Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2019

Schedule IV - Mortgage Loans on Real Estate

Schedule IV - Mortgage Loans on Real Estate

ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES

SCHEDULE IV – MORTGAGE LOANS ON REAL ESTATE

As of December 31, 2019

(dollar amounts in thousands)

												Principal
												Amount
												Subject to
				Final	Periodic							Delinquent
	Number	Interest		Maturity	Payment	Prior	Face		Carrying			Principal or
Asset Type/Description	of Loans	Rate(1)		Date(2)	Terms(3)	Liens	Amount		Amount			Interest(4)
Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts
By Product Type:
30-year fixed-rate loans	635	3.93	%	2045	P&I	—	$	406,064	$	406,064	$	1,045
20-year fixed-rate loans	1	4.00		2045	P&I	—		733		733		—
15-year fixed-rate loans	51	3.13		2045	P&I	—		26,520		26,520		—
5-year to 10-year hybrid ARMs	17	3.33		2045	P&I	—		12,544		12,544		—
Application of December payments								10,907		10,907
Unamortized premium, net of discount								1,755		1,755
Allowance for loan losses								(175)		(175)
	704	3.87	%				$	458,348	$	458,348	$	1,045
By Original Balance Stratification:
$100,000 - $300,000	12	3.93	%	2045	P&I	—	$	2,846	$	2,846	$	—
$300,001 - $500,000	197	3.84		2045	P&I	—		85,239		85,239		454
$500,001 - $700,000	294	3.90		2045	P&I	—		176,065		176,065		—
$700,001 - $900,000	132	3.87		2045	P&I	—		103,286		103,286		591
> $900,000	69	3.81		2045	P&I	—		78,425		78,425		—
Application of December payments								10,907		10,907
Unamortized premium, net of discount								1,755		1,755		—
Allowance for loan losses								(175)		(175)		—
	704	3.87	%				$	458,348	$	458,348	$	1,045

(1) This represents the weighted average net coupon rate.

(2) Represents the Final Maturity Date of the securitization trusts.

(3) Principal and interest (“P&I”) is generally payable at level amounts over life to maturity.

(4) Does not include any amounts that are delinquent less than 90 days.

NOTE TO SCHEDULE IV – RECONCILIATION OF MORTGAGE LOANS ON REAL ESTATE

	Year Ended
	December 31,
	2019
Residential Mortgage Loans Held-for-Investment Through Consolidated Securitization Trusts	(in thousands)
Balance at beginning of period	$	549,016
Deductions during period:
Collections of principal		(89,113)
Amortization of premium		(1,566)
Charge-offs, net		11
Balance at end of period	$	458,348

ANWORTH MORTGAGE ASSET CORPORATION AND SUBSIDIARIES

SCHEDULE IV – MORTGAGE LOANS ON REAL ESTATE

As of December 31, 2019

(dollar amounts in thousands)

												Principal
												Amount
												Subject to
				Final	Periodic							Delinquent
	Number	Interest		Maturity	Payment	Prior	Face		Carrying			Principal or
Asset Type/Description	of Loans	Rate(1)		Date(2)	Terms(3)	Liens	Amount		Amount			Interest(4)
Residential Mortgage Loans Held-for-Securitization
By Product Type:
30-year fixed-rate loans	69	5.61	%	2048	P&I	—	$	23,635	$	23,635	$	—
20-year fixed-rate loans	—	—		—	P&I	—		—		—		—
15-year fixed-rate loans	2	5.38		2033	P&I	—		507		507		—
5-year to 10-year hybrid ARMs	229	5.36		2048	P&I	—		124,766		124,766		—
Unamortized premium and deferred transaction costs								4,014		4,014
								—		—
	300	5.40	%				$	152,922	$	152,922	$	—
By Original Balance Stratification:
$10,000 - $160,000	29	5.89	%	2048	P&I	—	$	3,348	$	3,348	$
$160,001 - $360,000	93	5.55		2048	P&I	—		23,635		23,635		—
$360,001 - $560,000	86	5.30		2048	P&I	—		39,158		39,158		—
$560,001 - $760,000	47	5.35		2048	P&I	—		29,757		29,757		—
$760,001 - $960,000	16	5.59		2048	P&I	—		13,906		13,906		—
> $960,001	29	5.33		2048	P&I	—		39,104		39,104		—
Unamortized premium and deferred transaction costs								4,014		4,014
	300	5.40	%				$	152,922	$	152,922	$	—

(1) This represents the weighted average net coupon rate.

(2) Represents the Final Average Maturity Date of the loans, based on the Weighted Average Remaining Term to Maturity.

(3) Principal and interest (“P&I”) is generally payable at level amounts over life to maturity.

(4) Does not include any amounts that are delinquent less than 90 days.

NOTE TO SCHEDULE IV – RECONCILIATION OF MORTGAGE LOANS ON REAL ESTATE

	Year Ended
		December 31,
	2019
	(in thousands)
Balance at beginning of period	$	11,660
Additions during period:
New loans		168,850
Premium and deferred transaction costs on new loans		3,702
Deductions during period:
Collections of principal		(30,992)
Amortization of premium and costs		(298)
Balance at end of period	$	152,922