Anworth Announces Fourth Quarter 2012 Financial Results

  Anworth Announces Fourth Quarter 2012 Financial Results

Business Wire

SANTA MONICA, Calif. -- February 7, 2013

Anworth Mortgage Asset Corporation (NYSE: ANH) today reported core earnings
available to common stockholders of $21.9 million, or $0.15 per diluted share,
for the fourth quarter ended December 31, 2012. Core earnings consisted of
$23.3 million of net income less $1.4 million of dividends paid to our
preferred stockholders. This compares to core earnings of $20.5 million, or
$0.15 per diluted share, for the third quarter ended September 30, 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 December 31, 2012, there were no impairment
losses on MBS.

On December 14, 2012, we declared a quarterly common stock dividend of $0.15
per share, which was paid on January 29, 2013 to holders of our common stock
as of the close of business on December 28, 2012.

At December 31, 2012, our book value was $7.14 per share, versus $7.45 per
share at September 30, 2012.

Our investments consist of Agency MBS, which constituted essentially our
entire portfolio at December 31, 2012. At December 31, 2012 and September 30,
2012, the fair value of our Agency MBS portfolio and its allocation was
approximately as follows:

                                                 December 31,    September 30,
                                                 2012            2012
                                                                  
Fair value of Agency MBS                         $9.24 billion   $9.26 billion
Adjustable-rate Agency MBS (less than 1 year     21%             22%
reset)
Adjustable-rate Agency MBS (1-2 year reset)      2%              0%
Adjustable-rate Agency MBS (2-5 year reset)      45%             51%
Adjustable-rate Agency MBS (>5 year reset)       10%             6%
15-year fixed-rate Agency MBS                    18%             17%
30-year fixed-rate Agency MBS                    4%              4%
                                                 100%            100%

 
                                           December 31,       September 30,
                                           2012               2012
Weighted Average Coupon:
Adjustable-rate Agency MBS                 2.98           %   3.14           %
Hybrid adjustable-rate Agency MBS          2.82               2.87
15-year fixed-rate Agency MBS              2.97               3.16
30-year fixed-rate Agency MBS              5.56               5.56
CMOs                                       1.01               1.03            
Total Agency MBS:                          2.98           %   3.09           %
Average Amortized Cost:
Adjustable-rate and hybrid                 103.08         %   102.99         %
adjustable-rate Agency MBS
15-year fixed-rate Agency MBS              103.46             103.11
30-year fixed-rate Agency MBS              100.88             100.86          
Total Agency MBS:                          103.07         %   102.92         %
Current yield (weighted average coupon     2.89           %   3.00           %
divided by average amortized cost)
Unamortized premium                        $268.7 million     $255.2 million
Unamortized premium as a percentage of     3.07           %   2.92           %
par value
Premium amortization expense on Agency     $20.2 million      $19.4 million
MBS

 
                               December 31,   September 30,
                               2012           2012
                                               
Fair value of Non-Agency MBS   $0.4 million   $0.5 million

 
                                                  December 31,   September 30,
                                                  2012           2012
                                                                  
Constant prepayment rate (CPR) of Agency MBS      26%            26%
and Non-Agency MBS
Constant prepayment rate (CPR) of
adjustable-rate and hybrid adjustable-rate        25%            26%
Agency MBS
Weighted average term to next interest rate       37 months      36 months
reset on Agency MBS and Non-Agency MBS

 
                                           December 31,       September 30,
                                           2012               2012
Repurchase Agreements:
Outstanding repurchase agreement balance   $8.020 billion     $7.960 billion
Average interest rate                      0.47           %   0.42           %
Average maturity                           34 days            34 days
Average interest rate after adjusting      1.12           %   1.04           %
for interest rate swap transactions
Average maturity after adjusting for       420 days           437 days
interest rate swap transactions
Fair value of Agency MBS pledged to        $8.52 billion      $8.51 billion
counterparties
Interest Rate Swap Agreements:
Notional amount                            $3.16 billion      $3.09 billion
Percentage of outstanding repurchase       39             %   39             %
agreement balance

At December 31, 2012 and September 30, 2012, our swap agreements had the
following notional amounts (in thousands), weighted average interest rates and
remaining terms (in months):

         December 31,                         September 30,
         2012                                 2012
                       Weighted                             Weighted  
                       Average    Remaining                 Average    Remaining
         Notional      Interest   Term in     Notional      Interest   Term in
         Amount        Rate       Months      Amount        Rate       Months
                                                                        
Less
than     $ 375,000     3.32  %    2           $ 405,000     3.40  %    5
12
months
1 year
to 2       410,000     2.07       16            325,000     2.31       17
years
2
years      680,000     2.07       30            510,000     2.17       30
to 3
years
3
years      1,045,000   1.93       41            1,250,000   1.89       42
to 4
years
Over 4     650,000     1.11       56            600,000     1.16       58
years
         $ 3,160,000   1.98  %    34          $ 3,090,000   2.04  %    36

At December 31, 2012, our leverage multiple was 7.13x, which was an increase
from our leverage multiple of 6.82x at September 30, 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.

                                                  December 31,   September 30,
                                                  2012           2012
Relative to Average Earning Assets During the
Quarter:
Interest income earned                            2.92    %      3.04     %
Amortization of premium                           0.88           0.87
Average cost of funds on repurchase agreements    1.10           1.08      
and derivative instruments
Net interest rate spread                          0.94    %      1.09     %

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. At September 30,
2012, stockholders’ equity available to common stockholders was approximately
$1.056 billion, or a book value of $7.45 per share, based on approximately
141.7 million shares of common stock outstanding at quarter end. The $1.056
billion equals total stockholders’ equity of $1.104 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 $26.4 million and
the proceeds from its sale of $25 million.

We will host a conference call on Friday, February 8, 2013 at 1:00 PM Eastern
Time, 10:00 AM Pacific Time, to discuss fourth quarter 2012 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 February 8, 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
10024849. 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)
 
                                                 December 31,    December 31,
                                                   2012            2011       
                                                 (unaudited)
ASSETS
Agency MBS:
Agency MBS pledged to counterparties at fair     $ 8,523,557     $ 8,068,829
value
Agency MBS at fair value                           668,366         644,694
Paydowns receivable                                52,410          48,371     
                                                   9,244,333       8,761,894
Non-Agency MBS at fair value                       360             1,585
Cash and cash equivalents                          2,910           8,877
Interest and dividends receivable                  25,839          28,085
Derivative instruments at fair value               111             0
Prepaid expenses and other                         11,552          13,328     
Total Assets:                                    $ 9,285,105     $ 8,813,769  
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Accrued interest payable                         $ 20,376        $ 23,788
Repurchase agreements                              8,020,000       7,595,000
Junior subordinated notes                          37,380          37,380
Derivative instruments at fair value               96,144          96,808
Dividends payable on Series A Preferred Stock      1,011           1,011
Dividends payable on Series B Preferred Stock      414             450
Dividends payable on common stock                  21,302          28,083
Payable for securities purchased                   0               20,679
Accrued expenses and other                         761             1,044      
Total Liabilities:                               $ 8,197,388     $ 7,804,243  
Series B Cumulative Convertible Preferred
Stock: par value $0.01 per share; liquidating
preference $25.00 per share ($26,652 and         $ 25,222        $ 27,239     
$28,789, respectively); 1,066 and 1,152 shares
issued and outstanding at December 31, 2012
and December 31, 2011, respectively
Stockholders' Equity:
Series A Cumulative Preferred Stock: par value
$0.01 per share; liquidating preference $25.00
per share ($46,935 and $46,888, respectively);   $ 45,447        $ 45,397
1,877 and 1,876 shares issued and outstanding
at December 31, 2012 and December 31, 2011,
respectively
Common Stock: par value $0.01 per share;
authorized 200,000 shares, 142,013 and 134,115     1,420           1,341
issued and outstanding at December 31, 2012
and December 31, 2011, respectively
Additional paid-in capital                         1,197,793       1,145,733
Accumulated other comprehensive income             79,776          50,223
consisting of unrealized losses and gains
Accumulated deficit                                (261,941  )     (260,407  )
Total Stockholders' Equity:                      $ 1,062,495     $ 982,287    
Total Liabilities and Stockholders' Equity:      $ 9,285,105     $ 8,813,769  

 
ANWORTH MORTGAGE ASSET CORPORATION
 
STATEMENTS OF INCOME
(in thousands, except for per share amounts)
 
                  For the          For the          For the Year   For the
                  Quarter          Quarter                         Year
                  Ended            Ended            Ended          Ended
                  December 31,     December 31,     December 31,   December
                                                                   31,
                     2012             2011             2012          2011     
                  (unaudited)      (unaudited)      (unaudited)
Interest           
income:
Interest on       $  44,999        $  53,667        $  195,705     $ 223,981
Agency MBS
Interest on          11               32               58            149
Non-Agency MBS
Other income         46               14               90            50       
                     45,056           53,713           195,853       224,180  
Interest
expense:
Interest
expense on           22,069           22,127           84,720        87,975
repurchase
agreements
Interest
expense on
junior               329              330              1,353         1,290    
subordinated
notes
                     22,398           22,457           86,073        89,265   
Net interest         22,658           31,256           109,780       134,915  
income
Gain on sale of      4,434            0                4,434         0
Agency MBS
Recovery on          154              499              1,426         2,225
Non-Agency MBS
Expenses:
Management fee       (2,982   )       0                (11,585 )     0
Compensation,
incentive            0                (2,518   )       0             (10,979 )
compensation
and benefits
Other expenses       (931     )       (848     )       (3,837  )     (3,285  )
Total expenses       (3,913   )       (3,366   )       (15,422 )     (14,264 )
Net income        $  23,333        $  28,389        $  100,218     $ 122,876  
Dividend on
Series A             (1,012   )       (1,011   )       (4,045  )     (4,044  )
Cumulative
Preferred Stock
Dividend on
Series B
Cumulative           (416     )       (449     )       (1,728  )     (1,841  )
Convertible
Preferred Stock
Net income to
common            $  21,905        $  26,929        $  94,445      $ 116,991  
stockholders
Basic earnings
per common        $  0.15          $  0.20          $  0.68        $ 0.91
share
Diluted
earnings per      $  0.15          $  0.20          $  0.67        $ 0.90
common share
Basic weighted
average number       142,140          133,412          138,382       128,601
of shares
outstanding
Diluted
weighted
average number       146,159          137,625          142,485       132,759
of shares
outstanding

Contact:

Anworth Mortgage Asset Corporation
John T. Hillman
310-255-4438 or 310-255-4493
jhillman@anworth.com
http://www.anworth.com