- American Capital Agency (NASDAQ:AGNC) +4.4% premarket after book value fell just 11.8% in Q2 to $25.51 (with the stock yesterday closing at a 14.3% discount)
- Despite a near-calamitous couple of quarters, the company reports access to funding was uninterrupted and the average "haircut" on repo borrowings was unchanged
- Funding costs of 1.43% vs. 1.28% in Q1 due to entering into longer-dated swaps
- Falling book value required portfolio size to be cut to maintain leverage level
- $91.7B investment portfolio vs. $103.6B in Q1; leverage still increases to 8.5x from 8.1x
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Conference call set for 8:30 ET