Anworth Announces Second Quarter 2013 Financial Results

  Anworth Announces Second Quarter 2013 Financial Results

Business Wire

SANTA MONICA, Calif. -- July 29, 2013

Anworth Mortgage Asset Corporation (NYSE: ANH) today reported core earnings
available to common stockholders of $21.6 million, or $0.15 per diluted share,
for the second quarter ended June 30, 2013. Core earnings consisted of $23
million of net income less $1.4 million of dividends paid to our preferred
stockholders. This compares to core earnings of $22.2 million, or $0.15 per
diluted share, for the first quarter ended March 31, 2013.

“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 June30,2013, there were no impairment losses
on MBS.

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

At June 30, 2013, our book value was $6.01 per share, versus $7.04 per share
at March 31, 2013.

Our investments consist of Agency MBS, which constituted essentially our
entire portfolio at June 30, 2013. At June 30, 2013 and March 31, 2013, the
fair value of our Agency MBS portfolio and its allocation was approximately as
follows:

                                                            
                                               June 30,          March 31,

                                               2013              2013
                                                                 
Fair value of Agency MBS                       $9.45 billion     $9.52 billion
Adjustable-rate Agency MBS (less than 1        18%               19%
year reset)
Adjustable-rate Agency MBS (1-2 year           6%                3%
reset)
Adjustable-rate Agency MBS (2-3 year           13%               11%
reset)
Adjustable-rate Agency MBS (3-4 year           17%               18%
reset)
Adjustable-rate Agency MBS (4-5 year           4%                10%
reset)
Adjustable-rate Agency MBS (5-7 year           14%               13%
reset)
Adjustable-rate Agency MBS (>7 year reset)     7%                5%
15-year fixed-rate Agency MBS                  18%               18%
30-year fixed-rate Agency MBS                  3%                3%
                                               100%              100%
                                                                 

                                                         
                                         June 30,             March 31,

                                         2013                 2013
Weighted Average Coupon:
Adjustable-rate Agency MBS               2.61           %     2.70           %
Hybrid adjustable-rate Agency MBS        2.67                 2.74
15-year fixed-rate Agency MBS            2.61                 2.74
30-year fixed-rate Agency MBS            5.55                 5.57
CMOs                                     1.00                 1.01
Total Agency MBS:                        2.72           %     2.82           %
Average Amortized Cost:
Adjustable-rate and hybrid               103.20         %     103.13         %
adjustable-rate Agency MBS
15-year fixed-rate Agency MBS            103.31               103.27
30-year fixed-rate Agency MBS            100.98               100.92
Total Agency MBS:                        103.16         %     103.08         %
Current yield (weighted average
coupon divided by average amortized      2.64           %     2.74           %
cost)
Unamortized premium                      $288.5 million       $279.9 million
Unamortized premium as a percentage      3.16           %     3.08           %
of par value
Premium amortization expense on          $16.0 million        $19.0 million
Agency MBS
                                                                             

                                             
                                 June 30,         March 31,

                                 2013             2013
                                                  
Fair value of Non-Agency MBS     $0.1 million     $0.2 million
                                                  

                                                                
                                                       June 30,      March 31,

                                                       2013          2013
                                                                     
Constant prepayment rate (CPR) of Agency MBS and       24%           24%
Non-Agency MBS
Constant prepayment rate (CPR) of adjustable-rate      26%           24%
and hybrid adjustable-rate Agency MBS
Weighted average term to next interest rate reset      44 months     43 months
on Agency MBS and Non-Agency MBS
                                                                     

                                                         
                                         June 30,             March 31,

                                         2013                 2013
Repurchase Agreements:
Outstanding repurchase agreement         $8.405 billion       $8.025 billion
balance
Average interest rate                    0.39           %     0.41           %
Average maturity                         37 days              37 days
Average interest rate after
adjusting for interest rate swap         0.95           %     1.00           %
transactions
Average maturity after adjusting for     471 days             489 days
interest rate swap transactions
Fair value of Agency MBS pledged to      $8.85 billion        $8.56 billion
counterparties
Interest Rate Swap Agreements:
Notional amount                          $3.435 billion       $3.30 billion
Percentage of outstanding repurchase     41             %     41             %
agreement balance
                                                                             

At June 30, 2013 and March 31, 2013, our swap agreements had the following
notional amounts (in thousands), weighted average interest rates and remaining
terms (in months):

                                                 
           June 30,                                    March 31,

           2013                                        2013
                          Weighted                                    Weighted
                                       Remaining                                 Remaining
           Notional       Average                      Notional       Average
                                    Term in                                Term in
           Amount         Interest                     Amount         Interest
                                       Months                                    Months
                          Rate                                        Rate
                                   
Less
than       $ 325,000      2.31  %      8               $ 200,000      2.85  %    8
12
months
1 year
to 2         460,000      2.16         20                410,000      2.00       17
years
2
years        1,200,000    1.92         32                730,000      2.06       30
to 3
years
3
years        775,000      1.11         44                1,145,000    1.66       40
to 4
years
Over 4      675,000      1.06         61               815,000      1.09       60
years
           $ 3,435,000    1.64  %      36              $ 3,300,000    1.72  %    38
                                                                                 

At June 30, 2013, our leverage multiple was 8.7x, which was an increase from
our leverage multiple of 7.12x at March 31, 2013. 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.

                                                              
                                                    June 30,       March 31,

                                                    2013           2013
Relative to Average Earning Assets During the
Quarter:
Interest income earned                              2.67     %     2.81      %
Amortization of premium                             0.69           0.86
Average cost of funds on repurchase agreements      0.98           1.06
and derivative instruments
Net interest rate spread                            1.00     %     0.89      %
                                                                             

At June 30, 2013, stockholders’ equity available to common stockholders was
approximately $855.8 million, or a book value of $6.01 per share, based on
approximately 142.4 million shares of common stock outstanding at quarter end.
The $855.8 million equals total stockholders’ equity of $905.1 million less
the Series A Preferred Stock liquidating value of $48 million and less the
difference between the SeriesB Preferred Stock liquidating value of $25.2
million and the proceeds from its sale of $23.9 million. 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
equaled total stockholders’ equity of $1.065 billion less the Series A
Preferred Stock liquidating value of $48 million and less the difference
between the SeriesB Preferred Stock liquidating value of $26.3 million and
the proceeds from its sale of $25.2 million.

During the quarter ended June 30, 2013, we had repurchased an aggregate of
3,102,045 shares of common stock at a weighted average price of $5.65 per
share under our share repurchase program. During the quarter ended June 30,
2013, we issued an aggregate of 1,100,962 shares of common stock at a weighted
average price of $5.93 per share under our 2012 Dividend Reinvestment and
Stock Purchase Plan.

Subsequent Events

Subsequent to June 30, 2013, we sold approximately $235 million of 15-year
fixed-rate Agency MBS and realized a loss of approximately $5.6 million.

We will host a conference call on Tuesday, July 30, 2013 at 1:00 PM Eastern
Time, 10:00 AM Pacific Time, to discuss second 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 July 30, 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
10031299. 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.” Anworth is a component of the
Russell 2000® Index.

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)
                                                            
                                               June 30,          December 31,
                                               2013              2012
                                               (unaudited)
ASSETS
Agency MBS:
Agency MBS pledged to counterparties at        $ 8,851,151       $ 8,523,557
fair value
Agency MBS at fair value                         538,716           668,366
Paydowns receivable                             64,283          52,410    
                                                 9,454,150         9,244,333
Non-Agency MBS at fair value                     138               360
Cash and cash equivalents                        7,169             2,910
Interest and dividends receivable                25,854            25,839
Derivative instruments at fair value             18,817            111
Prepaid expenses and other                      4,328           11,552    
Total Assets:                                  $ 9,510,456      $ 9,285,105 
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Accrued interest payable                       $ 17,294          $ 20,376
Repurchase agreements                            8,405,000         8,020,000
Junior subordinated notes                        37,380            37,380
Derivative instruments at fair value             60,931            96,144
Dividends payable on Series A Preferred          1,035             1,011
Stock
Dividends payable on Series B Preferred          394               414
Stock
Dividends payable on common stock                21,353            21,302
Payable for securities purchased                 35,673            0
Accrued expenses and other                      2,323           761       
Total Liabilities:                             $ 8,581,383      $ 8,197,388 
Series B Cumulative Convertible Preferred
Stock: par value $0.01 per share;
liquidating

preference $25.00 per share ($25,241 and
$26,652, respectively); 1,010 and 1,066        $ 23,924         $ 25,222    

shares issued and outstanding at June 30,
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
$46,935, respectively); 1,919 and 1,877        $ 46,537          $ 45,447

shares issued and outstanding at June 30,
2013 and December 31, 2012,

respectively
Common Stock: par value $0.01 per share;
authorized 200,000 shares, 142,352 and

142,013 issued and outstanding at June 30,       1,424             1,420
2013 and December 31, 2012,

respectively
Additional paid-in capital                       1,201,050         1,197,793
Accumulated other comprehensive income           (82,658   )       79,776
consisting of unrealized losses and gains
Accumulated deficit                             (261,204  )      (261,941  )
Total Stockholders' Equity:                    $ 905,149        $ 1,062,495 
Total Liabilities and Stockholders'            $ 9,510,456      $ 9,285,105 
Equity:
                                                                             


ANWORTH MORTGAGE ASSET CORPORATION



STATEMENTS OF INCOME

(in thousands, except for per share amounts)

(unaudited)
                                              
                   Three Months Ended              Six Months Ended

                   June 30,                        June 30,
                   2013          2012            2013          2012
Interest
income:
Interest on        $ 45,226        $ 50,311        $ 88,670        $ 103,536
Agency MBS
Interest on          5               16              10              40
Non-Agency MBS
Other income        13            16            31            30      
                    45,244        50,343        88,711        103,606 
Interest
expense:
Interest
expense on           20,046          20,669          40,948          41,243
repurchase
agreements
Interest
expense on
junior              320           340           640           685     
subordinated
notes
                    20,366        21,009        41,588        41,928  
Net interest        24,878        29,334        47,123        61,678  
income
Gain on sales        2,076           0               7,246           0
of Agency MBS
Recovery on          103             350             232             973
Non-Agency MBS
Expenses:
Management fee
to related           (3,029  )       (2,890  )       (6,027  )       (5,711  )
party
Other expenses      (1,030  )      (982    )      (1,952  )      (2,007  )
Total expenses      (4,059  )      (3,872  )      (7,979  )      (7,718  )
Net income         $ 22,998       $ 25,812       $ 46,622       $ 54,933  
Dividend on
Series A
Cumulative           (1,035  )       (1,011  )       (2,072  )       (2,022  )
Preferred
Stock
Dividend on
Series B
Cumulative          (394    )      (449    )      (806    )      (899    )
Convertible
Preferred
Stock
Net income to
common             $ 21,569       $ 24,352       $ 43,744       $ 52,012  
stockholders
Basic earnings
per common         $ 0.15          $ 0.18          $ 0.30          $ 0.38
share
Diluted
earnings per       $ 0.15          $ 0.18          $ 0.30          $ 0.38
common share
Basic weighted
average number       144,252         137,064         143,581         136,064
of shares
outstanding
Diluted
weighted
average number       148,126         141,292         147,539         140,292
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