Attached files
| file | filename |
|---|---|
| EX-32.2 - EX-32.2 - ANWORTH MORTGAGE ASSET CORP | anh-20170630ex3225e1723.htm |
| EX-32.1 - EX-32.1 - ANWORTH MORTGAGE ASSET CORP | anh-20170630ex3214d8442.htm |
| EX-31.2 - EX-31.2 - ANWORTH MORTGAGE ASSET CORP | anh-20170630ex31286be41.htm |
| EX-31.1 - EX-31.1 - ANWORTH MORTGAGE ASSET CORP | anh-20170630ex311ee0596.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10‑Q
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED JUNE 30, 2017
OR
☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number 001‑13709
ANWORTH MORTGAGE ASSET CORPORATION
(Exact name of registrant as specified in its charter)
|
MARYLAND |
52‑2059785 |
|
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
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1299 Ocean Avenue, Second Floor Santa Monica, California |
90401 |
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(Address of principal executive offices) |
(Zip Code) |
Registrant’s telephone number, including area code: (310) 255‑4493
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b‑2 of the Exchange Act. (Check one):
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Large Accelerated Filer |
☐ |
Accelerated Filer |
☒ |
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Non-Accelerated Filer |
☐ (Do not check if a smaller reporting company) |
Smaller Reporting Company |
☐ |
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Emerging Growth Company |
☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b‑2 of the Exchange Act). Yes ☐ No ☒
At August 3, 2017, the registrant had 97,551,254 shares of common stock issued and outstanding.
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
FORM 10‑Q
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Consolidated Balance Sheets as of June 30, 2017 (unaudited) and December 31, 2016 |
3 |
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4 |
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7 |
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Management’s Discussion and Analysis of Financial Condition and Results of Operations |
38 |
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58 |
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63 |
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65 |
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2
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
Item 1. Consolidated Financial Statements
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS
(in thousands, except per share amounts)
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June 30, |
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December 31, |
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2017 |
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2016 |
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(audited) |
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ASSETS |
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Agency MBS at fair value (including $3,690,344 and $3,707,062 pledged to counterparties at June 30, 2017 and December 31, 2016, respectively) |
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$ |
3,917,054 |
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$ |
3,925,193 |
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Non-Agency MBS at fair value (including $558,995 and $525,169 pledged to counterparties at June 30, 2017 and December 31, 2016, respectively) |
|
|
690,654 |
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641,246 |
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Residential mortgage loans held-for-investment(1) |
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695,255 |
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744,462 |
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Residential real estate |
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14,186 |
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14,262 |
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Cash and cash equivalents |
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16,633 |
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31,031 |
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Restricted cash |
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10,787 |
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12,390 |
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Interest and dividends receivable |
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16,864 |
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16,203 |
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Derivative instruments at fair value |
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7,273 |
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8,192 |
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Prepaid expenses and other |
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3,417 |
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2,797 |
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Total Assets |
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$ |
5,372,123 |
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$ |
5,395,776 |
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LIABILITIES AND STOCKHOLDERS’ EQUITY |
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Liabilities: |
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Accrued interest payable |
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$ |
11,516 |
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$ |
11,850 |
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Repurchase agreements |
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3,902,453 |
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3,911,015 |
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Asset-backed securities issued by securitization trusts(1) |
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685,888 |
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728,683 |
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Junior subordinated notes |
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37,380 |
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37,380 |
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Derivative instruments at fair value |
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23,604 |
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34,302 |
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Dividends payable on preferred stock |
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1,956 |
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1,660 |
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Dividends payable on common stock |
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14,625 |
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14,358 |
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Payables for MBS purchased |
|
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339 |
|
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— |
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Accrued expenses and other |
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1,936 |
|
|
1,506 |
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Total Liabilities |
|
$ |
4,679,697 |
|
$ |
4,740,754 |
|
Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($15,632 and $25,241, respectively); 625 and 1,010 shares issued and outstanding at June 30, 2017 and December 31, 2016, respectively |
|
$ |
14,806 |
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$ |
23,924 |
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Stockholders’ Equity: |
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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, 2017 and December 31, 2016, respectively |
|
$ |
46,537 |
|
$ |
46,537 |
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Series C Cumulative Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($39,500 and $12,146, respectively); 1,580 and 486 shares issued and outstanding at June 30, 2017 and December 31, 2016, respectively |
|
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38,240 |
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11,321 |
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Common Stock: par value $0.01 per share; authorized 200,000 shares, 97,498 shares issued and outstanding at June 30, 2017 and 95,718 shares issued and outstanding at December 31, 2016, respectively |
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975 |
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|
957 |
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Additional paid-in capital |
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976,482 |
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966,714 |
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Accumulated other comprehensive income consisting of unrealized gains and losses |
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25,640 |
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8,648 |
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Accumulated deficit |
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(410,254) |
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(403,079) |
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Total Stockholders’ Equity |
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$ |
677,620 |
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$ |
631,098 |
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Total Liabilities and Stockholders’ Equity |
|
$ |
5,372,123 |
|
$ |
5,395,776 |
|
(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 June 30, 2017 and December 31, 2016, total assets of the consolidated VIEs were $698 million and $747 million (including accrued interest receivable of $2.3 million and $2.5 million), respectively, and total liabilities were $688 million and $731 million (including accrued interest payable of $2.2 million and $2.4 million), respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
See accompanying notes to unaudited consolidated financial statements.
3
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
(in thousands, except per share amounts)
(unaudited)
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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2017 |
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2016 |
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2017 |
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2016 |
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Interest and other income: |
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Interest-Agency MBS |
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$ |
15,771 |
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$ |
10,690 |
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$ |
32,873 |
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$ |
31,455 |
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Interest-Non-Agency MBS |
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9,738 |
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9,137 |
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19,306 |
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18,418 |
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Interest-residential mortgage loans |
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7,060 |
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9,111 |
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14,411 |
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18,424 |
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Other interest income |
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31 |
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12 |
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58 |
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24 |
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32,600 |
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28,950 |
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66,648 |
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68,321 |
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Interest Expense: |
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Interest expense on repurchase agreements |
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11,421 |
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8,960 |
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21,832 |
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18,358 |
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Interest expense on asset-backed securities |
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6,892 |
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8,414 |
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13,966 |
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17,013 |
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Interest expense on junior subordinated notes |
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401 |
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354 |
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785 |
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700 |
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18,714 |
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17,728 |
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36,583 |
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36,071 |
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Net interest income |
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13,886 |
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11,222 |
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30,065 |
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32,250 |
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Operating Expenses: |
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Management fee to related party |
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(1,876) |
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(1,970) |
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(3,697) |
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(4,014) |
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General and administrative expenses |
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(1,315) |
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(1,690) |
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(2,798) |
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(3,259) |
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Total operating expenses |
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(3,191) |
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(3,660) |
|
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(6,495) |
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(7,273) |
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Other income (loss): |
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Income-rental properties |
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451 |
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428 |
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|
900 |
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|
838 |
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Gain (loss) on sales of MBS |
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176 |
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— |
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|
108 |
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(3,239) |
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Impairment charge on Non-Agency MBS |
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(905) |
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— |
|
|
(1,637) |
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— |
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Unrealized gain on Agency MBS held as trading investments |
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|
4,101 |
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— |
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4,222 |
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— |
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Gain on sales of residential mortgage loans held-for-investment |
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— |
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|
33 |
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|
378 |
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33 |
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(Loss) on derivatives, net |
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(4,422) |
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(9,385) |
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(2,044) |
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(44,228) |
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Recovery on Non-Agency MBS |
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1 |
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|
1 |
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1 |
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2 |
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Total other income (loss) |
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(598) |
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(8,923) |
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1,928 |
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(46,594) |
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Net income (loss) |
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$ |
10,097 |
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$ |
(1,361) |
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$ |
25,498 |
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$ |
(21,617) |
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Dividends on preferred stock |
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(2,025) |
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(1,636) |
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(3,780) |
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(3,272) |
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Net income (loss) to common stockholders |
|
$ |
8,072 |
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$ |
(2,997) |
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$ |
21,718 |
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$ |
(24,889) |
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Basic earnings (loss) per common share |
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$ |
0.08 |
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$ |
(0.03) |
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$ |
0.23 |
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$ |
(0.26) |
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Diluted earnings (loss) per common share |
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$ |
0.08 |
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$ |
(0.03) |
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$ |
0.22 |
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$ |
(0.26) |
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Basic weighted average number of shares outstanding |
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95,696 |
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|
96,355 |
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|
95,701 |
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|
97,030 |
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Diluted weighted average number of shares outstanding |
|
|
100,590 |
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|
96,355 |
|
|
100,567 |
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|
97,030 |
|
See accompanying notes to unaudited consolidated financial statements.
4
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(in thousands)
(unaudited)
|
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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2017 |
|
2016 |
|
2017 |
|
2016 |
|
||||
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Net income (loss) |
|
$ |
10,097 |
|
$ |
(1,361) |
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$ |
25,498 |
|
$ |
(21,617) |
|
|
Available-for-sale Agency MBS, fair value adjustment |
|
|
(4,746) |
|
|
13,080 |
|
|
(2,411) |
|
|
37,465 |
|
|
Reclassification adjustment for (gain) loss on sales of Agency MBS included in net income (loss) |
|
|
(176) |
|
|
— |
|
|
(108) |
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|
3,239 |
|
|
Available-for-sale Non-Agency MBS, fair value adjustment |
|
|
8,819 |
|
|
6,952 |
|
|
18,333 |
|
|
(15,381) |
|
|
Unrealized gains on swap agreements |
|
|
450 |
|
|
1,565 |
|
|
990 |
|
|
4,934 |
|
|
Reclassification adjustment for interest expense on swap agreements included in net income (loss) |
|
|
114 |
|
|
106 |
|
|
188 |
|
|
308 |
|
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Other comprehensive income |
|
|
4,461 |
|
|
21,703 |
|
|
16,992 |
|
|
30,565 |
|
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Comprehensive income |
|
$ |
14,558 |
|
$ |
20,342 |
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$ |
42,490 |
|
$ |
8,948 |
|
See accompanying notes to unaudited consolidated financial statements.
5
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(in thousands, except per share amounts)
(unaudited)
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Accum. |
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Other |
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Accum. |
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Series A |
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Series C |
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Series A |
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Series C |
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Common |
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Accum. Other |
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Comp. |
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Other |
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Preferred |
|
Preferred |
|
Common |
|
Preferred |
|
Preferred |
|
Stock |
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Additional |
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Comp. |
|
Income Gain |
|
Comp. Income- |
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Stock Shares |
|
Stock Shares |
|
Stock Shares |
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Stock |
|
Stock |
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Par |
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Paid-In |
|
Income Gain |
|
Non-Agency |
|
Gain (Loss) |
|
Accum. |
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Outstanding |
|
Outstanding |
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Outstanding |
|
Par Value |
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Par Value |
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Value |
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Capital |
|
Agency MBS |
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MBS |
|
Derivatives |
|
(Deficit) |
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Total |
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Balance, December 31, 2016 |
|
1,919 |
|
486 |
|
95,718 |
|
$ |
46,537 |
|
$ |
11,321 |
|
$ |
957 |
|
$ |
966,714 |
|
$ |
24,869 |
|
|
1,536 |
|
$ |
(17,757) |
|
$ |
(403,079) |
|
$ |
631,098 |
|
Issuance of stock |
|
|
|
197 |
|
61 |
|
|
|
|
|
4,854 |
|
|
1 |
|
|
320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,175 |
|
Cancellation of common stock |
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(197) |
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(2) |
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2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
Other comprehensive income, fair value adjustments and reclassifications |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,403 |
|
|
9,514 |
|
|
614 |
|
|
|
|
|
12,531 |
|
Net income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
15,401 |
|
|
15,401 |
|
Amortization of restricted stock |
|
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|
|
|
|
|
|
|
|
|
|
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|
|
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20 |
|
|
|
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|
20 |
|
Dividend declared - $0.539063 per Series A preferred share |
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,035) |
|
|
(1,035) |
|
Dividend declared - $0.396025 per Series B preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(394) |
|
|
(394) |
|
Dividend declared - $0.4765625 per Series C preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(253) |
|
|
(253) |
|
Dividend declared - $0.15 per common share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(14,337) |
|
|
(14,337) |
|
Balance, March 31, 2017 |
|
1,919 |
|
683 |
|
95,582 |
|
$ |
46,537 |
|
$ |
16,175 |
|
$ |
956 |
|
$ |
967,056 |
|
$ |
27,272 |
|
|
11,050 |
|
$ |
(17,143) |
|
$ |
(403,697) |
|
$ |
648,206 |
|
Issuance of stock |
|
|
|
897 |
|
53 |
|
|
|
|
|
22,065 |
|
|
1 |
|
|
307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,373 |
|
Conversions of Series B Preferred Stock |
|
|
|
|
|
1,863 |
|
|
|
|
|
|
|
|
18 |
|
|
9,099 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,117 |
|
Other comprehensive income, fair value adjustments and reclassifications |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4,922) |
|
|
8,819 |
|
|
564 |
|
|
|
|
|
4,461 |
|
Net income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,097 |
|
|
10,097 |
|
Amortization of restricted stock |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20 |
|
Dividend declared - $0.539063 per Series A preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,035) |
|
|
(1,035) |
|
Dividend declared - $0.390625 per Series B preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(244) |
|
|
(244) |
|
Dividend declared - $0.4765625 per Series C preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(751) |
|
|
(751) |
|
Dividend declared - $0.15 per common share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(14,624) |
|
|
(14,624) |
|
Balance, June 30, 2017 |
|
1,919 |
|
1,580 |
|
97,498 |
|
$ |
46,537 |
|
$ |
38,240 |
|
$ |
975 |
|
$ |
976,482 |
|
$ |
22,350 |
|
|
19,869 |
|
$ |
(16,579) |
|
$ |
(410,254) |
|
$ |
677,620 |
See accompanying notes to unaudited consolidated financial statements.
6
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(in thousands)
(unaudited)
|
|
|
|
Three Months Ended |
|
Six Months Ended |
|
|||||||
|
|
|
|
June 30, |
|
|
June 30, |
|
||||||
|
|
|
2017 |
|
2016 |
|
2017 |
|
2016 |
|
||||
|
Operating Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) |
|
$ |
10,097 |
|
$ |
(1,361) |
|
$ |
25,498 |
|
$ |
(21,617) |
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortization of premium (Agency MBS) |
|
|
8,811 |
|
|
16,322 |
|
|
17,178 |
|
|
23,751 |
|
|
Amortization/accretion of market yield adjustments (Non-Agency MBS) |
|
|
479 |
|
|
(1,311) |
|
|
1,001 |
|
|
(389) |
|
|
Accretion of discount (residential mortgage loans) |
|
|
(27) |
|
|
(105) |
|
|
(95) |
|
|
(219) |
|
|
Depreciation on rental properties |
|
|
116 |
|
|
112 |
|
|
231 |
|
|
224 |
|
|
(Gain) loss on sales of MBS |
|
|
(176) |
|
|
— |
|
|
(108) |
|
|
3,239 |
|
|
Impairment charge on Non-Agency MBS |
|
|
905 |
|
|
— |
|
|
1,637 |
|
|
— |
|
|
Unrealized (gain) on Agency MBS held as trading investments |
|
|
(4,101) |
|
|
— |
|
|
(4,222) |
|
|
— |
|
|
(Gain) on sales of residential mortgage loans |
|
|
— |
|
|
(33) |
|
|
(378) |
|
|
(33) |
|
|
Amortization of restricted stock |
|
|
20 |
|
|
79 |
|
|
41 |
|
|
158 |
|
|
Recovery on Non-Agency MBS |
|
|
(1) |
|
|
(1) |
|
|
(1) |
|
|
(2) |
|
|
Periodic net settlements on interest rate swaps, net of amortization |
|
|
(1,751) |
|
|
(4,120) |
|
|
(4,097) |
|
|
(10,678) |
|
|
Loss on interest rate swaps, net |
|
|
5,960 |
|
|
16,089 |
|
|
5,487 |
|
|
66,308 |
|
|
(Gain) on derivatives, net of derivative income - TBA Agency MBS |
|
|
(1,552) |
|
|
(8,061) |
|
|
(3,181) |
|
|
(23,415) |
|
|
Loss (gain) on derivatives - Eurodollar Futures Contracts |
|
|
14 |
|
|
1,357 |
|
|
(262) |
|
|
1,335 |
|
|
Changes in assets and liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in interest receivable |
|
|
(3,063) |
|
|
2,007 |
|
|
(5,372) |
|
|
443 |
|
|
Decrease (increase) in prepaid expenses and other |
|
|
8,549 |
|
|
64 |
|
|
17 |
|
|
(1,846) |
|
|
(Increase) decrease in restricted cash |
|
|
(1,590) |
|
|
452 |
|
|
1,865 |
|
|
9,674 |
|
|
Increase in accrued interest payable |
|
|
3,714 |
|
|
1,828 |
|
|
4,381 |
|
|
2,687 |
|
|
Increase (decrease) in accrued expenses |
|
|
389 |
|
|
(4,158) |
|
|
252 |
|
|
948 |
|
|
Net cash provided by operating activities |
|
$ |
26,793 |
|
$ |
19,160 |
|
$ |
39,872 |
|
$ |
50,568 |
|
|
Investing Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MBS Portfolios: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sales |
|
$ |
27,466 |
|
$ |
— |
|
$ |
35,679 |
|
$ |
314,129 |
|
|
Purchases |
|
|
(568,505) |
|
|
— |
|
|
(683,966) |
|
|
(19,834) |
|
|
Principal payments |
|
|
327,085 |
|
|
267,936 |
|||||||