On February 10, Freddie Mac announced that it will purchase substantially all mortgage loans that are 120 days or more delinquent from the company's related fixed-rate and adjustable-rate (“ARM”) mortgage Participation Certificate (“PC”) securities and Fannie Mae announced that it intends to increase significantly its purchases of delinquent loans from single-family MBS trusts. Freddie Mac will purchase substantially all of the delinquent loans in February 2010. Fannie Mae will begin to purchase delinquent loans in March 2010 and expects to purchase a significant portion of their current delinquent population within a few month period, subject to market, servicer capacity, and other constraints.
Both entities released tables detailing delinquency rates and unamortized principal balances for generic amortizing 30 year pools. Freddie Mac also released tables summarizing serious delinquency rates for interest-only fixed rates, ARMs, and 15 year mortgages.
In light of these developments, the Company is providing information regarding its portfolio holdings as of January 31, 2010, which totaled $3.5 billion of unamortized principal balance (“UPB”).
The Company believes that certain characteristics, such as having higher coupon or interest-only mortgages or having mortgages that were originated during certain periods, render a mortgage pool particularly susceptible to having seriously delinquent mortgages subject to the announced GSE buyouts. The following table includes a summary of the Company’s portfolio holdings of securities backed by mortgage pools with these characteristics:
AGNC UPB as of January 31, 2010
(unaudited)
(in thousands)
Freddie
Fannie Mae Mac Total
---------- -------- -----
Fixed-Rate
Coupons >/= 6.5% $10,975 $- $10,975
Interest-only with
coupons < 6.5% 112,839 4,241 117,080
2006 and 2007 vintages,
with coupons < 6.5%,
excluding interest-only
(1) 81,774 16,285 98,059
-------- ------- --------
Total $205,588 $20,526 $226,114
======== ======= ========
ARM
Coupons >/= 6% $20,791 $5,399 $26,190
Coupons >/= 5.5% and
< 6% 146,862 135,876 282,738
Interest-only with
coupons >/= 5% and
< 5.5% 149,182 35,998 185,180
------- ------ -------
Total $316,835 $177,273 $494,108
======== ======== ========
The following tables include details of the Company’s portfolio holdings of pass-through securities, as of January 31, 2010, excluding $574.7 million of collateralized mortgage obligations (“CMO”) and $10.4 million of Ginnie Mae securities. The Company’s CMO holdings are backed by higher coupon, interest-only fixed and adjustable-rate securities and were originally structured such that the CMO securities held by the Company receive no principal pay downs until between 25 and 30% of the underlying collateral pays off.
AGNC UPB in Freddie Mac Loans in PC Pools,
By Loan Origination Year
As of January 31, 2010(1)
(unaudited)
(in thousands)
<4.5% 4.5% 5.0% 5.5%
Coupon Coupon Coupon Coupon
------ ------ ------ ------
Fixed-rate
----------
30-year
maturity --
Loan
origination
year:
2010 $- $- $10,358 $3,191
2009 - - 95,571 30,343
2008 - - - -
2007 - - - -
2006 - - - -
2005 - - - -
2004 and
prior - - 21,931 -
--- --- ------ ---
Total $- $- $127,860 $33,533
=== === ======== =======
15-year
maturity --
Loan
origination
year:
2010 $- $31,741 $- $-
2009 - 22,404 - -
2008 - - - -
2007 - - - -
2006 - - - -
2005 - - 10,297 -
2004 and
prior - 1,939 - -
--- ----- --- ---
Total $- $56,084 $10,297 $-
=== ======= ======= ===
Initial
Interest --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - - -
2007 - - - -
2006 - - - -
2005 - - - -
2004 and
prior - - - -
--- --- --- ---
Total $- $- $- $-
=== === === ===
Total Fixed
Rate $- $56,084 $138,156 $33,533
=== ======= ======== =======
Hybrid Arm
----------
Fully
Amortizing
--
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - 22,487 -
2007 - - - 17,687
2006 - - - 91,097
2005 - 12,705 178,110 -
2004 and
prior - 36,151 60,858 -
--- ------ ------ ---
Total $- $48,855 $261,455 $108,783
=== ======= ======== ========
Interest-
only --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - 8,280 -
2007 - - - 22,508
2006 - - 23,104 4,585
2005 - 20,168 4,614 -
2004 and
prior - - - -
--- --- --- ---
Total $- $20,168 $35,998 $27,093
=== ======= ======= =======
Total Hybrid
Arm $- $69,024 $297,453 $135,876
=== ======= ======== ========
6.0% 6.5% >7.0%
Coupon Coupon Coupon Total
------ ------ ------ -----
Fixed-rate
----------
30-year
maturity --
Loan
origination
year:
2010 $- $- $- $13,548
2009 1,046 - - 126,959
2008 - - - -
2007 - - - -
2006 16,285 - - 16,285
2005 - - - -
2004 and
prior - - - 21,931
--- --- --- ------
Total $17,330 $- $- $178,723
======= === === ========
15-year
maturity --
Loan
origination
year:
2010 $- $- $- $31,741
2009 - - - 22,404
2008 - - - -
2007 - - - -
2006 - - - -
2005 - - - 10,297
2004 and
prior - - - 1,939
--- --- --- -----
Total $- $- $- $66,381
=== === === =======
Initial
Interest --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - - -
2007 4,241 - - 4,241
2006 - - - -
2005 - - - -
2004 and
prior - - - -
--- --- --- ---
Total $4,241 $- $- $4,241
====== === === ======
Total Fixed
Rate $21,572 $- $- $249,345
======= === === ========
Hybrid Arm
----------
Fully
Amortizing
--
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - - 22,487
2007 - - - 17,687
2006 - - - 91,097
2005 - - - 190,815
2004 and
prior - - - 97,008
--- --- --- ------
Total $- $- $- $419,093
=== === === ========
Interest-
only --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 5,047 - - 13,327
2007 351 - - 22,859
2006 - - - 27,690
2005 - - - 24,782
2004 and
prior - - - -
--- --- --- ---
Total $5,399 $- $- $88,658
====== === === =======
Total Hybrid
Arm $5,399 $- $- $507,751
====== === === ========
AGNC UPB in Fannie Mae Loans in PC Pools,
By Loan Origination Year
As of January 31, 2010(1)
(unaudited)
(in thousands)
<4.5% 4.5% 5.0% 5.5%
Coupon Coupon Coupon Coupon
------ ------ ------ ------
Fixed-rate
----------
30-year
maturity --
Loan
origination
year:
2010 $- $- $21,637 $5,390
2009 - 3,765 109,437 51,629
2008 - - 1,760 9,791
2007 - - - -
2006 - - - -
2005 - - - -
2004 and
prior 3,570 - 502,015 44,892
----- --- ------- ------
Total $3,570 $3,765 $634,849 $111,702
====== ====== ======== ========
15-year
maturity --
Loan
origination
year:
2010 $- $- $- $-
2009 - 99,638 - -
2008 - - - -
2007 - - - -
2006 - - - 33,390
2005 - - - -
2004 and
prior - - 2,531 -
--- --- ----- ---
Total $- $99,638 $2,531 $33,390
=== ======= ====== =======
Initial
Interest --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 - - - 6,948
2007 - - - -
2006 - - - -
2005 - - - -
2004 and
prior - - - -
--- --- --- ---
Total $- $- $- $6,948
=== === === ======
Total Fixed
Rate $3,570 $103,403 $637,381 $152,039
====== ======== ======== ========
Hybrid Arm
----------
Fully
Amortizing
--
Loan
origination
year:
2010 $13,845 $- $- $-
2009 33,187 - - -
2008 - - 43,159 -
2007 - 2,557 - 40,749
2006 - - 127,890 2,874
2005 - 283,569 64,494 -
2004 and
prior 8,804 6,346 13,793 -
----- ----- ------ ---
Total $55,836 $292,472 $249,336 $43,623
======= ======== ======== =======
Interest-
only --
Loan
origination
year:
2010 $50,316 $1,728 $- $-
2009 63,141 36,014 - -
2008 - - - -
2007 - - - 14,207
2006 - - 19,563 89,032
2005 - 4,101 118,831 -
2004 and
prior - - 10,788 -
--- --- ------ ---
Total $113,457 $41,843 $149,182 $103,239
======== ======= ======== ========
Total Hybrid
Arm $169,293 $334,316 $398,518 $146,862
======== ======== ======== ========
6.0% 6.5% >7.0%
Coupon Coupon Coupon Total
------ ------ ------ -----
Fixed-rate
----------
30-year
maturity --
Loan
origination
year:
2010 $- $- $- $27,026
2009 - - - 164,831
2008 29,662 - - 41,214
2007 47,436 - - 47,436
2006 948 - - 948
2005 12,115 - - 12,115
2004 and
prior - - - 550,478
--- --- --- -------
Total $90,161 $- $- $844,047
======= === === ========
15-year
maturity --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - 99,638
2008 - - - -
2007 - - - -
2006 - 9,606 - 42,996
2005 - - - -
2004 and
prior - - - 2,531
--- --- --- -----
Total $- $9,606 $- $145,165
=== ====== === ========
Initial
Interest --
Loan
origination
year:
2010 $- $- $- $-
2009 - - - -
2008 52,303 - - 59,251
2007 35,722 - - 35,722
2006 17,866 - 1,369 19,236
2005 - - - -
2004 and
prior - - - -
--- --- --- ---
Total $105,891 $- $1,369 $114,208
======== === ====== ========
Total Fixed
Rate $196,052 $9,606 $1,369 $1,103,420
======== ====== ====== ==========
Hybrid Arm
----------
Fully
Amortizing
--
Loan
origination
year:
2010 $- $- $- $13,845
2009 - - - 33,187
2008 - - - 43,159
2007 6,213 - - 49,520
2006 5,681 - - 136,445
2005 - - - 348,063
2004 and
prior - - - 28,942
--- --- --- ------
Total $11,894 $- $- $653,162
======= === === ========
Interest-
only --
Loan
origination
year:
2010 $- $- $- $52,044
2009 - - - 99,155
2008 - - - -
2007 3,832 - - 18,039
2006 5,065 - - 113,659
2005 - - - 122,932
2004 and
prior - - - 10,788
--- --- --- ------
Total $8,897 $- $- $416,617
====== === === ========
Total Hybrid
Arm $20,791 $- $- $1,069,779
======= === === ==========
(1) The year of origination (“vintage”) for a particular pool was calculated based on the weighted average age of each of the individual securities in the pool. As these securities generally are comprised of individual loans originated in different years, the actual distribution of the loans could differ materially from what is presented above.
AGNC’s February 8, 2010 earnings release includes additional information regarding the potential buyouts by the GSEs. The Company encourages shareholders and potential investors to review the Company’s earnings materials. An archived audio of the stockholder call combined with the slide presentation is available on the Company’s website, www.AGNC.com. In addition, a phone recording is available until 11:59 pm ET February 22. If you are interested in hearing the recording of the presentation, please dial (800) 642-1687 (U.S. domestic) or +1 (706) 645-9291 (international). The conference ID number is 52724001.
For further information or questions, please do not hesitate to call AGNC’s Investor Relations Department at (301) 968-9300 or send an email to IR@AGNC.com.
ABOUT AGNC
AGNC is a REIT that invests exclusively 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 an affiliate of American Capital, Ltd. (“American Capital”). For further information, please refer to www.AGNC.com.
ABOUT AMERICAN CAPITAL
American Capital 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. Founded in 1986, American Capital has $12 billion(2) in capital resources under management and eight offices in the U.S., Europe and Asia. 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 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.
(2) As of September 30, 2009.
CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9400
SOURCE American Capital Agency Corp.
RELATED LINKS
http://www.AGNC.com