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 reset)
|
|
21%
|
|
22%
|
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 adjustable-rate Agency MBS
|
|
103.08
|
%
|
|
102.99
|
%
|
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 divided by average amortized
cost)
|
|
2.89
|
%
|
|
3.00
|
%
|
Unamortized premium
|
|
$268.7 million
|
|
|
$255.2 million
|
|
Unamortized premium as a percentage of par value
|
|
3.07
|
%
|
|
2.92
|
%
|
Premium amortization expense on Agency MBS
|
|
$20.2 million
|
|
|
$19.4 million
|
|
|
|
|
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 and Non-Agency MBS
|
|
26%
|
|
26%
|
Constant prepayment rate (CPR) of adjustable-rate and hybrid
adjustable-rate Agency MBS
|
|
25%
|
|
26%
|
Weighted average term to next interest rate reset on Agency MBS and
Non-Agency MBS
|
|
37 months
|
|
36 months
|
|
|
|
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 for interest rate swap
transactions
|
|
1.12
|
%
|
|
1.04
|
%
|
Average maturity after adjusting for interest rate swap transactions
|
|
420 days
|
|
|
437 days
|
|
Fair value of Agency MBS pledged to counterparties
|
|
$8.52 billion
|
|
|
$8.51 billion
|
|
Interest Rate Swap Agreements:
|
|
|
|
|
|
|
Notional amount
|
|
$3.16 billion
|
|
|
$3.09 billion
|
|
Percentage of outstanding repurchase agreement balance
|
|
39
|
%
|
|
39
|
%
|
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 12 months
|
|
$
|
375,000
|
|
3.32
|
%
|
|
2
|
|
$
|
405,000
|
|
3.40
|
%
|
|
5
|
1 year to 2 years
|
|
|
410,000
|
|
2.07
|
|
|
16
|
|
|
325,000
|
|
2.31
|
|
|
17
|
2 years to 3 years
|
|
|
680,000
|
|
2.07
|
|
|
30
|
|
|
510,000
|
|
2.17
|
|
|
30
|
3 years to 4 years
|
|
|
1,045,000
|
|
1.93
|
|
|
41
|
|
|
1,250,000
|
|
1.89
|
|
|
42
|
Over 4 years
|
|
|
650,000
|
|
1.11
|
|
|
56
|
|
|
600,000
|
|
1.16
|
|
|
58
|
|
|
$
|
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 and derivative
instruments
|
|
1.10
|
|
|
1.08
|
|
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 value
|
|
$
|
8,523,557
|
|
|
$
|
8,068,829
|
|
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
$28,789, respectively); 1,066 and 1,152 shares issued and
outstanding at December 31, 2012 and December 31, 2011,
respectively
|
|
$
|
25,222
|
|
|
$
|
27,239
|
|
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); 1,877 and 1,876 shares issued and outstanding at
December 31, 2012 and December 31, 2011, respectively
|
|
$
|
45,447
|
|
|
$
|
45,397
|
|
Common Stock: par value $0.01 per share; authorized 200,000
shares, 142,013 and 134,115 issued and outstanding at December 31,
2012 and December 31, 2011, respectively
|
|
|
1,420
|
|
|
|
1,341
|
|
Additional paid-in capital
|
|
|
1,197,793
|
|
|
|
1,145,733
|
|
Accumulated other comprehensive income consisting of unrealized
losses and gains
|
|
|
79,776
|
|
|
|
50,223
|
|
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 Quarter
|
|
For the Quarter
|
|
For the Year
|
|
For the Year
|
|
|
Ended
|
|
Ended
|
|
Ended
|
|
Ended
|
|
|
December 31,
|
|
December 31,
|
|
December 31,
|
|
December 31,
|
|
|
|
2012
|
|
|
|
2011
|
|
|
|
2012
|
|
|
|
2011
|
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
Interest on Agency MBS
|
|
$
|
44,999
|
|
|
$
|
53,667
|
|
|
$
|
195,705
|
|
|
$
|
223,981
|
|
Interest on Non-Agency MBS
|
|
|
11
|
|
|
|
32
|
|
|
|
58
|
|
|
|
149
|
|
Other income
|
|
|
46
|
|
|
|
14
|
|
|
|
90
|
|
|
|
50
|
|
|
|
|
45,056
|
|
|
|
53,713
|
|
|
|
195,853
|
|
|
|
224,180
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
Interest expense on repurchase agreements
|
|
|
22,069
|
|
|
|
22,127
|
|
|
|
84,720
|
|
|
|
87,975
|
|
Interest expense on junior subordinated notes
|
|
|
329
|
|
|
|
330
|
|
|
|
1,353
|
|
|
|
1,290
|
|
|
|
|
22,398
|
|
|
|
22,457
|
|
|
|
86,073
|
|
|
|
89,265
|
|
Net interest income
|
|
|
22,658
|
|
|
|
31,256
|
|
|
|
109,780
|
|
|
|
134,915
|
|
Gain on sale of Agency MBS
|
|
|
4,434
|
|
|
|
0
|
|
|
|
4,434
|
|
|
|
0
|
|
Recovery on Non-Agency MBS
|
|
|
154
|
|
|
|
499
|
|
|
|
1,426
|
|
|
|
2,225
|
|
Expenses:
|
|
|
|
|
|
|
|
|
Management fee
|
|
|
(2,982
|
)
|
|
|
0
|
|
|
|
(11,585
|
)
|
|
|
0
|
|
Compensation, incentive compensation and benefits
|
|
|
0
|
|
|
|
(2,518
|
)
|
|
|
0
|
|
|
|
(10,979
|
)
|
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 Cumulative Preferred Stock
|
|
|
(1,012
|
)
|
|
|
(1,011
|
)
|
|
|
(4,045
|
)
|
|
|
(4,044
|
)
|
Dividend on Series B Cumulative Convertible Preferred Stock
|
|
|
(416
|
)
|
|
|
(449
|
)
|
|
|
(1,728
|
)
|
|
|
(1,841
|
)
|
Net income to common stockholders
|
|
$
|
21,905
|
|
|
$
|
26,929
|
|
|
$
|
94,445
|
|
|
$
|
116,991
|
|
Basic earnings per common share
|
|
$
|
0.15
|
|
|
$
|
0.20
|
|
|
$
|
0.68
|
|
|
$
|
0.91
|
|
Diluted earnings per common share
|
|
$
|
0.15
|
|
|
$
|
0.20
|
|
|
$
|
0.67
|
|
|
$
|
0.90
|
|
Basic weighted average number of shares outstanding
|
|
|
142,140
|
|
|
|
133,412
|
|
|
|
138,382
|
|
|
|
128,601
|
|
Diluted weighted average number of shares outstanding
|
|
|
146,159
|
|
|
|
137,625
|
|
|
|
142,485
|
|
|
|
132,759
|
|