Anworth Mortgage Asset Corporation (NYSE: ANH) (the “Company”) today
reported its financial results for the second quarter ended June 30,
2015.
Earnings
The following table summarizes the Company’s Core Earnings, GAAP net
income and comprehensive income for the quarter ended June 30, 2015
(dollar amounts in thousands):
|
|
|
|
|
Three Months Ended
|
|
|
June 30, 2015
|
|
|
(unaudited)
|
|
|
|
|
Per
|
|
|
|
|
Weighted
|
Earnings
|
|
Earnings
|
|
Share
|
Core Earnings
|
|
$
|
15,385
|
|
$
|
0.15
|
GAAP net income to common stockholders
|
|
$
|
18,249
|
|
$
|
0.18
|
Comprehensive income
|
|
$
|
10,707
|
|
$
|
0.10
|
|
|
|
|
|
“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 income is shown on the Consolidated Statements of
Comprehensive Income included in this earnings release.
Portfolio
At June 30, 2015, the composition of the Company’s portfolio at fair
value was as follows (dollar amounts in thousands):
|
|
|
|
|
June 30, 2015
|
|
|
Dollar Amount
|
|
Percentage
|
|
|
|
|
|
Agency MBS(1)
|
|
$
|
7,044,892
|
|
88.2
|
%
|
Non-Agency MBS
|
|
|
569,072
|
|
7.1
|
%
|
Residential mortgage loans(2)
|
|
|
357,110
|
|
4.5
|
%
|
Residential real estate
|
|
|
14,416
|
|
0.2
|
%
|
Total Portfolio
|
|
$
|
7,985,490
|
|
100.0
|
%
|
Total Assets(1)
|
|
$
|
8,052,148
|
|
|
|
|
|
|
|
_________
(1) Includes TBA Agency MBS of $707,101.
(2) Residential mortgage loans owned by a consolidated variable interest
entity (“VIE”) that can only be used to settle obligations and
liabilities of the VIE for which creditors do not have recourse to the
Company.
Agency MBS
At June 30, 2015, the fair value of the Company’s agency mortgage-backed
securities, or Agency MBS, and its allocation were approximately as
follows (dollar amounts in thousands):
|
|
June 30,
|
|
|
2015
|
|
|
|
Fair value of Agency MBS and TBA Agency MBS
|
|
$
|
7,044,892
|
|
Adjustable-rate Agency MBS (less than 1 year reset)
|
|
|
29
|
%
|
Hybrid adjustable-rate Agency MBS (1-2 year reset)
|
|
|
14
|
%
|
Hybrid adjustable-rate Agency MBS (2-3 year reset)
|
|
|
3
|
%
|
Hybrid adjustable-rate Agency MBS (3-4 year reset)
|
|
|
4
|
%
|
Hybrid adjustable-rate Agency MBS (4-5 year reset)
|
|
|
9
|
%
|
Hybrid adjustable-rate Agency MBS (5-7 year reset)
|
|
|
6
|
%
|
Hybrid adjustable-rate Agency MBS (>7 year reset)
|
|
|
8
|
%
|
15-year fixed-rate Agency MBS
|
|
|
14
|
%
|
15-year fixed-rate TBA Agency MBS
|
|
|
10
|
%
|
20-year and 30-year fixed-rate Agency MBS
|
|
|
3
|
%
|
|
|
|
|
|
|
|
|
100
|
%
|
|
|
|
|
|
At June 30, 2015, the key metrics of the Company’s Agency MBS portfolio
were as follows (dollar amounts in thousands):
|
|
|
|
|
|
June 30,
|
|
|
2015
|
Weighted Average Coupon:
|
|
|
|
Adjustable-rate Agency MBS
|
|
2.54
|
%
|
Hybrid adjustable-rate Agency MBS
|
|
2.45
|
|
15-year fixed-rate Agency MBS
|
|
2.64
|
|
15-year fixed-rate TBA Agency MBS
|
|
2.79
|
|
20-year and 30-year fixed-rate Agency MBS
|
|
4.34
|
|
Total Agency MBS:
|
|
2.59
|
%
|
Average Amortized Cost:
|
|
|
|
Adjustable-rate Agency MBS
|
|
103.07
|
%
|
Hybrid adjustable-rate Agency MBS
|
|
103.50
|
|
15-year fixed-rate Agency MBS
|
|
103.00
|
|
15-year fixed-rate TBA Agency MBS
|
|
102.00
|
|
20-year and 30-year fixed-rate Agency MBS
|
|
103.14
|
|
Total Agency MBS:
|
|
103.14
|
%
|
Current yield (weighted average coupon divided by average amortized
cost)
|
|
2.51
|
%
|
Unamortized premium
|
|
$198.3 million
|
|
Unamortized premium as a percentage of par value
|
|
3.14
|
%
|
Premium amortization expense on Agency MBS for the second quarter
2015
|
|
$12.3 million
|
|
|
|
|
|
|
|
|
|
|
June 30,
|
|
|
2015
|
Constant prepayment rate (CPR) of Agency MBS
|
|
19
|
%
|
Constant prepayment rate (CPR) of adjustable-rate and hybrid
adjustable-rate Agency MBS
|
|
21
|
%
|
Weighted average term to next interest rate reset on Agency MBS
|
|
31 months
|
|
|
|
|
|
Non-Agency MBS
The following table summarizes the Company’s Non-Agency MBS at June 30,
2015 (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average
|
|
|
Fair
|
|
Current
|
|
Amortized
|
|
|
|
|
Loan Type
|
|
Value
|
|
Principal
|
|
Cost
|
|
Coupon
|
|
Yield
|
|
|
|
|
|
|
|
|
|
|
|
Prime
|
|
$
|
40,707
|
|
$
|
49,177
|
|
82.38
|
%
|
|
3.40
|
%
|
|
5.88
|
%
|
Alt-A
|
|
|
362,546
|
|
|
450,790
|
|
78.53
|
%
|
|
5.07
|
%
|
|
5.51
|
%
|
Subprime
|
|
|
43,543
|
|
|
43,384
|
|
100.00
|
%
|
|
5.34
|
%
|
|
5.21
|
%
|
Non-performing
|
|
|
122,276
|
|
|
123,708
|
|
98.24
|
%
|
|
4.62
|
%
|
|
5.45
|
%
|
Total Non-Agency MBS
|
|
$
|
569,072
|
|
$
|
667,059
|
|
83.86
|
%
|
|
4.88
|
%
|
|
5.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage Loans
The following table summarizes the Company’s residential mortgage loans
at June 30, 2015 (dollar amounts in millions):
|
|
|
|
Residential mortgage loans held-for-investment
|
|
$
|
357.1
|
Asset-backed securities issued by securitization trusts
|
|
$
|
331.8
|
|
|
|
|
Residential Real Estate
At June 30, 2015, 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 $14.4
million.
|
Portfolio Financing and Leverage
|
|
|
|
June 30, 2015
|
|
|
Agency
|
|
Non-Agency
|
|
Total
|
(dollar amounts in thousands)
|
|
MBS
|
|
MBS
|
|
MBS
|
Repurchase Agreements
|
|
|
|
|
|
|
Outstanding repurchase agreement balance
|
|
$
|
5,770,000
|
|
|
$
|
365,978
|
|
|
$
|
6,135,978
|
|
Average interest rate
|
|
|
0.37
|
%
|
|
|
1.80
|
%
|
|
|
0.46
|
%
|
Average maturity
|
|
30 days
|
|
17 days
|
|
29 days
|
Average interest rate after adjusting for interest rate swaps
|
|
|
|
|
|
|
1.15
|
%
|
Average maturity after adjusting for interest rate swaps
|
|
|
|
|
|
691 days
|
|
|
|
|
|
|
|
At June 30, 2015, the Company’s leverage multiple was 7.8x. 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
8.7x at June 30, 2015.
Interest Rate Swaps and Eurodollar Futures Contracts
At June 30, 2015, the Company’s interest rate swap agreements (“Swaps”)
had the following notional amounts (in thousands), weighted average
fixed rates and remaining terms:
|
|
|
|
|
June 30, 2015
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
|
Average
|
|
Remaining
|
|
Remaining
|
|
|
Notional
|
|
Fixed
|
|
Term in
|
|
Term in
|
|
|
Amount
|
|
Rate
|
|
Months
|
|
Years
|
|
|
|
|
|
|
|
|
|
Less than 12 months
|
|
$
|
100,000
|
|
0.58
|
%
|
|
10
|
|
0.83
|
1 year to 2 years
|
|
|
875,000
|
|
0.93
|
|
|
19
|
|
1.58
|
2 years to 3 years
|
|
|
840,000
|
|
1.05
|
|
|
31
|
|
2.58
|
3 years to 5 years
|
|
|
701,000
|
|
1.77
|
|
|
47
|
|
3.92
|
5 years to 7 years
|
|
|
480,000
|
|
2.48
|
|
|
67
|
|
5.58
|
7 years to 10 years
|
|
|
350,000
|
|
2.93
|
|
|
94
|
|
7.83
|
|
|
$
|
3,346,000
|
|
1.56
|
%
|
|
42
|
|
3.50
|
|
|
|
|
|
|
|
|
|
At June 30, 2015, the Company’s short position in Eurodollar Futures
Contracts had the following notional amount (in millions) and weighted
average purchase price:
|
|
|
June 30, 2015
|
|
|
Eurodollar Futures Contracts
|
|
|
|
|
Weighted
|
|
|
|
|
Average
|
|
|
Notional
|
|
Purchase
|
Expiration
|
|
Amount
|
|
Price
|
Less than 12 months
|
|
$
|
5,350
|
|
$
|
99.10
|
|
|
Effective Net Interest Rate Spread
|
|
|
|
June 30,
|
|
|
2015
|
Average asset yield, including TBA dollar roll income
|
|
2.30
|
%
|
Effective cost of funds
|
|
1.19
|
|
Effective net interest rate spread
|
|
1.11
|
%
|
|
|
|
The 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 June 18, 2015, the Company declared a quarterly common stock dividend
of $0.15 per share for the quarter ended June 30, 2015. Based upon the
closing price of $4.93 on June 30, 2015, the annualized dividend yield
on the Company’s common stock at June 30, 2015 was 12.2%.
Book Value Per Common Share
At June 30, 2015, the Company’s book value was $6.48 per share of common
stock, which was a decrease of $0.04 from the prior quarter. The $0.15
quarterly dividend and the $0.04 decrease in book value per share
resulted in a return on equity to common stockholders of 1.7% for the
quarter ended June 30, 2015. For the six months ended June 30, 2015, the
return on equity to common stockholders was 4.9% (unannualized).
Share Repurchases
During the quarter ended June 30, 2015, the Company repurchased an
aggregate of 2,263,404 shares of its common stock at a weighted average
price of $5.16 per share. Based upon the book value per share of common
stock of $6.52 at March 31, 2015, the economic benefit to common
stockholders from these repurchases is approximately $3.1 million or
approximately $0.03 per share. The economic benefit from increases in
book value per share as a result of share repurchases is not included in
GAAP net income to common stockholders.
Series C Preferred Stock
During the quarter ended June 30, 2015, the Company issued an aggregate
of 67,695 shares of its Series C Preferred Stock under an At Market
Issuance Sales Agreement with MLV & Co. at a weighted average price of
$24.45 per share, which provided net proceeds to the Company of
approximately $1.64 million, net of sales commissions.
Subsequent Events
From July 1, 2015 through July 29, 2015, the Company repurchased an
aggregate of 286,232 shares of its common stock at a weighted average
price of $5.07 per share under its share repurchase program.
Conference Call
The Company will host a conference call on Tuesday, August 4, 2015 at
1:00 PM Eastern Time, 10:00 AM Pacific Time, to discuss its second
quarter 2015 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 August 4, 2015. 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 10070078. 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”). Our principal business is to invest primarily in
mortgage-backed securities on a leveraged basis. Income generated for
distribution to our shareholders is based primarily on the difference
between the yield on our mortgage assets and the cost of our borrowings.
We qualify as a REIT for federal income tax purposes and are not subject
to federal corporate income taxes on distributions to our stockholders.
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 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, 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)
|
|
|
|
June 30,
|
|
December 31,
|
|
|
2015
|
|
2014
|
|
|
|
|
(audited)
|
ASSETS
|
|
|
|
|
Agency MBS:
|
|
|
|
|
Agency MBS pledged to counterparties at fair value
|
|
$
|
6,125,276
|
|
|
$
|
6,650,143
|
|
Agency MBS at fair value
|
|
|
171,328
|
|
|
|
343,734
|
|
Paydowns receivable
|
|
|
41,187
|
|
|
|
29,486
|
|
|
|
$
|
6,337,791
|
|
|
$
|
7,023,363
|
|
Non-Agency MBS at fair value (including $468,152 and $155,311
pledged to counterparties at June 30, 2015 and December 31, 2014,
respectively)
|
|
|
569,072
|
|
|
|
199,710
|
|
Residential mortgage loans held-for-investment
|
|
|
357,110
|
|
|
|
-
|
|
Residential real estate
|
|
|
14,416
|
|
|
|
12,871
|
|
Cash and cash equivalents
|
|
|
12,495
|
|
|
|
14,989
|
|
Interest and dividends receivable
|
|
|
20,568
|
|
|
|
19,115
|
|
Derivative instruments at fair value
|
|
|
5,743
|
|
|
|
9,792
|
|
Prepaid expenses and other
|
|
|
27,852
|
|
|
|
18,495
|
|
Total Assets:
|
|
$
|
7,345,047
|
|
|
$
|
7,298,335
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY
|
|
|
|
|
Liabilities:
|
|
|
|
|
Accrued interest payable
|
|
$
|
18,400
|
|
|
$
|
17,606
|
|
Repurchase agreements
|
|
|
6,135,978
|
|
|
|
6,370,740
|
|
Asset-backed securities issued by securitization trusts
|
|
|
331,799
|
|
|
|
-
|
|
Junior subordinated notes
|
|
|
37,380
|
|
|
|
37,380
|
|
Derivative instruments at fair value
|
|
|
50,924
|
|
|
|
45,259
|
|
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
|
|
|
197
|
|
|
|
-
|
|
Dividends payable on common stock
|
|
|
15,449
|
|
|
|
15,396
|
|
Accrued expenses and other
|
|
|
2,327
|
|
|
|
29,084
|
|
Total Liabilities:
|
|
$
|
6,593,883
|
|
|
$
|
6,516,894
|
|
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 June 30, 2015 and December 31, 2014, 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
June 30, 2015 and December 31, 2014, respectively
|
|
$
|
46,537
|
|
|
$
|
46,537
|
|
Series C Cumulative Preferred Stock: par value $0.01 per share;
liquidating preference $25.00 per share ($10,520 and $0,
respectively); 421 and 0 shares issued and outstanding at June 30,
2015 and December 31, 2014, respectively
|
|
|
9,722
|
|
|
|
-
|
|
Common Stock: par value $0.01 per share; authorized 200,000
shares, 102,994 shares issued and 102,944 shares outstanding at
June 30, 2015 and 109,972 shares issued and 109,234 shares
outstanding at December 31, 2014, respectively
|
|
|
1,030
|
|
|
|
1,100
|
|
Additional paid-in capital
|
|
|
1,000,534
|
|
|
|
1,033,015
|
|
Accumulated other comprehensive income (loss) consisting of
unrealized gains and losses
|
|
|
8,443
|
|
|
|
(14,981
|
)
|
Accumulated deficit
|
|
|
(339,026
|
)
|
|
|
(308,154
|
)
|
Total Stockholders' Equity:
|
|
$
|
727,240
|
|
|
$
|
757,517
|
|
Total Liabilities and Stockholders' Equity:
|
|
$
|
7,345,047
|
|
|
$
|
7,298,335
|
|
|
|
|
|
|
_____________
(1) Residential mortgage loans owned by a consolidated variable interest
entity (“VIE”) that can only be used to settle obligations and
liabilities of the VIE for which creditors do not have recourse to the
Company. At June 30, 2015, total assets and total liabilities of the
consolidated VIEs were $347.1 million and $321.8 million, respectively.
|
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
|
CONSOLIDATED STATEMENTS OF INCOME
|
(in thousands, except for per share amounts)
|
(unaudited)
|
|
|
|
Three Months Ended
|
|
Six Months Ended
|
|
|
June 30,
|
|
June 30,
|
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
Interest and other income:
|
|
|
|
|
|
|
|
|
Interest-Agency MBS
|
|
$
|
27,464
|
|
|
$
|
41,399
|
|
|
$
|
58,052
|
|
|
$
|
85,794
|
|
Interest-Non-Agency MBS
|
|
|
6,385
|
|
|
|
1
|
|
|
|
10,032
|
|
|
|
2
|
|
Interest-residential mortgage loans
|
|
|
1,188
|
|
|
|
-
|
|
|
|
1,188
|
|
|
|
-
|
|
Income-rental properties
|
|
|
409
|
|
|
|
6
|
|
|
|
779
|
|
|
|
6
|
|
Other interest income
|
|
|
10
|
|
|
|
10
|
|
|
|
20
|
|
|
|
21
|
|
|
|
|
35,456
|
|
|
|
41,416
|
|
|
|
70,071
|
|
|
|
85,823
|
|
Interest Expense:
|
|
|
|
|
|
|
|
|
Interest expense on repurchase agreements
|
|
|
7,400
|
|
|
|
25,807
|
|
|
|
14,089
|
|
|
|
53,213
|
|
Interest expense on asset-backed securities
|
|
|
1,075
|
|
|
|
-
|
|
|
|
1,075
|
|
|
|
-
|
|
Interest expense on junior subordinated notes
|
|
|
319
|
|
|
|
315
|
|
|
|
634
|
|
|
|
629
|
|
|
|
|
8,794
|
|
|
|
26,122
|
|
|
|
15,798
|
|
|
|
53,842
|
|
Net operating income
|
|
|
26,662
|
|
|
|
15,294
|
|
|
|
54,273
|
|
|
|
31,981
|
|
Provision for loan losses
|
|
|
70
|
|
|
|
-
|
|
|
|
70
|
|
|
|
-
|
|
Net operating income after provision for loan losses
|
|
|
26,592
|
|
|
|
15,294
|
|
|
|
54,203
|
|
|
|
31,981
|
|
Operating Expenses:
|
|
|
|
|
|
|
|
|
Management fee to related party
|
|
|
(2,181
|
)
|
|
|
(2,724
|
)
|
|
|
(4,517
|
)
|
|
|
(5,640
|
)
|
General and administrative expenses
|
|
|
(1,234
|
)
|
|
|
(3,722
|
)
|
|
|
(2,513
|
)
|
|
|
(4,786
|
)
|
Total operating expenses
|
|
|
(3,415
|
)
|
|
|
(6,446
|
)
|
|
|
(7,030
|
)
|
|
|
(10,426
|
)
|
Other Income:
|
|
|
|
|
|
|
|
|
Gain on sales of Agency MBS
|
|
|
-
|
|
|
|
1,594
|
|
|
|
-
|
|
|
|
1,594
|
|
(Loss) on sales of Non-Agency MBS
|
|
|
(73
|
)
|
|
|
-
|
|
|
|
(76
|
)
|
|
|
-
|
|
Gain (loss) on interest rate swaps, net
|
|
|
5,075
|
|
|
|
(2,006
|
)
|
|
|
(41,413
|
)
|
|
|
(1,378
|
)
|
(Loss) gain on derivatives-TBA Agency MBS, net
|
|
|
(6,573
|
)
|
|
|
1,578
|
|
|
|
1,952
|
|
|
|
1,578
|
|
(Loss) on derivatives-Eurodollar Futures Contracts
|
|
|
(1,732
|
)
|
|
|
-
|
|
|
|
(4,070
|
)
|
|
|
-
|
|
Recovery on Non-Agency MBS
|
|
|
4
|
|
|
|
33
|
|
|
|
5
|
|
|
|
70
|
|
Total other (loss) income
|
|
|
(3,299
|
)
|
|
|
1,199
|
|
|
|
(43,602
|
)
|
|
|
1,864
|
|
Net income
|
|
$
|
19,878
|
|
|
$
|
10,047
|
|
|
$
|
3,571
|
|
|
$
|
23,419
|
|
Dividend on Series A Cumulative Preferred Stock
|
|
|
(1,035
|
)
|
|
|
(1,035
|
)
|
|
|
(2,070
|
)
|
|
|
(2,070
|
)
|
Dividend on Series B Cumulative Convertible Preferred Stock
|
|
|
(394
|
)
|
|
|
(394
|
)
|
|
|
(788
|
)
|
|
|
(788
|
)
|
Dividend on Series C Cumulative Redeemable Preferred Stock
|
|
|
(200
|
)
|
|
|
-
|
|
|
|
(311
|
)
|
|
|
-
|
|
Net income to common stockholders
|
|
$
|
18,249
|
|
|
$
|
8,618
|
|
|
$
|
402
|
|
|
$
|
20,561
|
|
Basic earnings per common share
|
|
$
|
0.18
|
|
|
$
|
0.07
|
|
|
$
|
-
|
|
|
$
|
0.16
|
|
Diluted earnings per common share
|
|
$
|
0.17
|
|
|
$
|
0.07
|
|
|
$
|
-
|
|
|
$
|
0.16
|
|
Basic weighted average number of shares outstanding
|
|
|
104,225
|
|
|
|
126,787
|
|
|
|
105,719
|
|
|
|
131,790
|
|
Diluted weighted average number of shares outstanding
|
|
|
108,530
|
|
|
|
130,867
|
|
|
|
109,993
|
|
|
|
135,843
|
|
|
|
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
|
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
|
(in thousands, except for per share amounts)
|
(unaudited)
|
|
|
|
Three Month Ended
|
|
Six Month Ended
|
|
|
June 30,
|
|
June 30,
|
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
|
|
|
|
|
|
|
|
|
Net income
|
|
$
|
19,878
|
|
|
$
|
10,047
|
|
|
$
|
3,571
|
|
$
|
23,419
|
|
Available-for-sale Agency MBS, fair value adjustment
|
|
|
(17,779
|
)
|
|
|
46,027
|
|
|
|
6,024
|
|
|
75,786
|
|
Reclassification adjustment for gain on sales of Agency MBS
included in net income
|
|
|
-
|
|
|
|
(1,594
|
)
|
|
|
-
|
|
|
(1,594
|
)
|
Available-for-sale Non-Agency MBS, fair value adjustment
|
|
|
2,724
|
|
|
|
(21
|
)
|
|
|
4,881
|
|
|
(58
|
)
|
Reclassification adjustment for loss on sales of Non-Agency MBS
included in net income
|
|
|
73
|
|
|
|
-
|
|
|
|
76
|
|
|
-
|
|
Unrealized gains (losses) on derivatives
|
|
|
5,281
|
|
|
|
(45,291
|
)
|
|
|
11,389
|
|
|
(74,946
|
)
|
Reclassification adjustment for interest expense on swap
agreements included in net income
|
|
|
530
|
|
|
|
19,535
|
|
|
|
1,054
|
|
|
39,990
|
|
Other comprehensive income
|
|
|
(9,171
|
)
|
|
|
18,656
|
|
|
|
23,424
|
|
|
39,178
|
|
Comprehensive income
|
|
$
|
10,707
|
|
|
$
|
28,703
|
|
|
$
|
26,995
|
|
$
|
62,597
|
|
|
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 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 June 30, 2015 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 (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 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 June 30, 2015. 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
|
|
|
June 30, 2015
|
|
|
Amount
|
|
Per Share
|
|
|
(in thousands)
|
|
|
Net income to common stockholders
|
|
$
|
18,249
|
|
|
$
|
0.18
|
|
Adjustments to derive core earnings:
|
|
|
|
|
Loss on sales of Non-Agency MBS
|
|
|
73
|
|
|
|
0.00
|
|
Gain on interest rate swaps, net
|
|
|
(5,075
|
)
|
|
|
(0.05
|
)
|
Loss on derivatives-TBA Agency MBS, net
|
|
|
6,573
|
|
|
|
0.06
|
|
Loss on derivatives-Eurodollar Futures Contracts
|
|
|
1,732
|
|
|
|
0.02
|
|
Recovery on Non-Agency MBS
|
|
|
(4
|
)
|
|
|
(0.00
|
)
|
Amortization of other comprehensive income on de-designated swaps(1)
|
|
|
530
|
|
|
|
0.00
|
|
Periodic net settlement on interest rate Swaps after de-designation(2)
|
|
|
(10,578
|
)
|
|
|
(0.10
|
)
|
Losses from expiration of Eurodollar Futures Contracts
|
|
|
(184
|
)
|
|
|
(0.00
|
)
|
Dollar roll income on TBA Agency MBS(3)
|
|
|
4,069
|
|
|
|
0.04
|
|
Core earnings
|
|
$
|
15,385
|
|
|
$
|
0.15
|
|
|
|
|
|
|
Basic weighted average number of shares outstanding
|
|
|
105,719
|
|
|
|
|
|
|
|
|
_____________
(1) 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 and is recorded in its income
statement as a portion of interest expense in accordance with GAAP.
(2) 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. Net payments on the
interest rate swaps made prior to de-designation are recognized in GAAP
net income available to common stockholders.
(3) 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 income statement.
|
Effective Net Interest Rate Spread
|
|
|
|
|
|
Annualized
|
|
|
Amount
|
|
Percentage
|
|
|
(in thousands)
|
|
|
Average Asset Yield, Including TBA Dollar Roll Income:
|
|
|
|
|
Total interest and other income
|
|
$
|
35,456
|
|
|
2.06
|
%
|
Dollar roll income on TBA Agency MBS(1)
|
|
|
4,069
|
|
|
0.24
|
%
|
Total interest income and average asset yield, including TBA dollar
roll income
|
|
$
|
39,525
|
|
|
2.30
|
%
|
Effective Cost of Funds:
|
|
|
|
|
Total interest expense
|
|
$
|
8,794
|
|
|
0.55
|
%
|
Periodic net settlement on interest rate Swaps after de-designation(2)
|
|
|
10,578
|
|
|
0.67
|
%
|
Amortization of other comprehensive income on de-designated Swaps(3)
|
|
|
(530
|
)
|
|
-0.03
|
%
|
Loss on expiration of Eurodollar Futures Contracts
|
|
|
184
|
|
|
0.00
|
%
|
Effective total interest expense and effective cost of funds
|
|
$
|
19,026
|
|
|
1.19
|
%
|
|
|
|
|
|
Effective net interest rate spread
|
|
|
|
1.11
|
%
|
Average earning assets
|
|
$
|
6,875,902
|
|
|
|
Average borrowings
|
|
$
|
6,269,564
|
|
|
|
|
_____________
(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 income statement.
(2) 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. Net payments on the
interest rate swaps made prior to de-designation are recognized in GAAP
net income available to common stockholders.
(3) 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 and is recorded in its income
statement as a portion of interest expense in accordance with GAAP.
View source version on businesswire.com: http://www.businesswire.com/news/home/20150803006421/en/
Copyright Business Wire 2015