Anworth Reports Fourth Quarter 2020 Financial Results
02/23/2021 - 04:05 PM
Anworth Mortgage Asset Corporation (NYSE: ANH) (the “Company” or “Anworth”) today reported its financial results for the fourth quarter ended December 31, 2020.
Earnings
The following table summarizes the Company’s core earnings, GAAP net income to common stockholders, and comprehensive income for the three months ended December 31, 2020:
Three Months Ended
December 31, 2020
(unaudited)
Per
Weighted
Earnings
Share
(in thousands)
Core earnings
$
4,655
$
0.05
GAAP net income to common stockholders
$
21,122
$
0.21
Comprehensive income
$
16,195
$
0.16
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 Related to Operating Results” near the end of this earnings release. Comprehensive income is shown on our consolidated statements of comprehensive income, which is included in this earnings release. Comprehensive income consists of net income to all stockholders (including the amounts paid to preferred stockholders) and the change in other comprehensive income.
Portfolio
At December 31, 2020 and September 30, 2020, the composition of our portfolio at fair value was as follows:
December 31, 2020
September 30, 2020
Dollar Amount
Percentage
Dollar Amount
Percentage
(in thousands)
(in thousands)
(unaudited)
Agency MBS:
ARMS and hybrid ARMs
$
511,628
17.3
%
$
575,163
19.2
%
Fixed-rate Agency MBS
1,112,726
37.7
1,034,598
34.6
TBA Agency MBS
730,617
24.8
727,472
24.3
Total Agency MBS
$
2,354,971
79.8
%
$
2,337,233
78.1
%
Non-Agency MBS
$
206,933
7.0
%
$
198,586
6.7
%
Residential mortgage loans held-for-investment through consolidated securitization trusts(1)
267,107
9.1
317,887
10.6
Residential mortgage loans held-for-securitization
109,312
3.7
123,247
4.2
Residential real estate
12,750
0.4
12,827
0.4
Total Portfolio
$
2,951,073
100.0
%
$
2,989,780
100.0
%
Total Assets(2)
$
3,108,318
$
3,164,635
________________________________
(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 December 31, 2020, the allocation of our agency mortgage-backed securities (“Agency MBS”) was approximately 22% adjustable-rate and hybrid adjustable-rate Agency MBS, 47% fixed-rate Agency MBS, and 31% fixed-rate TBA Agency MBS. At September 30, 2020, the allocation of our Agency MBS was approximately 25% adjustable-rate and hybrid adjustable-rate Agency MBS, 44% fixed-rate Agency MBS, and 31% fixed-rate TBA Agency MBS, both periods of which are detailed in the table below:
December 31,
September 30,
2020
2020
(dollar amounts in thousands)
(unaudited)
Fair value of Agency MBS and TBA Agency MBS
$
2,354,971
$
2,337,233
Adjustable-rate Agency MBS coupon reset (less than 1 year)
14
%
16
%
Hybrid adjustable-rate Agency MBS coupon reset (1-3 years)
5
6
Hybrid adjustable-rate Agency MBS coupon reset (3-5 years)
—
—
Hybrid adjustable-rate Agency MBS coupon reset (greater than 5 years)
3
3
Total adjustable-rate Agency MBS
22
%
25
%
15-year fixed-rate Agency MBS
1
2
20-year fixed-rate Agency MBS
7
7
30-year fixed-rate Agency MBS
39
35
30-year fixed-rate TBA Agency MBS
31
31
Total MBS
100
%
100
%
At December 31, 2020 and September 30, 2020, the summary statistics of our Agency MBS and TBA Agency MBS were as follows:
December 31, 2020
Weighted Average
Fair Market
Coupon
Cost
Price
(unaudited)
Agency MBS:
Adjustable-rate Agency MBS
2.80
%
$
101.99
$
103.76
Hybrid adjustable-rate Agency MBS
2.73
101.30
104.03
15-year fixed-rate Agency MBS
3.50
101.50
106.75
20-year fixed-rate Agency MBS
3.56
103.28
108.95
30-year fixed-rate Agency MBS
3.61
102.81
107.45
Total Agency MBS:
3.34
%
$
102.49
$
106.43
Average asset yield (weighted average coupon divided by average amortized cost)
3.26
%
Unamortized premium
$
37.8
million
Unamortized premium as a percentage of par value
2.49
%
Premium amortization expense on Agency MBS for the respective quarter
$
4.6
million
TBA Agency MBS:
30-year fixed-rate TBA Agency MBS
2.14
%
$
103.40
$
104.37
September 30, 2020
Weighted Average
Fair Market
Coupon
Cost
Price
(unaudited)
Agency MBS:
Adjustable-rate Agency MBS
3.16
%
$
102.02
$
104.06
Hybrid adjustable-rate Agency MBS
2.74
101.51
104.19
15-year fixed-rate Agency MBS
3.50
101.51
106.10
20-year fixed-rate Agency MBS
3.56
103.35
108.84
30-year fixed-rate Agency MBS
4.00
102.23
108.02
Total Agency MBS:
3.58
%
$
102.18
$
106.98
Average asset yield (weighted average coupon divided by average amortized cost)
3.51
%
Unamortized premium
$
32.8
million
Unamortized premium as a percentage of par value
2.18
%
Premium amortization expense on Agency MBS for the respective quarter
$
9.1
million
TBA Agency MBS:
30-year fixed-rate TBA Agency MBS
2.18
%
$
103.69
$
103.92
At December 31, 2020 and September 30, 2020, the constant prepayment rate (“CPR”) and weighted average term to next interest rate reset of our Agency MBS were as follows:
December 31,
September 30,
2020
2020
(unaudited)
Constant prepayment rate (CPR) of Agency MBS
40
%
39
%
Constant prepayment rate (CPR) of adjustable-rate and hybrid adjustable-rate Agency MBS
35
%
37
%
Weighted average term to next interest rate reset on Agency MBS
19
months
21
months
The following tables summarize our fixed-rate Agency MBS at December 31, 2020 and September 30, 2020:
December 31, 2020
(unaudited)
Weighted
Average
Weighted
Remaining
Market
Fair Market
Average
Term
Value
Cost
Price
Coupon
(Years)
(in thousands)
30-Year Fixed-Rate Agency MBS:
2.00%
$
51,966
$
103.32
$
103.93
2.00
%
30.0
2.50%
167,049
104.95
105.49
2.50
29.9
3.50%
110,235
102.61
107.99
3.50
26.2
4.00%
519,435
102.16
107.92
4.00
27.6
≥4.5%
72,917
102.36
110.65
4.85
25.2
$
921,602
$
102.81
$
107.45
3.61
%
27.8
15-Year to 20-Year Fixed-Rate Agency MBS
191,124
102.95
108.55
3.55
15.5
Total Fixed-Rate Agency MBS
$
1,112,726
$
102.84
$
107.64
3.60
%
25.7
September 30, 2020
(unaudited)
Weighted
Average
Weighted
Remaining
Market
Fair Market
Average
Term
Value
Cost
Price
Coupon
(Years)
(in thousands)
30-Year Fixed-Rate Agency MBS:
3.50%
$
127,722
$
102.59
$
107.92
3.50
%
26.5
4.00%
616,741
102.13
107.75
4.00
27.9
≥4.5%
82,968
102.41
110.27
4.82
25.7
$
827,431
$
102.23
$
108.02
4.00
%
27.5
15-Year to 20-Year Fixed-Rate Agency MBS
207,167
103.00
108.33
3.55
15.8
Total Fixed-Rate Agency MBS
$
1,034,598
$
102.38
$
108.08
3.91
%
25.1
Non-Agency MBS
At March 31, 2020, our Non-Agency MBS were designated as trading securities and are carried at fair value.
The following tables summarize our Non-Agency MBS at December 31, 2020 and September 30, 2020:
December 31, 2020
(unaudited)
Weighted Average
Fair
Current
Fair Market
Portfolio Type
Value
Principal
Coupon
Price
(in thousands)
Legacy Non-Agency MBS (pre-2008)
$
101,149
$
161,648
5.21
%
$
62.57
Non-performing
9,860
10,000
6.35
98.60
Credit Risk Transfer
95,924
94,782
4.12
101.20
Total Non-Agency MBS
$
206,933
$
266,430
4.86
%
$
77.67
September 30, 2020
(unaudited)
Weighted Average
Fair
Current
Fair Market
Portfolio Type
Value
Principal
Coupon
Price
(in thousands)
Legacy Non-Agency MBS (pre-2008)
$
104,180
$
165,885
5.23
%
$
62.80
Non-performing
1,000
1,000
5.00
100.00
Credit Risk Transfer
93,406
96,236
4.11
97.06
Total Non-Agency MBS
$
198,586
$
263,121
4.82
%
$
75.47
Residential Mortgage Loans Held-for-Investment
The following table summarizes our residential mortgage loans held-for-investment at December 31, 2020 and September 30, 2020:
December 31,
September 30,
2020
2020
(in thousands)
(unaudited)
Residential mortgage loans held-for-investment through consolidated securitization trusts
$
267,107
$
317,887
Asset-backed securities issued by securitization trusts
258,414
309,173
Retained interest in loans held in securitization trusts
$
8,693
$
8,714
Residential Mortgage Loans Held-for-Securitization
The following table summarizes our residential mortgage loans held-for-securitization at December 31, 2020 and September 30, 2020:
Anworth Mortgage Asset Corp.
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ANH Stock Data
Industry
Other Financial Vehicles
Sector
Finance and Insurance
Tags
Finance, Real Estate Investment Trusts, Finance and Insurance, Other Financial Vehicles
Country
US
City
Santa Monica
