-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, V+EYogGl5974Tv2hroBTTCykyLMZ8U9Oifsz2uxJZdZHi1VAbF3V3XkDepxtXaCS J6Fd6jvo3vbCPmyCir78Ig== 0001157523-07-004703.txt : 20070507 0001157523-07-004703.hdr.sgml : 20070507 20070507170021 ACCESSION NUMBER: 0001157523-07-004703 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070507 ITEM INFORMATION: Results of Operations and Financial Condition ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20070507 DATE AS OF CHANGE: 20070507 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ANWORTH MORTGAGE ASSET CORP CENTRAL INDEX KEY: 0001047884 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 522059785 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 001-13709 FILM NUMBER: 07824703 BUSINESS ADDRESS: STREET 1: 1299 OCEAN AVENUE STREET 2: SUITE 250 CITY: SANTA MONICA STATE: CA ZIP: 90401 BUSINESS PHONE: 310-255-4493 MAIL ADDRESS: STREET 1: 1299 OCEAN AVENUE STREET 2: SUITE 250 CITY: SANTA MONICA STATE: CA ZIP: 90401 8-K 1 a5396507.txt ANWORTH MORTGAGE ASSET CORPORATION 8-K UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 8-K CURRENT REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 May 7, 2007 Date of Report (Date of earliest event reported) ANWORTH MORTGAGE ASSET CORPORATION. ----------------------------------- (Exact Name of Registrant as Specified in its Charter) Maryland -------- (State or Other Jurisdiction of Incorporation) 001-13709 52-2059785 --------- ---------- (Commission File Number) (IRS Employer Identification No.) 1299 Ocean Avenue, 2nd Floor, Santa Monica, California 90401 - ------------------------------------------------------ ----- (Address of Principal Executive Offices) (Zip Code) (310) 255-4493 -------------- (Registrant's Telephone Number, Including Area Code) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) Item 2.02. Results of Operation and Financial Condition. On May 7, 2007, Anworth Mortgage Asset Corporation ("Anworth") issued a press release announcing its financial results for the quarter ended March 31, 2007. A copy of that release is furnished as Exhibit 99.1 to this Current Report on Form 8-K. The information in this Current Report on Form 8-K is being provided under Item 2.02 of Form 8-K and shall not be deemed "filed" for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of that Section. The information in this Current Report on Form 8-K shall not be incorporated by referenced into any registration statement or other document pursuant to the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing. As discussed therein, the press release contains forward-looking statements within the meaning of the Securities Act and the Exchange Act and, as such, may involve known and unknown risks, uncertainties and assumptions. These forward-looking statements relate to Anworth's current expectations and are subject to the limitations and qualifications set forth in the press release as well as in Anworth's other documents filed with the SEC, including, without limitation, that actual events and/or results may differ materially from those projected in such forward-looking statements. Item 9.01 Financial Statements and Exhibits. (a) Not Applicable. (b) Not Applicable. (c) Not Applicable. (d) Exhibits. Exhibit 99.1 ------------ Press Release dated May 7, 2007 of the Registrant. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, hereunto duly authorized. ANWORTH MORTGAGE ASSET CORPORATION Date: May 7, 2007 By: /s/ Name: Lloyd McAdams ----------------------- Title: Chief Executive Officer EXHIBIT INDEX ------------- Exhibit # Description --------- ----------- 99.1 Press Release dated May 7, 2007 of the Registrant. EX-99.1 2 a5396507ex99_1.txt EXHIBIT 99.1 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 -----END PRIVACY-ENHANCED MESSAGE-----