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Anworth Announces Second Quarter 2013 Financial Results

Stock quotes in this article: ANH

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 June 30, 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,

2013

March 31,

2013

 
Fair value of Agency MBS

$9.45 billion

$9.52 billion
Adjustable-rate Agency MBS (less than 1 year reset) 18% 19%
Adjustable-rate Agency MBS (1-2 year reset) 6% 3%
Adjustable-rate Agency MBS (2-3 year reset) 13% 11%
Adjustable-rate Agency MBS (3-4 year reset) 17% 18%
Adjustable-rate Agency MBS (4-5 year reset) 4% 10%
Adjustable-rate Agency MBS (5-7 year reset) 14% 13%
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,

2013

March 31,

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 adjustable-rate Agency MBS 103.20 % 103.13 %
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 cost) 2.64 % 2.74 %
Unamortized premium $288.5 million $279.9 million
Unamortized premium as a percentage of par value 3.16 % 3.08 %
Premium amortization expense on Agency MBS $16.0 million $19.0 million
 
       

June 30,

2013

March 31,

2013

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

June 30,

2013

March 31,

2013

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

June 30,

2013

March 31,

2013

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

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,

2013

March 31,

2013

Notional

Amount

 

Weighted

Average

Interest

Rate

   

Remaining

Term in

Months

 

Notional

Amount

 

Weighted

Average

Interest

Rate

 

Remaining

Term in

Months

 
Less than 12 months $ 325,000 2.31 % 8 $ 200,000 2.85 % 8
1 year to 2 years 460,000 2.16 20 410,000 2.00 17
2 years to 3 years 1,200,000 1.92 32 730,000 2.06 30
3 years to 4 years 775,000 1.11 44 1,145,000 1.66 40
Over 4 years   675,000 1.06 61   815,000 1.09 60
$ 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,

2013

March 31,

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 and derivative instruments 0.98 1.06
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 Series B 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 Series B Preferred Stock liquidating value of $26.3 million and the proceeds from its sale of $25.2 million.

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