BETHESDA, Md., July 17, 2012 /PRNewswire/ -- American Capital Agency Corp. (Nasdaq: AGNC) ("AGNC" or the "Company") announced preliminary estimates of select financial data for the second quarter 2012 and as of June 30, 2012.
Interest rates fell significantly during the quarter ended June 30, 2012. As a result, the price of agency mortgage backed securities generally increased during the second quarter. Given the increase in fair value of agency mortgage backed securities held in the Company's investment portfolio relative to the decrease in value of its hedges, the Company estimates that, when finally determined, its net book value per common share as of June 30, 2012 will increase to approximately $29.35 per share from $29.06 per share as of March 31, 2012.
For purposes of computing GAAP net income, the change in fair value of the Company's hedges is reflected in current period net income, while the change in fair value of its mortgage backed securities is reflected in its statement of equity through other comprehensive income. Due to the decline in interest rates during the quarter and the corresponding unrealized loss in fair value of the Company's hedges, the Company expects that, when finally determined, its GAAP net loss for the second quarter of 2012 will be approximately $0.90 per share.
The Company expects that, when finally determined, comprehensive income for the second quarter of 2012, which includes both GAAP net loss as well as the change in value of its mortgage backed securities reflected in other comprehensive income, will be approximately $1.50 per share.The Company expects that, when finally determined, taxable net income per share for the second quarter will be approximately $1.60 per share and that its undistributed taxable income as of June 30, 2012 will be approximately $1.55 per share. Net spread income for the second quarter of 2012 was negatively impacted by lower average leverage, a greater percentage of interest rate swaps relative to the Company's repurchase agreements and other debt liabilities, faster projected prepayment speeds on the Company's mortgage backed securities resulting from the decline in interest rates and a resulting catch-up amortization cost. The Company's leverage during the second quarter averaged approximately 7.5 times, down from 8.2 times during the prior quarter. The Company's average swap percentage relative to its average repurchase and other debt liabilities increased to approximately 58% for the second quarter of 2012 from 50% the prior quarter. The Company's projected lifetime constant prepayment rate, or CPR, increased to approximately 12% as of June 30, 2012 from 9% as of March 31, 2012, despite a decline in the average coupon of the portfolio. Actual average CPRs remained relatively constant at approximately 10% for the second quarter of 2012. The Company expects that, when finally determined, net spread income, which is a non-GAAP measure that consists of net interest income, less other interest rate swap periodic costs and total operating expenses, will be approximately $0.94 per share for the second quarter of 2012. Generally, agency mortgage backed securities have increased in fair value relative to hedges since the end of the second quarter of 2012. Thus, the yields and net interest spreads that are currently available on agency mortgage backed securities are generally lower than those in recent periods.
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