Another slide in book value at American Capital; early Q1 looking good

|By:, SA News Editor

Net spread and dollar roll income of $0.75 per share. Net interest spread of 1.39% is up 2 basis points from Q3. Estimated taxable income of $0.65 per share equals the dividend.

Book value per share of $23.93 is off $1.34 or 5% from the end of Q3.

28.2M shares or 7% of the float repurchased during Q at average price of $20.82 each. Share repurchase program is boosted by $1B to $2B.

Portfolio size of $68.2B with leverage at 7.5x. CPR of 8% during the quarter.

CIO Kain sounds like he caught the nice move lower in rates this year: "Market conditions (at year's end) were decidedly more stable and many of the idiosyncratic risks that we faced earlier in the year had abated ... As such, we were considerably more comfortable positioning the portfolio with a larger duration gap as we moved forward toward a more normal balance between risk and return. Given the decline in interest rates and the strong performance of agency MBS in January, we have already seen a meaningful increase in our book value."

CC tomorrow at 11 ET

AGNC was initially down about 3% AH, but the last trade shows the shares flat at $21.06, a 12% discount to Dec. 31 book.