Exhibit 99.1
Anworth Mortgage Asset Corporation Reports Earnings of $0.05 Per Share
for First Quarter of 2007
SANTA MONICA, Calif.--(BUSINESS WIRE)--May 7, 2007--For the
quarter ended March 31, 2007 and based on a weighted average of 45.6
million fully diluted shares outstanding, Anworth Mortgage Asset
Corporation (NYSE:ANH) announced today unaudited net income to common
stockholders of $2.4 million, or $0.05 per share.
This income per share benefited from the accounting for the first
quarter Series A Preferred Stock dividend in the recent fourth quarter
in the amount of approximately $0.02 per share.
Anworth's investments consist of the following portfolios: Agency
mortgage-backed securities ("Agency MBS"); Non-Agency mortgage-backed
securities ("Non-Agency MBS"); residential real estate loans owned by
Belvedere Trust Mortgage Corporation ("BT Residential Loans"); and
other mortgage-backed securities owned by Belvedere Trust Mortgage
Corporation ("BT Other MBS"). Belvedere Trust Mortgage Corporation, or
Belvedere Trust, is a wholly-owned subsidiary of Anworth.
At March 31, 2007, the Agency MBS portfolio was approximately
$4.99 billion and was allocated as follows: 26% Agency adjustable-rate
mortgages; 55% Agency hybrid adjustable-rate mortgages; 18% Agency
fixed-rate MBS; and less than 1% Agency floating-rate collateralized
mortgage obligations, or CMOs.
At March 31, 2007, the Non-Agency MBS portfolio was approximately
$118 million, consisting of floating-rate CMOs at a current yield of
5.58% that were acquired at par value.
At March 31, 2007, the current yield on the Anworth's Agency MBS
portfolio was 5.61% based on a weighted average coupon of 5.69%
divided by the average amortized cost of 101.44%. The quarter-end
unamortized premium was $71 million, or 1.4% of the par value. During
the quarter ended March 31, 2007, the expense of amortizing the Agency
securities premium (based on prepayments and scheduled payments) was
$5.9 million, compared to $6.5 million during the quarter ended
December 31, 2006. During the quarter ended March 31, 2007, the
constant prepayment rate (or "CPR") of the Agency MBS and Non-Agency
MBS was 24% and the CPR of the adjustable-rate and hybrid
adjustable-rate Agency MBS was 25.9%. For the Agency MBS and
Non-Agency MBS adjustable-rate mortgage and hybrid assets, the
weighted average term to the next interest rate reset date was 29
months.
At March 31, 2007, Belvedere Trust did not have any residential
mortgage loans held for securitization and securitized mortgage loans
were $1.53 billion. Belvedere Trust's securitized loan portfolio
consists of high credit-quality adjustable-rate and hybrid first-lien
mortgage loans. At March 31, 2007, the average FICO score of Belvedere
Trust's BT Residential Loans portfolio was 728 and the average
loan-to-value was 72%.
At March 31, 2007, Belvedere Trust's BT Other MBS portfolio
consisted of $209 million backed by collateral that was 25% hybrid,
74% adjustable-rate and 0.3% fixed-rate mortgages. This amount
includes approximately $8 million in securities that were retained
from Belvedere Trust's first securitization (HYB1) (accounted for as a
sale) consisting of $0.5 million in securities rated AAA, $6.2 million
in other investment grade securities and $1.5 million in
non-investment grade securities. The remaining balance of
approximately $201 million was securities that were purchased from
major issuers and consist of $43 million of securities rated from A+
to A-, $151 million of securities rated from BBB+ to BBB- and $7
million in non-investment grade securities. At March 31, 2007, the BT
Other MBS portfolio that has been acquired from other issuers is
backed by mortgage loans with an average FICO of 710 and an average
LTV of 74%.
During the quarter ended March 31, 2007, the CPR of Belvedere
Trust's BT Residential Loans portfolio was 30% and the CPR of
Belvedere Trust's BT Other MBS portfolio was 5%. At March 31, 2007,
the weighted gross and net coupons on Belvedere Trust's BT Residential
Loans portfolio were 6.23% and 5.87%, respectively. The difference
between the gross and net weighted average coupons is due primarily to
servicing fees. The weighted average coupon on Belvedere Trust's BT
Other MBS portfolio was 6.47%. The average cost of Belvedere Trust's
BT Residential Loans portfolio was 101.55% and the average cost of
Belvedere Trust's BT Other MBS portfolio was 97.50%.
Relative to Anworth's Agency MBS and Non-Agency MBS portfolios at
March 31, 2007, the outstanding repurchase agreement balance was $4.61
billion with an average interest rate of 5.31% and an average maturity
of 88 days. After adjusting for collateralized interest rate swap
transactions, the average interest rate was 5.12% with an average
maturity of 365 days.
During the quarter ended March 31, 2007 and relative to average
Agency MBS earning assets, interest income earned was 5.58%,
amortization of premium was 0.47% and the average cost of funds was
5.24%, resulting in an interest rate spread of (0.13)%. Anworth's
first quarter was driven by a growing interest rate spread which
increased by 17 basis points from the previous quarter.
The financing of Belvedere Trust's BT Residential Loans and BT
Other MBS portfolios included mortgage-backed securities issued of
$1.35 billion and repurchase agreements of $301 million. At March 31,
2007, the weighted average coupon on the mortgage-backed securities
issued was 5.02% and the weighted average borrowing rate on Belvedere
Trust's repurchase agreements was 5.13%.
During the quarter ended March 31, 2007, Anworth's average equity
investment in Belvedere Trust was $100 million and Belvedere Trust
generated a net profit of $0.3 million.
Total stockholders' equity at March 31, 2007 was $494 million,
consisting of Series A Preferred Stock liquidating value of
approximately $47 million and common stockholders' equity of
approximately $445 million. The common stockholders' equity of $447
million less approximately $1.9 million in offering costs on the
Series B Preferred Stock resulted in a book value per share of $9.75
based on 45.6 million shares of common stock outstanding at March 31,
2007.
Average common stockholders' equity for the quarter ended March
31, 2007 was $445 million.
Commenting on Anworth's operations, Lloyd McAdams, Anworth's
Chairman, President and Chief Executive Officer, stated, "The
continued improvement in our operations is largely the result of (1)
interest rates on assets increasing more than the cost of the
associated financing (2) slower mortgage prepayment rates and (3) the
proceeds from our recent convertible preferred offering being invested
at yields higher than the cost of this capital. Our book value was
unchanged during the quarter as our Agency portfolio market value
increased by approximately the same amount as the BT Other MBS
portfolio declined in value even though the credit support for the BT
Other MBS portfolio was unchanged during the quarter."
About Anworth Mortgage Asset Corporation
Anworth is a mortgage real estate investment trust (REIT) which
invests in mortgage assets, including mortgage pass-through
certificates, collateralized mortgage obligations, mortgage loans and
other real estate securities. Anworth generates income for
distribution to shareholders primarily based on the difference between
the yield on its mortgage assets and the cost of its borrowings.
Through its wholly-owned subsidiary, Belvedere Trust Mortgage
Corporation, Anworth also invests in high quality jumbo
adjustable-rate mortgages and finances these loans though
securitizations.
Safe Harbor Statement under the Private Securities Litigation
Reform Act of 1995
This press release contains forward-looking statements within the
meaning of the "safe harbor" provisions of the Private Securities
Litigation Reform Act of 1995. These statements are based upon our
current expectations and speak only as of the date hereof. 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 increases in the prepayment rates on the
mortgage loans securing our mortgage-backed securities, our ability to
use borrowings to finance our assets, increases in default rates of
the mortgage loans acquired by our mortgage loan subsidiaries, risks
associated with investing in mortgage-related assets, including
changes in business conditions and the general economy, our ability to
maintain our qualification as a real estate investment trust for
federal income tax purposes, and management's ability to manage our
growth. Our Annual Report on Form 10-K, recent and forthcoming
Quarterly Reports on Form 10-Q, recent Current Reports on Form 8-K,
and other SEC filings discuss some of the important 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,
2007 2006
----------- ------------
(unaudited)
ASSETS
Agency MBS:
Agency MBS pledged to
counterparties at fair
value $4,791,656 $4,449,129
Agency MBS at fair value 202,229 229,778
----------- ------------
4,993,885 4,678,907
Non-Agency MBS:
Non-Agency MBS pledged to
counterparties at fair
value 109,821 104,508
Non-Agency MBS at fair
value 8,443 2,515
----------- ------------
118,264 107,023
BT Other MBS:
BT Other MBS pledged to
counterparties at fair
value 205,052 147,644
BT Other MBS at fair
value 4,017 15,155
----------- ------------
209,069 162,799
BT Residential Loans 1,526,976 1,682,522
Allowance for loan losses (1,970) (1,608)
Cash and cash equivalents 354 175
Interest and dividends receivable 35,939 35,523
Derivative instruments at fair
value 8,872 11,757
Prepaid expenses and other 20,388 10,291
----------- ------------
$6,911,777 $6,687,389
=========== ============
LIABILITIES AND STOCKHOLDERS' EQUITY
Liabilities:
Accrued interest payable $ 75,922 $ 69,106
Repurchase agreements
(Anworth) 4,614,171 4,329,921
Repurchase agreements
(Belvedere Trust) 301,106 275,733
MBS issued 1,346,767 1,471,724
Junior subordinated notes 37,380 37,380
Derivative instruments at
fair value 10,587 6,877
Dividends payable on
Series A Cumulative
Preferred Stock 1,011 2,022
Dividends payable on
Series B Cumulative
Convertible Preferred
Stock 324 -
Dividends payable on
common stock - 912
Accrued expenses and
other 3,828 2,624
----------- ------------
$6,391,096 $6,196,299
----------- ------------
Minority interest $ 78 $ 88
----------- ------------
Series B Cumulative Convertible
Preferred Stock: par value $0.01
per share; liquidation preference
$25.00 per share; 1,150 and 0 shares issued
and outstanding, respectively $ 26,866 $ -
----------- ------------
Stockholders' Equity:
Series A Cumulative
Preferred Stock: par
value $0.01 per share;
liquidation preference
$25.00
per share; 1,876 and 1,876 shares issued and
outstanding, respectively $ 45,397 $ 45,397
Common Stock: par value
$0.01 per share;
authorized 100,000
shares, 45,616 and 45,609
issued and outstanding, respectively 456 456
Additional paid-in
capital 525,896 525,607
Accumulated other
comprehensive loss
consisting of unrealized
losses and gains (45,429) (45,435)
Accumulated deficit (32,583) (35,023)
----------- ------------
$ 493,737 $ 491,002
----------- ------------
$6,911,777 $6,687,389
=========== ============
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF INCOME
(in thousands, except for per share amounts)
(unaudited)
Three Months Ended
March 31,
2007 2006
--------- --------
Interest income net of amortization of premium and
discount:
Interest on Agency MBS $62,167 $46,220
Interest on Non-Agency MBS 1,682 -
Interest on BT Other MBS 3,610 2,850
Interest on BT Residential Loans 19,080 26,342
--------- --------
86,539 75,412
--------- --------
Interest expense:
Interest expense on repurchase agreements
(Anworth) 59,016 42,121
Interest expense on repurchase agreements
(Belvedere Trust) 3,746 4,254
Interest expense on whole loan financing
facilities - 3
Interest expense on MBS issued 17,930 23,824
Interest expense on junior subordinated
notes 794 690
--------- --------
81,486 70,892
--------- --------
Net interest income 5,053 4,520
--------- --------
Gain on sale of BT Other MBS 185 -
Loss on sale of BT Residential Loans - (5)
Expenses:
Compensation and benefits (908) (866)
Compensation - amortization of
restricted stock (207) (75)
Provision for loan losses (428) (188)
Other expenses (941) (1,068)
--------- --------
Total expenses (2,484) (2,197)
--------- --------
Income from operations before minority interest 2,754 2,318
--------- --------
Minority interest in net loss of a subsidiary 10 49
--------- --------
Net income $ 2,764 $ 2,367
Dividend on Series A Cumulative Preferred Stock(1) $ - $ -
--------- --------
Dividend on Series B Cumulative Convertible
Preferred Stock $ (324) $ -
--------- --------
Net income available to common stockholders $ 2,440 $ 2,367
--------- --------
Basic earnings per common share $ 0.05 $ 0.05
--------- --------
Weighted average number of shares outstanding 45,614 45,388
--------- --------
Diluted earnings per common share $ 0.05 $ 0.05
--------- --------
Weighted average number of diluted shares
outstanding 45,614 45,401
--------- --------
(1) The three months ended March 31, 2006 is as adjusted to properly
record the Series A Cumulative Preferred Stock dividend based on
declaration date as opposed to the quarter to which it relates.
CONTACT: Anworth Mortgage Asset Corporation
John T. Hillman, (310) 255-4438 or (310) 255-4493