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Section 1: 10-Q (10-Q)

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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.

 

 

 

 

Table of Contents

ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES

FORM 10‑Q

INDEX

 

 

 

 

 

 

 

 

Page

 

Part I. 

 

FINANCIAL INFORMATION

3

 

 

Item 1.

Consolidated Financial Statements

3

 

 

 

Consolidated Balance Sheets as of March 31, 2020 (unaudited) and December 31, 2019

3

 

 

 

Consolidated Statements of Operations for the three months ended March 31, 2020 and 2019 (unaudited)

4

 

 

 

Consolidated Statements of Comprehensive Income for the three months ended March 31, 2020 and 2019 (unaudited)

5

 

 

 

Consolidated Statements of Stockholders’ Equity for the three months ended March 31, 2020 (unaudited)

6

 

 

 

Consolidated Statements of Stockholders’ Equity for the three months ended March 31, 2019 (unaudited)

7

 

 

 

Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019 (unaudited)

8

 

 

 

Notes to Unaudited Consolidated Financial Statements

9

 

 

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

39

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

60

 

 

Item 4.

Controls and Procedures

65

 

Part II. 

 

OTHER INFORMATION

66

 

 

Item 1.

Legal Proceedings

66

 

 

Item 1A.

Risk Factors

66

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

67

 

 

Item 3.

Defaults Upon Senior Securities

67

 

 

Item 4.

Mine Safety Disclosures

67

 

 

Item 5.

Other Information

67

 

 

Item 6.

Exhibits

68

 

 

 

Signatures

71

 

 

 

 

2

Table of Contents

ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES

Part I. FINANCIAL INFORMATION

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

Table of Contents

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

Table of Contents

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

Table of Contents

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

Table of Contents

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

Table of Contents

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)

 

 

(8,705)

 

Increase in accrued expenses and payables

 

 

1,950

 

 

2,063

 

Net cash provided by operating activities

 

$

39,797

 

$

26,054

 

Investing Activities:

 

 

  

 

 

  

 

MBS Portfolios:

 

 

  

 

 

  

 

Proceeds from sales

 

$

1,170,362

 

$

903,822

 

Purchases

 

 

(76,283)

 

 

(997,367)

 

Principal payments

 

 

200,620

 

 

185,692

 

Residential mortgage loans held-for-securitization:

 

 

 

 

 

 

 

Purchases

 

 

(4,761)

 

 

(18,028)

 

Principal payments

 

 

10,049

 

 

802

 

Residential mortgage loans held-for-investment through consolidated securitization trusts:

 

 

  

 

 

  

 

Principal payments

 

 

31

 

 

30

 

Residential properties purchases

 

 

(121)

 

 

(195)

 

Proceeds from sales of residential properties

 

 

250

 

 

 —

 

Net cash provided by investing activities

 

$

1,300,147

 

$

74,756

 

Financing Activities:

 

 

 

 

 

  

 

Borrowings from repurchase agreements

 

$

                6,295,038

 

$

7,207,740

 

Repayments on repurchase agreements

 

 

(7,479,777)

 

 

(7,258,733)

 

Borrowings from warehouse line of credit

 

 

 —

 

 

15,716

 

Repayments on warehouse line of credit

 

 

(17,428)

 

 

 —

 

Net settlements of TBA Agency MBS Contracts

 

 

10,002

 

 

8,022

 

Termination of interest rate swaps

 

 

(48,037)

 

 

 —

 

Derivative counterparty margin

 

 

6,266

 

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