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Anworth Announces First Quarter 2012 Financial Results

Anworth Mortgage Asset Corporation (NYSE: ANH) today reported core earnings available to common stockholders of $27.7 million, or $0.20 per diluted share, for the first quarter ended March 31, 2012. Core earnings consisted of $29.1 million of net income less $1.5 million of dividends paid to our preferred stockholders. This compares to core earnings of $26.9 million, or $0.20 per diluted share, for the quarter ended December 31, 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 March 31, 2012, there were no impairment losses on MBS.

On March 30, 2012, we declared a quarterly common stock dividend of $0.21 per share, which is payable on April 27, 2012 to our holders of common stock as of the close of business on April 10, 2012.

At March 31, 2012, our book value was $7.17 per share, versus $6.96 per share at December 31, 2011.

Our investments consist of Agency MBS, which constituted essentially our entire portfolio at March 31, 2012. At March 31, 2012 and December 31, 2011, the fair value of our Agency MBS portfolio and its allocation was approximately as follows:

  March 31,   December 31,
2012 2011
 
Fair value of Agency MBS $9.04 billion $8.76 billion
 
Adjustable-rate Agency MBS (less than 1 year reset) 23% 24%
Adjustable-rate Agency MBS (1-2 year reset) 3% 4%
Adjustable-rate Agency MBS (2-5 year reset) 54% 51%
Adjustable-rate Agency MBS (5-7 year reset) 2% 2%
15-year fixed-rate Agency MBS 13% 13%
30-year fixed-rate Agency MBS 5% 6%
100% 100%

   
March 31, December 31,
2012 2011
Weighted Average Coupon:
Adjustable-rate 3.22 % 3.27 %
Hybrid adjustable-rate 3.09 3.22
15-year fixed-rate 3.65 3.66
30-year fixed-rate 5.55 5.55
CMOs 1.05   1.09  
Total Agency MBS: 3.31 % 3.42 %
Average Amortized Cost:
Adjustable-rate and hybrid adjustable-rate 102.86 % 102.83 %
15-year fixed-rate 103.36 103.29
30-year fixed-rate 100.83   100.82  
Total Agency MBS: 102.82 % 102.78 %
Current yield (weighted average coupon divided by average amortized cost) 3.22 % 3.33 %
Unamortized premium

$240.1 million

$231.5 million

Unamortized premium as a percentage of par value 2.82 % 2.78 %
Premium amortization expense on Agency MBS

$15.8 million

$16.7 million

 
 
March 31, December 31,
2012 2011
 
Fair value of Non-Agency MBS

$1.0 million

$1.6 million

 
 
March 31, December 31,
2012 2011
 
Constant prepayment rate (CPR) of Agency MBS and Non-Agency MBS 22 % 25 %
Constant prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate Agency MBS 21 % 25 %
Weighted average term to next interest rate reset on Agency MBS and Non-Agency MBS 35 months 36 months
 
 
March 31, December 31,
2012 2011
Repurchase Agreements:
Outstanding repurchase agreement balance

$7.600 billion

$7.595 billion

Average interest rate 0.33 % 0.36 %
Average maturity

34 days

38 days

Average interest rate after adjusting for interest rate swap transactions 1.05 % 1.18 %
Average maturity after adjusting for interest rate swap transactions

445 days

436 days

Fair value of Agency MBS pledged to counterparties

$8.09 billion

$8.07 billion

 
Interest Rate Swap Agreements:
Notional amount

$3.08 billion

$3.03 billion

Percentage of outstanding repurchase agreement balance 41 % 40 %

At March 31, 2012 and December 31, 2011, our swap agreements had the following notional amounts (in thousands), weighted average interest rates and remaining terms (in months):

  March 31,  

December 31,

2012 2011
  Weighted     Weighted  
Average Remaining Average Remaining
Notional Interest Term in Notional Interest Term in
Amount Rate Months Amount Rate Months
 
Less than 12 months $ 695,000 3.41 % 7 $ 520,000 3.92 % 5
1 year to 2 years 200,000 2.85 20 375,000 3.32 14
2 years to 3 years 410,000 2.00 30 410,000 2.07 28
3 years to 4 years 730,000 2.06 42 680,000 2.07 42
Over 4 years   1,045,000 1.81   53   1,045,000 1.98   54
$ 3,080,000 2.32 % 35 $ 3,030,000 2.51 % 34

At March 31, 2012, our leverage multiple was 6.98x, which was a decrease from our leverage multiple of 7.25x at December 31, 2011. 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,
2012 2011
Relative to Average Earning Assets During the Quarter:
Interest income earned 3.27 % 3.39 %
Amortization of premium 0.75 0.79
Average cost of funds on repurchase agreements and derivative instruments 1.09   1.18  
Net interest rate spread 1.43 % 1.42 %

At March 31, 2012, stockholders’ equity available to common stockholders was approximately $976 million, or a book value of $7.17 per share, based on approximately 136.1 million shares of common stock outstanding at quarter end. The $976 million equals total stockholders’ equity of $1.024 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 $28.8 million and the proceeds from its sale of $27.2 million. At December 31, 2011, stockholders’ equity available to common stockholders was approximately $933.8 million, or a book value of $6.96 per share, based on approximately 134.1 million shares of common stock outstanding at quarter end. The $933.8 million equals total stockholders’ equity of $982.3 million 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 $28.8 million and the proceeds from its sale of $27.2 million.

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