It's all about book value at American Capital

|By:, SA News Editor

American Capital Agency (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

Conference call set for 8:30 ET