Anworth Announces First Quarter 2013 Financial Results

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Anworth Announces First Quarter 2013 Financial Results

SANTA MONICA, Calif.--(BUSINESS WIRE)-- Anworth Mortgage Asset Corporation (NYS: ANH) today reported core earnings available to common stockholders of $22.2 million, or $0.15 per diluted share, for the first quarter ended March 31, 2013. Core earnings consisted of $23.6 million of net income less $1.4 million of dividends paid to our preferred stockholders. This compares to core earnings of $21.9 million, or $0.15 per diluted share, for the fourth quarter ended December 31, 2012.

"Core earnings" represents a non-GAAP financial measure, which we define as GAAP net income excluding impairment losses on mortgage-backed securities, or MBS. For the three months ended March 31, 2013, there were no impairment losses on MBS.


On March 28, 2013, we declared a quarterly common stock dividend of $0.15 per share, which is payable on April 29, 2013 to holders of our common stock as of the close of business on April 8, 2013.

At March 31, 2013, our book value was $7.04 per share, versus $7.14 per share at December 31, 2012.

Our investments consist of Agency MBS, which constituted essentially our entire portfolio at March 31, 2013. At March 31, 2013 and December 31, 2012, the fair value of our Agency MBS portfolio and its allocation was approximately as follows:

    
March 31,

2013

 December 31,

2012

 
Fair value of Agency MBS$9.52 billion$9.24 billion
Adjustable-rate Agency MBS (less than 1 year reset)19%21%
Adjustable-rate Agency MBS (1-2 year reset)3%2%
Adjustable-rate Agency MBS (2-5 year reset)39%45%
Adjustable-rate Agency MBS (>5 year reset)18%10%
15-year fixed-rate Agency MBS18%18%
30-year fixed-rate Agency MBS3%4%
100%100%

    
March 31,

2013

December 31,

2012

Weighted Average Coupon:
Adjustable-rate Agency MBS2.70%2.98%
Hybrid adjustable-rate Agency MBS2.742.82
15-year fixed-rate Agency MBS2.742.97
30-year fixed-rate Agency MBS5.575.56
CMOs1.011.01
Total Agency MBS:2.82%2.98%
Average Amortized Cost:
Adjustable-rate and hybrid adjustable-rate Agency MBS103.13%103.08%
15-year fixed-rate Agency MBS103.27103.46
30-year fixed-rate Agency MBS100.92100.88
Total Agency MBS:103.08%103.07%
Current yield (weighted average coupon divided by average amortized cost)2.74%2.89%
Unamortized premium$279.9 million$268.7 million
Unamortized premium as a percentage of par value3.08%3.07%
Premium amortization expense on Agency MBS$19.0 million$20.2 million
      
March 31,

2013

December 31,

2012

 
Fair value of Non-Agency MBS$0.2 million$0.4 million
   
March 31,

2013

December 31,

2012

 
Constant prepayment rate (CPR) of Agency MBS and Non-Agency MBS24%26%
Constant prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate Agency MBS24%25%
Weighted average term to next interest rate reset on Agency MBS and Non-Agency MBS43 months37 months
      
March 31,

2013

December 31,

2012

Repurchase Agreements:
Outstanding repurchase agreement balance$8.025 billion$8.020 billion
Average interest rate0.41%0.47%
Average maturity37 days34 days
Average interest rate after adjusting for interest rate swap transactions1.00%1.12%
Average maturity after adjusting for interest rate swap transactions489 days420 days
Fair value of Agency MBS pledged to counterparties$8.56 billion$8.52 billion
Interest Rate Swap Agreements:
Notional amount$3.30 billion$3.16 billion
Percentage of outstanding repurchase agreement balance41%39%
 

At March 31, 2013 and December 31, 2012, our swap agreements had the following notional amounts (in thousands), weighted average interest rates and remaining terms (in months):

     
March 31,

2013

December 31,

2012

Notional

Amount

 Weighted

Average

Interest

Rate

  Remaining

Term in

Months

Notional

Amount

 Weighted

Average

Interest

Rate

  Remaining

Term in

Months

    
Less than 12 months$200,0002.85%8$375,0003.32%2
1 year to 2 years410,0002.0017410,0002.0716
2 years to 3 years730,0002.0630680,0002.0730
3 years to 4 years1,145,0001.66401,045,0001.9341
Over 4 years 815,0001.0960 650,0001.1156
$3,300,0001.72%38$3,160,0001.98%34
 

At March 31, 2013, our leverage multiple was 7.12x, which was a decrease from our leverage multiple of 7.13x at December 31, 2012. The leverage multiple is calculated by dividing our repurchase agreements outstanding by the aggregate of common stockholders' equity plus preferred stock and junior subordinated notes.

   
March 31,

2013

December 31,

2012

Relative to Average Earning Assets During the Quarter:
Interest income earned2.81%2.92%
Amortization of premium0.860.88
Average cost of funds on repurchase agreements and derivative instruments1.061.10
Net interest rate spread0.89%0.94%
 

At March 31, 2013, stockholders' equity available to common stockholders was approximately $1.015 billion, or a book value of $7.04 per share, based on approximately 144 million shares of common stock outstanding at quarter end. The $1.015 billion equals total stockholders' equity of $1.065 billion less the Series A Preferred Stock liquidating value of $48 million and less the difference between the Series B Preferred Stock liquidating value of $26.3 million and the proceeds from its sale of $25 million. At December 31, 2012, stockholders' equity available to common stockholders was approximately $1.014 billion, or a book value of $7.14 per share, based on approximately 142 million shares of common stock outstanding at quarter end. The $1.014 billion equals total stockholders' equity of $1.062 billion less the Series A Preferred Stock liquidating value of $46.9 million and less the difference between the Series B Preferred Stock liquidating value of $26.7 million and the proceeds from its sale of $25.2 million.

We will host a conference call on Tuesday, April 30, 2013 at 1:00 PM Eastern Time, 10:00 AM Pacific Time, to discuss first quarter 2013 results. The dial-in number for the conference call is 888-317-6016 for U.S. callers (international callers should dial 412-317-6016 and Canadian callers should dial 855-669-9657). When dialing in, participants should ask to be connected to the Anworth Mortgage earnings call. Replays of the call will be available for a 7-day period commencing at 3:00 PM Eastern Time on April 26, 2013. The dial-in number for the replay is 877-344-7529 for U.S. callers (international and Canadian callers should dial 412-317-0088) and the conference number is 10028241. The conference call will also be webcast live over the Internet, which can be accessed on our website at http://www.anworth.com through the corresponding link located on the home page.

Investors interested in participating in our Dividend Reinvestment and Stock Purchase Plan, or the Plan, or receiving a copy of the Plan's prospectus, may do so by contacting the Plan Administrator, American Stock Transfer & Trust Company, at 877-248-6410. For more information about the Plan, interested investors may also visit the Plan Administrator's website at http://www.investpower.com or our website at http://www.anworth.com.

About Anworth Mortgage Asset Corporation

Anworth is an externally-managed mortgage real estate investment trust. We invest primarily in securities guaranteed by the U.S. Government, such as Ginnie Mae, or guaranteed by federally sponsored enterprises, such as Fannie Mae or Freddie Mac. We seek to generate income for distribution to our shareholders primarily based on the difference between the yield on our mortgage assets and the cost of our borrowings. We are managed by Anworth Management, LLC, or the Manager, pursuant a management agreement. The Manager is subject to the supervision and direction of our Board of Directors and is responsible for (i) the selection, purchase and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with management services and other services and activities relating to our assets and operations as may be appropriate. Our common stock is traded on the New York Stock Exchange under the symbol "ANH."

Safe Harbor Statement under the Private Securities Litigation Reform Act of 1995

This news release may contain forward-looking statements within the meaning of the "safe harbor" provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are based upon our current expectations and speak only as of the date hereof. Forward-looking statements, which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Our actual results may differ materially and adversely from those expressed in any forward-looking statements as a result of various factors and uncertainties, including but not limited to, changes in interest rates, changes in the yield curve, the availability of mortgage-backed securities for purchase, increases in the prepayment rates on the mortgage loans securing our mortgage-backed securities, our ability to use borrowings to finance our assets and, if available, the terms of any financing, changes in the market value of our assets, risks associated with investing in mortgage-related assets, changes in business conditions and the general economy, including the consequences of actions by the U.S. government and other foreign governments to address the global financial crisis, changes in government regulations affecting our business, our ability to maintain our qualification as a real estate investment trust for federal income tax purposes, our ability to maintain an exemption from the Investment Company Act of 1940, as amended, and the Manager's ability to manage our growth. Our Annual Report on Form 10-K and other SEC filings discuss the most significant risk factors that may affect our business, results of operations and financial condition. We undertake no obligation to revise or update publicly any forward-looking statements for any reason.

 
ANWORTH MORTGAGE ASSET CORPORATION
 
BALANCE SHEETS

(in thousands, except per share amounts)

   

March 31,

December 31,

20132012
(unaudited)
ASSETS
Agency MBS:
Agency MBS pledged to counterparties at fair value$8,564,021$8,523,557
Agency MBS at fair value909,158668,366
Paydowns receivable 44,163  52,410 
9,517,3429,244,333
Non-Agency MBS at fair value249360
Cash and cash equivalents1,2452,910
Interest and dividends receivable25,21925,839
Derivative instruments at fair value397111
Prepaid expenses and other 11,369  11,552 
Total Assets:$9,555,821 $9,285,105 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Accrued interest payable$20,041$20,376
Repurchase agreements8,025,0008,020,000
Junior subordinated notes37,38037,380
Derivative instruments at fair value83,76796,144
Dividends payable on Series A Preferred Stock1,0181,011
Dividends payable on Series B Preferred Stock436414
Dividends payable on common stock21,62821,302
Payable for securities purchased274,5720
Accrued expenses and other 2,195  761 
Total Liabilities:$8,466,037 $8,197,388 

Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($26,341 and $26,652, respectively); 1,054 and 1,066 shares issued and outstanding at March 31, 2013 and December 31, 2012, respectively

 

$24,968 $25,222 
Stockholders' Equity:

Series A Cumulative Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($47,984 and $46,935, respectively); 1,919 and 1,877 shares issued and outstanding at March 31, 2013 and December 31, 2012, respectively

$46,537$45,447

Common Stock: par value $0.01 per share; authorized 200,000 shares, 144,185 and 142,013 issued and outstanding at March 31, 2013 and December 31, 2012, respectively

1,4421,420
Additional paid-in capital1,211,0911,197,793

Accumulated other comprehensive income consisting of unrealized gains and losses

67,14879,776
Accumulated deficit (261,402) (261,941)
Total Stockholders' Equity:$1,064,816 $1,062,495 
Total Liabilities and Stockholders' Equity:$9,555,821 $9,285,105 

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ANWORTH MORTGAGE ASSET CORPORATION
 
STATEMENTS OF INCOME

(in thousands, except for per share amounts)

(unaudited)

 
Three Months Ended

March, 31,

2013  2012
Interest income:
Interest on Agency MBS$43,444$53,225
Interest on Non-Agency MBS624
Other income 17