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Anworth Mortgage Asset Corporation (NYSE: ANH) reported today core earnings available to common stockholders of $26.9 million, or $0.20 per diluted share, for the fourth quarter ended December 31, 2011, consisting primarily of $28.4 million of net income less $1.5 million of dividends paid to our preferred stockholders. This compares to core earnings of $29.1 million, or $0.22 per diluted share, for the third quarter ended September 30, 2011.
“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, 2011, there were no impairment losses on MBS.
On December 15, 2011, we declared a quarterly common stock dividend of $0.21 per share, which was payable on January 27, 2012 to our holders of common stock as of the close of business on December 30, 2011.
On a non-GAAP basis and during the three months ended December 31, 2011, our estimated taxable income, on which we base our common stock dividends, was $29 million, or $0.21 per diluted share. The difference between net income and our estimate of taxable income earned during the three months ended December 31, 2011 reflects the non-deductibility for income tax purposes of executive compensation of approximately $1.6 million, or $0.01 per share. A reconciliation of taxable earnings to net income available to common stockholders appears at the end of this news release.
At December 31, 2011 and September 30, 2011, our book value per share was $6.96 and $6.93, respectively.
Our investments consist of Agency MBS, which constituted essentially all of our portfolio at December 31, 2011. At December 31, 2011 and September 30, 2011, the fair value of our Agency MBS portfolio and its allocation was approximately as follows:
Fair value of Agency MBS
Adjustable-rate Agency MBS (less than 1 year reset)
Current yield (weighted average coupon divided by average amortized cost)
Unamortized premium as a percentage of par value
Premium amortization expense on Agency MBS
Fair value of Non-Agency MBS
Constant prepayment rate (CPR) of Agency MBS and Non-Agency MBS
Constant prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate Agency MBS
Weighted average term to next interest rate reset on Agency MBS and Non-Agency MBS
Outstanding repurchase agreement balance
Average interest rate
Average interest rate after adjusting for interest rate swap transactions
Average maturity after adjusting for interest rate swap transactions
Fair value of Agency MBS pledged to counterparties
Interest Rate Swap Agreements:
Percentage of outstanding repurchase agreement balance
At December 31, 2011, our swap agreements had the following notional amounts (in thousands), weighted average interest rates and remaining terms (in months):
Less than 12 months
1 year to 2 years
2 years to 3 years
3 years to 4 years
Over 4 years
At December 31, 2011, our leverage multiple was 7.25x, which was an increase from our leverage multiple of 7.18x at September 30, 2011. The leverage multiple is based on common stockholders’ equity plus all Preferred Stock and the junior subordinated notes.
Relative to Average Earning Assets During the Quarter:
Interest income earned
Amortization of premium
Average cost of funds on repurchase agreements and derivative instruments