AGNC Reports $1.01 Earnings Per Share, $19.26 Book Value Per Share and Announces...

AGNC Reports $1.01 Earnings Per Share, $19.26 Book Value Per Share and
Announces Organizational Changes

BETHESDA, Md., April 29 /PRNewswire-FirstCall/ -- American Capital Agency
Corp. ("AGNC" or the "Company") (Nasdaq: AGNC) today reported net income for
the first quarter of 2009 of $15.1 million, or $1.01 per share.

FIRST QUARTER 2009 HIGHLIGHTS
-- Declared a dividend of $0.85 per share
-- Net income of $15.1 million, or $1.01 per share
-- 22.4% annualized return on average stockholders' equity for the
quarter
-- Average net interest rate spread of 3.02% for the quarter
-- $2.3 billion agency securities portfolio at fair value as of March 31,
2009
-- 7.0x(1) leverage as of March 31, 2009

-- $19.26 book value per share as of March 31, 2009

ORGANIZATIONAL CHANGES
American Capital, Ltd. ("ACAS") announced several changes involving American
Capital Agency Management, LLC ("Management Company"), AGNC's manager and a
wholly-owned ACAS affiliate. Gary Kain will be promoted to President and Chief
Investment Officer of the Management Company. He is at present Senior
Vice-President of the Management Company and also serves as AGNC's Senior
Vice-President and Chief Investment Officer. In addition, Mr. Kain and several
other ACAS employees are expected to transfer to become full-time employees of
the Management Company, providing the Company with a dedicated investment team
and support personnel. Under the changed structure, the Management Company's
employees will be able to receive incentive compensation based directly on
AGNC's performance and to make personal investments in AGNC. The new structure
is intended to become effective by the end of the Q2 2009.

"I am proud of the accomplishments we made this quarter in repositioning our
investment portfolio and prudently increasing our leverage," said Gary Kain,
Chief Investment Officer. "Capitalizing on the improved market conditions, we
were able to generate a 22.4% return on equity and pay a $0.85 per share
dividend in the first quarter of 2009. We were successful in diversifying our
portfolio into a broader array of agency securities and in sourcing assets
with favorable prepayment characteristics. As part of the repositioning
activities, we generated $4.8 million in net gains for the quarter. Our
strategy this quarter did not include the use of any mortgage options."

"I believe AGNC is well positioned to take advantage of today's dynamic market
environment," continued Mr. Kain. "In addition to continuously seeking to
enhance and evolve our portfolio holdings in order to maximize risk-adjusted
returns for our stockholders, I feel the organizational changes announced
today will further enhance value for AGNC stockholders and be beneficial to
all of the parties involved."

FIRST QUARTER 2009 DIVIDEND DECLARATION
On March 23, 2009, the Board of Directors of the Company declared a first
quarter 2009 dividend of $0.85 per share to record holders as of April 2,
2009, which was paid on April 27, 2009. To date, AGNC has paid a total of
$50.4 million in dividends, or $3.36 per share, since its May 2008 initial
public offering.

INVESTMENT PORTFOLIO
As of March 31, 2009, the Company's investment portfolio totaled $2.3 billion
of agency securities at fair value, comprised of $1.4 billion of fixed rate
agency securities and $0.9 billion of adjustable rate agency securities. As of
March 31, 2009, AGNC's investment portfolio was comprised of 50% 30-year fixed
rate securities, 9% 40-year fixed rate securities, 2% 15-year fixed rate
securities and 39% adjustable rate securities. AGNC's investment portfolio was
comprised of 100% fixed rate assets as of December 31, 2008 with 90% in
30-year fixed rate securities and 10% in 40-year fixed rate securities.

ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE SPREAD
During the quarter, the annualized weighted average yield on average earning
assets was 5.13% and the annualized average cost of funds, including interest
rate swaps and terminated swap amortization expense, was 2.11%, which resulted
in a net interest rate spread of 3.02%. As of March 31, 2009, the weighted
average yield on earning assets was 4.52% and the weighted average cost of
funds, including interest rate swaps and terminated swap amortization expense,
was 2.05%, which resulted in a net interest rate spread of 2.47% as of March
31, 2009.

The Company's expected CPR for the remaining life of its investments as of
March 31, 2009 was 31%. The actual CPR for the first quarter was 20% for
agency securities held during the quarter, while the 1 month CPR for AGNC's
investment portfolio as of March 31, 2009 was 15% following the repositioning
of the portfolio to assets with more favorable prepayment characteristics.

The weighted average cost basis of the investment portfolio was 102.7% as of
March 31, 2009. The amortization of premiums (net of any accretion of
discounts) on the investment portfolio for the quarter was $3.4 million, or
$0.23 per share. The unamortized net premium as of March 31, 2009 was $57.8
million.

LEVERAGE AND HEDGING ACTIVITIES
As of March 31, 2009, the Company's $2.3 billion investment portfolio was
financed with $1.8 billion of repurchase agreements and $0.3 billion of equity
capital, resulting in a leverage ratio of 6.4x. When adjusted for the net
liability for agency securities not yet settled, the leverage ratio was 7.0x
as of March 31, 2009. Of the $1.8 billion borrowed under repurchase agreements
as of March 31, 2009, $0.7 billion had original maturities of 30 days or less,
$1.0 billion had original maturities greater than 30 days and less than 60
days and the remaining $0.1 billion had original maturities of 61 days or
more. As of March 31, 2009, the Company has repurchase agreements with 14
counterparties, with no more than 9% of our stockholders' equity at risk with
a single counterparty.

The Company's swap positions as of March 31, 2009 totaled $0.7 billion in
notional amount at an average fixed pay rate of 3.10%, an average receive rate
of 0.53% and a weighted average maturity of 31 months. During the quarter,
AGNC terminated $200.0 million notional amount of interest rate swaps with a
weighted average remaining term of 15 months realizing a loss of $6.6 million,
which will be amortized for GAAP and taxable income over the remaining
original life of the terminated swaps. Additionally, AGNC entered into three
interest rate swaps with a combined notional amount of $250.0 million, an
average term of approximately 52 months and a weighted average fixed pay rate
of 2.11%.

As of March 31, 2009, the Company's book value per common share was $19.26, or
$2.06 higher than the December 31, 2008 book value per common share of $17.20.

Financial highlights for the quarter are as follows:

AMERICAN CAPITAL AGENCY CORP.
CONSOLIDATED BALANCE SHEET
(in thousands)

March 31, 2009 December 31, 2008
-------------- -----------------
(unaudited)
Assets:
Agency securities, at fair value
(including pledged assets of
$2,060,748 and $1,522,001, respectively) $2,257,474 $1,573,383
Cash and cash equivalents 53,774 56,012
Restricted cash 25,168 18,692
Interest receivable 10,474 7,851
Receivables for agency securities sold 38,148 -
Other assets 257 387
--- ---
Total assets $2,385,295 $1,656,325
========== ==========

Liabilities:
Repurchase arrangements $1,849,473 $1,346,265
Payable for agency securities purchased 207,220 -
Accrued interest payable 1,428 3,664
Derivative liabilities, at fair value 24,441 29,277
Dividend payable 12,754 18,006
Due to Manager 665 714
Accounts payable and other liabilities 353 248
--- ---
Total liabilities 2,096,334 1,398,174
--------- ---------
Stockholders' equity:
Preferred stock, $0.01 par value; 10,000
shares authorized, 0 shares issued and
outstanding, respectively - -
Common stock, $0.01 par value; 150,000
shares authorized, 15,005 shares issued
and outstanding, respectively 150 150
Additional paid-in capital 285,924 285,917
Retained earnings (accumulated deficit) 75 (2,310)
Accumulated other comprehensive
income (loss) 2,812 (25,606)
----- -------
Total stockholders' equity 288,961 258,151
------- -------

Total liabilities and
stockholders' equity $2,385,295 $1,656,325
========== ==========

AMERICAN CAPITAL AGENCY CORP.
CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)
(in thousands, except per share data)

Three months ended
--------------------
March 31, 2009 December 31, 2008
-------------- -----------------
Interest income:
Interest income $22,351 $17,132
Interest expense 8,129 10,331
----- ------
Net interest income 14,222 6,801
------ -----
Other income:
Gain from sale of agency
securities, net 4,818 5
(Loss) gain from derivative
instruments, net (1,530) 6,286
------ -----
Total other income 3,288 6,291

Expenses:
Management fees 903 927
General and administrative expenses 1,468 1,213
----- -----
Total expenses 2,371 2,140
----- -----

Net income $15,139 $10,952
======= =======

Net income per common share
- basic and diluted $1.01 $0.73

Weighted average number of common shares
outstanding - basic and diluted 15,000 15,000

Dividends declared per common share $0.85 $1.20

AMERICAN CAPITAL AGENCY CORP.
KEY PORTFOLIO CHARACTERISTICS
(unaudited)
(in thousands, except per share data)

Three months ended
------------------
March 31, 2009 December 31, 2008
-------------- -----------------

Average agency securities $1,738,321 $1,604,087
Average total assets $1,968,190 $1,662,882
Average repurchase agreements $1,537,798 $1,355,267
Average stockholders' equity $274,278 $263,970

Fixed rate agency securities
- as of period end $1,387,278 $1,573,383
Adjustable-rate agency securities
- as of period end $870,196 $-

Average asset yield(1) 5.13% 4.24%
Average cost of funds(2) 2.03% 3.05%
Average cost of funds -
terminated swap amortization
expense(3) 0.08% 0.00%
Net interest rate spread(4) 3.02% 1.19%
Net return on average
stockholders' equity(5) 22.38% 16.46%

Leverage (average during the
period)(6) 5.6:1 5.1:1
Leverage (as of period end)(7) 7.0:1 5.2:1

Annualized expenses % of average
total assets (8) 0.49% 0.51%
Annualized expenses % of average
stockholders' equity (9) 3.51% 3.22%

Book value per common share as of
period end (10) $19.26 $17.20

* Average numbers for each period are weighted based on days on the
Company's books and records. All percentages are annualized.
(1) Weighted average asset yield for the period was calculated by
dividing our average interest income on agency securities less
average amortization of premiums and discounts by our average
agency securities.
(2) Weighted average cost of funds for the period was calculated by
dividing our total interest expense by our weighted average
repurchase agreements. Total interest expense excludes amortization
expense related to the fair value of terminated swaps during the
first quarter of 2009.
(3) Represents amortization expense associated with the termination of
swaps of $0.3 million for the first quarter of 2009 and $0.0 million
for the fourth quarter of 2008.
(4) Net interest rate spread for the period was calculated by subtracting
our weighted average cost of funds, net of interest rate swaps and
terminated swap amortization expense, from our weighted average asset
yield.
(5) Net return on average stockholders' equity for the period was
calculated by dividing our net income by our average stockholders'
equity.
(6) Leverage during the period was calculated by dividing our average
repurchase agreements outstanding by our average stockholders'
equity.
(7) Leverage at period end was calculated by dividing the amount
outstanding under our repurchase agreements and net liabilities for
unsettled securities by our total stockholders' equity at period end.
(8) Annualized expenses as a % of average total assets was calculated by
dividing our total expenses by our average total assets.
(9) Annualized expenses as a % of average stockholders' equity was
calculated by dividing our total expenses by our average
stockholders' equity.
(10) Book value per common share was calculated by dividing our total
stockholders' equity by our number of common shares outstanding.

SHAREHOLDER CALL
AGNC invites shareholders, prospective shareholders and analysts to attend the
AGNC shareholder call on April 30, 2009 at 11:00 am ET. The shareholder call
can be accessed through a live webcast at www.AGNC.com or by dialing (800)
553-5275 (U.S. domestic) or +1 (612) 332-0725 (international). Please advise
the operator you are dialing in for the AGNC shareholder call.

An archived audio of the shareholder call combined with the slide presentation
will be made available on our website after the call on April 30, 2009. In
addition, there will be a phone recording available from 2:00 pm ET on April
30, 2009 until 11:59 pm ET on May 14, 2009. If you are interested in hearing
the recording of the presentation, please dial (800) 475-6701 (U.S. domestic)
or +1 (320) 365-3844 (international). The access code for both domestic and
international callers is 996569.

For further information or questions, please do not hesitate to call our
Investor Relations Department at (301) 968-9300 or send an email to
IR@AGNC.com.

ABOUT AGNC
AGNC is a REIT formed in 2008 to invest 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. 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 $14 billion(2) in capital resources
under management and ten 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.

(1) Leverage calculated as total repurchase agreements ($1,849 million)
plus payable for agency securities purchased but not yet settled
($207 million) less receivable for agency securities sold but not yet
settled ($38 million) over total stockholders' equity ($289 million).
(2) As of December 31, 2008.

CONTACT:
Investors - (301) 968-9300
Media - (301) 968-9400

SOURCE American Capital Agency Corp.

Investors, +1-301-968-9300, or Media, +1-301-968-9400, both of American
Capital Agency Corp.