ANWORTH MORTGAGE ASSET CORP

CIK:0001047884|SEC Filings

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Interest and other income:
Interest-Agency MBS	$ 46,520	$ 90,173	$ 95,656
Interest-Non-Agency MBS	15,673	38,038	40,733
Interest-securitized residential mortgage loans	14,665	20,443	23,463
Interest-residential mortgage loans held-for-securitization	6,034	4,314
Other interest income	193	1,427	120
Interest and Dividend Income, Operating, Total	83,085	154,395	159,972
Interest expense:
Interest expense on repurchase agreements	24,879	92,737	90,511
Interest expense on asset-backed securities	14,025	19,771	22,800
Interest expense on warehouse line of credit	4,457	4,148
Interest expense on junior subordinated notes	1,529	2,100	1,996
Interest Expense, Total	44,890	118,756	115,307
Net interest income	38,195	35,639	44,665
Provision for credit losses on loans	(670)
Net interest income after provision for credit losses	37,525	35,639	44,665
Operating expenses:
Management fee to related party	(5,591)	(6,699)	(7,098)
Rental properties depreciation and expenses	(1,987)	(1,517)	(1,525)
General and administrative expenses	(5,934)	(5,090)	(4,880)
Total operating expenses	(13,512)	(13,306)	(13,503)
Other income (loss):
Income-rental properties	1,707	1,800	1,761
Impairment charge on Non-Agency MBS		(2,108)	(2,869)
Gain on sale of residential mortgage loans held-for-investment through consolidated securitization trusts	201	31	54
Gain on sale of residential properties	201	31	54
Recovery on Non-Agency MBS			1
Gain (loss) on derivatives, net	(78,121)	(84,741)	(8,071)
Total other income (loss)	(127,706)	(77,752)	(37,650)
Net income (loss)	(103,693)	(55,419)	(6,488)
Dividends on preferred stock	(9,189)	(9,189)	(9,189)
Net income (loss) to common stockholders	$ (112,882)	$ (64,608)	$ (15,677)
Basic income (loss) per common share	$ (1.14)	$ (0.65)	$ (0.16)
Diluted income (loss) per common share	$ (1.14)	$ (0.65)	$ (0.16)
Basic weighted average number of shares outstanding	99,048,000	98,684,000	98,314,000
Diluted weighted average number of shares outstanding	99,048,000	98,684,000	98,314,000
Agency MBS
Other income (loss):
Realized net gain (loss) on sales of available-for-sale MBS	$ 15,805	$ (4,059)	$ (12,361)
Net gain on Agency MBS held as trading investments	3,629	11,249	(16,340)
Non-Agency MBS
Other income (loss):
Realized net gain (loss) on sales of available-for-sale MBS	(55,390)	76	175
Impairment charge on Non-Agency MBS		$ (2,108)	$ (2,869)
Net gain (loss) on MBS held as trading investments	$ (15,537)

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended				12 Months Ended
	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Operating Activities:
Net income (loss)	$ 23,419	$ (185,821)	$ 29,742	$ (19,970)		$ (103,693)	$ (55,419)	$ (6,488)
Adjustments to reconcile net (loss) to net cash provided by operating activities:
Depreciation on rental properties						476	478	473
Realized (gain) loss on sale of available-for-sale MBS		(5,710)	(1,338)	6,147
Realized loss on loans held-for-securitization						(201)	(31)	(54)
Impairment charge		55,390	357				2,108	2,869
(Gain) on sales of residential mortgage loans						(201)	(31)	(54)
(Gain) on sale of residential properties		(78)	(31)			(201)	(31)	(54)
Amortization of restricted stock						16	78	98
Recovery on Non-Agency MBS								(1)
Net settlements (paid) received on interest rate swaps, net of amortization						(7,607)	11,459	7,851
Unrealized (loss) gain on interest rate swaps, net						102,402	98,907	(585)
(Gain) on derivatives, net of derivative income - TBA Agency MBS						78,121	84,741	8,071
Provision for credit losses on loans						670
Changes in assets and liabilities:
Decrease in reverse repurchase agreements						15,000	5,000	(20,000)
(Increase) decrease in interest receivable						5,698	1,158	(983)
Decrease (increase) in prepaid expenses and other						10,601	(8,272)	387
Increase (decrease) in accrued interest payable						(6,460)	(3,836)	11,085
(Decrease) increase in accrued expenses and payables						(4,561)	2,190	(548)
Net cash provided by operating activities						62,054	64,667	66,337
Investing Activities:
Proceeds from sales, MBS portfolios						1,709,950	2,950,885	787,260
Purchases, MBS portfolios						(303,403)	(3,603,083)	(1,146,699)
Principal payments, MBS portfolios						825,797	909,244	937,075
Purchases, Residential mortgage loans held-for-securitization						(4,761)	(179,455)
Principal payments, Residential mortgage loans held-for-securitization						41,379	30,992
Residential properties purchases						(257)	(362)	(241)
Proceeds from sales of residential properties						663	95	203
Net cash provided by (used in) investing activities						2,269,509	108,437	577,712
Financing Activities:
Borrowings from repurchase agreements						17,634,387	32,300,305	23,720,955
Repayments on repurchase agreements						(19,821,640)	(32,454,059)	(24,275,023)
Borrowings from warehouse line of credit							156,037
Repayments on warehouse line of credit						(43,895)	(22,210)
Net settlements of TBA Agency MBS Contracts						21,955	19,650	(15,956)
Termination of interest rate swaps						(62,895)	(39,226)
Derivative counterparty margin						4,890	367
Proceeds from common stock issued						761	1,361	1,627
Preferred Stock dividends paid						(9,189)	(9,189)	(9,169)
Common stock dividends paid						(23,753)	(46,348)	(56,977)
Net cash (used in) provided by financing activities						(2,299,379)	(93,630)	(634,018)
Net (decrease) increase in cash, cash equivalents, and restricted cash						32,184	79,474	10,031
Cash, cash equivalents, and restricted cash at beginning of period		$ 112,935		$ 33,461	$ 145,119	112,935	33,461	23,430
Cash, cash equivalents, and restricted cash at end of period	$ 145,119		$ 112,935			145,119	112,935	33,461
Supplemental Disclosure of Cash Flow Information:
Cash paid for interest						52,877	94,691	75,318
Change in payables for residential mortgage loans purchased						(5,545)	(6,115)
Residential mortgage loans
Adjustments to reconcile net (loss) to net cash provided by operating activities:
Amortization of premium (discount)						(116)	(116)	(112)
Impairment charge								18
Investing Activities:
Principal payments, Residential mortgage loans held-for-investment through consolidated securitization trusts						141	121	114
Residential loans
Adjustments to reconcile net (loss) to net cash provided by operating activities:
Amortization of premium (discount)						1,343	298
Agency MBS
Adjustments to reconcile net (loss) to net cash provided by operating activities:
Amortization of premium (discount)						24,577	26,820	28,800
Realized (gain) loss on sale of available-for-sale MBS						(15,805)	4,059	12,361
Realized (gain) loss on sale of available-for-sale MBS						(15,805)	3,983	12,186
Unrealized (gain) on Agency MBS held as trading investments						(800)
Investing Activities:
Proceeds from sales, MBS portfolios						1,400	2,950,000
Non-Agency MBS
Adjustments to reconcile net (loss) to net cash provided by operating activities:
Amortization of premium (discount)						1,253	5,277	6,345
Realized (gain) loss on sale of available-for-sale MBS						55,390	(76)	(175)
(Gain) loss on sales of MBS held as trading investments					$ 15,500	15,537
Impairment charge							2,108	2,869
Investing Activities:
Proceeds from sales, MBS portfolios							30,000
TBA Agency MBS
Adjustments to reconcile net (loss) to net cash provided by operating activities:
(Gain) on derivatives, net of derivative income - TBA Agency MBS						$ (28,837)	$ (14,166)	$ 8,656

CONSOLIDATED BALANCE SHEETS - USD ($)
$ in Thousands

Dec. 31, 2020

Dec. 31, 2019

ASSETS

Residential mortgage loans held-for-securitization, net of allowance for credit losses of $56 and $0 at December 31, 2020 and December 31, 2019, respectively

$ 109,312

$ 152,922

Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $197 and $175 at December 31, 2020 and December 31, 2019, respectively

^[1]

267,107

458,348

Residential real estate

12,750

13,499

Cash and cash equivalents

34,050

8,236

Reverse repurchase agreements

15,000

Restricted cash

111,069

104,699

Interest receivable

6,554

16,398

Derivative instruments at fair value

6,974

5,833

Right to use asset - operating lease

718

1,256

Prepaid expenses and other assets

4,669

8,779

Total Assets

2,384,490

4,938,631

Liabilities:

Accrued interest payable

4,130

16,757

Repurchase agreements

1,470,620

3,657,873

Warehouse line of credit

90,185

133,811

Asset-backed securities issued by securitization trusts

^[1]

258,414

448,987

Junior subordinated notes

37,380

Derivative instruments at fair value

80,380

52,197

Derivative counterparty margin

5,257

367

Payable for purchased loans

5,545

Accrued expenses and other liabilities

1,653

1,312

Long-term lease obligation

718

1,256

Total Liabilities

1,955,996

4,366,679

Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($19,494 and $19,494, respectively); 780 and 780 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively

19,455

Stockholders' Equity:

Common Stock: par value $0.01 per share; authorized 200,000 shares, 99,242 and 98,849 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively

992

988

Additional paid-in capital

984,174

983,401

Accumulated other comprehensive income consisting of unrealized gains and losses

54,480

65,984

Accumulated deficit

(725,770)

(593,039)

Total Stockholders' Equity

409,039

552,497

Total Liabilities and Stockholders' Equity

2,384,490

4,938,631

Agency MBS

ASSETS

Agency MBS at fair value

104,702

656,920

Non-Agency MBS at fair value

3,510,051

Liabilities:

Repurchase agreements

1,365,000

3,230

Agency MBS | Available-for-sale Securities

ASSETS

Agency MBS at fair value

1,519,652

2,853,131

Non-Agency MBS

ASSETS

Non-Agency MBS at fair value

206,933

643,610

Liabilities:

Repurchase agreements

105,620

427,873

Non-Agency MBS | Available-for-sale Securities

ASSETS

Agency MBS at fair value

535,315

Non-Agency MBS at fair value

643,610

Series A Preferred Stock

Stockholders' Equity:

Cumulative Preferred Stock

46,537

Total Stockholders' Equity

46,537

Series C Preferred Stock

Stockholders' Equity:

Cumulative Preferred Stock

48,626

Total Stockholders' Equity

48,626

Preferred Stock

Liabilities:

Dividends payable on stock

2,297

Common Stock

Liabilities:

Dividends payable on stock

4,962

8,897

Stockholders' Equity:

Total Stockholders' Equity

$ 992

$ 988

[1]

The consolidated balance sheets include assets of consolidated variable interest entities, or 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 December 31, 2020 and December 31, 2019, total assets of the consolidated VIEs were $268 million and $460 million (including accrued interest receivable of $0.9 million and $1.5 million), respectively (which is recorded above in the line item “Interest and dividends receivable”), and total liabilities were $259 million and $450 million (including accrued interest payable of $0.9 million and $1.4 million), respectively (which is recorded above in the line item “Accrued interest payable”). Please refer to Note 5, “Variable Interest Entities,” to the accompanying audited consolidated financial statements for further discussion.