American Capital Agency Corp. Reports Net Income of $0.99 Per Share; $2.27 Comprehensive Income Per Share and $27.71 Net Book...

BETHESDA, Md. Feb. 6, 2012 /PRNewswire/ -- American Capital Agency Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today reported net income and comprehensive income for the fourth quarter of 2011 of $208.7 million and $476.8 million, respectively, or $0.99 per share and $2.27 per share, respectively, and net book value of $27.71 per share.  Economic return, defined as dividends plus the change in net book value, for the year was $9.07 per share, or 37%.

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 of December 31, 2011
  • Increased $24 million from $156 million as of September 30, 2011 to $180 million as of December 31, 2011
  • On a per share basis, decreased $0.05 from $0.85 per share as of September 30, 2011
• $27.71 net book value per share as of December 31, 2011
  • Increased $0.81 per share from $26.90 per share as of September 30, 2011
• 33% annualized economic return
  • Comprised of $1.40 dividend per share and $0.81 increase in net book value per share

OTHER FOURTH QUARTER HIGHLIGHTS

• $55 billion investment portfolio as of December 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
• 1.90% annualized net interest rate spread for the quarter
  • 1.94% net interest rate spread as of December 31, 2011
• $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 of December 31, 2010 to $0.80 per share as of December 31, 2011
• $3.47 per share, or 14%, increase in net book value from $24.24 per share as of December 31, 2010 to $27.71 per share as of December 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 Gary Kain, President and Chief Investment Officer.  "Despite this backdrop, AGNC was able to produce an economic (or mark-to-market) return of 37% for the year through the combination of dividends totaling $5.60 per share and book value growth of $3.47 per share."

"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 American Capital Agency," commented Malon Wilkus, Chief Executive Officer.  "Gary and the team continue to deliver excellent returns and with the support of its shareholders, AGNC has emerged as one of the leading mortgage investment franchises.  Since its beginning in 2008, with an equity base of $300 million, AGNC has grown to over $6 billion in equity and has paid out $1.3 billion in dividends to its shareholders, producing approximately a 35% annualized rate of return.  AGNC is a great example of how private capital can support the U.S. housing market."

INVESTMENT PORTFOLIO

As of December 31, 2011, the Company's investment portfolio totaled $54.7 billion of agency securities, at fair value, comprised of $51.5 billion of fixed-rate securities, $2.8 billion of adjustable-rate securities and $0.4 billion of collateralized mortgage obligations ("CMOs") backed by fixed and adjustable-rate securities, including principal and interest-only strips.  As of December 31, 2011, the Company's fixed-rate investment portfolio was comprised of $20.2 billion

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