Anworth Mortgage Asset Corporation (NYSE: ANH) (the “Company”)
today reported its financial results for the fourth quarter ended
December 31, 2016.
Earnings
The following table summarizes the Company’s Core Earnings, GAAP
net income to common stockholders and Comprehensive Loss for the
three months ended December 31, 2016 (dollar amounts in
thousands):
Three Months Ended
December 31, 2016
(unaudited) Earnings Earnings
Per
Weighted
Share
Core Earnings $ 12,135 $ 0.13 GAAP net income to common
stockholders $ 14,161 $ 0.15 Comprehensive loss $ (12,981 ) $ (0.14
)
Core Earnings is a non-GAAP financial measure which is explained
and reconciled to GAAP net income to common stockholders in the
section entitled “Non-GAAP Financial Measures” at the end of this
earnings release. Comprehensive Loss is shown on the consolidated
statements of comprehensive income included in this earnings
release.
Portfolio
At December 31, 2016, the composition of the Company’s portfolio
at fair value was as follows (dollar amounts in thousands):
December 31, 2016 Dollar
Amount Percentage Agency MBS:
ARMS and hybrid ARMs
$ 2,926,204 49.4 % Fixed-rate Agency MBS 998,989 16.8 % TBA Agency
MBS 606,008 10.2 % Total Agency MBS $ 4,531,201 76.4 %
Non-Agency MBS 641,246 10.8 % Residential mortgage loans(1) 744,462
12.6 % Residential real estate 14,262 0.2 % Total Portfolio
$ 5,931,171 100.0 % Total Assets(2) $ 6,001,784
(1) Residential mortgage loans owned by consolidated variable
interest entities (“VIEs”) that can only be used to settle
obligations and liabilities of the VIEs for which creditors do not
have recourse to the Company.(2) Includes TBA Agency MBS.
Agency MBS
At December 31, 2016, the allocation of the Company’s agency
mortgage-backed securities, or Agency MBS, was approximately 65%
adjustable-rate and hybrid adjustable-rate Agency MBS, 22%
fixed-rate Agency MBS and 13% fixed-rate TBA Agency MBS as detailed
below (dollar amounts in thousands):
December 31,
2016
Fair value of Agency MBS and TBA Agency MBS $ 4,531,201
Adjustable-rate Agency MBS coupon reset (less than 1 year)
40 % Hybrid adjustable-rate Agency MBS coupon reset (1-2 years) 2 %
Hybrid adjustable-rate Agency MBS coupon reset (2-3 years) 6 %
Hybrid adjustable-rate Agency MBS coupon reset (3-4 years) 6 %
Hybrid adjustable-rate Agency MBS coupon reset (4-5 years) 1 %
Hybrid adjustable-rate Agency MBS coupon reset (5-7 years)
10 % Total adjustable-rate Agency MBS 65 % 15-year
fixed-rate TBA Agency MBS 13 % 15-year fixed-rate Agency MBS 19 %
20-year and 30-year fixed-rate Agency MBS 3 % Total MBS
100 %
At December 31, 2016, the key metrics of the Company’s Agency
MBS portfolio were as follows (dollar amounts in thousands):
December 31,
2016
Weighted Average Agency MBS Coupon: Adjustable-rate Agency MBS 2.90
% Hybrid adjustable-rate Agency MBS 2.44 15-year fixed-rate Agency
MBS 2.61 15-year fixed-rate TBA Agency MBS 2.50 20-year and 30-year
fixed-rate Agency MBS 4.28 Total Agency MBS: 2.72 % Average
Amortized Cost: Adjustable-rate Agency MBS 103.09 % Hybrid
adjustable-rate Agency MBS 102.89 15-year fixed-rate Agency MBS
102.95 15-year fixed-rate TBA Agency MBS 102.41 20-year and 30-year
fixed-rate Agency MBS 103.30 Total Agency MBS: 102.93 % Average
asset yield (weighted average coupon divided by average amortized
cost) 2.64 % Unamortized premium $113.7 million Unamortized premium
as a percentage of par value 2.93 % Premium amortization expense on
Agency MBS for the fourth quarter 2016 $5.5 million
December 31,
2016
Constant prepayment rate (CPR) of Agency MBS 22% Constant
prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate
Agency MBS 24% Weighted average term to next interest rate reset on
Agency MBS 23 months
Non-Agency MBS
Our Non-Agency MBS were either issued before 2008 or were
recently issued and collateralized by currently non-performing
residential mortgage loans that were originated before 2008. The
following table summarizes the Company’s Non-Agency MBS at December
31, 2016 (dollar amounts in thousands):
Weighted Average Mortgage Loan
Type Fair
Value
Current
Principal
Amortized
Cost
Coupon Yield Prime $ 48,917 $
60,033 81.70 % 4.59 % 5.46 % Alt-A 399,135 519,500 76.21 % 5.40 %
5.39 % Subprime 31,629 33,643 92.79 % 4.07 % 5.21 % Non-performing
153,514 157,021 99.09 % 4.65 % 5.45 % Agency Risk Transfer 8,045
11,000 72.32 % 3.75 % 6.27 % Paydowns receivable 6 -
- - - Total Non-Agency MBS $ 641,246 $ 781,197 81.89 % 5.10 % 5.41
%
Residential Mortgage Loans
The following table summarizes the Company’s residential
mortgage loans held-for-investment at December 31, 2016 (in
thousands):
Residential mortgage loans held-for-investment $ 744,462
Asset-backed securities issued by securitization trusts $ 728,683
Retained interest in loans held in securitization trust $ 15,779
Residential Real Estate
At December 31, 2016, Anworth Properties, Inc. owned 88
single-family residential rental properties located in Southeastern
Florida that are carried at a total cost, net of accumulated
depreciation, of $14.3 million.
MBS Portfolio Financing and Leverage
December 31, 2016 Agency
MBS
Non-Agency
MBS
Total
MBS
(dollar amounts in thousands) Repurchase Agreements:
Outstanding repurchase agreement balance $ 3,500,000 $ 411,015 $
3,911,015 Average interest rate 0.89 % 2.27 % 1.04 % Average
maturity 39 days 17 days 37 days Average interest rate after
adjusting for interest rate swaps 1.31 % Average maturity after
adjusting for interest rate swaps 488 days
At December 31, 2016, the Company’s leverage multiple was 5.6x.
The leverage multiple is calculated by dividing the Company’s
repurchase agreements outstanding by the aggregate of common
stockholders’ equity plus preferred stock and junior subordinated
notes. The Company’s effective leverage, which includes the effect
of TBA dollar roll financing, was 6.5x at December 31, 2016.
Interest Rate Swaps and Eurodollar Futures Contracts
At December 31, 2016, the Company’s interest rate swap
agreements (“Swaps”) had the following notional amounts (in
thousands), weighted average fixed rates and remaining terms:
December 31, 2016 Maturity Notional
Amount
Weighted
Average
Fixed
Rate
Remaining
Term in
Months
Remaining
Term in
Years
Less than 12 months $ 500,000 0.79 % 6 0.5 1 year to 2 years
410,000 0.96 16 1.3 2 years to 3 years 150,000 1.29 34 2.8 3 years
to 4 years 166,000 1.45 46 3.9 4 years to 5 years 125,000 2.44 57
4.8 5 years to 7 years 420,000 2.73 75 6.3 $ 1,771,000 1.51
% 34 2.8
At December 31, 2016, the Company’s short position in Eurodollar
Futures Contracts had the following notional amount (in thousands)
and weighted average purchase price:
December 31, 2016 Eurodollars Futures Contracts -
Expiration Notional
Amount
Weighted
Average
Purchase
Price
Less than 12 months $ 1,250,000 $ 99.06
Effective Net Interest Rate Spread
December 31,
2016
Average asset yield, including TBA dollar roll income 2.73 %
Effective cost of funds 1.56 Effective net interest rate
spread 1.17 %
Certain components of the effective net interest rate spread are
non-GAAP financial measures and are explained and reconciled to the
nearest comparable GAAP financial measures in the section entitled
“Non-GAAP Financial Measures” at the end of this earnings
release.
Dividend
On December 16, 2016, the Company declared a quarterly common
stock dividend of $0.15 per share for the fourth quarter ended
December 31, 2016. Based upon the closing price of $5.17 on
December 30, 2016, the annualized dividend yield on the Company’s
common stock at December 31, 2016 was 11.61%.
Book Value Per Common Share
At December 31, 2016, the Company’s book value was $5.95 per
share of common stock, which was a decrease of $0.30 from $6.25 in
the prior quarter.
The $0.15 quarterly dividend and the $0.30 decrease in book
value per share resulted in a return on equity to common
stockholders of (2.4)% for the quarter ended December 31, 2016. For
the year ended December 31, 2016, the return on equity to common
stockholders was 5.1% (unannualized).
Stock Transactions
During the quarter ended December 31, 2016, the Company issued
an aggregate of 18,223 shares of its Series C Preferred Stock under
its At Market Issuance Sales Agreements, which provided net
proceeds to the Company of approximately $450 thousand.
During the quarter ended December 31, 2016, the Company
repurchased an aggregate of 80,421 shares of its common stock at a
weighted average price of $4.78 per share.
Subsequent Events
From January 3, 2017 through February 14, 2017, the Company
issued an aggregate of 15,883 shares of Series C Preferred Stock at
a weighted average price of $24.83 per share, resulting in net
proceeds to us of approximately $390 thousand.
Conference Call
The Company will host a conference call on Thursday, February
16, 2017 at 1:00 PM Eastern Time, 10:00 AM Pacific Time, to discuss
its fourth quarter 2016 results. The dial-in number for the
conference call is 877-504-2731 for U.S. callers (international
callers should dial 412-902-6640 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 16, 2017. The dial-in number for the
replay is 877-344-7529 for U.S. callers (Canadian callers should
dial 855-669-9658 and international callers should dial
412-317-0088) and the conference number is 10101236. The conference
call will also be webcast live over the Internet, which can be
accessed on the Company’s website at http://www.anworth.com through
the corresponding link located at the top of the home page.
Investors interested in participating in the Company’s Dividend
Reinvestment and Stock Purchase Plan (the “DRP Plan”) or receiving
a copy of the DRP 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.amstock.com/investpower/new_dp.asp or the Company’s
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 mortgage-backed securities that are
either rated “investment grade” or are 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, ” “assume,” “estimate,”
“intend,” “continue, ” or other 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 market value of our mortgage-backed
securities; 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; 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; implementation of or 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; risks
associated with our home rental business; 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 AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS (in thousands, except per
share amounts) December 31, December 31,
2016 2015 ASSETS
(unaudited) Agency MBS: Agency MBS pledged to counterparties
at fair value $ 3,707,062 $ 4,694,731 Agency MBS at fair value
187,001 173,344 Paydowns receivable 31,130
24,707 $ 3,925,193 $ 4,892,782 Non-Agency MBS at fair value
(including $525,169 and $596,831 pledged to counterparties at
December 31, 2016 and December 31, 2015, respectively) 641,246
682,061 Residential mortgage loans held-for-investment(1) 744,462
969,172 Residential real estate 14,262 14,363 Cash and cash
equivalents 31,031 30,754 Restricted cash 12,390 14,230 Interest
and dividends receivable 16,203 17,525 Derivative instruments at
fair value 8,192 12,470 Prepaid expenses and other 2,797
2,983 Total Assets $ 5,395,776 $
6,636,340
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities: Accrued interest payable $ 11,850 $ 13,443 Repurchase
agreements 3,911,015 4,915,528 Asset-backed securities issued by
securitization trusts(1) 728,683 915,486 Junior subordinated notes
37,380 37,380 Derivative instruments at fair value 34,302 34,547
Dividends payable on Series A Preferred Stock 1,035 1,035 Dividends
payable on Series B Preferred Stock 394 394 Dividends payable on
Series C Preferred Stock 231 207 Dividends payable on common stock
14,358 14,861 Accrued expenses and other 1,506
1,308 Total Liabilities $ 4,740,754 $ 5,934,189
Series B Cumulative Convertible Preferred Stock: par value
$0.01 per share; liquidating
preference $25.00 per share ($25,241 and
$25,241, respectively); 1,010 and 1,010
shares issued and outstanding at December
31, 2016 and December 31, 2015,
respectively
$ 23,924 $ 23,924 Stockholders' Equity: Series A
Cumulative Preferred Stock: par value $0.01 per share; liquidating
preference $25.00 per share ($47,984 and
$47,984, respectively); 1,919 and 1,919
shares issued and outstanding at December
31, 2016 and December 31, 2015,
respectively
$ 46,537 $ 46,537 Series C Cumulative Preferred Stock: par value
$0.01 per share; liquidating
preference $25.00 per share ($12,146 and
$10,848, respectively); 486 and 434
shares issued and outstanding at December
31, 2016 and December 31, 2015,
respectively
11,321 10,039 Common Stock: par value $0.01 per share; authorized
200,000 shares, 95,718 shares
issued and outstanding at December 31,
2016 and 99,078 issued and
98,944 outstanding at December 31, 2015,
respectively
957 991 Additional paid-in capital 966,714 981,034 Accumulated
other comprehensive income consisting of unrealized gains and
losses 8,648 949 Accumulated deficit (403,079 )
(361,323 ) Total Stockholders' Equity: $ 631,098 $ 678,227
Total Liabilities and Stockholders' Equity $ 5,395,776
$ 6,636,340
(1) The consolidated balance sheets include assets of
consolidated variable interest entities (“VIEs”) that can only be
used to settle obligations and liabilities of the VIEs for which
creditors do not have recourse to the Company. At December 31, 2016
and December 31, 2015, total assets of the consolidated VIEs were
$747 million and $972 million, respectively (including accrued
interest receivable of $2.5 million and $3.1 million,
respectively), and total liabilities were $731 million and $918
million, respectively (including accrued interest payable of $2.4
million and $2.9 million, respectively).
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS (in
thousands, except for per share amounts)
Three
Months
Ended
Year
Ended
Three
Months
Ended
Year
Ended
December 31, 2016 December 31, 2015
(unaudited) (unaudited) Interest Income:
Interest-Agency MBS $ 19,964 $ 69,912 $ 22,881 $ 105,504
Interest-Non-Agency MBS 8,667 35,852 9,021 27,131
Interest-residential mortgage loans 7,854 34,637 7,510 12,819 Other
interest income 17 51 13
44 36,502 140,452
39,425 145,498 Interest Expense: Interest
expense on repurchase agreements 9,532 36,505 8,437 30,694 Interest
expense on asset-backed securities 7,548 32,480 6,841 11,645
Interest expense on junior subordinated notes 375
1,435 325 1,282
17,455 70,420 15,603
43,621 Net operating income 19,047
70,032 23,822 101,877 Provision
for loan losses - - (63 )
(203 ) Net interest income after provision for loan losses
19,047 70,032 23,759
101,674 Operating Expenses: Management fee to related party
(1,927 ) (7,883 ) (2,107 ) (8,791 ) General and administrative
expenses (1,584 ) (6,336 ) (1,320 )
(5,189 ) Total operating expenses (3,511 ) (14,219 )
(3,427 ) (13,980 ) Other Income (Loss): Income-rental
properties 425 1,688 416 1,594 (Loss) on sales of Agency MBS (39 )
(2,072 ) (7,508 ) (7,508 )
Unrealized (loss) gain on Agency MBS held
as trading investments
(14,925 ) (13,777 ) - - Gain (loss) on sales of Non-Agency MBS 137
137 1 (75 ) Impairment charge on Non-Agency MBS (1,548 ) (1,548 ) -
- Gain on sales of residential mortgage loans held-for-investment -
749 - - Gain (loss) on interest rate swaps, net 30,916 (27,250 )
18,131 (74,247 ) (Loss) gain on derivatives-TBA Agency MBS, net
(15,362 ) 11,464 (2,974 ) 9,323 Gain (loss) on
derivatives-Eurodollar Futures Contracts 672 (2,723 ) 4,535 (2,103
) Recovery on Non-Agency MBS 9 12
13 26 Total other income (loss)
285 (33,320 ) 12,614 (72,990 )
Net income $ 15,821 $ 22,493 $ 32,946 $ 14,704
Dividend on Series A Cumulative Preferred Stock (1,035 )
(4,139 ) (1,035 ) (4,139 ) Dividend on Series B Cumulative
Convertible Preferred Stock (394 ) (1,577 ) (394 ) (1,577 )
Dividend on Series C Cumulative Redeemable Preferred Stock
(231 ) (867 ) (207 ) (721 ) Net income to
common stockholders $ 14,161 $ 15,910 $ 31,310
$ 8,267 Basic earnings per common share $ 0.15 $ 0.17 $ 0.31
$ 0.08 Diluted earnings per common share $ 0.14 $ 0.17 $ 0.30 $
0.08 Basic weighted average number of shares outstanding 95,706
96,408 99,857 103,412 Diluted weighted average number of shares
outstanding 100,485 101,068 104,294 107,751
ANWORTH
MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (in
thousands, except for per share amounts) (unaudited)
Three
Months
Ended
Year
Ended
Three
Months
Ended
Year
Ended
December 31, 2016 December 31, 2015
(unaudited) (unaudited) Net income $ 15,821 $
22,493 $ 32,946 $ 14,704 Available-for-sale
Agency MBS, fair value adjustment (33,857 ) (346 ) (31,198 )
(15,961 ) Reclassification adjustment for loss on sales of Agency
MBS included
in net income
39 2,072 7,508 7,508 Available-for-sale Non-Agency MBS, fair value
adjustment 4,466 (690 ) (1,806 ) 2,283 Reclassification adjustment
for (gain) loss on sales of Non-Agency MBS
included in net income
(137 ) (137 ) (1 ) 75 Unrealized gains on derivatives 610 6,328
4,282 20,211 Reclassification adjustment for interest expense on
swap agreements
included in net income
77 472 225 1,814
Other comprehensive (loss) income (28,802 )
7,699 (20,990 ) 15,930 Comprehensive
(loss) income $ (12,981 ) $ 30,192 $ 11,956 $ 30,634
Non-GAAP Financial Measures
In addition to the Company’s operating results presented in
accordance with GAAP, the following tables include the following
non-GAAP financial measures: Core Earnings (including per common
share), total interest income and average asset yield, including
TBA dollar roll income, paydown expense on Agency MBS and effective
total interest expense and effective cost of funds. The first table
below reconciles the Company’s “net income to common stockholders”
for the quarter ended December 31, 2016 to “Core Earnings” for the
same period. Core Earnings represents “net income to common
stockholders” (which is the nearest comparable GAAP measure),
adjusted for the items shown in the table below. The second table
below reconciles the Company’s total interest and other income for
the quarter ended December 31, 2016 (which is the nearest
comparable GAAP measure) to the total interest income and average
asset yield, including TBA dollar roll income, and shows the
annualized amounts as a percentage of the Company’s average earning
assets and also reconciles the Company’s total interest expense
(which is the nearest comparable GAAP measure) to the effective
total interest expense and effective cost of funds and shows the
annualized amounts as a percentage of the Company’s average
borrowings.
The Company’s management believes that these non-GAAP financial
measures are useful because they provide investors with greater
transparency to the information that the Company uses in its
financial and operational decision-making process. Management
believes the inclusion of paydown expense on Agency MBS is more
indicative of the current earnings potential of the Company’s
investment portfolio, as it reflects the actual principal paydowns
which occurred during the period. Paydown expense on Agency MBS is
not dependent on future assumptions on prepayments or the
cumulative effect from prior periods of any current changes to
those assumptions, as is the case with the GAAP measure, “Premium
amortization on Agency MBS.” Management also believes that the
adjustment for an impairment charge on Non-Agency MBS is more
reflective of current Core Earnings, as this charge represents
future loss expectations. Management also believes the presentation
of these measures, when analyzed in conjunction with the Company’s
GAAP operating results, allows investors to more effectively
evaluate and compare the Company’s performance to that of its
peers, particularly those that have discontinued hedge accounting
and those that have used similar portfolio and derivative
strategies. These non-GAAP financial measures should not be used as
a substitute for the Company’s operating results for the quarter
ended December 31, 2016. An analysis of any non-GAAP financial
measure should be used in conjunction with results presented in
accordance with GAAP.
Core Earnings
Three Months Ended
December 31, 2016
Amount Per Share (in thousands) Net
income to common stockholders $ 14,161 $ 0.15 Adjustments to derive
core earnings: Loss on sales of Agency MBS 39 - Unrealized loss on
Trading Agency MBS 14,925 0.15 (Gain) on sales of Non-Agency MBS
(137 ) - Impairment charge on Non-Agency MBS(1) 1,548 0.02 (Gain)
on interest rate swaps, net (30,916 ) (0.32 ) Loss on
derivatives-TBA Agency MBS, net 15,362 0.16 Gain on
derivatives-Eurodollar Futures Contracts (672 ) (0.01 ) Recovery on
Non-Agency MBS (9 ) - Amortization of other comprehensive income on
de-designated swaps(2) 76 - Periodic net settlement on interest
rate Swaps after de-designation(3) (2,736 ) (0.03 ) Gain from
expiration of Eurodollar Futures Contracts 704 0.01 Dollar roll
income on TBA Agency MBS(4) 2,384 0.02 Premium amortization on
Agency MBS 5,493 0.06 Paydown expense(5) (8,087 )
(0.08 ) Core earnings $ 12,135 $ 0.13 Basic weighted
average number of shares outstanding 95,706
(1) Impairment charge on Non-Agency MBS represents the amount
charged against current GAAP earnings when future loss expectations
exceed previously existing loss expectations. When future loss
expectations become less than previously existing loss
expectations, the difference would be amortized into earnings over
the life of the security.(2) This amount represents the
amortization of the balance remaining in “accumulated other
comprehensive income” as a result of the Company’s discontinuation
of hedge accounting in August 2014 and is recorded in its
statements of operations as a portion of interest expense in
accordance with GAAP.(3) Periodic net settlements on interest rate
swaps after de-designation include all subsequent net payments made
on interest rate swaps which were de-designated as hedges in August
2014 and are recorded in “Gain on interest rate swaps, net.”(4)
Dollar roll income on TBA Agency MBS is the income resulting from
the price discount typically obtained by extending the settlement
of TBA Agency MBS to a later date. This is a component of “(Loss)
gain on derivatives-TBA Agency MBS, net” that is shown on the
Company’s statements of operations.(5) Paydown expense on Agency
MBS represents the proportional expense of Agency MBS purchase
premiums relative to the Agency MBS principal payments and
prepayments which occurred during the quarter.
Effective Net Interest Rate Spread
Three Months Ended December 31, 2016
Amount
Annualized
Percentage
(in thousands) Average Asset Yield, Including TBA Dollar
Roll Income: Total interest income $ 36,502 2.75 % Income-rental
properties 425 - Dollar roll income on TBA Agency MBS(1) 2,384 0.18
% Premium amortization on Agency MBS 5,493 0.41 % Paydown expense
on Agency MBS(2) (8,087 ) -0.61 % Total interest and other
income and average asset yield, including TBA dollar roll income $
36,717 2.73 % Effective Cost of Funds: Total interest
expense $ 17,455 1.39 % Periodic net settlement on interest rate
Swaps after de-designation(3) 2,736 0.22 % Amortization of other
comprehensive income on de-designated Swaps(4) 76 - Gain on
expiration of Eurodollar Futures Contracts (704 ) -0.05 %
Effective total interest expense and effective cost of funds $
19,563 1.56 % Effective net interest rate spread 1.17 %
Average earning assets $ 5,307,858 Average borrowings $
5,031,934
(1) Dollar roll income on TBA Agency MBS is the income resulting
from the price discount typically obtained by extending the
settlement of TBA Agency MBS to a later date. This is a component
of both the “(loss) gain on derivatives-TBA Agency MBS” and
“derivative income-TBA Agency MBS” that are shown on the Company’s
statements of operations.(2) Paydown expense on Agency MBS
represents the proportional expense of Agency MBS purchase premiums
relative to the Agency MBS principal payments and prepayments which
occurred during the quarter.(3) Periodic net settlements on
interest rate swaps after de-designation include all subsequent net
payments made on interest rate swaps which were de-designated as
hedges in August 2014 and are recorded in “Gain on interest rate
swaps, net.”(4) This amount represents the amortization of the
balance remaining in “accumulated other comprehensive income” as a
result of the Company’s discontinuation of hedge accounting in
August 2014 and is recorded in its statements of operations as a
portion of interest expense in accordance with GAAP.
View source
version on businesswire.com: http://www.businesswire.com/news/home/20170215006109/en/
Anworth Mortgage Asset CorporationJohn T. Hillman1299 Ocean
Avenue, Second FloorSanta Monica, CA 90401(310) 255-4438 or (310)
255-4493jhillman@anworth.comhttp://www.anworth.com
Anworth Mortgage Asset (NYSE:ANH)
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Anworth Mortgage Asset (NYSE:ANH)
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