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Anworth Announces First Quarter 2013 Financial Results



  Anworth Announces First Quarter 2013 Financial Results

Business Wire

SANTA MONICA, Calif. -- April 29, 2013

Anworth Mortgage Asset Corporation (NYSE: 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,         December 31,
                                                                
                                               2013              2012
                                                                  
Fair value of Agency MBS                       $9.52 billion     $9.24 billion
Adjustable-rate Agency MBS (less than 1        19       %        21       %
year reset)
Adjustable-rate Agency MBS (1-2 year           3        %        2        %
reset)
Adjustable-rate Agency MBS (2-5 year           39       %        45       %
reset)
Adjustable-rate Agency MBS (>5 year reset)     18       %        10       %
15-year fixed-rate Agency MBS                  18       %        18       %
30-year fixed-rate Agency MBS                  3        %        4        %
                                               100      %        100      %

                                                             
                                         March 31,            December 31,

                                         2013                 2012
Weighted Average Coupon:
Adjustable-rate Agency MBS               2.70           %     2.98           %
Hybrid adjustable-rate Agency MBS        2.74                 2.82
15-year fixed-rate Agency MBS            2.74                 2.97
30-year fixed-rate Agency MBS            5.57                 5.56
CMOs                                     1.01                 1.01
Total Agency MBS:                        2.82           %     2.98           %
Average Amortized Cost:
Adjustable-rate and hybrid               103.13         %     103.08         %
adjustable-rate Agency MBS
15-year fixed-rate Agency MBS            103.27               103.46
30-year fixed-rate Agency MBS            100.92               100.88
Total Agency MBS:                        103.08         %     103.07         %
Current yield (weighted average
coupon divided by average amortized      2.74           %     2.89           %
cost)
Unamortized premium                      $279.9 million       $268.7 million
Unamortized premium as a percentage      3.08           %     3.07           %
of par value
Premium amortization expense on          $19.0 million        $20.2 million
Agency MBS

                                                      
                                       March 31,       December 31,

                                       2013            2012
                                                        
Fair value of Non-Agency MBS           $0.2 million    $0.4 million

                                                                 
                                                     March 31,    December 31,

                                                     2013         2012
                                                                   
Constant prepayment rate (CPR) of Agency MBS and     24    %      26     %
Non-Agency MBS
Constant prepayment rate (CPR) of
adjustable-rate and hybrid adjustable-rate           24    %      25     %
Agency MBS
Weighted average term to next interest rate          43 months    37 months
reset on Agency MBS and Non-Agency MBS

                                                             
                                       March 31,              December 31,

                                       2013                   2012
Repurchase Agreements:
Outstanding repurchase agreement       $8.025 billion         $8.020 billion
balance
Average interest rate                  0.41           %       0.47           %
Average maturity                       37 days                34 days
Average interest rate after
adjusting for interest rate swap       1.00           %       1.12           %
transactions
Average maturity after adjusting
for interest rate swap                 489 days               420 days
transactions
Fair value of Agency MBS pledged       $8.56 billion          $8.52 billion
to counterparties
Interest Rate Swap Agreements:
Notional amount                        $3.30 billion          $3.16 billion
Percentage of outstanding              41             %       39             %
repurchase agreement balance
                                                                              

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,                                December 31,

             2013                                     2012
                           Weighted                                 Weighted
                                        Remaining                                Remaining
             Notional      Average                    Notional      Average
                                        Term in                                  Term in
             Amount        Interest                   Amount        Interest
                                        Months                                   Months
                           Rate                                     Rate
                                                                                
Less
than         $ 200,000     2.85     %   8             $ 375,000     3.32     %   2
12
months
1 year
to 2           410,000     2.00         17              410,000     2.07         16
years
2
years          730,000     2.06         30              680,000     2.07         30
to 3
years
3
years          1,145,000   1.66         40              1,045,000   1.93         41
to 4
years
Over 4         815,000     1.09         60              650,000     1.11         56
years
             $ 3,300,000   1.72     %   38            $ 3,160,000   1.98     %   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,     December 31,

                                                    2013          2012
Relative to Average Earning Assets During the
Quarter:
Interest income earned                              2.81   %      2.92    %
Amortization of premium                             0.86          0.88
Average cost of funds on repurchase agreements      1.06          1.10
and derivative instruments
Net interest rate spread                            0.89   %      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,
                                               2013              2012
                                               (unaudited)
ASSETS
Agency MBS:
Agency MBS pledged to counterparties at fair   $ 8,564,021       $ 8,523,557
value
Agency MBS at fair value                         909,158           668,366
Paydowns receivable                              44,163            52,410     
                                                 9,517,342         9,244,333
Non-Agency MBS at fair value                     249               360
Cash and cash equivalents                        1,245             2,910
Interest and dividends receivable                25,219            25,839
Derivative instruments at fair value             397               111
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 agreements                            8,025,000         8,020,000
Junior subordinated notes                        37,380            37,380
Derivative instruments at fair value             83,767            96,144
Dividends payable on Series A Preferred          1,018             1,011
Stock
Dividends payable on Series B Preferred          436               414
Stock
Dividends payable on common stock                21,628            21,302
Payable for securities purchased                 274,572           0
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     $ 24,968          $ 25,222     
March 31, 2013 and December 31, 2012,
respectively

 
Stockholders' Equity:
Series A Cumulative Preferred Stock: par
value $0.01 per share; liquidating
preference $25.00 per share ($47,984 and       $ 46,537          $ 45,447
$46,935, respectively); 1,919 and 1,877
shares issued and outstanding at March 31,
2013 and December 31, 2012, respectively
Common Stock: par value $0.01 per share;
authorized 200,000 shares, 144,185 and           1,442             1,420
142,013 issued and outstanding at March 31,
2013 and December 31, 2012, respectively
Additional paid-in capital                       1,211,091         1,197,793
Accumulated other comprehensive income           67,148            79,776
consisting of unrealized gains and losses
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  

 
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 MBS                           6               24
Other income                                         17              14       
                                                     43,467          53,263   
Interest expense:
Interest expense on repurchase agreements            20,902          20,574
Interest expense on junior subordinated notes        320             345      
                                                     21,222          20,919   
Net interest income                                  22,245          32,344   
Gain on sales of Agency MBS                          5,170           0
Recovery on Non-Agency MBS                           129             623
Expenses:
Management fee to related party                      (2,998  )       (2,821  )
Other expenses                                       (922    )       (1,024  )
Total expenses                                       (3,920  )       (3,845  )
Net income                                         $ 23,624        $ 29,122   
Dividend on Series A Cumulative Preferred Stock      (1,034  )       (1,011  )
Dividend on Series B Cumulative Convertible          (412    )       (450    )
Preferred Stock
Net income to common stockholders                  $ 22,178        $ 27,661   
Basic earnings per common share                    $ 0.16          $ 0.20
Diluted earnings per common share                  $ 0.15          $ 0.20
Basic weighted average number of shares              142,903         135,064
outstanding
Diluted weighted average number of shares            146,945         139,292
outstanding

Contact:

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