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American Capital Agency Corp. Reports $0.36 Comprehensive Income Per Common Share And $31.64 Net Book Value Per Common Share



 American Capital Agency Corp. Reports $0.36 Comprehensive Income Per Common
               Share And $31.64 Net Book Value Per Common Share

PR Newswire

BETHESDA, Md., Feb. 7, 2013

BETHESDA, Md., Feb. 7, 2013 /PRNewswire/ -- American Capital Agency Corp.
("AGNC" or the "Company") (Nasdaq: AGNC) today reported comprehensive income
for the fourth quarter of 2012 of $126 million, or $0.36 per common share, and
net book value of $31.64 per common share.  Economic return for the period,
defined as dividends on common shares plus the change in net book value per
common share, was $0.40 per common share, or 5% on an annualized basis.  For
the full year, AGNC reported a 32% economic return on common equity.

FOURTH QUARTER 2012 FINANCIAL HIGHLIGHTS

  o $0.36 comprehensive income per common share, comprised of:

       o $2.37 net income per common share
       o $(2.01) other comprehensive income (loss) ("OCI") per common share

            + Driven by net unrealized losses on investments marked-to-market
              through OCI

  o $0.89 net spread income per common share

       o Comprised of interest income, net of cost of funds (including
         interest rate swaps) and operating expenses
       o $0.78 per common share, excluding approximately $0.11 per common
         share of "catch-up" premium amortization benefit due to change in
         projected constant prepayment rate ("CPR") estimates
       o Excludes $0.29 per common share of estimated net carry income (also
         known as "dollar roll income") associated with purchases of agency
         mortgage backed securities ("MBS") on a forward-settlement basis
         through the "to-be-announced" ("TBA") dollar roll market

  o $1.93 estimated taxable income per common share
  o $1.25 dividend per common share declared on December 14, 2012
  o $2.18 estimated undistributed taxable income per common share as of
    December 31, 2012

       o Represents an increase of $222 million from $518 million as of
         September 30, 2012 to $740 million as of December 31, 2012  
       o On a per share basis, increased $0.66 per common share from $1.52 as
         of September 30, 2012

  o $31.64 net book value per common share as of December 31, 2012

       o Decreased $0.85 per common share, or 2.6%, from $32.49 per common
         share as of September 30, 2012

  o 5% annualized economic return on common equity

       o Comprised of $1.25 dividend per common share and $0.85 decrease in
         net book value per common share

OTHER FOURTH QUARTER HIGHLIGHTS

  o $85 billion investment portfolio as of December 31, 2012

       o $98 billion including net TBA mortgage position as of December 31,
         2012

  o 6.7x average leverage for the quarter

       o 7.8x including average net TBA mortgage position during the quarter

  o 7.0x leverage as of December 31, 2012

       o 8.2x including net TBA mortgage position as of December 31, 2012

  o 10% actual portfolio CPR for the quarter

       o 11% actual portfolio CPR for the month of January 2013
       o 11% average projected portfolio life CPR as of December 31, 2012

  o 1.63% annualized net interest rate spread for the quarter

       o 1.44% excluding "catch-up" premium amortization benefit due to change
         in projected CPR estimates
       o 1.65% when further adjusted for estimated TBA dollar roll income

  o 1.39% net interest rate spread as of December 31, 2012

       o 1.61% including net TBA mortgage position as of December 31, 2012

  o 2.7 million shares of common stock repurchased during the quarter at an
    average net repurchase price of $29.00 per common share

2012 FULL YEAR FINANCIAL HIGHLIGHTS

  o 32% economic return on common equity

       o Comprised of $5.00 dividend per common share and $3.93 increase in
         net book value per common share

  o $8.26 comprehensive income per common share, comprised of:

       o $4.17 net income per common share
       o $4.09 OCI per common share

  o $6.87 estimated taxable income per common share

       o Estimated undistributed taxable income increased from $0.80 per
         common share as of December 31, 2011 to $2.18 per common share as of
         December 31, 2012

  o $3.93 per common share, or 14%, increase in net book value from $27.71 per
    common share as of December 31, 2011 to $31.64 per common share as of
    December 31, 2012
  o Portfolio prepayments remained stable during 2012 at an average actual
    portfolio CPR of 10% for the year

"The year 2012 was very successful for AGNC as we delivered a 32% economic
return to our common shareholders," commented John Erickson, Chief Financial
Officer and Executive Vice President. "Despite the implementation of the
Federal Reserve's third round of quantitative easing ("QE3"), our active
management philosophy and focus on asset selection across the entire agency
MBS spectrum enabled us to continue to extract significant value for our
shareholders.  As we look to the future, we remain optimistic about our
ability to create value for our shareholders in both today's environment and
across a range of possible scenarios."

"Against the backdrop of record low interest rates, AGNC has once again
delivered extremely strong returns for our common shareholders in 2012.  In
fact, this was our fourth year in a row where we were able to produce total
economic or mark-to-market returns exceeding 30%," said Gary Kain, President
and Chief Investment Officer.  "During the fourth quarter, we adjusted our
investment strategies to take advantage of favorable financing opportunities
in the TBA dollar roll market, which significantly enhanced the net carry on
our agency mortgage positions.  While dollar roll income is recognized in
'other income' under GAAP, versus net interest income for on balance sheet
assets, AGNC will continue to prioritize generating economic value over
earnings geography.  Additionally, these opportunities are a direct result of
the Federal Reserve's large scale mortgage purchases under QE3 and thus likely
to remain in place for most of 2013 (and possibly beyond)." 

NET BOOK VALUE
As of December 31, 2012, the Company's net book value per common share was
$31.64, or $0.85 lower than the September 30, 2012 net book value per common
share of $32.49, reflective of lower pricing on the Company's MBS portfolio,
net of hedge gains, as some of the initial gains on MBS recognized during the
third quarter immediately following the Federal Reserve's announcement of QE3
declined in the fourth quarter. Since June 30, 2012, or "pre-QE3", the
Company's net book value increased $2.23 per common share, or 7.6%.

INVESTMENT PORTFOLIO
As of December 31, 2012, the Company's investment portfolio totaled $85.2
billion of agency securities and $12.9 billion of net TBA mortgage positions,
at fair value. 

Since commencing QE3, the Federal Reserve's purchases of agency MBS have had
the effect of lowering net interest rate spreads on lower coupon agency MBS.
However, the Federal Reserve's involvement in the mortgage market has also
made it more attractive to purchase agency MBS on a forward-settlement basis
through the TBA dollar roll market.

TBA dollar roll transactions are a form of off-balance sheet financing of
agency MBS. The price differential between agency MBS purchased for a forward
settlement date through a TBA dollar roll transaction and the price of agency
MBS for settlement in the current month is referred to as the "price drop". 
The price drop is the economic equivalent of the net interest carry (interest
income less implied financing cost), also referred to as "dollar roll income,"
on the agency MBS earned during the roll period. Given the attractive terms
available in the dollar roll market throughout the fourth quarter, the Company
maintained an average net forward TBA position of $13.1 billion (cost basis)
during the quarter.

The Company accounts for its TBA dollar roll positions as derivative
instruments and recognizes dollar roll income in other income (loss), net on
the Company's financial statements.  As of December 31, 2012, the Company's
net TBA mortgage portfolio had a fair value of $12.9 billion and a cost basis
of $12.8 billion, for a net fair value of $0.1 billion reported in derivative
assets/liabilities on the Company's balance sheet. 

As of December 31, 2012, the Company's agency securities were comprised of
$83.6 billion of fixed-rate securities, $0.9 billion of adjustable-rate
securities and $0.7 billion of collateralized mortgage obligations ("CMOs")
backed by fixed and adjustable-rate securities, including principal and
interest-only strips.  As of December 31, 2012, the Company's fixed-rate
investment portfolio was comprised of $30.0 billion ≤15-year fixed-rate
securities, $1.6 billion 20-year fixed-rate securities and $52.0 billion
30-year fixed-rate securities, while the Company's net TBA mortgage portfolio
was comprised of $8.7 billion 15-year net TBA securities and $4.2 billion
30-year net TBA securities, at fair value. 

As of December 31, 2012, 77% of the Company's fixed-rate securities, or 67%
inclusive of net TBA mortgage positions, were comprised of securities backed
by lower loan balance mortgages and loans originated under the U.S. Government
sponsored Home Affordable Refinance Program ("HARP"), which have favorable
prepayment attributes and, therefore, a lower risk of prepayment relative to
generic agency securities. The Company defines lower loan balance securities
as pools backed by original loan balances of up to $150,000 and HARP
securities as pools backed by 100% refinance loans with original
loan-to-values of ≥ 80%. The remainder of the Company's portfolio was
primarily comprised of low coupon, new issuance fixed-rate agency securities.

CONSTANT PREPAYMENT RATES
The actual CPR for the Company's investment portfolio during the fourth
quarter was 10%, an increase from 9% for the third quarter.  The most recent
CPR published in January 2013 for the Company's portfolio held as of
December 31, 2012 was 11%.  The weighted average projected CPR for the
remaining life of all of the Company's agency securities held as of
December 31, 2012 was 11%, a decrease from 14% as of September 30, 2012
primarily due to the combination of an increase in long-term interest rates,
higher concentration of lower loan balance and HARP security holdings and a
decline in the weighted average coupon rate on the Company's portfolio during
the quarter.  The Company's net TBA dollar roll position was concentrated in
low coupon securities and 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 105.6% of par value as of December 31, 2012; therefore, faster
actual or projected prepayments can have a meaningful negative impact, while
slower actual or projected prepayments can have a meaningful positive impact,
on the Company's asset yields. 

The amortization of premiums, net of any accretion of discounts, on the
investment portfolio for the fourth quarter was $(153) million, or $(0.45) per
common share, compared to $(219) million, or $(0.66) per common share, for the
third quarter.  The change in the Company's weighted average projected CPR
estimate resulted in recognition of approximately $37 million, or $0.11 per
common share, of "catch-up" premium amortization benefit during the quarter,
compared to approximately $(23) million, or $(0.07) per common share, of
"catch-up" premium amortization cost during the third quarter. The unamortized
net premium balance as of December 31, 2012 was $4.4 billion.

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 increased 27 bps to 2.82%, from 2.55% for the third quarter. 
Excluding the impact of "catch-up" premium amortization benefit/cost
recognized during the current and prior quarter due to changes in projected
CPR estimates, the annualized weighted average yield on the Company's agency
security portfolio was 2.63% for the current quarter, compared to 2.66% for
the prior quarter.  The Company's average asset yield reported as of
December 31, 2012 was 2.61%, unchanged from September 30, 2012. 

The Company's average cost of funds (derived from the cost of repurchase
agreements ("repos"), other debt and interest rate swaps) increased 6 bps to
1.19% for the fourth quarter, from 1.13% for the third quarter.  The Company's
average cost of funds as of December 31, 2012, increased 11 bps to 1.22% from
1.11% as of September 30, 2012.  The increase in the Company's average cost of
funds was due to an increase of 5 bps in repo costs from 0.46% as of
September 30, 2012 to 0.51% as of December 31, 2012, due to higher year-end
repo rates and higher average swap costs.  The ratio of interest rate swaps to
repurchase agreements and other debt outstanding was 62% as of December 31,
2012, largely unchanged from 61% as of September 30, 2012.

The Company's average net interest rate spread for the fourth quarter was
1.63%, an increase of 21 bps from the third quarter of 1.42%.  Excluding the
impact of "catch-up" premium amortization benefit/cost during the current and
prior quarter due to changes in projected CPR estimates, the Company's average
net interest rate spread was 1.44% for the current quarter, or 1.65% inclusive
of estimated TBA dollar roll income, compared to 1.53% for the third quarter. 
As of December 31, 2012, the Company's average net interest rate spread was
1.39%, or 1.61% inclusive of net TBA dollar roll positions compared to 1.50%
as of September 30, 2012. 

LEVERAGE AND HEDGING ACTIVITIES
As of December 31, 2012, the Company had total repurchase agreements and other
debt outstanding of $75.4 billion, resulting in a leverage ratio of 7.0x
including the net payable for agency securities not yet settled, or 8.2x
inclusive of off-balance sheet TBA financing.  Average leverage for the
quarter was 6.7x.  Inclusive of off-balance sheet TBA financing, the Company's
average leverage for the quarter was 7.8x.

The $74.5 billion borrowed under repurchase agreements as of December 31, 2012
had original maturities consisting of:

  o $4.0 billion of one month or less;
  o $28.3 billion from one to three months;
  o $24.3 billion from three to six months;
  o $5.3 billion from six to nine months;
  o $7.8 billion from nine to twelve months;
  o $1.9 billion from twelve to twenty-four months;
  o $2.8 billion from twenty-four to thirty-six months; and
  o $0.1 billion of greater than thirty-six months.

The Company increased the weighted average original maturity of its repurchase
agreements to 181 days as of December 31, 2012, from 141 days as of
September 30, 2012.  As of December 31, 2012, the Company's repurchase
agreements had a weighted average remaining days to maturity of 118 days,
compared to 89 days as of September 30, 2012.

The Company's interest rate swap positions as of December 31, 2012 totaled
$46.9 billion in notional amount and had an average fixed pay rate of 1.46%, a
weighted average receive rate of 0.29% and a weighted average maturity of 4.4
years.  During the quarter, the Company increased its swap position, including
forward starting swaps ranging up to April 2013, by $1.7 billion, while $3.7
billion of the Company's shorter duration swaps were terminated during the
quarter.  The new swap agreements entered into during the quarter have an
average maturity of approximately 8.7 years from December 31, 2012 and a
weighted average fixed pay rate of 1.53%.  The Company enters into swaps with
longer maturities with the intention of protecting its net book value and
longer term earnings potential.

The Company utilizes interest rate swaptions to mitigate exposure to larger
changes in interest rates.  During the quarter, the Company added $6.1 billion
of payer swaptions at a cost of $124 million, while $0.2 billion of payer
swaptions from previous quarters expired for a total loss of $3 million.  As
of December 31, 2012, the Company had $14.5 billion in payer swaptions
outstanding at a market value of $171 million with an average option term of
21 months and an average underlying interest rate swap term of 7.8 years. 

The Company also utilizes short positions in U.S. Treasury Securities to
mitigate exposure to increases in interest rates.  As of December 31, 2012,
the Company had $11.8 billion in short Treasury positions. As of December 31,
2012, 97% of the Company's outstanding balance of repurchase agreements and
other debt was hedged through interest rate swaps, swaptions and short
Treasury positions, an increase from 81% as of September 30, 2012.  Inclusive
of off-balance sheet TBA financing, the Company's aggregate hedge ratio was
80% as of December 31, 2012, an increase from 76% as of September 30, 2012.

OTHER INCOME (LOSS), NET
During the quarter, the Company recorded a gain of $442 million in other
income (loss), net, or $1.30 per common share.  Other income (loss), net is
comprised of:

  o $353 million of net realized gains on sales of agency securities;
  o $(77) million of other interest rate swap periodic interest costs
    (excludes $(50) million of interest rate swap costs recorded in interest
    expense);
  o $145 million of net unrealized gains on interest rate swaps;
  o $(32) million of interest rate swap termination fees;
  o $98 million of TBA dollar roll income;
  o $(8) million of net losses on TBA mortgage positions and forward settling
    securities; and
  o $(37) million of net losses on other derivative instruments and
    securities.

Other derivative instruments and securities generally represent instruments
that are used in addition to interest rate swaps (such as swaptions, treasury
securities and treasury futures contracts) to supplement the Company's
interest rate risk management strategies.

OTHER COMPREHENSIVE INCOME (LOSS)
During the quarter, the Company recorded other comprehensive loss of $(684)
million, or $(2.01) per common share, comprised of $(734) million of net
unrealized losses on agency securities and $50 million of net unrealized gains
on interest rate swaps.  The net unrealized gains on interest rate swaps
consists of amounts reclassified out of accumulated OCI into interest expense
for the amortization of deferred losses associated with interest rate swaps
that were de-designated as hedges in the third quarter of 2011.

ESTIMATED TAXABLE INCOME
Estimated taxable income for the fourth quarter was $1.93 per common share, or
$0.44 lower than GAAP net income per common share.  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) temporary differences related to the amortization of
premiums paid on investments and (iii) timing differences in the recognition
of certain realized gains and losses.

FOURTH QUARTER 2012 DIVIDEND DECLARATIONS
On December 14, 2012, the Board of Directors of the Company declared a fourth
quarter dividend on its common stock of $1.25 per share, which was paid on
January 28, 2013 to common stockholders of record as of December 27, 2012.
Since its May 2008 initial public offering, the Company has paid a total of
$2.8 billion in common dividends, or $23.86 per common share. 

On December 17, 2012, 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 $0.50 per share. The dividend was paid on
January 15, 2013 to preferred stockholders of record as of January 1, 2013.

The Company had approximately $740 million of estimated undistributed taxable
income as of December 31, 2012, or $2.18 per common share, after adjusting for
the fourth quarter common and preferred dividends declared, but without
adjustment for future quarterly dividends not yet declared on the Company's
Series A Preferred Stock.

The Company also announced the tax characteristics of its 2012 dividends. The
Company's 2012 common stock dividend of $5.00 per common share consisted of
$4.5092 per common share of ordinary income and $0.4908 per common share of
long-term capital gains for federal income tax purposes.  The Company's 2012
Series A Preferred Stock dividend of $1.056 per preferred share consisted of
$0.9523 per preferred share of ordinary income and $0.1037 per preferred share
of long-term capital gains for federal income tax purposes. The Company's 2012
Series A Preferred Stock dividend excludes for federal income tax purposes the
dividend of $0.50 per preferred share declared during the fourth quarter since
the record date was subsequent to December 31, 2012.  Stockholders should
receive an IRS Form 1099-DIV containing this information from their brokers,
transfer agents or other institutions. For additional detail please visit the
Company's website at www.AGNC.com.

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,    September 30,   June 30,        March 31,       December
                                                                              31,
              2012            2012            2012            2012
                                                                              2011
                (unaudited)     (unaudited)     (unaudited)     (unaudited)
Assets:
Agency
securities,
at fair value

(including
pledged
securities of
$79,966,      $ 83,710        $ 88,020        $ 76,378        $ 80,517        $ 54,625

$83,600,
$71,809,
$71,156, and
$50,405,

respectively)
Agency
securities
transferred
to
consolidated  1,535           1,620           1,544           53              58
variable
interest
entities, at
fair value
U.S. Treasury
securities,
at fair value
(including    -               -               -               -               101
pledged
securities of
$101)
Cash and cash 2,430           2,569           2,099           1,762           1,367
equivalents
Restricted    399             369             302             315             336
cash
Derivative
assets, at    301             292             64              184             82
fair value
Receivable
for
securities
sold
(including
pledged       -               2,326           2,877           1,706           443
securities of
$0, $1,466,
$2,674,
$1,442, and
$319,
respectively)
Receivable
under reverse 11,818          6,712           1,274           3,613           763
repurchase
agreements
Other assets  260             269             244             267             197
Total assets  $ 100,453       $ 102,177       $ 84,782        $ 88,417        $ 57,972
Liabilities:
Repurchase    $ 74,478        $ 79,254        $ 69,540        $ 69,816        $ 47,681
agreements
Debt of
consolidated
variable      937             1,008           954             50              54
interest
entities, at
fair value
Payable for
securities    556             1,311           2,198           4,852           1,919
purchased
Derivative
liabilities,  1,264           1,562           1,250           827             853
at fair value
Dividends     427             430             384             286             314
payable
Obligation to
return
securities
borrowed
under         11,763          7,265           1,269           3,816           899
reverse 
 repurchase
agreements,
at fair value
Accounts
payable and   133             74              51              52              40
other accrued
liabilities
Total           89,558          90,904          75,646          79,699          51,760
liabilities
Stockholders'
equity:
8.000% Series
A Cumulative
Redeemable 
Preferred
Stock; $0.01
par value;
6.9, 6.9,
6.9, 0.0 and  167             167             167             -               -
0.0 shares
issued and
outstanding,
respectively;
liquidation
preference of
$25 per share
($173)
Common stock,
$0.01 par
value; 600.0,
600.0, 600.0,
300.0, and
300.0 shares
authorized;   3               3               3               3               2
338.9, 341.6,
304.8, 300.0,
and 224.1
shares issued
and
outstanding,
respectively
Additional
paid-in       9,460           9,536           8,296           8,141           5,937
capital
Retained
(deficit)     (289)           (672)           (328)           317             (38)
earnings
Accumulated
other         1,554           2,239           998             257             311
comprehensive
income
Total
stockholders' 10,895          11,273          9,136           8,718           6,212
equity
Total
liabilities
and           $ 100,453       $ 102,177       $ 84,782        $ 88,417        $ 57,972
stockholders'
equity
Net book
value per     $ 31.64         $ 32.49         $ 29.41         $ 29.06         $ 27.71
common share

AMERICAN CAPITAL AGENCY CORP.
CONSOLIDATED STATEMENTS OF OPERATIONS
(in millions, except per share data)
(unaudited)
                         Three Months Ended                        Year
                                                                   Ended
                         December  September  June 30,   March     December
                         31,       30,                   31,       31,
                                              2012
                         2012      2012                  2012      2012
Interest income:
   Interest income       $ 570     $  $520    $ $504     $ $514    $ $2,109
   Interest expense (1)  147       139        120        106       512
          Net interest   423       381        384        408       1,597
income
Other income (loss),
net:
   Gain on sale of       353       210        417        216       1,196
agency securities, net
   Gain (loss) on
derivative instruments   89        (460)      (1,029)    47        (1,353)
and other securities,
net (1)
           Total other   442       (250)      (612)      263       (157)
income (loss), net
Expenses:
   Management fees       31        32         28         22        113
   General and           9         8          8          6         31
administrative expenses
          Total expenses 40        40         36         28        144
Income (loss) before
income tax provision     825       91         (264)      643       1,296
(benefit) 
    Income tax provision 15        5          (3)        2         19
(benefit)
Net income (loss)        810       86         (261)      641       1,277
Dividend on preferred    3         3          3          -         10
stock
Net income (loss)
available (attributable) $ 807     $  83      $ (264)    $ 641     $ 1,267
to common shareholders
Net income (loss)        $ 810     $  86      $ (261)    $ 641     $ 1,277
Other comprehensive
(loss) income:
    Unrealized (loss)
gain on                  (734)     1,190      689        (106)     1,039
available-for-sale
securities, net
    Unrealized gain on
derivative instruments,  50        51         52         52        205
net (1)
Other comprehensive      (684)     1,241      741        (54)      1,244
(loss) income
Comprehensive income     126       1,327      480        587       2,521
Dividend on preferred    3         3          3          -         10
stock
Comprehensive income
available to common      $ 123     $  1,324   $ 477      $ 587     $ 2,511
shareholders
Weighted average number
of common shares
outstanding - 
      basic and diluted    340.3      332.8     301.0      240.6     303.9
Net income (loss) per
common share - basic and $ 2.37    $  0.25    $ (0.88)   $ 2.66    $ 4.17
diluted
Comprehensive income per
common share - basic and $ 0.36    $  3.98    $ 1.58     $ 2.44    $ 8.26
diluted
Estimated REIT taxable
income per common share  $ 1.93    $  1.36    $ 1.62     $ 2.03    $ 6.87
- 
basic and diluted (2)
Dividends declared per   $ 1.25    $  1.25    $ 1.25     $ 1.25    $ 5.00
common share

AMERICAN CAPITAL AGENCY CORP.
RECONCILIATION OF GAAP NET INTEREST INCOME TO ADJUSTED NET INTEREST INCOME AND
NET SPREAD INCOME ^(2)
(in millions, except per share data)
(unaudited)
                  Three Months Ended                                Year Ended
                  December 31,  September 30,  June 30,  March 31,  December
                                                                    31,
                  2012          2012           2012      2012
                                                                    2012
Interest income   $   570       $   520        $  504    $  514     $  2,109
Interest expense:
  Repurchase
agreements and    97            88             68        54         307
other debt
  Interest rate
swap periodic     50            51             52        52         205
costs (1)
     Total        147           139            120       106        512
interest expense
Net interest      423           381            384       408        1,597
income
  Other interest
rate swap         77            74             62        39         252
periodic costs
(3)
Adjusted net      346           307            322       369        1,345
interest income
  Operating       40            40             36        28         144
expenses
Net spread income 306           267            286       341        1,201
  Dividend on     3             3              3         -          10
preferred stock
Net spread income
available to      $   303       $   264        $  283    $  341     $  1,191
common
shareholders
Weighted average
number of common
shares            340.3         332.8          301.0     240.6      303.9
outstanding -
basic and diluted
Net spread income
per common share  $   0.89      $   0.79       $  0.94   $  1.42    $  3.92
- basic and
diluted

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,  September 30,  June 30,  March 31,  December
                                                                    31,
                  2012          2012           2012      2012
                                                                    2012
Net income (loss) $   810       $   86         $ (261)   $  641     $  1,277
Book to tax
differences:
  Premium         (19)          55             43        (28)       51
amortization, net
  Realized (gain) (16)          167            54        (46)       159
loss, net
  Unrealized      (121)         128            647       (80)       574
(gain) loss, net
  Other           6             20             9         2          38
     Total book
to tax            (150)         370            753       (152)      822
differences
Estimated REIT    660           456            492       489        2,099
taxable income
  Dividend on     3             3              3         -          10
preferred stock
Estimated REIT
taxable income
available         $   657       $   453        $ 489     $  489     $  2,089
to common
shareholders
Weighted average
number of common
shares            340.3         332.8          301.0     240.6      303.9
outstanding -
basic and diluted
Estimated REIT
taxable income
per common share  $   1.93      $   1.36       $ 1.62    $  2.03    $  6.87
- basic and
diluted
Estimated
cumulative
undistributed     $   2.18      $   1.52       $ 1.61    $  1.28    $  2.18
REIT taxable
income per common
share (4)

AMERICAN CAPITAL AGENCY CORP.
KEY STATISTICS*
(in millions, except per share data)
(unaudited)
                  Three Months Ended
                  December 31,  September   June 30,    March 31,   December
Key Balance Sheet               30,                                 31,
Statistics:       2012                      2012        2012
                                2012                                2011
Fixed-rate agency
securities, at
fair              $  83,635     $ 87,882    $ 75,732    $ 77,675    $ 51,484
value - as of
period end
Adjustable-rate
agency
securities, at    $  891        $ 992       $ 1,072     $ 2,500     $ 2,774
fair value - as
of period end
CMO agency
securities, at    $  173        $ 191       $ 568       $ 228       $ 247
fair value - as
of period end
Interest-only
strips agency
securities, at    $  292        $ 307       $ 276       $ 133       $ 141
fair value - as
of period end
Principal-only
strips agency
securities, at    $  254        $ 268       $ 274       $ 34        $ 37
fair value - as
of period end
Total agency
securities, at    $  85,245     $ 89,640    $ 77,922    $ 80,570    $ 54,683
fair value - as
of period end
Total agency
securities, at    $  83,193     $ 86,850    $ 76,352    $ 79,687    $ 53,694
cost - as of
period end
Total agency
securities, at    $  78,789     $ 82,435    $ 72,683    $ 76,023    $ 51,266
par - as of
period end (5)
Average agency
securities, at    $  80,932     $ 81,500    $ 74,007    $ 61,962    $ 46,060
cost
Average agency
securities, at    $  76,710     $ 77,519    $ 70,549    $ 59,082    $ 43,968
par (5)
Average
repurchase        $  74,649     $ 75,106    $ 67,997    $ 57,480    $ 42,184
agreements and
other debt
Average
stockholders'     $  11,177     $ 10,602    $ 9,071     $ 6,984     $ 5,564
equity (6)
Net book value
per common share  $  31.64      $ 32.49     $ 29.41     $ 29.06     $ 27.71
as of period end
(7)
Leverage -
average during       6.7:1        7.1:1       7.5:1       8.2:1       7.6:1
the period (8)
Leverage - as of     7.0:1        7.0:1       7.6:1       8.4:1       7.9:1
period end (9)
Key Performance
Statistics:
Average coupon       3.77    %    3.81   %    3.96   %    4.15   %    4.31   %
(10)
Average asset        2.82    %    2.55   %    2.73   %    3.32   %    3.06   %
yield (11)
Average cost of      (1.19)  %    (1.13) %    (1.08) %    (1.01) %    (1.16) %
funds (12)
Average net
interest rate        1.63    %    1.42   %    1.65   %    2.31   %    1.90   %
spread (13)
Average coupon -     3.69    %    3.77   %    3.86   %    3.99   %    4.23   %
as of period end
Average asset
yield  - as of       2.61    %    2.61   %    2.81   %    3.06   %    3.07   %
period end
Average cost of
funds - as of        (1.22)  %    (1.11) %    (1.19) %    (0.99) %    (1.13) %
period end (14)
Average net
interest rate        1.39    %    1.50   %    1.62   %    2.07   %    1.94   %
spread - as of
period end
Average actual
CPR for              10      %    9      %    10     %    10     %    9      %
securities held
during the period
Average
forecasted CPR -     11      %    14     %    12     %    9      %    14     %
as of period end
Total premium     $  (153)      $ (219)     $ (196)     $ (100)     $ (121)
amortization, net
Expenses % of
average total        0.16    %    0.17   %    0.18   %    0.16   %    0.19   %
assets
Expenses % of
average              1.42    %    1.50   %    1.59   %    1.60   %    1.74   %
stockholders'
equity
Net comprehensive
income return on
average common       4.4     %    50.4   %    21.5   %    33.7   %    34.0   %
equity -
annualized (15)
Dividends
declared per      $  $1.25      $ $1.25     $ $1.25     $ $1.25     $ $1.40
common share
Economic return
on common equity     4.9     %    58.6   %    22.1   %    37.7   %    32.6   %
- annualized (16)

*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 September 30, 2011.  Accumulated other
    comprehensive loss ("OCI") 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. 
 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.
 4. Estimated cumulative undistributed REIT taxable income as of period end is
    net of common and preferred dividends declared during the period, without
    adjustment for future quarterly dividends not yet declared on the
    Company's Series A Preferred Stock.  Amount divided by total common shares
    outstanding as of each period end.
 5. Agency securities par value excludes the underlying unamortized principal
    balance ("UPB") of the Company's interest-only securities.
 6. Average stockholders' equity calculated as the average month-ended
    stockholders' equity during the quarter.
 7. Net book value per common share calculated as total stockholders' equity,
    less the Company's Series A Preferred Stock liquidation preference of $25
    per preferred share, divided by the number of common shares outstanding as
    of period end.
 8. Leverage during the period was calculated by dividing the daily weighted
    average repurchase agreements and other debt outstanding, less repurchase
    agreements for treasury securities, for the period by the average
    stockholders' equity for the period.
 9. Leverage at period end was calculated by dividing the sum of the amount
    outstanding under repurchase agreements, net receivable / payable for
    unsettled agency securities and other debt by total stockholders' equity
    at period end.
10. 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.
11. 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.
12. Cost of funds includes repurchase agreements, other debt and interest rate
    swaps (including de-designated swaps and swaps never designated as hedges
    under GAAP), 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.
13. Net interest rate spread for the period was calculated by subtracting the
    average cost of funds from the average asset yield.
14. 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.     
15. Net comprehensive income return on average common equity for the period
    was calculated by dividing comprehensive income available to common
    shareholders by average common equity.
16. Economic return 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 8, 2013 at 9:00 am ET. The stockholder call
can be accessed through a live webcast, free of charge, at www.AGNC.com or by
dialing (888) 317-6016 (U.S. domestic) or (412) 317-6016 (international).
Please advise the operator you are dialing in for the American Capital Agency
stockholder call. If you do not plan on asking a question on the call and have
access to the internet, please take advantage of the webcast.

A slide presentation will accompany the call and will be available at
www.AGNC.com. Select the Q4 2012 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 8, 2013.
In addition, there will be a phone recording available from 12:00 pm ET
February 8, 2013 until 9:00 am ET February 22, 2013. 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
10024358.

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 in agency pass-through securities and collateralized mortgage
obligations for which the principal and interest payments are guaranteed by a
U.S. Government agency or a U.S. Government-sponsored entity.  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 $18.6 billion of assets, including assets
on its balance sheet and fee earning assets under management by affiliated
managers, with $118 billion of total assets under management (including
levered assets).  American Capital, through a wholly-owned portfolio company,
manages publicly traded American Capital Agency Corp. (NASDAQ: AGNC) with
approximately $10 billion market capitalization and American Capital Mortgage
Investment Corp. (NASDAQ: MTGE) with approximately $850 million market
capitalization. From its eight offices in the U.S. and Europe, American
Capital and its affiliate, European Capital, will consider investment
opportunities from $10 million to $750 million.  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 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, 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) temporary
differences related to the amortization of premiums paid on investments and
(iii) timing differences in the recognition of certain realized gains and
losses. 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 American Capital Agency Corp.

Website: http://www.agnc.com
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