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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Anworth Mortgage Asset Corporation | NYSE:ANH | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 2.98 | 0 | 01:00:00 |
Anworth Mortgage Asset Corporation (NYSE: ANH) (the “Company” or “Anworth”) today reported its financial results for the first quarter ended March 31, 2019.
Earnings
The following table summarizes the Company’s core earnings, GAAP net loss to common stockholders, and comprehensive income for the three months ended March 31, 2019:
Three Months Ended March 31, 2019 (unaudited) Earnings PerWeighted
Share
(in thousands) Core Earnings $ 11,948 $ 0.12 GAAP net loss to common stockholders $ (22,267 ) $ (0.23 ) Comprehensive income $ 20,476 $ 0.21Core earnings is a non-GAAP financial measure, which is explained and reconciled to GAAP net loss to common stockholders in the section entitled “Non-GAAP Financial Measures Related to Operating Results” near the end of this earnings release. Comprehensive income is shown on the consolidated statements of comprehensive income, which is included in this earnings release. Comprehensive income consists of the net loss to all stockholders (including the amounts paid to preferred stockholders) and the change in other comprehensive income.
Portfolio
At March 31, 2019 and December 31, 2018, the composition of the Company’s portfolio at fair value was as follows:
March 31, 2019 December 31, 2018 Dollar Amount Percentage Dollar Amount Percentage (in thousands) (unaudited) Agency MBS: ARMS and hybrid ARMs $ 1,424,495 24.2 % $ 1,547,405 26.6 % Fixed-rate Agency MBS 2,320,596 39.3 % 2,001,314 34.3 % TBA Agency MBS 721,391 12.0 % 906,016 15.6 % Total Agency MBS $ 4,466,482 75.5 % $ 4,454,735 76.5 % Non-Agency MBS 768,597 13.0 % 795,203 13.7 % Residential mortgage loans(1) 535,077 9.1 % 549,016 9.4 % Residential mortgage loans held-for-securitization 129,583 2.2 % 11,660 0.2 % Residential real estate 13,752 0.2 % 13,782 0.2 % Total Portfolio $ 5,913,491 100.0 % $ 5,824,396 100.0 % Total Assets(2) $ 6,063,120 $ 5,939,700 ____________________ (1) Residential mortgage loans owned by consolidated variable interest entities (“VIEs”) 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 March 31, 2019, the allocation of the Company’s agency mortgage-backed securities (“Agency MBS”) was approximately 32% adjustable-rate and hybrid adjustable-rate Agency MBS, 52% fixed-rate Agency MBS, and 16% fixed-rate TBA Agency MBS. At December 31, 2018, the allocation of the Company’s Agency MBS was approximately 35% adjustable-rate and hybrid adjustable-rate Agency MBS, 45% fixed-rate Agency MBS, and 20% fixed-rate TBA Agency MBS, both periods of which are detailed below:
March 31,2019
December 31,2018
(dollar amounts in thousands) (unaudited) Fair value of Agency MBS and TBA Agency MBS $ 4,466,482 $ 4,454,735 Adjustable-rate Agency MBS coupon reset (less than 1 year) 20 % 20 % Hybrid adjustable-rate Agency MBS coupon reset (1-3 years) 3 5 Hybrid adjustable-rate Agency MBS coupon reset (3-5 years) 6 7 Hybrid adjustable-rate Agency MBS coupon reset (greater than 5 years) 3 3 Total adjustable-rate Agency MBS 32 % 35 % 15-year fixed-rate Agency MBS 8 20 15-year fixed-rate TBA Agency MBS - 10 20-year fixed-rate Agency MBS 8 8 30-year fixed-rate Agency MBS 36 17 30-year fixed-rate TBA Agency MBS 16 10 Total MBS 100 % 100 %
At March 31, 2019 and December 31, 2018, the summary statistics of the Company’s Agency MBS portfolio were as follows:
March 31,2019
December 31,2018
(unaudited) Weighted Average Agency MBS Coupon: Adjustable-rate Agency MBS 4.34 % 4.09 % Hybrid adjustable-rate Agency MBS 2.52 2.52 15-year fixed-rate Agency MBS 3.13 2.90 15-year fixed-rate TBA Agency MBS - 3.57 20-year fixed-rate Agency MBS 3.70 3.69 30-year fixed-rate Agency MBS 4.05 4.04 30-year fixed-rate TBA Agency MBS 4.32 4.35 Total Agency MBS: 3.84 % 3.54 % Average Amortized Cost: Adjustable-rate Agency MBS 102.67 % 102.65 % Hybrid adjustable-rate Agency MBS 102.53 102.49 15-year fixed-rate Agency MBS 102.06 102.28 15-year fixed-rate TBA Agency MBS - 100.47 20-year fixed-rate Agency MBS 104.02 104.48 30-year fixed-rate Agency MBS 102.73 102.90 30-year fixed-rate TBA Agency MBS 103.06 102.49 Total Agency MBS: 102.79 % 102.47 % Average asset yield (weighted average coupon divided by average amortized cost) 3.74 % 3.45 % Unamortized premium $99.7 million $95.2 million Unamortized premium as a percentage of par value 2.79 % 2.47 % Premium amortization expense on Agency MBS for the respective quarter $5.9 million $7.4 millionAt March 31, 2019 and December 31, 2018, the constant prepayment rate (“CPR”) and weighted average term to next interest rate reset of our Agency MBS were as follows:
March 31,2019
December 31,2018
(unaudited) Constant prepayment rate (CPR) of Agency MBS 13% 14% Constant prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate Agency MBS 19% 21% Weighted average term to next interest rate reset on Agency MBS 24 months 24 months
Non-Agency MBS
The following tables summarize the Company’s Non-Agency MBS at March 31, 2019 and December 31, 2018:
March 31, 2019 Weighted Average Portfolio Type FairValue
AmortizedCost
CurrentPrincipal
AmortizedCost
Coupon Yield (in thousands) (unaudited) Legacy Non-Agency MBS (pre-2008) $ 551,428 $ 537,652 $ 719,254 74.75%
5.59 % 5.56 % Non-performing 82,884 83,007 83,260 99.70 5.19 5.49 Credit Risk Transfer 134,285 130,210 141,839 91.80 4.30 5.81 Total Non-Agency MBS $ 768,597 $ 750,869 $ 944,353 79.51 % 5.35 % 5.60 % December 31, 2018 Weighted Average Portfolio Type FairValue
AmortizedCost
CurrentPrincipal
AmortizedCost
Coupon Yield (in thousands) (unaudited) Legacy Non-Agency MBS (pre-2008) $ 561,940 $ 553,292 $ 738,210 74.95 % 5.56 % 5.57 % Non-performing 101,744 102,450 102,760 99.70 5.14 5.42 Credit Risk Transfer 131,519 129,898 141,839 91.58 4.30 5.72 Total Non-Agency MBS $ 795,203 $ 785,640 $ 982,809 79.94 % 5.34 % 5.58 %Residential Mortgage Loans Held-for-Investment
The following table summarizes the Company’s residential mortgage loans held-for-investment at March 31, 2019 and December 31, 2018:
March 31, December 31, 2019 2018 (in thousands) (unaudited) Residential mortgage loans held-for-investment $ 535,077 $ 549,016 Asset-backed securities issued by securitization trusts 525,712 539,651 Retained interest in loans held in securitization trusts $ 9,365 $ 9,365Residential Mortgage Loans Held-for-Securitization
The following table summarizes the Company’s residential mortgage loans held-for-securitization at March 31, 2019 and December 31, 2018:
March 31, December 31, 2019 2018 (in thousands) (unaudited) Residential mortgage loans held-for-securitization $ 129,583 $ 11,660 Amount outstanding on warehouse line of credit $ 15,442 $ - Payable for purchased loans $ 112,316 $ 11,660Residential Properties Portfolio
At March 31, 2019 and December 31, 2018, Anworth Properties Inc. owned 86 and 86 single-family residential rental properties, respectively, located in Southeastern Florida that were carried at a total cost, net of accumulated depreciation, of $13.8 million and $13.8 million, respectively.
MBS Portfolio Financing
March 31, 2019 AgencyMBS
Non-AgencyMBS
TotalMBS
(dollar amounts in thousands) (unaudited) Repurchase Agreements: Outstanding repurchase agreement balance $ 3,215,000 $ 545,634 $ 3,760,634 Average interest rate 2.68 % 3.60 % 2.81 % Average maturity 33 days 18 days 31 days Average interest rate after adjusting for interest rate swaps 2.32 % Average maturity after adjusting for interest rate swaps 1,222 days December 31, 2018 AgencyMBS
Non-AgencyMBS
TotalMBS
(dollar amounts in thousands) (unaudited) Repurchase Agreements: Outstanding repurchase agreement balance $ 3,235,000 $ 576,627 $ 3,811,627 Average interest rate 2.52 % 3.55 % 2.67 % Average maturity 35 days 13 days 32 days Average interest rate after adjusting for interest rate swaps 2.23 % Average maturity after adjusting for interest rate swaps 1,217 daysPortfolio Leverage
At March 31, 2019, the Company’s leverage multiple was 6.05x. The leverage multiple is calculated by dividing the Company’s repurchase agreements and credit line 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 7.18x at March 31, 2019. At December 31, 2018, the Company’s leverage multiple was 6.16x and the effective leverage was 7.63x.
Interest Rate Swaps
At March 31, 2019 and December 31, 2018, the Company’s interest rate swaps agreements (“Swaps”) had the following notional amounts, weighted average fixed rates, and remaining terms:
March 31, 2019 Maturity NotionalAmount
WeightedAverage
Fixed
Rate
RemainingTerm in
Months
RemainingTerm in
Years
(in thousands) (unaudited) Less than 12 months $ 650,000 1.61 % 6 0.5 1 year to 2 years 666,000 1.76 18 1.5 2 years to 3 years 300,000 1.87 30 2.5 3 years to 4 years 270,000 2.09 44 3.7 4 years to 5 years 355,000 2.39 57 4.7 5 years to 7 years 525,000 2.48 75 6.3 7 years to 10 years 590,000 2.82 104 8.7 $ 3,356,000 2.13 % 47 3.9 December 31, 2018 Maturity NotionalAmount
WeightedAverage
Fixed
Rate
RemainingTerm in
Months
RemainingTerm in
Years
(in thousands) (unaudited) Less than 12 months $ 725,000 1.60 % 7 0.6 1 year to 2 years 591,000 1.70 19 1.6 2 years to 3 years 400,000 1.96 30 2.5 3 years to 4 years 220,000 1.92 43 3.6 4 years to 5 years 205,000 2.27 57 4.8 5 years to 7 years 475,000 2.41 73 6.1 7 years to 10 years 690,000 2.83 104 8.7 $ 3,306,000 2.10 % 47 3.9Effective Net Interest Rate Spread
March 31,2019
December 31,2018
(unaudited) Average asset yield, including TBA dollar roll income 3.66 % 3.56 % Effective cost of funds 2.52 2.52 Effective net interest rate spread 1.14 % 1.04 %Certain components of the effective net interest rate spread are non-GAAP financial measures, which are explained and reconciled to the nearest comparable GAAP financial measures in the section entitled “Non-GAAP Financial Measures Related to Operating Results” at the end of this earnings release.
Dividend
On March 14, 2019, the Company declared a quarterly common stock dividend of $0.13 per share for the first quarter ended March 31, 2019. Based upon the closing price of $4.04 on March 31, 2019, the annualized dividend yield on the Company’s common stock at March 31, 2019 was 12.9%.
Book Value per Common Share
At March 31, 2019, the Company’s book value was $4.76 per share of common stock, which was an increase of $0.05 from $4.71 in the prior quarter.
The $0.13 quarterly dividend plus the $0.05 increase in book value per common share from the prior quarter resulted in a return on book value per common share of 3.8% for the quarter ended March 31, 2019.
Subsequent Events
On April 1, 2019, the conversion rate of our Series B Preferred Stock increased from 5.2588 to 5.3539 shares of our common stock based upon the common stock dividend of $0.13 per share that was declared on March 14, 2019.
On April 30, 2019, we settled on an aggregate of approximately $74.5 million (including premium and accrued interest) of Non-QM residential mortgage loans that we acquired during the quarter ended March 31, 2019.
Conference Call
The Company will host a conference call on Monday, May 6, 2019 at 1:00 PM Eastern Time, 10:00 AM Pacific Time, to discuss its first quarter 2019 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 May 6, 2019. 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 10131180. 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
We are an externally-managed mortgage real estate investment trust (“REIT”). 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 (our “Manager”), pursuant to a management agreement. Our Manager is subject to the supervision and direction of our Board 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 portfolio management, administrative, 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 Mortgage Asset Corporation 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; 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)
March 31,
December 31,
2019
2018
(audited)
ASSETS Agency MBS at fair value (including $3,421,455 and $3,433,252 pledged to counterparties at March 31, 2019and December 31, 2018, respectively)
$ 3,745,091 $ 3,548,719 Non-Agency MBS at fair value (including $700,391 and $726,428 pledged to counterparties at March 31, 2019and December 31, 2018, respectively)
768,597 795,203 Residential mortgage loans held-for-securitization 129,583 11,660 Residential mortgage loans held-for-investment through consolidated securitization trusts(1) 535,077 549,016 Residential real estate 13,752 13,782 Cash and cash equivalents 21,997 3,165 Reverse repurchase agreements — 20,000 Restricted cash 75,513 30,296 Interest and dividends receivable 17,539 16,872 Derivative instruments at fair value 27,396 46,207 Right to use asset-operating lease 1,660 1,794 Prepaid expenses and other 5,524 2,986 Total Assets $ 5,341,729 $ 5,039,700 LIABILITIES AND STOCKHOLDERS’ EQUITY Liabilities: Accrued interest payable $ 16,084 $ 24,828 Repurchase agreements 3,760,634 3,811,627 Warehouse line of credit 15,442 — Asset-backed securities issued by securitization trusts(1) 525,712 539,651 Junior subordinated notes 37,380 37,380 Derivative instruments at fair value 36,261 15,901 Dividends payable on preferred stock 2,297 2,297 Dividends payable on common stock 12,813 12,803 Payable for purchased MBS 227,997 — Payable for purchased loans 112,316 11,660 Derivative counterparty margin 5,238 — Accrued expenses and other 1,045 654 Long-term lease obligation 1,660 1,794 Total Liabilities $ 4,754,879 $ 4,458,595 Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 pershare ($19,494 and $19,494, respectively); 780 and 780 shares issued and outstanding at March 31, 2019 and
December 31, 2018, respectively)
$ 19,455 $ 19,455 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 March 31, 2019
and December 31, 2018, respectively)
$ 46,537 $ 46,537 Series C Cumulative Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share($50,257 and $50,257, respectively); 2,010 and 2,010 shares issued and outstanding at March 31, 2019
and December 31, 2018, respectively)
48,944 48,944 Common Stock: par value $0.01 per share; authorized 200,000 shares, 98,565 and 98,483 shares issued and outstanding at March 31, 2019and December 31, 2018, respectively)
986 985 Additional paid-in capital 982,344 981,964 Accumulated other comprehensive (loss) income consisting of unrealized gains and losses 9,654 (30,792) Accumulated deficit (521,070) (485,988) Total Stockholders’ Equity $ 567,395 $ 561,650 Total Liabilities and Stockholders’ Equity $ 5,341,729 $ 5,039,700 ____________________ (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 March 31, 2019 and December 31, 2018, total assets of the consolidated VIEs were $537 million and $551 million (including accrued interest receivable of $1.8 million and $1.8 million), respectively (which is recorded above in the line item “Interest and dividends receivable”), and total liabilities were $527 million and $541 million (including accrued interest payable of $1.7 million and $1.7 million), respectively (which is recorded above in the line item “Accrued interest payable”).ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF OPERATIONS (in thousands, except for per share amounts) Three Months Ended March 31,
2019
2018
(unaudited) Interest and other income: Interest-Agency MBS $ 25,711 $ 24,044 Interest-Non-Agency MBS 10,466 10,021 Interest-residential securitized mortgage loans 5,368 6,238 Interest-residential mortgage loans held-for-securitization 86 — Other interest income 19 28 41,650 40,331 Interest expense: Interest expense on repurchase agreements 27,136 19,093 Interest expense on asset-backed securities 5,200 6,070 Interest expense on warehouse line of credit 234 — Interest expense on junior subordinated notes 547 447 33,117 25,610 Net interest income 8,533 14,721 Operating expenses: Management fee to related party (1,724 ) (1,737 ) Rental properties depreciation and expenses (355 ) (386 ) General and administrative expenses (967 ) (1,110 ) Total operating expenses (3,046 ) (3,233 ) Other (loss): Income-rental properties 436 451 Realized net (loss) on sales of available-for-sale MBS (6,147 ) (11,987 ) Realized (loss) on sales of Agency MBS held as trading investments (7,363 ) (7,327 ) Unrealized gain (loss) on Agency MBS held as trading investments 14,906 (8,890 ) (Loss) gain on derivatives, net (27,289 ) 13,412 Total other (loss) (25,457 ) (14,341 ) Net (loss) $ (19,970 ) $ (2,853 ) Dividends on preferred stock (2,297 ) (2,297 ) Net (loss) to common stockholders $ (22,267 ) $ (5,150 ) Basic (loss) per common share $ (0.23 ) $ (0.05 ) Diluted (loss) per common share $ (0.23 ) $ (0.05 ) Basic weighted average number of shares outstanding 98,537 98,185 Diluted weighted average number of shares outstanding 98,537 98,185ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (in thousands, except for per share amounts) Three Months Ended March 31, 2019 2018 (unaudited) Net (loss) $ (19,970 ) $ (2,853 ) Available-for-sale Agency MBS, fair value adjustment 25,109 (35,481 ) Reclassification adjustment for loss on sales of Agency MBS included
in net (loss)
6,169 11,945 Available-for-sale Non-Agency MBS, fair value adjustment 8,187 667 Reclassification adjustment for (gain) loss on sales of Non-Agency MBSincluded in net (loss)
(22 ) 42 Amortization of unrealized gains on interest rate swaps remaining inother comprehensive income
1,003 940 Reclassification adjustment for interest (income) on interest rate swapsincluded in net (loss)
- (194 ) Other comprehensive income (loss) 40,446 (22,081 ) Comprehensive income (loss) $ 20,476 $ (24,934 )
Non-GAAP Financial Measures Related to Operating Results
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 loss to common stockholders” for the three months ended March 31, 2019 to “Core Earnings” for the same period. Core Earnings represents “net loss 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 three months ended March 31, 2019 (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 should not be used as a substitute for the Company’s operating results for the three months ended March 31, 2019. An analysis of any non-GAAP financial measure should be used in conjunction with results presented in accordance with GAAP.
Core Earnings
Three Months EndedMarch 31, 2019
Amount Per Share (in thousands) (unaudited) Net (loss) to common stockholders $ (22,267 ) $ (0.23 ) Adjustments to derive core earnings: Loss on sales of MBS 13,510 0.14 Unrealized (gain) loss on Agency MBS held as trading investments (14,906 ) (0.15 ) Unrealized loss (gain) on interest rate swaps, net 33,718 0.34 (Gain) loss on derivatives-TBA Agency MBS, net (6,429 ) (0.06 ) Net settlement on interest rate swaps after de-designation(1) 4,862 0.05 Dollar roll income on TBA Agency MBS(2) 1,975 0.02 Premium amortization on MBS 5,886 0.06 Paydown expense(3) (4,520 ) (0.05 ) Depreciation expense on residential rental properties(4) 119 - Core earnings $ 11,948 $ 0.12 Basic weighted average number of shares outstanding 98,537 ____________________ (1) Net settlement on interest rate swaps after de-designation includes all subsequent net payments made on interest rate swaps which were de-designated as hedges in August 2014 and also on any new interest rate swaps entered into after that date. These amounts are recorded in “Unrealized loss on interest rate swaps, net.” (2) 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 the “Loss on derivatives, net” that is included in the Company’s statements of operations. (3) 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. (4) Depreciation expense is added back in the core earnings calculation, as it is a non-cash item, and it is similarly added back in other companies’ calculation of core earnings or funds from operations.
Effective Net Interest Rate Spread
Three Months Ended March 31, 2019Amount
AnnualizedPercentage
(in thousands) (unaudited) Average Asset Yield, Including TBA Dollar Roll Income: Total interest income $ 41,650 3.35 % Income-rental properties 436 0.04 Dollar roll income on TBA Agency MBS(1) 1,975 0.16 Premium amortization on Agency MBS 5,886 0.47 Paydown expense on Agency MBS(2) (4,520 ) (0.36 ) Total interest and other income and average asset yield, including TBA dollar roll income $ 45,427 3.66 % Effective Cost of Funds: Total interest expense $ 33,117 2.96 % Net settlement on interest rate Swaps after de-designation(3) (4,862 ) (0.44 ) Effective total interest expense and effective cost of funds $ 28,255 2.52 % Effective net interest rate spread 1.14 % Average earning assets $ 4,966,309 Average borrowings $ 4,481,309 ____________________ (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 the “Loss on derivatives, net” that is 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) Net settlement on interest rate swaps after de-designation includes all subsequent net payments made on interest rate swaps which were de-designated as hedges in August 2014 and are recorded in “Loss on interest rate swaps, net.”
View source version on businesswire.com: https://www.businesswire.com/news/home/20190503005418/en/
Anworth Mortgage Asset CorporationJohn T. Hillman1299 Ocean Avenue, 2nd FloorSanta Monica, CA 90401(310) 255-4438 or (310) 255-4493Email: jhillman@anworth.comWeb site: http://www.anworth.com
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