Attached files
| file | filename |
|---|---|
| EX-32.2 - EX-32.2 - ANWORTH MORTGAGE ASSET CORP | anh-20200331ex3222553b2.htm |
| EX-32.1 - EX-32.1 - ANWORTH MORTGAGE ASSET CORP | anh-20200331ex321eb0f4e.htm |
| EX-31.2 - EX-31.2 - ANWORTH MORTGAGE ASSET CORP | anh-20200331ex312bad5d5.htm |
| EX-31.1 - EX-31.1 - ANWORTH MORTGAGE ASSET CORP | anh-20200331ex31126bd0f.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 MARCH 31, 2020
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.) |
|
|
|
|
1299 Ocean Avenue, 2nd Floor Santa Monica, California |
90401 |
|
(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 every Interactive Data File required to be submitted 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 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.
|
Large Accelerated Filer ☐ |
Accelerated Filer ☒ |
|
Non-Accelerated Filer ☐ |
Smaller Reporting Company ☐ |
|
|
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 Act). Yes ☐ No ☒
Securities registered pursuant to Section 12(b) of the Act:
|
Title of each class |
|
Trading Symbol(s) |
|
Name of each exchange on which registered |
|
Common Stock, $0.01 Par Value |
|
ANH |
|
New York Stock Exchange |
|
Series A Cumulative Preferred Stock, $0.01 Par Value |
|
ANHPRA |
|
New York Stock Exchange |
|
Series B Cumulative Convertible Preferred Stock, $0.01 Par Value |
|
ANHPRB |
|
New York Stock Exchange |
|
Series C Cumulative Redeemable Preferred Stock, $0.01 Par Value |
|
ANHPRC |
|
New York Stock Exchange |
As of May 8, 2020, the registrant had 98,941,327 shares of common stock issued and outstanding.
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
FORM 10‑Q
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)
(unaudited)
|
|
|
March 31, |
|
December 31, |
||
|
|
|
2020 |
|
2019 |
||
|
|
|
|
|
(audited) |
||
|
ASSETS |
|
|
|
|
|
|
|
Available-for-sale Agency MBS at fair value (including $2,319,446 and $2,764,330 pledged to counterparties at March 31, 2020 and December 31, 2019, respectively); amortized cost of $2,319,638 and $2,799,448 at March 31, 2020 and December 31, 2019, respectively, net of allowance for credit losses of $0 and $0 at March 31, 2020 and December 31, 2019, respectively |
|
$ |
2,400,260 |
|
$ |
2,853,131 |
|
Trading Agency MBS at fair value (including $0 and $655,045 pledged to counterparties at March 31, 2020 and December 31, 2019, respectively |
|
|
— |
|
|
656,920 |
|
Available-for-sale Non-Agency MBS at fair value (including $0 and $535,315 pledged to counterparties at March 31, 2020 and December 31, 2019, respectively); amortized cost of $0 and $613,576 at March 31, 2020 and December 31, 2019, respectively, net of allowance for credit losses of $0 and $0 at March 31, 2020 and December 31, 2019, respectively |
|
|
— |
|
|
643,610 |
|
Trading Non-Agency MBS at fair value (including $277,960 and $0 pledged to counterparties at March 31, 2020 and December 31, 2019, respectively |
|
|
281,686 |
|
|
— |
|
Residential mortgage loans held-for-securitization, net of allowance for credit losses of $56 at March 31, 2020 and $0 at December 31, 2019 |
|
|
141,645 |
|
|
152,922 |
|
Residential mortgage loans held-for-investment through consolidated securitization trusts, net for allowance of credit losses of $167 at March 31, 2020 and $175 at December 31, 2019(1) |
|
|
416,571 |
|
|
458,348 |
|
Residential real estate |
|
|
13,260 |
|
|
13,499 |
|
Cash and cash equivalents |
|
|
55,561 |
|
|
8,236 |
|
Reverse repurchase agreements |
|
|
— |
|
|
15,000 |
|
Restricted cash |
|
|
152,453 |
|
|
104,699 |
|
Interest receivable |
|
|
12,279 |
|
|
16,398 |
|
Derivative instruments at fair value |
|
|
3,094 |
|
|
5,833 |
|
Right to use asset-operating lease |
|
|
1,121 |
|
|
1,256 |
|
Receivable for sold securities |
|
|
65,828 |
|
|
— |
|
Prepaid expenses and other assets |
|
|
7,253 |
|
|
8,779 |
|
Total Assets |
|
$ |
3,551,011 |
|
$ |
4,938,631 |
|
LIABILITIES AND STOCKHOLDERS’ EQUITY |
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
Accrued interest payable |
|
$ |
11,942 |
|
$ |
16,757 |
|
Repurchase agreements |
|
|
2,473,134 |
|
|
3,657,873 |
|
Warehouse line of credit |
|
|
116,221 |
|
|
133,811 |
|
Asset-backed securities issued by securitization trusts(1) |
|
|
407,243 |
|
|
448,987 |
|
Junior subordinated notes |
|
|
37,380 |
|
|
37,380 |
|
Derivative instruments at fair value |
|
|
102,802 |
|
|
52,197 |
|
Derivative counterparty margin |
|
|
6,633 |
|
|
367 |
|
Dividends payable on preferred stock |
|
|
2,297 |
|
|
2,297 |
|
Dividends payable on common stock |
|
|
— |
|
|
8,897 |
|
Payable for purchased loans |
|
|
— |
|
|
5,545 |
|
Payable for terminated swaps |
|
|
4,091 |
|
|
— |
|
Payable to counterparty |
|
|
3,098 |
|
|
— |
|
Accrued expenses and other liabilities |
|
|
1,000 |
|
|
1,312 |
|
Long-term lease obligation |
|
|
1,121 |
|
|
1,256 |
|
Total Liabilities |
|
$ |
3,166,962 |
|
$ |
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 March 31, 2020 and December 31, 2019, respectively) |
|
$ |
19,455 |
|
$ |
19,455 |
|
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 March 31, 2020 and December 31, 2019, respectively) |
|
$ |
46,537 |
|
$ |
46,537 |
|
Series C Cumulative Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($50,257 and $50,257, respectively); 2,010 and 2,010 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively) |
48,626 |
48,626 |
||||
|
Common Stock: par value $0.01 per share; authorized 200,000 shares, 98,936 and 98,849 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively) |
|
|
989 |
|
|
988 |
|
Additional paid-in capital |
|
|
983,669 |
|
|
983,401 |
|
Accumulated other comprehensive income consisting of unrealized gains and losses |
|
|
65,960 |
|
|
65,984 |
|
Accumulated deficit |
|
|
(781,187) |
|
|
(593,039) |
|
Total Stockholders’ Equity |
|
$ |
364,594 |
|
$ |
552,497 |
|
Total Liabilities and Stockholders’ Equity |
|
$ |
3,551,011 |
|
$ |
4,938,631 |
|
(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 March 31, 2020 and December 31, 2019, total assets of the consolidated VIEs were $418 million and $460 million (including accrued interest receivable of $1.3 million and $1.5 million), respectively (which is recorded above in the line item entitled “Interest receivable”), and total liabilities were $409 million and $450 million (including accrued interest payable of $1.3 million and $1.4 million), respectively (which is recorded in the line item above entitled “Accrued interest payable”). Please refer to Note 5, “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)
|
|
|
Three Months Ended |
|
||||
|
|
|
March 31, |
|
||||
|
|
|
2020 |
|
2019 |
|
||
|
Interest and other income: |
|
|
|
|
|
|
|
|
Interest-Agency MBS |
|
$ |
21,258 |
|
$ |
25,711 |
|
|
Interest-Non-Agency MBS |
|
|
8,120 |
|
|
10,466 |
|
|
Interest-securitized residential mortgage loans |
|
|
4,391 |
|
|
5,368 |
|
|
Interest-residential mortgage loans held-for-securitization |
|
|
1,820 |
|
|
86 |
|
|
Other interest income |
|
|
174 |
|
|
19 |
|
|
|
|
|
35,763 |
|
|
41,650 |
|
|
Interest expense: |
|
|
|
|
|
|
|
|
Interest expense on repurchase agreements |
|
|
17,278 |
|
|
27,136 |
|
|
Interest expense on asset-backed securities |
|
|
4,225 |
|
|
5,200 |
|
|
Interest expense on warehouse line of credit |
|
|
1,412 |
|
|
234 |
|
|
Interest expense on junior subordinated notes |
|
|
472 |
|
|
547 |
|
|
|
|
|
23,387 |
|
|
33,117 |
|
|
Net interest income |
|
|
12,376 |
|
|
8,533 |
|
|
Provision for credit losses on loans |
|
|
(56) |
|
|
— |
|
|
Net interest income after provision for credit losses |
|
|
12,320 |
|
|
8,533 |
|
|
Operating expenses: |
|
|
|
|
|
|
|
|
Management fee to related party |
|
|
(1,528) |
|
|
(1,724) |
|
|
Rental properties depreciation and expenses |
|
|
(443) |
|
|
(355) |
|
|
General and administrative expenses |
|
|
(1,089) |
|
|
(967) |
|
|
Total operating expenses |
|
|
(3,060) |
|
|
(3,046) |
|
|
Other income (loss): |
|
|
|
|
|
|
|
|
Income-rental properties |
|
|
454 |
|
|
436 |
|
|
Realized net gain (loss) on sales of available-for-sale MBS |
|
|
5,710 |
|
|
(6,147) |
|
|
Realized net gain (loss) on sales of Agency MBS held as trading investments |
|
|
3,981 |
|
|
(7,363) |
|
|
Realized net (loss) on sales of available-for-sale Non-Agency MBS |
|
|
(55,390) |
|
|
— |
|
|
Unrealized net (loss) on Non-Agency MBS held as trading investments |
|
|
(59,982) |
|
|
— |
|
|
Unrealized (loss) gain on Agency MBS held as trading investments |
|
|
(1,141) |
|
|
14,906 |
|
|
Gain on sale of residential properties |
|
|
78 |
|
|
— |
|
|
(Loss) on derivatives, net |
|
|
(88,791) |
|
|
(27,289) |
|
|
Total other (loss) |
|
|
(195,081) |
|
|
(25,457) |
|
|
Net (loss) |
|
$ |
(185,821) |
|
$ |
(19,970) |
|
|
Dividends on preferred stock |
|
|
(2,297) |
|
|
(2,297) |
|
|
Net (loss) to common stockholders |
|
$ |
(188,118) |
|
$ |
(22,267) |
|
|
Basic (loss) per common share |
|
$ |
(1.90) |
|
$ |
(0.23) |
|
|
Diluted (loss) per common share |
|
$ |
(1.90) |
|
$ |
(0.23) |
|
|
Basic weighted average number of shares outstanding |
|
|
98,823 |
|
|
98,537 |
|
|
Diluted weighted average number of shares outstanding |
|
|
98,823 |
|
|
98,537 |
|
See accompanying notes to unaudited consolidated financial statements.
4
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(in thousands)
(unaudited)
|
|
|
Three Months Ended |
|
|
||||
|
|
|
March 31, |
|
|
||||
|
|
|
2020 |
|
2019 |
|
|
||
|
Net (loss) |
|
$ |
(185,821) |
|
$ |
(19,970) |
|
|
|
Available-for-sale Agency MBS, fair value adjustment |
|
|
34,831 |
|
|
25,109 |
|
|
|
Reclassification adjustment for (gain) loss on sales of Agency MBS included in net (loss) |
|
|
(5,710) |
|
|
6,169 |
|
|
|
Available-for-sale Non-Agency MBS, fair value adjustment |
|
|
— |
|
|
8,187 |
|
|
|
Reclassification adjustment due to transfer from available-for-sale to trading for Non-Agency MBS |
|
|
(85,424) |
|
|
— |
|
|
|
Reclassification adjustment for loss (gain) on sales of Non-Agency MBS included in net (loss) |
|
|
55,390 |
|
|
(22) |
|
|
|
Amortization of unrealized gains on interest rate swaps remaining in other comprehensive income |
|
|
889 |
|
|
1,003 |
|
|
|
Other comprehensive (loss) income |
|
|
(24) |
|
|
40,446 |
|
|
|
Comprehensive (loss) income |
|
$ |
(185,845) |
|
$ |
20,476 |
|
|
See accompanying notes to unaudited consolidated financial statements.
5
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (CONTINUED)
(in thousands, except per share amounts)
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accum. |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Comp. |
|
|
|
|
|
|
|
|
||
|
|
|
Series A |
|
Series C |
|
|
|
Series A |
|
Series C |
|
Common |
|
|
|
|
Accum. Other |
|
Income |
|
Accum. Other |
|
|
|
|
|
|
||||||
|
|
|
Preferred |
|
Preferred |
|
Common |
|
Preferred |
|
Preferred |
|
Stock |
|
Additional |
|
Comp. Income |
|
Gain (Loss) |
|
Comp. Income |
|
|
|
|
|
|
|||||||
|
For the Three Months Ended |
|
Stock Shares |
|
Stock Shares |
|
Stock Shares |
|
Stock |
|
Stock |
|
Par |
|
Paid-In |
|
Gain (Loss) |
|
Non-Agency |
|
(Loss) Gain |
|
Accum. |
|
|
|
||||||||
|
March 31, 2020 |
|
Outstanding |
|
Outstanding |
|
Outstanding |
|
Par Value |
|
Par Value |
|
Value |
|
Capital |
|
Agency MBS |
|
MBS |
|
Derivatives |
|
(Deficit) |
|
Total |
|||||||||
|
Balance, December 31, 2019 |
|
1,919 |
|
2,010 |
|
98,849 |
|
$ |
46,537 |
|
$ |
48,626 |
|
$ |
988 |
|
$ |
983,401 |
|
$ |
43,590 |
|
$ |
30,034 |
|
$ |
(7,640) |
|
$ |
(593,039) |
|
$ |
552,497 |
|
Cumulative adjustment for adoption of ASC 326 |
|
— |
|
— |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(30) |
|
|
(30) |
|
Balance, January 1, 2020 |
|
1,919 |
|
2,010 |
|
98,849 |
|
|
46,537 |
|
|
48,626 |
|
|
988 |
|
|
983,401 |
|
|
43,590 |
|
|
30,034 |
|
|
(7,640) |
|
|
(593,069) |
|
|
552,467 |
|
Issuance of common stock |
|
|
|
|
|
87 |
|
|
|
|
|
|
|
|
1 |
|
|
264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
265 |
|
Other comprehensive income, fair value adjustments and reclassifications |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,121 |
|
|
(30,034) |
|
|
889 |
|
|
|
|
|
(24) |
|
Net (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(185,821) |
|
|
(185,821) |
|
Amortization of restricted stock |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
|
Dividend declared - $0.539063 per Series A preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,035) |
|
|
(1,035) |
|
Dividend declared - $0.390625 per Series B preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(304) |
|
|
(304) |
|
Dividend declared - $0.476563 per Series C preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(958) |
|
|
(958) |
|
Balance, March 31, 2020 |
|
1,919 |
|
2,010 |
|
98,936 |
|
$ |
46,537 |
|
$ |
48,626 |
|
$ |
989 |
|
$ |
983,669 |
|
$ |
72,711 |
|
$ |
— |
|
$ |
(6,751) |
|
$ |
(781,187) |
|
$ |
364,594 |
See accompanying notes to unaudited consolidated financial statements.
6
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(in thousands, except per share amounts)
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accum. |
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Comp. |
|
|
|
|
|
|
|
|
||
|
|
|
Series A |
|
Series C |
|
|
|
Series A |
|
Series C |
|
Common |
|
|
|
|
Accum. Other |
|
Income |
|
Accum. Other |
|
|
|
|
|
|
||||||
|
|
|
Preferred |
|
Preferred |
|
Common |
|
Preferred |
|
Preferred |
|
Stock |
|
Additional |
|
Comp. Income |
|
Gain (Loss) |
|
Comp. Income |
|
|
|
|
|
|
|||||||
|
For the Three Months Ended |
|
Stock Shares |
|
Stock Shares |
|
Stock Shares |
|
Stock |
|
Stock |
|
Par |
|
Paid-In |
|
Gain (Loss) |
|
Non-Agency |
|
Gain (Loss) |
|
Accum. |
|
|
|
||||||||
|
March 31, 2019 |
|
Outstanding |
|
Outstanding |
|
Outstanding |
|
Par Value |
|
Par Value |
|
Value |
|
Capital |
|
Agency MBS |
|
MBS |
|
Derivatives |
|
(Deficit) |
|
Total |
|||||||||
|
Balance, December 31, 2018 |
|
1,919 |
|
2,010 |
|
98,483 |
|
$ |
46,537 |
|
$ |
48,944 |
|
$ |
985 |
|
$ |
981,964 |
|
$ |
(28,824) |
|
$ |
9,563 |
|
$ |
(11,531) |
|
$ |
(485,988) |
|
$ |
561,650 |
|
Issuance of common stock |
|
|
|
|
|
82 |
|
|
|
|
|
|
|
|
1 |
|
|
355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
356 |
|
Other comprehensive income, fair value adjustments and reclassifications |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,278 |
|
|
8,165 |
|
|
1,003 |
|
|
|
|
|
40,446 |
|
Net income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(19,970) |
|
|
(19,970) |
|
Amortization of restricted stock |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25 |
|
Dividend declared - $0.539063 per Series A preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,035) |
|
|
(1,035) |
|
Dividend declared - $0.390625 per Series B preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(304) |
|
|
(304) |
|
Dividend declared - $0.476563 per Series C preferred share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(958) |
|
|
(958) |
|
Dividend declared - $0.13 per common share |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,815) |
|
|
(12,815) |
|
Balance, March 31, 2019 |
|
1,919 |
|
2,010 |
|
98,565 |
|
$ |
46,537 |
|
$ |
48,944 |
|
$ |
986 |
|
$ |
982,344 |
|
$ |
2,454 |
|
$ |
17,728 |
|
$ |
(10,528) |
|
$ |
(521,070) |
|
$ |
567,395 |
See accompanying notes to unaudited consolidated financial statements.
7
ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(in thousands)
(unaudited)
|
|
|
|
March 31, |
|
|||
|
|
|
2020 |
|
2019 |
|
||
|
Operating Activities: |
|
|
|
|
|
|
|
|
Net (loss) |
|
$ |
(185,821) |
|
$ |
(19,970) |
|
|
Adjustments to reconcile net (loss) to net cash provided by operating activities: |
|
|
|
|
|
|
|
|
Amortization of premium on MBS |
|
|
6,477 |
|
|
5,886 |
|
|
Amortization/accretion of market yield adjustments (Non-Agency MBS) |
|
|
1,253 |
|
|
1,222 |
|
|
Accretion of discount (residential mortgage loans) |
|
|
(29) |
|
|
(29) |
|
|
Depreciation on rental properties |
|
|
120 |
|
|
119 |
|
|
Amortization of premium on residential loans |
|
|
327 |
|
|
— |
|
|
Realized loss on sales of available-for-sale Non-Agency MBS |
|
|
55,390 |
|
|
— |
|
|
Realized (gain) loss on sales of available-for-sale Agency MBS |
|
|
(5,710) |
|
|
6,147 |
|
|
Realized (gain) on sales of Agency MBS held as trading investments |
|
|
(3,981) |
|
|
7,363 |
|
|
Unrealized loss (gain) on Agency MBS held as trading investments |
|
|
1,141 |
|
|
(14,906) |
|
|
Unrealized loss on Non-Agency MBS trading securities |
|
|
59,982 |
|
|
— |
|
|
(Gain) on sale of residential properties |
|
|
(78) |
|
|
— |
|
|
Amortization of restricted stock |
|
|
4 |
|
|
25 |
|
|
Net settlements received on interest rate swaps, net of amortization |
|
|
889 |
|
|
4,861 |
|
|
Loss on interest rate swaps, net |
|
|
99,609 |
|
|
33,718 |
|
|
(Gain) on derivatives, net of derivative income - TBA Agency MBS |
|
|
(12,564) |
|
|
(6,429) |
|
|
Changes in assets and liabilities: |
|
|
|
|
|
|
|
|
Decrease in reverse repurchase agreements |
|
|
15,000 |
|
|
20,000 |
|
|
Decrease (increase) in interest receivable |
|
|
3,954 |
|
|
(765) |
|
|
Decrease (increase) in prepaid expenses and other |
|
|
2,206 |
|
|
(4,546) |
|
|
(Decrease) in accrued interest payable |
|
|
(322) |
||||