271 $82,473 $9,885 7.9x $25.27
Q1 2013 $407 $ (124) $ (42) $ 231 $ 0.64 $(1.57) $ 0.50 As of 3/31/13 $93,369 $66,260 $11,642 5.7x $28.93
Q4 2012 $ 423 $ 442 $(40) $ 810 $2.37 $0.36 $1.93 As of 12/31/12 $100,453 $74,478 $10,896 7.0x $31.64
Net Interest Income Total Other Income, Net of Excise Tax Total Operating Expenses Net Income Basic and Diluted EPS Comprehensive Income per Common Share Taxable Income per Common Share
11.97% 11.63% 12.68% 13.69% (1.37%) (0.29%) (1.66%) 10.31% (0.81%) (28.10%) (1.33%) (0.33%) (1.66%) (0.59%) 8.66% (1.25%) (0.34%) (1.59%) (0.60%) (1.00%) (1.10%) (0.32%) (1.42%) (1.40%) 4.58%
9.97% 11.09% 12.27% (0.85%) 13.30% 8.64% 28.75% 4.47% (0.05%) 4.42%
34.69% (98.53%) (29.49%) (24.28%) 7.07% (33.35%) (20.85%) (0.01%) (0.64%) (0.47%)
(unaudited)
Total Assets Total Repurchase Agreements Total Equity Leverage6 Book Value Per Common Share7
Cost of funds includes agency MBS repo, other debt and periodic swap interest costs. Net interest rate spread and cost of funds exclude other supplemental hedges, such as swaptions and U.S. Treasury positions and U.S. Treasury repos. Asset yield, cost of funds and net interest rate spread exclude net TBA position. Average leverage excludes net TBA position. Total average at risk leverage, including our net TBA position, was 7.8x, 8.4x, 8.2x, and 7.8x for Q3, Q2 and Q1 2013 and Q4 2012, respectively. Other miscellaneous reflects the impact of differences between the use of daily averages used for investment securities and repurchase agreements and the month-end average used for stockholders equity, cash and cash equivalents, restricted cash, other non investment assets and liabilities, and other immaterial rounding differences. 5. Excludes repurchase agreements of $4.1 B and $2.1 B associated with U.S. Treasury positions as of Sept 30, 2013 and June 30, 2013, respectively. 6. Leverage calculated as sum of (i) agency MBS repurchase agreements, (ii) the net payable/receivable for agency MBS not yet settled and (iii) other debt divided by total stockholders equity. Leverage excludes U.S. Treasury repurchase agreements of $4.1 billion and $2.1 billion as of Sept 30, 2013 and June 30, 2013, respectively. 7. Net book value per common share calculated as stockholders equity, less the Series A Preferred Stock liquidation preference, divided by total common shares outstanding.
Leverage
10.0x
3.00%
2.55%
2.82%
2.80%
2.92%
2.59%
8.0x
7.0x
7.4x
8.1x 7.0x
8.5x
7.9x
7.2x
6.0x 2.00%
1.42%
1.63%
1.52%
1.49%
1.20%
4.0x
1.00%
2.0x
0.00%
1.13%
Q3 2012
1.19%
Q4 2012
1.28%
Q1 2013
1.43%
Q2 2013
1.39%
Q3 2013
0.0x
9/30/12
12/31/12
3/31/13
6/30/13
9/30/13
$32.49
$31.64
$1.25
$1.25
9/30/12
12/31/12
3/31/13
6/30/13
9/30/13
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
Economic Return5
60.0%
59%
$4.61
40.0%
20.0%
5%
0.0%
(19%)
(33%)
9%
(20.0%)
$(1.57)
$(2.37)
Q2 2013
$(1.80)
(40.0%)
Q3 2012
Q4 2012
Q1 2013
Q2 2013
Q3 2013
$(3.00)
Q3 2012
Q4 2012
Q1 2013
Q3 2013
1. Represents average per quarter, excludes net carry income from the Companys TBA mortgage portfolio and other supplemental hedge costs such as swaption, short treasury and short TBA costs. 2. Leverage calculated as sum of agency MBS repurchase agreements, net payable/receivable for agency MBS not yet settled and other debt divided by total stockholders equity. Leverage excludes U.S. Treasury repurchase agreements of $4.1 billion and $2.1 billion as of Sept 30, 2013 and June 30, 2013, respectively. 3. At Risk leverage includes the components of leverage plus implied leverage from net TBA mortgage position. 4. Net book value per common share calculated as total stockholders equity, less the Series A Preferred Stock liquidation preference, divided by total common shares outstanding. 5. Annualized economic return on common equity represents the sum of the change in net book value per common share and the dividend declared per common share during the period over beginning net book value per common share on an annualized basis.