Breaking News

Tweet TWEET

American Capital Mortgage Investment Corp. Reports $(0.56) Net Loss Per Share And $24.25 Net Book Value Per Share

American Capital Mortgage Investment Corp. Reports $(0.56) Net Loss Per Share
                     And $24.25 Net Book Value Per Share

PR Newswire

BETHESDA, Md., May 3, 2013

BETHESDA, Md., May3, 2013 /PRNewswire/ -- American Capital Mortgage
Investment Corp. ("MTGE" or the "Company") (Nasdaq: MTGE) today reported a net
loss for the quarter ended March 31, 2013 of $(26.6) million, or $(0.56) per
share, and net book value of $24.25 per share.

FIRST QUARTER 2013 FINANCIAL HIGHLIGHTS

  o$(0.56) per share of net loss

       oResulting mainly from $(1.66) per share in net unrealized losses on
         agency securities, partially offset by $0.64 per share in net
         unrealized gains on non-agency securities

  o$0.62 per share of net spread income

       o$0.79 per share including $0.17 per 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
       oIncludes approximately $0.04 pershare of "catch-up" premium
         amortization benefit due to change in projected constant prepayment
         rate ("CPR") estimates

  o$0.80 per share of estimated taxable income

       oUndistributed estimated taxable income of $0.45 per share as of
         March31, 2013, down $(0.72) per share from $1.17 per share as of
         December 31, 2012

  o$24.25 per share net book value as of March31, 2013

       oDecreased $(1.49) per share, or (5.8)%, from $25.74 per share as of
         December 31, 2012

  o$0.90 per share dividend declared on March 7, 2013
  o(2.3)% economic loss on equity for the quarter, or (9.2)% annualized

       oComprised of a $(1.49) per share decrease in net book value,
         partially offset by a $0.90 per share dividend

ADDITIONAL FIRST QUARTER 2013 HIGHLIGHTS

  o$11.8 billion investment portfolio as of March31, 2013

       o$6,536 million agency securities
       o$4,491 million net long TBA position
       o$727 million non-agency securities

  o4.3x leverage as of March31, 2013

       o7.4x including net long TBA position as of March31, 2013

  o4.9x average leverage for the quarter

       o5.6x including average TBA dollar roll position for the quarter

  o6.3% agency portfolio actual CPR for the quarter

       o6.0% agency portfolio actual CPR for the month of March 2013
       o8.3% average projected life CPR for agency securities as of March31,
         2013

  o2.01% annualized quarterly net interest rate spread

       o2.27% including estimated TBA dollar roll income
       oIncludes 13 bps of "catch-up" premium amortization benefit due to
         change in projected CPR estimates

  o1.90% net interest rate spread as of March31, 2013

       o2.09% including estimated TBA dollar roll income

  o23.0 million shares of common stock issued during the quarter

       o$25.40 per share average net proceeds

"Significant underperformance of generic and, especially, prepayment
protected, fixed-rate agency MBS prices more than offset stronger valuations
of our non-agency positions leading to the decline in book value during the
quarter," Gary Kain, President and Chief Investment Officer commented.
"Importantly, our agency assets continue to perform very well from a cash flow
perspective, as prepayments remain muted, and the financing opportunities
available in the dollar roll market have helped support our margins. Given
these positives and the improvements we are seeing in the housing market,we
continue to believe thatwe will be able to generate attractive returns."

"Notwithstanding the market volatility, we were pleased to be able to grow the
company through an accretive equity offering which allowed us to take
advantage of market opportunities, expand our platform and improve operating
efficiencies," said John Erickson, Executive Vice President and Chief
Financial Officer. "We are enthusiastic about how the mortgage market is
evolving in the near-term and long-term and believe that our added scale will
better position us to execute on the opportunities ahead."

NET BOOK VALUE

As of March31, 2013, the Company's net book value per share was $24.25, or
$(1.49) per share lower than the net book value per share of $25.74 as of
December 31, 2012. This decrease in net book value was largely due to lower
pricing on the Company's MBS portfolio due to lower "pay-ups" (or price
premiums) on specified pools with favorable prepayment attributes, partially
offset by improved pricing on non-agency securities.

INVESTMENT PORTFOLIO

As of March31, 2013, the Company's $11.8 billion investment portfolio was
comprised of $6.5 billion in fixed-rate agency securities, a $4.5 billion net
long TBA position and $727.4 million in non-agency securities.

As of March31, 2013, the Company's agency securities portfolio was comprised
of27% 15-year fixed-rate agency securities, 1% 20-year fixed-rate agency
securities, and 72% 30-year fixed-rate agency securities. As of March31,
2013, 83% of the Company's agency securities were backed by lower loan balance
mortgages or loans originated under the U.S. Government sponsored Home
Affordable Refinance Program ("HARP"), both of 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 agency securities were primarily comprised of low
coupon, new issuance fixed-rate agency securities.

The Company accounts for its TBA investments as derivative instruments and
recognizes TBA dollar roll income in unrealized gain (loss) on other
derivatives and securities, net on the Company's statements of operations. As
of March31, 2013, the Company had a $4.3 billion net long TBA notional
position, with a cost basis and fair value of $4.5 billion.

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, the Company maintained an average net
forward TBA position of $746.8 million (cost basis) during the quarter.

As of March31, 2013, the Company's non-agency portfolio was comprised of59%
Alt-A, 16% prime, 10% option ARM and 15% subprime.

AGENCY CONSTANT PREPAYMENT RATES

The actual CPR for the Company's agency portfolio during the first quarter of
2013 was 6.3%, compared to 6.5% during the fourth quarter of 2012. The CPR
published in April 2013 for the Company's agency portfolio held as of
March31, 2013 was 6.0%, and the weighted average projected CPR for the
remaining life of the Company's agency securities held as of March31, 2013
was 8.3%.

The Company amortizes and accretes premiums and discounts associated with
purchases of agency securities into interest income over the estimated life of
such securities based on actual and projected CPRs using the effective yield
method. The amortization of premiums (net of any accretion of discounts) on
the agency portfolio for the quarter was $8.9 million, or $0.19 per share.
The change in the Company's weighted average projected CPR estimate resulted
in recognition of approximately $2 million, or $0.04 pershare, of "catch-up"
premium amortization benefit during the quarter.

The weighted average cost basis of the Company's agency portfolio was 105.9%
and the unamortized agency net premium was $359.6 million as of March31,
2013. As such, before considering any impact of hedging, slower actual and
projected prepayments can have a meaningful positive impact, while faster
actual or projected prepayments can have a meaningful negative impact on the
Company's agency asset yields.

NON-AGENCY DISCOUNT ACCRETION

The weighted average cost basis of the Company's non-agency portfolio was 60%
of par as of March31, 2013. Discount accretion on the non-agency portfolio
for the quarter was $7.1 million. The total net discount remaining was $417.8
million as of March31, 2013 with $291.2 million designated as credit
reserves.

ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD

The Company's average asset yield on its investment portfolio for the first
quarter was 3.11%, compared to 3.08% for the fourth quarter. Excluding the
impact of "catch-up" premium amortization benefit recognized during the first
quarter due to changes in projected CPR estimates, the annualized weighted
average yield on the Company's agency security portfolio was 2.98% for the
first quarter. The Company's average asset yield reported as of March 31, 2013
was 3.00%, a 9 bps increase from 2.91% as of December 31, 2012.

The Company's average cost of funds (derived from the cost of repurchase
agreements and interest rate swaps) increased 9 bps to 1.10% for the first
quarter, from 1.01% for the fourth quarter. The Company's average cost of
funds increased 7 bps to 1.10% as of March31, 2013 from 1.03% as of December
31, 2012. The increase in the Company's average cost of funds was due to
higher average swap costs associated with longer duration swaps put on during
the quarter.

The Company's average net interest rate spread for the first quarter was
2.01%, a decrease of 6 bps from the fourth quarter of 2.07%. Including
estimated TBA dollar roll income, the Company's average net interest rate
spread for the first quarter was 2.27%. As of March 31, 2013, the Company's
average net interest rate spread was 1.90%, compared to 1.88% as of December
31, 2012. Including estimated TBA dollar roll income, the Company's average
net interest rate spread was 2.09% as of March 31, 2013.

LEVERAGE AND HEDGING ACTIVITIES

As of March31, 2013, the Company had repurchase agreements outstanding of
$6.1 billion, resulting in a leverage ratio of 4.3x, or 7.4x inclusive of
off-balance sheet TBA financing. Average leverage during the quarter was
4.9x, or 5.6x inclusive of off-balance sheet TBA financing.

The $6.1 billion borrowed under repurchase agreements as of March31, 2013 had
original maturities consisting of:

  o$0.4 billion of one month or less;
  o$1.2 billion between one and two months;
  o$1.4 billion between two and three months;
  o$1.7 billion between three and six months; and
  o$1.4 billion greater than six months.

The Company increased the weighted average original maturity of its repurchase
agreements to 108 days as of March31, 2013, from 87 days as of December 31,
2012. As of March31, 2013, the Company's repurchase agreements had an
average 77 days remaining to maturity, an increase from 50 days as of December
31, 2012.

As of March31, 2013, the Company had repurchase agreements with 29 financial
institutions and less than 5% of the Company's equity at risk was with any one
counterparty, with the top five counterparties representing less than 17% of
the Company's equity at risk.

The Company's interest rate swap positions as of March31, 2013 totaled $5.0
billion in notional amount (including $1.7 billion of forward starting swaps
commencing between April and September 2013) at a weighted average fixed pay
rate of 1.54%, a weighted average receive rate of 0.30% and a weighted average
maturity of 6.5 years. The Company enters into interest rate swaps with
longer maturities with the intention of protecting its net book value and
longer term earnings potential.

The Company also utilizes interest rate swaptions to mitigate the Company's
exposure to changes in interest rates. As of March31, 2013, the Company held
payer swaption contracts with a total notional amount of $2.0 billion and a
weighted average expiration of 1.6 years. These swaptions have an underlying
weighted average interest rate swap term of 8.0 years, with a weighted average
pay rate of 2.77%.

In addition to interest rate swaps and swaptions, the Company held net short
positions in U.S. Treasury securities with a face amount of $1.6 billion.

As of March31, 2013, 82% of the Company's combined repurchase agreement and
net long TBA balance was hedged through interest rate swaps, interest rate
swaptions and net short positions in U.S. Treasury securities.

OTHER GAINS (LOSSES), NET

The Company has elected to record all investments at fair value with all
changes in fair value recorded in current GAAP earnings as other gains
(losses). In addition, the Company has not designated any derivatives as
hedges for GAAP accounting purposes and therefore all changes in the fair
value of derivatives are recorded in current GAAP earnings as other gains
(losses).

During the first quarter, the Company recorded $(63.7) million in other gains
(losses), net, or $(1.34) per share. Other gains (losses), net, for the
quarter are comprised of:

  o$8.7 million of net realized gain on agency securities;
  o$1.4 million of net realized gain on non-agency securities;
  o$(78.8) million of net unrealized loss on agency securities;
  o$30.5 million of net unrealized gain on non-agency securities;
  o$(7.7) million in realized loss on periodic settlements of interest rate
    swaps;
  o$(2.4) million of net realized loss on other derivatives and securities;
    and
  o$(15.3) million of net unrealized loss on other derivatives and
    securities.

Realized and unrealized gains and losses on other derivatives and securities
during the first quarter include $(4.8) million related to interest rate swaps
and swaptions, $(16.8) million related to short treasury securities, $8.0
million of TBA dollar roll income and $(4.1) million of net losses on TBA
mortgage positions.

ESTIMATED TAXABLE INCOME

Taxable income for the quarter is estimated at $0.80 per share. The primary
differences between tax and GAAP net income are (i) unrealized gains and
losses associated with investment and derivative portfolios marked-to-market
in current income for GAAP purposes but excluded from taxable income until
realized or settled, (ii) temporary differences related to amortization of net
premiums paid on investments and (iii) timing differences in the recognition
of certain realized gains and losses.

FIRST QUARTER 2013 DIVIDEND DECLARATION

On March 7, 2013, the Board of Directors of the Company declared a first
quarter dividend of $0.90 per share paid on April 26, 2013, to common
stockholders of record as of March 20, 2013. Since the August 2011 initial
public offering, the Company has declared and paid a total of $169.7 million
in dividends, or $5.50 per share.

After adjusting for the first quarter equity offering and accrued dividend,
the Company had approximately $26.6 million, or $0.45 per share, of
undistributed estimated taxable income as of March31, 2013.

FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO STATISTICS

The following tables include certain measures of operating performance, such
as 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 MORTGAGE INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(in thousands)
                March         December   September    June         March
                31, 2013      31, 2012   30, 2012     30, 2012     31, 2012
                (unaudited)   (audited)  (unaudited)  (unaudited)  (unaudited)
Assets:
 Agency       $        $      $          $       $     
securities, at  6,535,598               6,337,238   5,778,210    3,844,747
fair value                    6,367,042
 Non-agency
securities, at  727,351       681,403    552,787      337,645      128,941
fair value
 Linked
transactions,   -             -          -            -            16,241
at fair value
 Cash and
cash            311,252       157,314    156,269      153,969      79,161
equivalents
 Restricted   32,158        28,493     15,756       20,437       21,187
cash
 Interest     19,209        18,265     17,792       16,635       11,103
receivable
 Derivative
assets, at      52,149        23,043     15,030       4,848        6,178
fair value
Receivable
for securities  121,816       -          106,606      434,824      73,251
sold
 Receivable
under reverse   1,563,334     418,888    344,075      281,475      122,994
repurchase
agreements
 Other        480           1,692      746          557          486
assets
 Total        $        $      $          $       $     
assets          9,363,347               7,546,299   7,028,600    4,304,289
                              7,696,140
Liabilities:
 Repurchase   $        $      $          $       $     
agreements      6,137,343               6,117,783   5,399,160    3,567,398
                              6,245,791
 Payable for
securities      96,200        -          50,663       446,975      111,404
purchased
 Derivative
liabilities,    77,997        63,726     76,437       64,655       12,266
at fair value
 Dividend     53,075        32,368     32,636       32,636       9,011
payable
 Obligation
to return
securities
borrowed under
                1,558,429     421,077    347,367      280,956      121,889
 reverse
repurchase
agreements, at
fair value
 Accounts
payable and     10,476        7,616      7,073        3,394        2,874
other accrued
liabilities
 Total        7,933,520     6,770,578  6,631,959    6,227,776    3,824,842
liabilities
Stockholders'
equity:
 Preferred
stock, $0.01
par value;
50,000 shares

 authorized,  -             -          -            -            -
0 shares
issued and
outstanding,


respectively
 Common
stock, $0.01
par value;
300,000 shares

 authorized,
58,972,
35,964,         590           360        363          363          220
36,262, 36,262
and

 22,012
issued and
outstanding,
respectively
 Additional
paid-in         1,355,687     772,008    778,804      778,896      457,255
capital
 Retained     73,550        153,194    135,173      21,565       21,972
earnings
 Total
stockholders'   1,429,827     925,562    914,340      800,824      479,447
equity
 Total
liabilities     $        $      $          $       $     
and             9,363,347               7,546,299   7,028,600    4,304,289
stockholders'                 7,696,140
equity
Net book value  $        $      $       $       $     
per common         24.25          25.21                   
share                         25.74                  22.08       21.78



AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF OPERATIONS
(in thousands, except per share data)
(unaudited)
                      For the Three Months Ended
                      March        December   September    June       March
                      31, 2013     31, 2012   30, 2012     30, 2012   31, 2012
Interest income:
                      $       $      $        $      $   
 Agency securities  40,183      39,144     37,311      30,321    
                                                                      15,306
 Non-agency         11,293       10,511     6,949        4,298      1,271
securities
 Other              91           113        95           76         25
Interest expense      (8,036)      (8,288)    (7,329)      (4,786)    (1,664)
 Net interest       43,531       41,480     37,026       29,909     14,938
income
Other gains
(losses), net:
 Realized gain on
agency securities,    8,674        26,977     23,566       17,096     5,971
net
 Realized gain on
non-agency            1,419        828        952          -          -
securities, net
 Realized loss on
periodic settlements  (7,734)      (6,747)    (6,855)      (3,815)    (1,041)
of interest rate
swaps, net
 Realized gain
(loss) on other       (2,448)      (791)      (29,132)     (17,387)   562
derivatives and
securities, net
 Unrealized gain
(loss) on agency      (78,840)     (41,538)   95,477       65,511     4,006
securities, net
 Unrealized gain
(loss) on non-agency  30,478       29,804     33,118       (1,023)    2,411
securities, net
 Unrealized gain
and net interest      -            -          -            -          3,384
income on linked
transactions, net
 Unrealized gain
(loss) on other       (15,251)     5,631      (3,118)      (54,397)   (6,785)
derivatives and
securities, net
 Total other gains  (63,702)     14,164     114,008      5,985      8,508
(losses), net
Expenses:
 Management fees    4,444        3,005      2,945        2,606      1,082
 General and
administrative        1,777        1,509      1,415        1,059      1,035
expenses
 Total expenses     6,221        4,514      4,360        3,665      2,117
Income (loss) before  (26,392)     51,130     146,674      32,229     21,329
excise tax
 Excise tax         177          741        432          -          9
                      $        $      $         $      $   
Net income (loss)     (26,569)    50,389     146,242     32,229    
                                                                      21,320
Net income (loss)     $       $      $       $      $   
per common share -     (0.56)      1.40    4.03        1.15    
basic and diluted                                                     1.82
 Weighted average
number of common
shares outstanding -  47,469       36,105     36,262       28,129     11,724
basic

 and diluted
 Dividends          $       $      $       $      $   
declared per common     0.90      0.90    0.90        0.90    
share                                                                 0.90



AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
RECONCILIATIONS OF GAAP NET INTEREST INCOME TO NET SPREAD INCOME
(in thousands, except per share data)
(unaudited)
                     For the Three Months Ended
                     March      December     September    June       March
                     31, 2013   31, 2012     30, 2012     30, 2012   31, 2012
Interest income:
 Agency            $      $         $        $      $    
securities           40,183    39,144      37,311      30,321    15,306
 Non-agency
securities and       11,384     10,624       7,044        4,374      1,296
other
Interest expense     (8,036)    (8,288)      (7,329)      (4,786)    (1,664)
 Net interest     43,531     41,480       37,026       29,909     14,938
income
 Net interest
income on
non-agency           -          -            -            -          708
securities
underlying Linked
Transactions
 Realized loss on
periodic
settlements of       (7,734)    (6,747)      (6,855)      (3,815)    (1,041)
interest rate
swaps, net
 Adjusted net      35,797     34,733       30,171       26,094     14,605
interest income
 Operating          (6,221)    (4,514)      (4,360)      (3,665)    (2,117)
expenses
 Net spread        $      $         $        $      $    
income               29,576    30,219      25,811      22,429    12,488
Weighted average
number of common     47,469     36,105       36,262       28,129     11,724
shares outstanding
- basic and diluted
 Net spread
income per common    $      $       $       $      $    
share – basic and      0.62  0.84         0.71        0.80    1.07
diluted



AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
RECONCILIATIONS OF GAAP NET INCOME TO ESTIMATED TAXABLE INCOME
(in thousands, except per share data)
(unaudited)
                       For the Three Months Ended
                       March        December   September   June       March
                       31, 2013     31, 2012   30, 2012    30, 2012   31, 2012
                       $        $      $       $      $   
Net income (loss)      (26,569)    50,389    146,242    32,229    
                                                                      21,320
Estimated book to tax
differences:
 Unrealized (gains)
and losses, net
 Agency securities   78,840       41,538     (95,477)    (65,511)   (4,006)
 Non-agency          (30,478)     (29,804)   (33,118)    1,023      (2,411)
securities
 Non-agency
securities             -            -          -           -          (2,676)
underlyingLinked
Transactions
 Derivatives and     15,251       (5,631)    3,118       54,397     6,785
other securities
 Premium             1,864        297        4,104       3,206      (265)
amortization, net
 Realized (gains)    (1,360)      (2,404)    22,846      (441)      (486)
losses
 Excise tax and      206          750        373         19         24
other
Total book to tax      64,323       4,746      (98,154)    (7,307)    (3,035)
difference
Estimated taxable      $       $      $       $      $   
income                 37,754       55,135     48,088   24,922    
                                                                      18,285
Weighted average
number of common       47,469       36,105     36,262      28,129     11,724
shares outstanding -
basic and diluted
Net estimated taxable                          $                  $   
income per common      $       $               $        
share – basic and        0.80       1.53  1.33         0.89  1.56
diluted



AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
KEY PORTFOLIO STATISTICS*
(in thousands, except per share data)
(unaudited)
                For the Three Months Ended
                March        December     September    June         March
                31, 2013     31, 2012     30, 2012     30, 2012     31, 2012
Ending agency   $          $          $          $          $  
securities, at  6,535,598   6,367,042   6,337,238   5,778,210   3,844,747
fair value
Ending agency   $          $          $          $          $  
securities, at  6,477,165   6,229,770   6,158,427   5,694,876   3,826,924
cost
Ending agency   $          $          $          $          $  
securities, at  6,117,534   5,904,666   5,856,319   5,435,087   3,674,668
par
Average agency  $          $          $          $          $  
securities, at  6,012,033   5,841,326   6,011,801   4,475,694   1,967,996
cost
Average agency  $          $          $          $          $  
securities, at  5,692,708   5,542,727   5,726,255   4,286,028   1,872,616
par
Ending
non-agency      $        $        $        $        $    
securities, at  727,351      681,403      552,787      337,645      180,786
fair value
^(1)
Ending
non-agency      $        $        $        $        $    
securities, at  632,178      616,707      517,896      335,872      177,992
cost^(1)
Ending
non-agency      $          $          $        $        $    
securities, at  1,050,021   1,045,891   879,042      559,468      286,229
par^(1)
Average
non-agency      $        $        $        $        $    
securities, at  618,957      605,956      399,704      235,875      107,491
cost ^(1)
Average
non-agency      $          $          $        $        $    
securities, at  1,040,534   1,026,030   664,628      386,021      182,900
par^(1)
Net long TBA
position - as   $          NM         NM         NM         NM
of period end,  4,490,697
at fair value
Average TBA
dollarroll     $        NM         NM         NM         NM
position, at    746,793
cost
Average total   $          $          $          $          $  
assets, at      8,222,549   7,334,654   7,527,346   5,196,997   2,269,192
fair value
Average
repurchase      $          $          $          $          $  
agreements      5,832,005   5,894,642   5,834,747   4,211,603   1,894,945
^(1)
Average         $          $        $        $        $    
stockholders'   1,180,931   915,085      851,093      652,091      279,490
equity
Average coupon  3.17%        3.23%        3.32%        3.42%        3.64%
^(2)
Average asset   3.11%        3.08%        2.76%        2.94%        3.36%
yield^(2)
Average cost    (1.10)%      (1.01)%      (0.96)%      (0.82)%      (0.61)%
of funds^(3)
Average net
interest rate   2.01%        2.07%        1.80%        2.12%        2.75%
spread
Average net
interest rate
spread,
including       2.27%        NM           NM           NM           NM
estimated TBA
dollar roll
income ^(4)
Average actual
CPR for agency
securities      6.3%         6.5%         6.7%         4.7%         5.7%
held during
the period
Average
projected life
CPR for agency  8.3%         9.3%         12.7%        9.5%         7.3%
securities as
of period end
Leverage-
average during  4.9x         6.4x         6.9x         6.5x         6.8x
the period^(5)
Leverage-
average during
the period,     5.6x         NM           NM           NM           NM
including TBA
dollar
rollposition
Leverage- as
of period end   4.3x         6.7x         6.6x         6.8x         7.6x
^(6)
Leverage- as
of period end,  7.4x         NM           NM           NM           NM
including net
TBA position
Expenses % of
average total   0.3%         0.2%         0.2%         0.3%         0.4%
assets
Expenses % of
average         2.1%         2.0%         2.0%         2.3%         3.0%
stockholders'
equity
Net book value
per common      $       $       $       $       $    
share as of      24.25       25.74       25.21       22.08        21.78
period end
Dividends       $       $       $       $       $    
declared per      0.90       0.90       0.90       0.90        0.90
common share
Net return on
average         (9.10)%      21.80%       68.20%       19.80%       30.60%
stockholders'
equity

* Average numbers for each period are weighted based on days on the Company's
books and records. All percentages are annualized.
NM = Not meaningful. Prior to the first quarter of 2013, the Company's net TBA
position consisted of short TBAs used for hedging purposes.
          If the Company purchases investment securities and finances the
          purchase with a repurchase agreement with the same counterparty that
          is entered into simultaneously or in contemplation of the purchase,
^(1)      the purchase commitment and repurchase agreement are recorded net
          for GAAP purposes on the financial statements as a derivative
          ("Linked Transaction"). As of March 31, 2013 and December 31, 2012,
          the Company had no Linked Transactions.
^(2)      Weighted average coupon and asset yields include securities
          classified as Linked Transactions on the consolidated balance sheet.
          Weighted average cost of funds includes interest expense on
^(3)      repurchase agreements underlying Linked Transactions and periodic
          settlements of interest rate swaps.
          Estimated TBA dollar roll income is net of short TBAs used for
^(4)      hedging purposes. Dollar roll income excludes the impact of other
          supplemental hedges, and is recognized in gain (loss) on derivative
          instruments and other securities, net.
          Leverage during the period was calculated by dividing the Company's
^(5)      daily weighted average repurchase agreements (including those
          related to Linked Transactions), for the period by the Company's
          average month-ended stockholders' equity for the period.
          Leverage at period end was calculated by dividing the sum of the
          amount outstanding under the Company's repurchase agreements, the
^(6)      amount outstanding under repurchase agreements recorded as Linked
          Transactions and the net receivable/payable for unsettled securities
          at period end by the Company's stockholders' equity at period end.



STOCKHOLDER CALL

MTGE invites shareholders, prospective shareholders and analysts to attend the
MTGE shareholder call on May 6, 2013 at 10:00 am ET. The call can be accessed
through a live webcast, free of charge, at www.MTGE.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 Mortgage shareholder
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.MTGE.com. Select the Q1 2013 Earnings Presentation link to download and
print the presentation in advance of the shareholder call.

An archived audio of the shareholder call combined with the slide presentation
will be made available on the MTGE website after the call on May 6, 2013. In
addition, there will be a phone recording available from 12:00 pm ET May 6,
2013 until 9:00 am ET May 20, 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 10027710.

For further information or questions, please contact our Investor Relations
Department at (301) 968-9220 or IR@MTGE.com.

ABOUT AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.

American Capital Mortgage Investment Corp. is a real estate investment trust
formed in 2011 that invests in and manages a leveraged portfolio of agency
mortgage investments, non-agency mortgage investments and other
mortgage-related investments. The Company is externally managed and advised by
American Capital MTGE Management, LLC, an affiliate of American Capital, Ltd.
("American Capital"). For further information please refer to www.MTGE.com.

ABOUT AMERICAN CAPITAL

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 $21.2 billion of assets, including assets
on its balance sheet and fee earning assets under management by affiliated
managers, with $117 billion of total assets under management (including
levered assets). Through an affiliate, American Capital manages publicly
traded American Capital Agency Corp. (Nasdaq: AGNC) with approximately a $13
billion market capitalization and American Capital Mortgage Investment Corp.
(Nasdaq: MTGE) with approximately a $1.5 billion 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 our
assets, general economic conditions, market conditions, conditions in the
market for agency and non-agency securities and mortgage related investments,
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.

GAAP interest income does not include interest earned on non-agency securities
underlying our Linked Transactions, and GAAP interest expense does not include
either interest related to repurchase agreements underlying our Linked
Transactions, or periodic settlements associated with undesignated interest
rate swaps. Interest income and expense related to Linked Transactions is
reported within unrealized loss and net interest income on linked
transactions, net and periodic interest settlements associated with
undesignated interest rate swaps are reported in realized gain (loss) on
periodic settlements of interest rate swaps on our consolidated statement of
operations. As we believe that these items are beneficial to the understanding
of our investment performance, we provide a non-GAAP measure called adjusted
net interest income, which is comprised of net interest income plus the net
interest income related to Linked Transactions, less net periodic settlements
of interest rates swaps. Additionally, we present net spread income as a
measure of our operating performance. Net spread income is comprised of
adjusted net interest income, less total operating expenses. Net spread
income excludes all unrealized gains or losses due to changes in fair value,
realized gains or losses on sales of securities, realized losses associated
with derivative instruments and income taxes.

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) temporary
differences for unrealized gains and losses on derivative instruments and
investment securities recognized in current income for GAAP but excluded from
estimated taxable income until realized or settled, (ii) temporary differences
related to the amortization of premiums and discounts paid on investments, and
(iii) timing differences in the recognition of certain realized gains and
losses. Furthermore, taxable income can include certain estimated information
and 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 our net spread income,
estimated taxable income and certain financial metrics derived from such
non-GAAP financial information, 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 incomplete measures of the Company's
financial performance and involve differences from net income computed in
accordance with GAAP, they 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, our presentation of net spread
income and estimated taxable income may not be comparable to other
similarly-titled measures of other companies. 

CONTACT:
Investors - (301) 968-9220
Media - (301) 968-9400

SOURCE American Capital Mortgage Investment Corp.

Website: http://www.MTGE.com