QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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(State or Other Jurisdiction of Incorporation or Organization)
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(I.R.S. Employer Identification No.)
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(Address of Principal Executive Offices)
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(Zip Code)
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Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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Large accelerated filer
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☐
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☒
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Non-accelerated filer
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☐
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Smaller reporting company
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Emerging growth company
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Page
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6
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PART I.
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8
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Item 1.
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8
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8
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9
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10
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11
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12
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13
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Item 2.
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48
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Item 3.
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71
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Item 4.
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75
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PART II.
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76
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Item 1.
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76
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Item 1A.
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76
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Item 2.
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76
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Item 3.
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76
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Item 4.
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76
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Item 5.
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76
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Item 6.
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76
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• |
the Company’s investment objectives and business strategy;
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• |
the Company’s ability to raise capital through the sale of its equity and debt securities and to invest the net proceeds of any such offering in the target assets, if any, identified
at the time of the offering;
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• |
the Company’s ability to obtain future financing arrangements and refinance existing financing arrangements as they mature;
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• |
the Company’s expected leverage;
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• |
the Company’s expected investments and the timing thereof;
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• |
the Company’s ability to acquire Servicing-Related Assets and mortgage and real estate-related securities;
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• |
estimates and statements relating to, and the Company’s ability to make, future distributions to holders of the Company’s securities;
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• |
the Company’s ability to compete in the marketplace;
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• |
market, industry and economic trends;
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• |
recent market developments and actions taken and to be taken by the U.S. Government, the U.S. Treasury and the Board of Governors of the Federal Reserve System, Fannie Mae, Freddie
Mac, Ginnie Mae and the U.S. Securities and Exchange Commission (“SEC”), including actions such as forbearance programs and prohibitions on foreclosures taken in response to the ongoing coronavirus (“COVID-19”) pandemic;
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• |
mortgage loan modification programs and future legislative actions;
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• |
the Company’s ability to qualify and to maintain its qualification as a REIT under the Code and limitations on the Company’s business due to compliance with requirements for
maintaining its qualification as a REIT under the Code;
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• |
the Company’s ability to maintain an exception from the definitions of “investment company” under the Investment Company Act of 1940, as amended (the “Investment Company Act”), or
otherwise not fall within those definitions;
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• |
projected capital and operating expenditures;
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• |
availability of qualified personnel; and
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• |
projected prepayment and/or default rates.
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• |
the factors discussed under “Part I, Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q and “Part I,
Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021;
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• |
the uncertainty and economic impact of the COVID-19 pandemic and of responsive measures implemented by various governmental authorities, businesses and other third parties;
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• |
general volatility of the capital markets;
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• |
changes in the Company’s investment objectives and business strategy;
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• |
availability, terms and deployment of capital;
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• |
availability of suitable investment opportunities;
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• |
the Company’s dependence on its external manager, Cherry Hill Mortgage Management, LLC, and the Company’s ability to find a suitable replacement if the Company or the Manager were to
terminate the management agreement the Company has entered into with the Manager;
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• |
changes in the Company’s assets, interest rates or the general economy;
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• |
increased rates of default and/or decreased recovery rates on the Company’s investments, including as a result of the effects of more severe weather and changes in traditional
weather patterns;
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• |
the ultimate geographic spread, severity and duration of pandemics, such as the outbreak of the COVID-19 pandemic and the emergence of new variants of the virus, actions that may be
taken by governmental authorities to contain or address the impact of such pandemics, and the potential negative impacts of such pandemics on the U.S. and global economy generally and the U.S. residential mortgage market and our financial
condition and results of operations specifically;
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• |
changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;
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• |
limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code and the Company’s exception from the definitions
of “investment company” under the Investment Company Act (or of otherwise not falling within those definitions);
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• |
the degree and nature of the Company’s competition, including competition for the residential mortgage assets in which the Company invests; and
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• |
other risks associated with acquiring, investing in and managing residential mortgage assets.
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Item 1. |
Consolidated Financial Statements
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(unaudited)
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||||||||
March 31, 2022
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December 31, 2021
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|||||||
Assets
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||||||||
RMBS, available-for-sale, at fair value (including pledged assets of $
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$
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$
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||||
Investments in Servicing Related Assets, at fair value (including pledged assets of $
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||||||
Cash and cash equivalents
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||||||
Restricted cash
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||||||
Derivative assets
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||||||
Receivables from unsettled trades
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||||||||
Receivables and other assets
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||||||
Total Assets
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$
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$
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||||
Liabilities and Stockholders’ Equity
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||||||||
Liabilities
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||||||||
Repurchase agreements
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$
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$
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||||
Derivative liabilities
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||||||
Notes payable
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||||||
Dividends payable
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||||||
Due to manager
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||||||
Accrued expenses and other liabilities
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||||||
Total Liabilities
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$
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$
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||||
Stockholders’ Equity
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||||||||
Series A Preferred stock, $
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$
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$
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||||
Series B Preferred stock, $
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||||||
Common stock, $
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||||||
Additional paid-in capital
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|
|
||||||
Accumulated Deficit
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(
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)
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(
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)
|
||||
Accumulated other comprehensive income (loss)
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(
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)
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|
|||||
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity
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$
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$
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|
||||
Non-controlling interests in Operating Partnership
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||||||
Total Stockholders’ Equity
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$
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$
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||||
Total Liabilities and Stockholders’ Equity
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$
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$
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Three Months Ended March 31,
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|||||||
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2022
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2021
|
||||||
Income
|
||||||||
Interest income
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$
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$
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||||
Interest expense
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||||||
Net interest income
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||||||
Servicing fee income
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||||||
Servicing costs
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||||||
Net servicing income
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||||||
Other income (loss)
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||||||||
Realized gain (loss) on RMBS, available-for-sale, net
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(
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)
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|||||
Realized loss on derivatives, net
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(
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)
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(
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)
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Realized gain on acquired assets, net
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||||||
Unrealized gain (loss) on derivatives, net
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(
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)
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Unrealized gain on investments in Servicing Related Assets
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||||||
Total Income
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||||||
Expenses
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||||||||
General and administrative expense
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||||||
Management fee to affiliate
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||||||
Total Expenses
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||||||
Income Before Income Taxes
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||||||
Provision for corporate business taxes
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||||||
Net Income
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||||||
Net income allocated to noncontrolling interests in Operating Partnership
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(
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)
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(
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)
|
||||
Dividends on preferred stock
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||||||
Net Income Applicable to Common Stockholders
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$
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$
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||||
Net Income Per Share of Common Stock
|
||||||||
Basic
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$
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$
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|
||||
Diluted
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$
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$
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|
||||
Weighted Average Number of Shares of Common Stock Outstanding
|
||||||||
Basic
|
|
|
||||||
Diluted
|
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Three Months Ended March 31,
|
|||||||
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2022
|
2021
|
||||||
Net income
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$
|
|
$
|
|
||||
Other comprehensive income (loss):
|
||||||||
Unrealized loss on RMBS, available-for-sale, net
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(
|
)
|
(
|
)
|
||||
Net other comprehensive loss
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(
|
)
|
(
|
)
|
||||
Comprehensive income (loss)
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$
|
(
|
)
|
$
|
|
|||
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership
|
(
|
)
|
|
|||||
Dividends on preferred stock
|
|
|
||||||
Comprehensive loss attributable to common stockholders
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$
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(
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)
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$
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(
|
)
|
|
Common
Stock
Shares
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Common
Stock
Amount
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Preferred
Stock
Shares
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Preferred
Stock
Amount
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Additional
Paid-in
Capital
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Accumulated
Other
Comprehensive
Income (Loss)
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Retained
Earnings
(Deficit)
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Non-
Controlling
Interest in
Operating
Partnership
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Total
Stockholders’
Equity
|
|||||||||||||||||||||||||||
Balance, December 31, 2020
|
|
$
|
|
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$
|
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$
|
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$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||||||||||
Issuance of common stock
|
|
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|
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|
|||||||||||||||||||||||||||
Conversion of OP units
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-
|
|
-
|
|
|
|
|
(
|
)
|
(
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)
|
|||||||||||||||||||||||||
Net Income before dividends on preferred stock
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-
|
|
-
|
|
|
|
|
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|
|||||||||||||||||||||||||||
Other Comprehensive Loss
|
-
|
|
-
|
|
|
(
|
)
|
|
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(
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)
|
|||||||||||||||||||||||||
LTIP-OP Unit awards
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-
|
|
-
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
|
-
|
|
|
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Balance, March 31, 2021
|
|
$
|
|
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
Balance, December 31, 2021
|
|
$
|
|
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||||||||||
Issuance of common stock
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net Income before dividends on preferred stock
|
-
|
|
-
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Other Comprehensive Loss
|
-
|
|
-
|
|
|
(
|
)
|
|
|
(
|
)
|
|||||||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
|
-
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
|
-
|
|
|
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $
|
-
|
|
-
|
|
|
|
(
|
)
|
|
(
|
)
|
|||||||||||||||||||||||||
Balance, March 31, 2022
|
|
$
|
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
$
|
|
|
Three Months Ended March 31,
|
|||||||
|
2022
|
2021
|
||||||
Cash Flows From Operating Activities
|
||||||||
Net income
|
$
|
|
$
|
|
||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||||
Realized (gain) loss on RMBS, available-for-sale, net
|
|
(
|
)
|
|||||
Unrealized gain on investments in Servicing Related Assets
|
(
|
)
|
(
|
)
|
||||
Realized gain on acquired assets, net
|
(
|
)
|
(
|
)
|
||||
Realized loss on derivatives, net
|
|
|
||||||
Unrealized (gain) loss on derivatives, net
|
(
|
)
|
|
|||||
Amortization of premiums on RMBS, available-for-sale
|
|
|
||||||
Amortization of deferred financing costs
|
|
|
||||||
LTIP-OP Unit awards
|
|
|
||||||
Changes in:
|
||||||||
Receivables and other assets, net
|
|
|
||||||
Due to affiliates
|
|
|
||||||
Accrued expenses and other liabilities, net
|
(
|
)
|
|
|||||
Net cash provided by operating activities
|
$
|
|
$
|
|
||||
Cash Flows From Investing Activities
|
||||||||
Purchase of RMBS
|
(
|
)
|
(
|
)
|
||||
Principal paydown of RMBS
|
|
|
||||||
Proceeds from sale of RMBS
|
|
|
||||||
Acquisition of MSRs
|
(
|
)
|
(
|
)
|
||||
Payments for settlement of derivatives
|
(
|
)
|
(
|
)
|
||||
Net cash provided by investing activities
|
$
|
|
$
|
|
||||
Cash Flows From Financing Activities
|
||||||||
Borrowings under repurchase agreements
|
|
|
||||||
Repayments of repurchase agreements
|
(
|
)
|
(
|
)
|
||||
Proceeds from derivative financing
|
|
(
|
)
|
|||||
Proceeds from bank loans
|
|
|
||||||
Dividends paid
|
(
|
)
|
(
|
)
|
||||
LTIP-OP Units distributions paid
|
(
|
)
|
(
|
)
|
||||
Conversion of OP units
|
|
(
|
)
|
|||||
Issuance of common stock, net of offering costs
|
|
|
||||||
Net cash used in financing activities
|
$
|
(
|
)
|
$
|
(
|
)
|
||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash
|
$
|
|
$
|
(
|
)
|
|||
Cash, Cash Equivalents and Restricted Cash, Beginning of Period
|
|
|
||||||
Cash, Cash Equivalents and Restricted Cash, End of Period
|
$
|
|
$
|
|
||||
Supplemental Disclosure of Cash Flow Information
|
||||||||
Cash paid during the period for interest expense
|
$
|
|
$
|
|
||||
Cash paid during the period for income taxes
|
|
|
|
|
||||
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
||||||||
Dividends declared but not paid
|
$
|
|
$
|
|
||||
Sale of RMBS, settled after period end
|
( |
) | ( |
) | ||||
Purchase of RMBS, settled after period end
|
|
|
|
|
|
Three Months Ended March 31,
|
|||||||
|
2022
|
2021
|
||||||
Realized gain (loss) on RMBS, net
|
||||||||
Gain on RMBS
|
$
|
|
$
|
|
||||
Loss on RMBS
|
(
|
)
|
(
|
)
|
||||
Net realized gain (loss) on RMBS (A)
|
$ |
(
|
)
|
$ |
|
(A) |
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
||||||||||||
Income Statement
|
||||||||||||||||
Three Months Ended March 31, 2022
|
||||||||||||||||
Interest income
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Interest expense
|
|
|
|
|
||||||||||||
Net interest income (expense)
|
(
|
)
|
|
|
|
|||||||||||
Servicing fee income
|
|
|
|
|
||||||||||||
Servicing costs
|
|
|
|
|
||||||||||||
Net servicing income
|
|
|
|
|
||||||||||||
Other income (expense)
|
(
|
)
|
|
|
|
|||||||||||
Other operating expenses
|
|
|
|
|
||||||||||||
Provision for corporate business taxes
|
|
|
|
|
||||||||||||
Net Income (Loss)
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Three Months Ended March 31, 2021
|
||||||||||||||||
Interest income
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Interest expense
|
|
|
|
|
||||||||||||
Net interest income (expense)
|
(
|
)
|
|
|
|
|||||||||||
Servicing fee income
|
|
|
|
|
||||||||||||
Servicing costs
|
|
|
|
|
||||||||||||
Net servicing income
|
|
|
|
|
||||||||||||
Other income (expense)
|
(
|
)
|
|
|
|
|||||||||||
Other operating expenses
|
|
|
|
|
||||||||||||
Provision for corporate business taxes
|
|
|
|
|
||||||||||||
Net Income (Loss)
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Balance Sheet
|
||||||||||||||||
March 31, 2022
|
||||||||||||||||
Investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Other assets
|
|
|
|
|
||||||||||||
Total assets
|
|
|
|
|
||||||||||||
Debt
|
|
|
|
|
||||||||||||
Other liabilities
|
|
|
|
|
||||||||||||
Total liabilities
|
|
|
|
|
||||||||||||
Net assets
|
$
|
|
$
|
|
$
|
|
$
|
|
December 31, 2021
|
||||||||||||||||
Investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Other assets
|
|
|
|
|
||||||||||||
Total assets
|
|
|
|
|
||||||||||||
Debt
|
|
|
|
|
||||||||||||
Other liabilities
|
|
|
|
|
||||||||||||
Total liabilities
|
|
|
|
|
||||||||||||
Net assets
|
$
|
|
$
|
|
$
|
|
$
|
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||||
Freddie Mac
|
|
|
|
(
|
)
|
|
|
(B)
|
|
%
|
|
%
|
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||||
Freddie Mac
|
|
|
|
(
|
)
|
|
|
(B)
|
|
%
|
|
%
|
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
(A) |
|
(B) |
|
(C) |
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Years to Maturity
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
|||||||||||||||||||||||||||
Over 10 Years |
$ |
$ |
$ |
$ |
( |
) | $ |
(B) | % | % | |||||||||||||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Years to Maturity
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
|||||||||||||||||||||||||||
Over 10 Years
|
$ |
|
$ |
|
$ |
|
$ |
(
|
)
|
$ |
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
(A) |
|
(B) |
|
(C) |
|
Weighted Average
|
|||||||||||||||||||||||||||||||||
Duration in
Loss Position
|
Original
Face
Value
|
Book
Value
|
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
||||||||||||||||||||||||
Less than Twelve Months
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
Weighted Average
|
|||||||||||||||||||||||||||||||||
Duration in
Loss Position
|
Original
Face
Value
|
Book
Value
|
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)
|
||||||||||||||||||||||||
Less than Twelve Months
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||
Twelve or More Months |
( |
) | (B) |
% | % | ||||||||||||||||||||||||||||
Total/Weighted Average
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
|
%
|
|
%
|
|
(A) |
|
(B)
|
|
(C) |
|
Unpaid
Principal
Balance
|
Carrying
Value(A)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(B)
|
Year to Date
Changes in
Fair Value
Recorded in
Other Income
(Loss)
|
||||||||||||||||
MSRs
|
$
|
|
$
|
|
|
%
|
|
$
|
|
|||||||||||
MSR Total/Weighted Average
|
$
|
|
$
|
|
|
%
|
|
$
|
|
Unpaid
Principal
Balance
|
Carrying
Value(A)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(B)
|
Year to Date
Changes in
Fair Value
Recorded in
Other Income
(Loss)
|
||||||||||||||||
MSRs
|
$
|
|
$
|
|
|
%
|
|
$
|
(
|
)
|
||||||||||
MSR Total/Weighted Average
|
$
|
|
$
|
|
|
%
|
|
$
|
(
|
)
|
(A) |
|
(B) |
|
|
Percentage of Total Outstanding
Unpaid Principal Balance
|
|||
California
|
|
%
|
||
Virginia
|
|
%
|
||
New York
|
|
%
|
||
Maryland
|
|
%
|
||
Texas
|
|
%
|
||
North Carolina
|
|
%
|
||
All other
|
|
%
|
||
Total
|
|
%
|
|
Percentage of Total Outstanding
Unpaid Principal Balance
|
|||
California
|
|
%
|
||
Virginia
|
|
%
|
||
New York
|
|
%
|
||
Maryland
|
|
%
|
||
Texas
|
|
%
|
||
North Carolina
|
|
%
|
||
All other
|
|
%
|
||
Total
|
|
%
|
LTIP-OP Units
|
Shares of Common Stock
|
Number of Securities
Remaining Available For Future Issuance
Under Equity
|
Weighted Average Issuance | ||||||||||||||||||||||||||||||
Issued
|
Forfeited
|
Converted
|
Redeemed |
Issued
|
Forfeited
|
Compensation Plans
|
Price
|
||||||||||||||||||||||||||
December 31, 2020
|
(
|
)
|
|
|
(
|
)
|
|
|
|||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(
|
)
|
(A)
|
|
|
|
(
|
)
|
$ | ||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
( |
) | $ | ||||||||||||||||||||||||||||||
March 31, 2021
|
(
|
)
|
|
|
(
|
)
|
|
|
|||||||||||||||||||||||||
December 31, 2021
|
( |
) | ( |
) | |||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
( |
) | (B) | ( |
) | $ | |||||||||||||||||||||||||||
March 31, 2022
|
( |
) | ( |
) |
(A) |
|
(B) |
|
|
Three Months Ended March 31,
|
|||||||
|
2022
|
2021
|
||||||
Numerator:
|
||||||||
Net income
|
$
|
|
$
|
|
||||
Net income allocated to noncontrolling interests in Operating Partnership
|
(
|
)
|
(
|
)
|
||||
Dividends on preferred stock
|
|
|
||||||
Net income applicable to common stockholders
|
$
|
|
$
|
|
||||
Denominator:
|
||||||||
Weighted average common shares outstanding
|
|
|
||||||
Weighted average diluted shares outstanding
|
|
|
||||||
Basic and Diluted EPS:
|
||||||||
Basic
|
$
|
|
$
|
|
||||
Diluted
|
$
|
|
$
|
|
|
Three Months Ended March 31,
|
|||||||
|
2022
|
2021
|
||||||
Management fees
|
$
|
|
$
|
|
||||
Compensation reimbursement
|
|
|
||||||
Total
|
$
|
|
$
|
|
Derivatives
|
March 31, 2022
|
December 31, 2021
|
||||||
Notional amount of interest rate swaps
|
$
|
|
$
|
|
||||
Notional amount of swaptions
|
|
|
||||||
Notional amount of TBAs, net
|
|
|
||||||
Notional amount of U.S. treasury futures
|
(
|
)
|
(
|
)
|
||||
Notional amount of options on U.S. treasury futures
|
|
|
||||||
Total notional amount
|
$
|
|
$
|
|
|
Notional
Amount
|
Fair Value
|
Weighted
Average Pay
Rate
|
Weighted
Average
Receive Rate
|
Weighted
Average
Years to
Maturity
|
|||||||||||||||
March 31, 2022
|
$
|
|
$ |
|
|
%
|
|
%
|
|
|||||||||||
December 31, 2021
|
$
|
|
$ |
|
|
%
|
|
%
|
|
|
Notional
Amount
|
Fair Value
|
Weighted
Average
Underlying Pay
Rate
|
Weighted
Average
Underlying
Receive Rate(A)
|
Weighted
Average
Underlying
Years to
Maturity(B)
|
Weighted
Average
Years to
Expiration
|
|||||||||||||||
March 31, 2022
|
$
|
|
$ |
|
|
%
|
% |
|
|
||||||||||||
December 31, 2021
|
$
|
|
$ |
|
|
%
|
% |
|
|
(A) |
|
(B) |
|
Purchase and sale contracts for derivative TBAs
|
Notional
|
Implied Cost
Basis
|
Implied Fair
Value
|
Net Carrying
Value
|
||||||||||||
Purchase contracts
|
$
|
|
$
|
|
$
|
|
$ |
(
|
)
|
|||||||
Sale contracts
|
(
|
)
|
(
|
)
|
(
|
)
|
|
|||||||||
Net TBA derivatives
|
$
|
|
$
|
|
$
|
|
$ |
(
|
)
|
Purchase and sale contracts for derivative TBAs
|
Notional
|
Implied Cost
Basis
|
Implied Fair
Value
|
Net Carrying
Value
|
||||||||||||
Purchase contracts
|
$
|
|
$
|
|
$
|
|
$ |
(
|
)
|
|||||||
Sale contracts
|
(
|
)
|
(
|
)
|
(
|
)
|
|
|
||||||||
Net TBA derivatives
|
$
|
|
$
|
|
$
|
|
$ |
(
|
)
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
5 years |
$ | $ | ( |
) | $ | |||||||
10 years
|
|
(
|
)
|
|
||||||||
Total
|
$
|
|
$
|
(
|
)
|
$
|
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
2 years |
$ | $ | ( |
) | $ | |||||||
5 years
|
|
(
|
)
|
(
|
)
|
|||||||
10 years
|
|
|
(
|
)
|
||||||||
Total
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
10 years
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Total
|
$
|
|
$
|
(
|
)
|
$ |
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
10 years
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Total
|
$
|
|
$
|
(
|
)
|
$ |
|
Three Months Ended March 31,
|
||||||||
Derivatives
|
2022
|
2021
|
||||||
Interest rate swaps(A)
|
$
|
(
|
)
|
$
|
|
|||
Swaptions
|
|
(
|
)
|
|||||
TBAs
|
(
|
)
|
(
|
)
|
||||
U.S. Treasury futures
|
|
(
|
)
|
|||||
U.S. Treasury futures options |
( |
) | ||||||
Total
|
$
|
(
|
)
|
$
|
(
|
)
|
(A) |
|
|
Net Amounts
of Assets and
|
Gross Amounts Not Offset in the
Consolidated Balance Sheet
|
||||||||||||||||||||||
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Liabilities
Presented in
the
Consolidated
Balance Sheet
|
Financial
Instruments
|
Cash
Collateral
Received
(Pledged) (A)
|
Net Amount
|
|||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||
Interest rate swaptions
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
TBAs
|
|
(
|
)
|
|
|
|
|
|||||||||||||||||
U.S. treasury futures
|
( |
) | ||||||||||||||||||||||
U.S. treasury futures options
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
Total Assets
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
||||||||||
Interest rate swaps
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
TBAs
|
|
(
|
)
|
|
(
|
)
|
|
|
||||||||||||||||
U.S. treasury futures
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
Total Liabilities
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
(A) |
|
|
Net Amounts
of Assets and
|
Gross Amounts Not Offset in the
Consolidated Balance Sheet
|
||||||||||||||||||||||
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Liabilities
Presented in
the
Consolidated
Balance Sheet
|
Financial
Instruments
|
Cash
Collateral
Received
(Pledged) (A)
|
Net Amount
|
|||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||
Interest rate swaptions
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
TBAs
|
|
(
|
)
|
|
|
|
|
|||||||||||||||||
U.S. treasury futures options
|
( |
|||||||||||||||||||||||
Total Assets
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
(
|
$
|
|
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
||||||||||
Interest rate swaps
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
TBAs
|
|
(
|
)
|
|
(
|
)
|
|
|
||||||||||||||||
U.S. treasury futures | ( |
) | ||||||||||||||||||||||
Total Liabilities
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
(A) |
|
• |
Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must
have the ability to access the active market and the quoted prices cannot be adjusted by the entity.
|
• |
Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or
inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.
|
• |
Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use
to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.
|
|
Level 1
|
Level 2
|
Level 3
|
Carrying Value
|
||||||||||||
Assets
|
||||||||||||||||
RMBS
|
||||||||||||||||
Fannie Mae
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Freddie Mac
|
|
|
|
|
||||||||||||
RMBS total
|
|
|
|
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
|
|
|
|
||||||||||||
Interest rate swaptions
|
|
|
|
|
||||||||||||
U.S. treasury futures | ||||||||||||||||
U.S. treasury futures options
|
|
|
|
|
||||||||||||
Derivative assets total
|
|
|
|
|
||||||||||||
Servicing related assets
|
|
|
|
|
||||||||||||
Total Assets
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
|
|
|
|
||||||||||||
TBAs, net
|
||||||||||||||||
U.S. treasury futures
|
|
|
|
|
||||||||||||
Derivative liabilities total
|
|
|
|
|
||||||||||||
Total Liabilities
|
$
|
|
$
|
|
$
|
|
$
|
|
|
Level 1
|
Level 2
|
Level 3
|
Carrying Value
|
||||||||||||
Assets
|
||||||||||||||||
RMBS
|
||||||||||||||||
Fannie Mae
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Freddie Mac
|
|
|
|
|
||||||||||||
RMBS total
|
|
|
|
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
|
|
|
|
||||||||||||
Interest rate swaptions
|
|
|
|
|
||||||||||||
U.S. treasury futures options
|
|
|
|
|
||||||||||||
Derivative assets total
|
|
|
|
|
||||||||||||
Servicing related assets
|
|
|
|
|
||||||||||||
Total Assets
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
|
|
|
|
||||||||||||
TBAs, net | ||||||||||||||||
U.S. treasury futures
|
||||||||||||||||
Derivative liabilities total
|
|
|
|
|
||||||||||||
Total Liabilities
|
$
|
|
$
|
|
$
|
|
$
|
|
|
Level 3
|
|||
|
MSRs
|
|||
Balance at December 31, 2021
|
$
|
|
||
Purchases and sales:
|
||||
Purchases
|
|
|||
Other changes (A)
|
(
|
)
|
||
Purchases and sales:
|
$
|
|
||
Changes in Fair Value due to:
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
|
|||
Other changes in fair value (B)
|
(
|
)
|
||
Unrealized gain (loss) included in Net Income
|
$
|
|
||
Balance at March 31, 2022
|
$
|
|
|
Level 3
|
|||
|
MSRs
|
|||
Balance at December 31, 2020
|
$
|
|
||
Purchases and sales:
|
||||
Purchases
|
|
|||
Other changes (A)
|
(
|
)
|
||
Purchases and sales:
|
$
|
|
||
Changes in Fair Value due to:
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
|
|||
Other changes in fair value (B)
|
(
|
)
|
||
Unrealized gain (loss) included in Net Income
|
$
|
(
|
)
|
|
Balance at December 31, 2021
|
$
|
|
(A) |
|
(B) |
|
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average (B)
|
||||||||
MSRs
|
$
|
|
Discounted cash flow
|
Constant prepayment speed
|
|
%
|
|
%
|
|||||
|
|
|
Uncollected payments
|
|
%
|
|
%
|
||||||
|
|
|
Discount rate
|
|
|
%
|
|||||||
|
|
|
Annual cost to service, per loan
|
|
$
|
|
|||||||
TOTAL
|
$
|
|
|
|
|
|
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average (B)
|
||||||||
MSRs
|
$
|
|
Discounted cash flow
|
Constant prepayment speed
|
|
%
|
|
%
|
|||||
|
|
|
Uncollected payments
|
|
%
|
|
%
|
||||||
|
|
|
Discount rate
|
|
|
%
|
|||||||
|
|
|
Annual cost to service, per loan
|
|
$
|
|
|||||||
TOTAL
|
$
|
|
|
|
|
|
(A) |
|
(B) |
|
• |
RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value.
See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote.
|
• |
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.
|
• |
The carrying value of servicing receivables, repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short
maturities. The Company does not hold any repurchase agreements that are considered long-term.
|
|
Repurchase
Agreements
|
Weighted Average
Rate
|
||||||
Less than one month
|
$
|
|
|
%
|
||||
One to three months
|
|
|
%
|
|||||
Total/Weighted Average
|
$
|
|
|
%
|
|
Repurchase
Agreements |
Weighted Average
Rate
|
||||||
Less than one month
|
$
|
|
|
%
|
||||
One to three months
|
|
|
%
|
|||||
Total/Weighted Average
|
$
|
|
|
%
|
|
2022
|
2023
|
2024
|
2025
|
2026
|
Total
|
||||||||||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
|
2022
|
2023
|
2024
|
2025
|
2026
|
Total
|
||||||||||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
|
March 31, 2022
|
December 31, 2021
|
||||||
Servicing advances
|
$
|
|
$
|
|
||||
Interest receivable
|
|
|
||||||
Deferred tax asset
|
|
|
||||||
Other receivables
|
|
|
||||||
Total other assets
|
$
|
|
$
|
|
|
March 31, 2022
|
December 31, 2021
|
||||||
Accrued interest payable
|
$
|
|
$
|
|
||||
Accrued expenses
|
|
|
||||||
Total accrued expenses and other liabilities
|
$
|
|
$
|
|
|
Three Months Ended March 31,
|
|||||||
|
2022
|
2021
|
||||||
Current federal income tax benefit
|
$
|
|
$
|
(
|
)
|
|||
Deferred federal income tax expense
|
|
|
|
|
||||
Deferred state income tax expense
|
|
|
||||||
Provision for Corporate Business Taxes
|
$
|
|
$
|
|
|
Three Months Ended March 31,
|
|||||||||||||||
|
2022
|
2021
|
||||||||||||||
Computed income tax expense at federal rate
|
$
|
|
|
%
|
$
|
|
|
%
|
||||||||
State tax expense, net of federal tax, if applicable
|
|
|
%
|
|
|
%
|
||||||||||
REIT income not subject to tax (benefit)
|
(
|
)
|
(
|
)%
|
(
|
)
|
(
|
)%
|
||||||||
Provision for Corporate Business Taxes/Effective Tax Rate(A)
|
$
|
|
|
%
|
$
|
|
|
%
|
(A) |
|
|
March 31, 2022
|
December 31, 2021
|
||||||
Income taxes recoverable
|
||||||||
Federal income taxes recoverable
|
$
|
|
$
|
|
||||
Income taxes recoverable
|
$
|
|
$
|
|
|
March 31, 2022
|
December 31, 2021
|
||||||
Deferred tax assets
|
||||||||
Deferred tax - mortgage servicing rights
|
$
|
|
$
|
|
||||
Deferred tax - net operating loss
|
|
|
||||||
Total net deferred tax assets
|
$
|
|
$
|
|
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
|
Quarter Ended
|
Average
Asset Yield |
Average
Cost of Funds |
Average Net
Interest Rate Spread |
|||||||||
March 31, 2022
|
2.98
|
%
|
0.49
|
%
|
2.49
|
%
|
||||||
December 31, 2021
|
2.93
|
%
|
0.62
|
%
|
2.31
|
%
|
||||||
September 30, 2021
|
2.94
|
%
|
0.63
|
%
|
2.31
|
%
|
||||||
June 30, 2021
|
2.94
|
%
|
0.62
|
%
|
2.32
|
%
|
• |
the interest expense associated with our borrowings to increase;
|
• |
the value of our assets to fluctuate;
|
• |
the coupons on any adjustable-rate and hybrid RMBS we may own to reset, although on a delayed basis, to higher interest rates;
|
• |
prepayments on our RMBS to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; and
|
• |
an increase in the value of any interest rate swap agreements we may enter into as part of our hedging strategy.
|
• |
prepayments on our RMBS to increase, thereby accelerating the amortization of our purchase premiums and the accretion of our purchase discounts;
|
• |
the interest expense associated with our borrowings to decrease;
|
• |
the value of our assets to fluctuate;
|
• |
a decrease in the value of any interest rate swap agreements we may enter into as part of our hedging strategy; and
|
• |
coupons on any adjustable-rate and hybrid RMBS assets we may own to reset, although on a delayed basis, to lower interest rates.
|
Three Months Ended
|
||||||||||||
March 31, 2022
|
December 31, 2021
|
March 31, 2021
|
||||||||||
Income
|
||||||||||||
Interest income
|
$
|
5,519
|
$
|
4,529
|
$
|
3,301
|
||||||
Interest expense
|
1,640
|
1,534
|
1,454
|
|||||||||
Net interest income
|
3,879
|
2,995
|
1,847
|
|||||||||
Servicing fee income
|
13,116
|
13,030
|
13,540
|
|||||||||
Servicing costs
|
3,193
|
3,390
|
3,082
|
|||||||||
Net servicing income
|
9,923
|
9,640
|
10,458
|
|||||||||
Other income (loss)
|
|
|||||||||||
Realized gain (loss) on RMBS, available-for-sale, net
|
(13,222
|
)
|
(1,479
|
)
|
2,094
|
|||||||
Realized loss on derivatives, net
|
(10,638
|
)
|
(4,688
|
)
|
(540
|
)
|
||||||
Realized gain on acquired assets, net
|
12
|
-
|
5
|
|||||||||
Unrealized gain (loss) on derivatives, net
|
24,456
|
8,233
|
(8,059
|
)
|
||||||||
Unrealized gain (loss) on investments in Servicing Related Assets
|
21,731
|
(5,111
|
)
|
22,464
|
||||||||
Total Income
|
36,141
|
9,590
|
28,269
|
|||||||||
Expenses
|
|
|||||||||||
General and administrative expense
|
1,744
|
1,547
|
1,617
|
|||||||||
Management fee to affiliate
|
1,793
|
1,975
|
1,961
|
|||||||||
Total Expenses
|
3,537
|
3,522
|
3,578
|
|||||||||
Income Before Income Taxes
|
32,604
|
6,068
|
24,691
|
|||||||||
Provision for (Benefit from) corporate business taxes
|
3,875
|
(637
|
)
|
3,463
|
||||||||
Net Income
|
28,729
|
6,705
|
21,228
|
|||||||||
Net income allocated to noncontrolling interests in Operating Partnership
|
(633
|
)
|
(130
|
)
|
(434
|
)
|
||||||
Dividends on preferred stock
|
2,463
|
2,463
|
2,463
|
|||||||||
Net Income Applicable to Common Stockholders
|
$
|
25,633
|
$
|
4,112
|
$
|
18,331
|
Servicing Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Income Statement
|
||||||||||||||||
Three Months Ended March 31, 2022
|
||||||||||||||||
Interest income
|
$
|
-
|
$
|
5,519
|
$
|
-
|
$
|
5,519
|
||||||||
Interest expense
|
1,253
|
387
|
-
|
1,640
|
||||||||||||
Net interest income (expense)
|
(1,253
|
)
|
5,132
|
-
|
3,879
|
|||||||||||
Servicing fee income
|
13,116
|
-
|
-
|
13,116
|
||||||||||||
Servicing costs
|
3,193
|
-
|
-
|
3,193
|
||||||||||||
Net servicing income
|
9,923
|
-
|
-
|
9,923
|
||||||||||||
Other income (expense)
|
(3,366
|
)
|
25,705
|
-
|
22,339
|
|||||||||||
Other operating expenses
|
522
|
228
|
2,787
|
3,537
|
||||||||||||
Provision for corporate business taxes
|
3,875
|
-
|
-
|
3,875
|
||||||||||||
Net Income (Loss)
|
$
|
907
|
$
|
30,609
|
$
|
(2,787
|
)
|
$
|
28,729
|
Three Months Ended December 31, 2021
|
||||||||||||||||
Interest income
|
$
|
30
|
$
|
4,499
|
$
|
-
|
$
|
4,529
|
||||||||
Interest expense
|
1,271
|
263
|
-
|
1,534
|
||||||||||||
Net interest income (expense)
|
(1,241
|
)
|
4,236
|
-
|
2,995
|
|||||||||||
Servicing fee income
|
13,030
|
-
|
-
|
13,030
|
||||||||||||
Servicing costs
|
3,390
|
-
|
-
|
3,390
|
||||||||||||
Net servicing income
|
9,640
|
-
|
-
|
9,640
|
||||||||||||
Other income (expense)
|
(5,998
|
)
|
2,953
|
-
|
(3,045
|
)
|
||||||||||
Other operating expenses
|
597
|
182
|
2,743
|
3,522
|
||||||||||||
Benefit from corporate business taxes
|
(637
|
)
|
-
|
-
|
(637
|
)
|
||||||||||
Net Income (Loss)
|
$
|
2,441
|
$
|
7,007
|
$
|
(2,743
|
)
|
$
|
6,705
|
Three Months Ended March 31, 2021
|
||||||||||||||||
Interest income
|
$
|
120
|
$
|
3,181
|
$
|
-
|
$
|
3,301
|
||||||||
Interest expense
|
932
|
522
|
-
|
1,454
|
||||||||||||
Net interest income (expense)
|
(812
|
)
|
2,659
|
-
|
1,847
|
|||||||||||
Servicing fee income
|
13,540
|
-
|
-
|
13,540
|
||||||||||||
Servicing costs
|
3,082
|
-
|
-
|
3,082
|
||||||||||||
Net servicing income
|
10,458
|
-
|
-
|
10,458
|
||||||||||||
Other income (expense)
|
(4,762
|
)
|
20,726
|
-
|
15,964
|
|||||||||||
Other operating expenses
|
566
|
171
|
2,841
|
3,578
|
||||||||||||
Provision for corporate business taxes
|
3,463
|
-
|
-
|
3,463
|
||||||||||||
Net Income (Loss)
|
$
|
855
|
$
|
23,214
|
$
|
(2,841
|
)
|
$
|
21,228
|
Servicing Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Balance Sheet
|
||||||||||||||||
March 31, 2022
|
||||||||||||||||
Investments
|
$
|
246,103
|
$
|
774,113
|
$
|
-
|
$
|
1,020,216
|
||||||||
Other assets
|
36,101
|
102,837
|
52,866
|
191,804
|
||||||||||||
Total assets
|
282,204
|
876,950
|
52,866
|
1,212,020
|
||||||||||||
Debt
|
159,068
|
764,885
|
-
|
923,953
|
||||||||||||
Other liabilities
|
7,308
|
9,371
|
11,737
|
28,416
|
||||||||||||
Total liabilities
|
166,376
|
774,256
|
11,737
|
952,369
|
||||||||||||
Net assets
|
$
|
115,828
|
$
|
102,694
|
$
|
41,129
|
$
|
259,651
|
||||||||
December 31, 2021
|
||||||||||||||||
Investments
|
$
|
218,727
|
$
|
953,496
|
$
|
-
|
$
|
1,172,223
|
||||||||
Other assets
|
44,506
|
21,611
|
64,522
|
130,639
|
||||||||||||
Total assets
|
263,233
|
975,107
|
64,522
|
1,302,862
|
||||||||||||
Debt
|
145,268
|
865,494
|
-
|
1,010,762
|
||||||||||||
Other liabilities
|
1,847
|
1,411
|
10,026
|
13,284
|
||||||||||||
Total liabilities
|
147,115
|
866,905
|
10,026
|
1,024,046
|
||||||||||||
Net assets
|
$
|
116,118
|
$
|
108,202
|
$
|
54,496
|
$
|
278,816
|
Three Months Ended
March 31, 2022 |
||||
Accumulated other comprehensive gain (loss), December 31, 2021
|
$
|
7,527
|
||
Other comprehensive loss
|
(44,535
|
)
|
||
Accumulated other comprehensive gain (loss), March 31, 2022
|
$
|
(37,008
|
)
|
Three Months Ended
December 31, 2021 |
||||
Accumulated other comprehensive income, September 30, 2021
|
$
|
15,803
|
||
Other comprehensive loss
|
(8,276
|
)
|
||
Accumulated other comprehensive income, December 31, 2021
|
$
|
7,527
|
Three Months Ended
March 31, 2021 |
||||
Accumulated other comprehensive income, December 31, 2020
|
$
|
35,594
|
||
Other comprehensive loss
|
(19,349
|
)
|
||
Accumulated other comprehensive income, March 31, 2021
|
$
|
16,245
|
• |
earnings available for distribution; and
|
• |
earnings available for distribution per average common share.
|
Three Months Ended
|
||||||||||||
March 31, 2022
|
December 31, 2021
|
March 31, 2021 (B)
|
||||||||||
Net Income
|
$
|
28,729
|
$
|
6,705
|
$
|
21,228
|
||||||
Realized loss (gain) on RMBS, net
|
13,222
|
1,479
|
(2,094
|
)
|
||||||||
Realized loss on derivatives, net (A)
|
14,422
|
8,860
|
4,741
|
|||||||||
Realized gain on acquired assets, net
|
(12
|
)
|
-
|
(5
|
)
|
|||||||
Unrealized loss (gain) on derivatives, net
|
(24,456
|
)
|
(8,233
|
)
|
8,059
|
|||||||
Unrealized gain on investments in MSRs, net of estimated MSR amortization
|
(28,011
|
)
|
(947
|
)
|
(30,059
|
)
|
||||||
Tax expense on realized and unrealized gain on MSRs
|
4,937
|
594
|
4,229
|
|||||||||
Total EAD:
|
$
|
8,831
|
$
|
8,458
|
$
|
6,099
|
||||||
EAD attributable to noncontrolling interests in Operating Partnership
|
(195
|
)
|
(160
|
)
|
(125
|
)
|
||||||
Dividends on preferred stock
|
2,463
|
2,463
|
2,463
|
|||||||||
EAD Attributable to Common Stockholders
|
$
|
6,173
|
$
|
5,835
|
$
|
3,511
|
||||||
EAD Attributable to Common Stockholders, per Diluted Share
|
$
|
0.34
|
$
|
0.32
|
$
|
0.21
|
||||||
GAAP Net Income Per Share of Common Stock, per Diluted Share
|
$
|
1.40
|
$
|
0.23
|
$
|
1.07
|
(A)
|
Excludes drop income on TBA dollar rolls of $2.9 million, $3.4 million and $2.7 million and interest rate swap periodic interest income of $915,000, $786,000 and $1.3 million, for the three-month periods ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively, and includes trading expenses of $176,000 for the three-month
period ended March 31, 2021.
|
(B)
|
Commencing with the three-month period ended
December 31, 2021, the Company has enhanced the calculation of unrealized gain (loss) on investments in MSRs used to determine EAD. EAD for the three-month period ended March 31, 2021 has
not been adjusted to reflect the Company's enhanced calculation of unrealized loss (gain) on investments in MSRs, net of estimated MSR amortization. If the enhanced calculation had been applied retroactively to the three-months
ended March 31, 2021, the Company would have reported EAD attributable to common stockholders of $3.9 million and EAD attributable to common stockholders per share of $0.23.
|
Collateral Characteristics
|
||||||||||||||||||||||||||||
Current Carrying Amount
|
Current Principal Balance
|
WA Coupon(A)
|
WA
Servicing
Fee(A)
|
WA
Maturity (months)(A)
|
WA Loan
Age
(months)(A)
|
ARMs %(B)
|
||||||||||||||||||||||
MSRs
|
$
|
246,103
|
$
|
20,441,178
|
3.48
|
%
|
0.25
|
%
|
315
|
26
|
0.1
|
%
|
||||||||||||||||
MSR Total/Weighted Average
|
$
|
246,103
|
$
|
20,441,178
|
3.48
|
%
|
0.25
|
%
|
315
|
26
|
0.1
|
%
|
Collateral Characteristics
|
||||||||||||||||||||||||||||
Current Carrying Amount
|
Current Principal Balance
|
WA Coupon(A)
|
WA
Servicing
Fee(A)
|
WA
Maturity (months)(A)
|
WA Loan
Age
(months)(A)
|
ARMs %(B)
|
||||||||||||||||||||||
MSRs
|
$
|
218,727
|
$
|
20,773,278
|
3.51
|
%
|
0.25
|
%
|
316
|
25
|
0.1
|
%
|
||||||||||||||||
MSR Total/Weighted Average
|
$
|
218,727
|
$
|
20,773,278
|
3.51
|
%
|
0.25
|
%
|
316
|
25
|
0.1
|
%
|
(A) |
Weighted average coupon, servicing fee, maturity and loan age of the underlying residential mortgage loans in the pool are based on the unpaid principal balance.
|
(B) |
ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs.
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face Value |
Book
Value |
Gains
|
Losses
|
Carrying Value(A)
|
Number of Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity (Years)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
678,445
|
$
|
476,781
|
$
|
669
|
$
|
(22,459
|
)
|
$
|
454,991
|
68
|
(B)
|
3.10
|
%
|
2.99
|
%
|
27
|
|||||||||||||||||||
Freddie Mac
|
422,127
|
334,222
|
383
|
(15,483
|
)
|
319,122
|
42
|
(B)
|
3.08
|
%
|
2.97
|
%
|
28
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
1,100,572
|
$
|
811,003
|
$
|
1,052
|
$
|
(37,942
|
)
|
$
|
774,113
|
110
|
3.09
|
%
|
2.98
|
%
|
28
|
Gross Unrealized
|
Weighted Average
|
||||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face Value |
Book
Value |
Gains
|
Losses
|
Carrying Value(A)
|
Number of Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity (Years)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
772,607
|
$
|
554,151
|
$
|
9,276
|
$
|
(3,650
|
)
|
$
|
559,777
|
76
|
(B)
|
3.09
|
%
|
2.96
|
%
|
27
|
|||||||||||||||||||
Freddie Mac
|
484,479
|
391,700
|
5,260
|
(3,241
|
)
|
393,719
|
45
|
(B)
|
3.02
|
%
|
2.89
|
%
|
28
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
1,257,086
|
$
|
945,851
|
$
|
14,536
|
$
|
(6,891
|
)
|
$
|
953,496
|
121
|
3.06
|
%
|
2.93
|
%
|
28
|
(A) |
See “Part I, Item 1. Notes to Consolidated Financial Statements—Note 9. Fair Value” regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Agency RMBS.
|
(C) |
The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
|
March 31, 2022
|
December 31, 2021
|
|||||||
Weighted Average Asset Yield
|
3.77
|
%
|
3.19
|
%
|
||||
Weighted Average Interest Expense
|
0.71
|
%
|
0.73
|
%
|
||||
Net Interest Spread
|
3.06
|
%
|
2.46
|
%
|
Quarter Ended
|
Average Monthly
Amount |
Maximum Month-End
Amount
|
Quarter Ending
Amount |
|||||||||
March 31, 2022
|
$
|
820,270
|
$
|
859,726
|
$
|
764,885
|
||||||
December 31, 2021
|
$
|
830,099
|
$
|
865,494
|
$
|
865,494
|
||||||
September 30, 2021
|
$
|
790,587
|
$
|
821,540
|
$
|
777,416
|
||||||
June 30, 2021
|
$
|
858,269
|
$
|
897,047
|
$
|
897,047
|
||||||
March 31, 2021
|
$
|
1,012,389
|
$
|
1,118,231
|
$
|
934,001
|
||||||
December 31, 2020
|
$
|
1,303,927
|
$
|
1,465,037
|
$
|
1,149,978
|
||||||
September 30, 2020
|
$
|
1,374,041
|
$
|
1,419,991
|
$
|
1,365,471
|
||||||
June 30, 2020
|
$
|
1,286,998
|
$
|
1,395,317
|
$
|
1,395,317
|
RMBS Market Value
|
Repurchase
Agreements
|
Weighted
Average Rate
|
||||||||||
Less than one month
|
$
|
401,150
|
$
|
396,958
|
0.33
|
%
|
||||||
One to three months
|
377,070
|
367,927
|
0.46
|
%
|
||||||||
Total/Weighted Average
|
$
|
778,220
|
$
|
764,885
|
0.39
|
%
|
RMBS Market Value
|
Repurchase
Agreements
|
Weighted
Average Rate
|
||||||||||
Less than one month
|
$
|
297,720
|
$
|
291,007
|
0.13
|
%
|
||||||
One to three months
|
595,168
|
574,487
|
0.14
|
%
|
||||||||
Total/Weighted Average
|
$
|
892,888
|
$
|
865,494
|
0.14
|
%
|
• |
actual results of operations;
|
• |
our level of retained cash flows;
|
• |
our ability to make additional investments in our target assets;
|
• |
restrictions under Maryland law;
|
• |
the terms of our preferred stock;
|
• |
any debt service requirements;
|
• |
our taxable income;
|
• |
the annual distribution requirements under the REIT provisions of the Code; and
|
• |
other factors that our board of directors may deem relevant.
|
Less than
1 year |
1 to 3
years |
3 to 5
years |
More than
5 years |
Total
|
||||||||||||||||
Repurchase agreements
|
||||||||||||||||||||
Borrowings under repurchase agreements
|
$
|
764,885
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
764,885
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
137
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
137
|
||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
65,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
65,000
|
||||||||||
Interest on Freddie Mac MSR Revolver borrowings
|
$
|
1,390
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,390
|
||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
$
|
-
|
$
|
10,150
|
$
|
84,650
|
$
|
-
|
$
|
94,800
|
||||||||||
Interest on Fannie Mae MSR Revolving Facility
|
$
|
3,604
|
$
|
8,247
|
$
|
6,328
|
$
|
-
|
$
|
18,179
|
Less than
1 year |
1 to 3
years |
3 to 5
years |
More than
5 years |
Total
|
||||||||||||||||
Repurchase agreements
|
||||||||||||||||||||
Borrowings under repurchase agreements
|
$
|
865,494
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
865,494
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
135
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
135
|
||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
63,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
63,000
|
||||||||||
Interest on Freddie Mac MSR Revolver borrowings
|
$
|
1,954
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,954
|
||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
$
|
-
|
$
|
7,566
|
$
|
75,434
|
$
|
-
|
$
|
83,000
|
||||||||||
Interest on Fannie Mae MSR Revolving Facility
|
$
|
3,156
|
$
|
6,127
|
$
|
4,941
|
$
|
-
|
$
|
14,224
|
(A) |
Interest expense is calculated based on the interest rate in effect at March 31, 2022 and December 31, 2021, respectively, and includes all interest expense incurred through those dates.
|
Item 3. |
Quantitative and Qualitative Disclosures about Market Risk
|
(20)%
|
|
(10)%
|
|
-%
|
|
10
|
|
20%
|
|
|||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
266,226
|
$
|
255,794
|
$
|
246,103
|
$
|
237,080
|
$
|
228,665
|
||||||||||
Change in FV
|
$
|
20,124
|
$
|
9,692
|
$
|
-
|
$
|
(9,022
|
)
|
$
|
(17,438
|
)
|
||||||||
% Change in FV
|
8
|
%
|
4
|
%
|
-
|
(4
|
)%
|
(7
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
267,481
|
$
|
256,627
|
$
|
246,103
|
$
|
236,163
|
$
|
226,796
|
||||||||||
Change in FV
|
$
|
21,379
|
$
|
10,525
|
$
|
-
|
$
|
(9,940
|
)
|
$
|
(19,306
|
)
|
||||||||
% Change in FV
|
9
|
%
|
4
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
253,441
|
$
|
249,772
|
$
|
246,103
|
$
|
242,433
|
$
|
238,764
|
||||||||||
Change in FV
|
$
|
7,339
|
$
|
3,669
|
$
|
-
|
$
|
(3,669
|
)
|
$
|
(7,339
|
)
|
||||||||
% Change in FV
|
3
|
%
|
1
|
%
|
-
|
(1
|
)%
|
(3
|
)%
|
(20)%
|
|
(10)%
|
|
-%
|
|
10%
|
|
20%
|
|
|||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
233,342
|
$
|
225,813
|
$
|
218,727
|
$
|
212,050
|
$
|
205,749
|
||||||||||
Change in FV
|
$
|
14,614
|
$
|
7,085
|
$
|
-
|
$
|
(6,677
|
)
|
$
|
(12,979
|
)
|
||||||||
% Change in FV
|
7
|
%
|
3
|
%
|
-
|
(3
|
)%
|
(6
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
244,460
|
$
|
231,026
|
$
|
218,727
|
$
|
207,458
|
$
|
197,103
|
||||||||||
Change in FV
|
$
|
25,732
|
$
|
12,298
|
$
|
-
|
$
|
(11,270
|
)
|
$
|
(21,624
|
)
|
||||||||
% Change in FV
|
12
|
%
|
6
|
%
|
-
|
(5
|
)%
|
(10
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
225,480
|
$
|
222,104
|
$
|
218,727
|
$
|
215,351
|
$
|
211,975
|
||||||||||
Change in FV
|
$
|
6,752
|
$
|
3,376
|
$
|
-
|
$
|
(3,376
|
)
|
$
|
(6,752
|
)
|
||||||||
% Change in FV
|
3
|
%
|
2
|
%
|
-
|
(2
|
)%
|
(3
|
)%
|
Fair Value Change
|
||||||||||||||||||||||||
March 31, 2022
|
+25 Bps
|
+50 Bps
|
+75 Bps
|
+100 Bps
|
+150 Bps
|
|||||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps
|
$
|
1,023,612
|
||||||||||||||||||||||
RMBS Total Return (%)
|
(0.17
|
)%
|
(0.41
|
)%
|
(0.71
|
)%
|
(1.06
|
)%
|
(1.89
|
)%
|
||||||||||||||
RMBS Dollar Return
|
$
|
(1,761
|
)
|
$
|
(4,229
|
)
|
$
|
(7,289
|
)
|
$
|
(10,857
|
)
|
$
|
(19,396
|
)
|
Fair Value Change
|
||||||||||||||||||||||||
December 31, 2021
|
+25 Bps
|
+50 Bps
|
+75 Bps
|
+100 Bps
|
+150 Bps
|
|||||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps
|
$
|
1,429,335
|
||||||||||||||||||||||
RMBS Total Return (%)
|
(0.18
|
)%
|
(0.49
|
)%
|
(0.92
|
)%
|
(1.44
|
)%
|
(2.74
|
)%
|
||||||||||||||
RMBS Dollar Return
|
$
|
(2,584
|
)
|
$
|
(7,016
|
)
|
$
|
(13,110
|
)
|
$
|
(20,635
|
)
|
$
|
(39,125
|
)
|
Item 4. |
Controls and Procedures
|
Item 1. |
Legal Proceedings
|
Item 1A. |
Risk Factors
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds
|
Item 3. |
Defaults Upon Senior Securities
|
Item 4. |
Mine Safety Disclosures
|
Item 5. |
Other Information
|
Item 6. |
Exhibits
|
Exhibit
Number
|
|
Description
|
31.1*
|
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
|
|
31.2*
|
|
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
|
|
32.1**
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
32.2**
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
101.INS*
|
|
Inline XBRL Instance Document
|
|
|
|
101.SCH*
|
|
Inline XBRL Taxonomy Extension Schema
|
|
|
|
101.CAL*
|
|
Inline XBRL Taxonomy Extension Calculation Linkbase
|
|
|
|
101.DEF*
|
|
Inline XBRL Taxonomy Definition Linkbase
|
|
|
|
101.LAB*
|
|
Inline XBRL Taxonomy Extension Label Linkbase
|
|
|
|
101.PRE*
|
|
Inline XBRL Taxonomy Extension Presentation Linkbase
|
|
|
|
104*
|
|
Cover Page Interactive Data File - cover page XBRL tags are embedded within the Inline XBRL document
|
|
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
|
|
|
|
|
May 9, 2022
|
By:
|
/s/ Jeffrey Lown II
|
|
Jeffrey Lown II
|
|
|
President and Chief Executive Officer (Principal Executive Officer)
|
|
|
|
|
May 9, 2022
|
By:
|
/s/ Michael Hutchby
|
|
Michael Hutchby
|
|
|
Chief Financial Officer, Treasurer and Secretary (Principal Financial Officer)
|
Exhibit
Number
|
|
Description
|
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
|
|
|
|
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
|
|
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
101.INS*
|
|
Inline XBRL Instance Document
|
|
|
|
101.SCH*
|
|
Inline XBRL Taxonomy Extension Schema
|
|
|
|
101.CAL*
|
|
Inline XBRL Taxonomy Extension Calculation Linkbase
|
|
|
|
101.DEF*
|
|
Inline XBRL Taxonomy Definition Linkbase
|
|
|
|
101.LAB*
|
|
Inline XBRL Taxonomy Extension Label Linkbase
|
|
|
|
101.PRE*
|
|
Inline XBRL Taxonomy Extension Presentation Linkbase
|
|
|
|
104*
|
|
Cover Page Interactive Data File - cover page XBRL tags are embedded within the Inline XBRL document
|
1. |
I have reviewed this Form 10-Q of Cherry Hill Mortgage Investment Corporation;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and
for, the periods presented in this report;
|
4. |
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting
(as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a. |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b. |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c. |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by
this report based on such evaluation; and
|
d. |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially
affect, the registrant’s internal control over financial reporting; and
|
5. |
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors
(or persons performing the equivalent functions):
|
a. |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and
report financial information; and
|
b. |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Jeffrey Lown II
|
|
|
Jeffrey Lown II
|
|
|
President and Chief Executive Officer
|
|
|
(Principal Executive Officer)
|
1. |
I have reviewed this Form 10-Q of Cherry Hill Mortgage Investment Corporation;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which
such statements were made, not misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows
of the registrant as of, and for, the periods presented in this report;
|
4. |
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal
control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a. |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant,
including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b. |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c. |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end
of the period covered by this report based on such evaluation; and
|
d. |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5. |
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the
registrant’s board of directors (or persons performing the equivalent functions):
|
a. |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information; and
|
b. |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Michael Hutchby
|
|
|
Michael Hutchby
|
|
|
Chief Financial Officer, Treasurer and Secretary
(Principal Financial Officer)
|
1. |
the Form 10-Q fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and
|
2. |
the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
By:
|
/s/ Jeffrey Lown II
|
|
|
Jeffrey Lown II
|
|
|
President and Chief Executive Officer
|
|
|
(Principal Executive Officer)
|
1. |
the Form 10-Q fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and
|
2. |
the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
By:
|
/s/ Michael Hutchby
|
|
|
Michael Hutchby
|
|
|
Chief Financial Officer, Treasurer and Secretary
(Principal Financial Officer)
|
Consolidated Statements of Income (Loss) - USD ($) $ in Thousands |
3 Months Ended | |||||
---|---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|||||
Income | ||||||
Interest income | $ 5,519 | $ 3,301 | ||||
Interest expense | 1,640 | 1,454 | ||||
Net interest income | 3,879 | 1,847 | ||||
Servicing fee income | 13,116 | 13,540 | ||||
Servicing costs | 3,193 | 3,082 | ||||
Net servicing income | 9,923 | 10,458 | ||||
Other income (loss) | ||||||
Realized gain (loss) on RMBS, available-for-sale, net | [1] | (13,222) | 2,094 | |||
Realized loss on derivatives, net | (10,638) | (540) | ||||
Realized gain on acquired assets, net | 12 | 5 | ||||
Unrealized gain (loss) on derivatives, net | 24,456 | (8,059) | ||||
Unrealized gain on investments in Servicing Related Assets | 21,731 | 22,464 | ||||
Total Income | 36,141 | 28,269 | ||||
Expenses | ||||||
General and administrative expense | 1,744 | 1,617 | ||||
Management fee to affiliate | 1,793 | 1,961 | ||||
Total Expenses | 3,537 | 3,578 | ||||
Income Before Income Taxes | 32,604 | 24,691 | ||||
Provision for corporate business taxes | [2] | 3,875 | 3,463 | |||
Net Income | 28,729 | 21,228 | ||||
Net income allocated to noncontrolling interests in Operating Partnership | (633) | (434) | ||||
Dividends on preferred stock | 2,463 | 2,463 | ||||
Net Income Applicable to Common Stockholders | $ 25,633 | $ 18,331 | ||||
Net Income Per Share of Common Stock | ||||||
Basic (in dollars per share) | $ 1.40 | $ 1.07 | ||||
Diluted (in dollars per share) | $ 1.40 | $ 1.07 | ||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||
Basic (in shares) | 18,252,523 | 17,065,735 | ||||
Diluted (in shares) | 18,272,737 | 17,087,959 | ||||
|
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|
Consolidated Statements of Comprehensive Income (Loss) [Abstract] | ||
Net income | $ 28,729 | $ 21,228 |
Other comprehensive income (loss): | ||
Unrealized loss on RMBS, available-for-sale, net | (44,535) | (19,349) |
Net other comprehensive loss | (44,535) | (19,349) |
Comprehensive income (loss) | (15,806) | 1,879 |
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership | (348) | 38 |
Dividends on preferred stock | 2,463 | 2,463 |
Comprehensive loss attributable to common stockholders | $ (17,921) | $ (622) |
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands |
Common Stock [Member] |
Preferred Stock [Member] |
Additional Paid-in Capital [Member] |
Accumulated Other Comprehensive Income (Loss) [Member] |
Retained Earnings (Deficit) [Member] |
Non-Controlling Interest in Operating Partnership [Member] |
Total |
Series A Preferred Stock [Member]
Common Stock [Member]
|
Series A Preferred Stock [Member]
Preferred Stock [Member]
|
Series A Preferred Stock [Member]
Additional Paid-in Capital [Member]
|
Series A Preferred Stock [Member]
Accumulated Other Comprehensive Income (Loss) [Member]
|
Series A Preferred Stock [Member]
Retained Earnings (Deficit) [Member]
|
Series A Preferred Stock [Member]
Non-Controlling Interest in Operating Partnership [Member]
|
Series A Preferred Stock [Member] |
Series B Preferred Stock [Member]
Common Stock [Member]
|
Series B Preferred Stock [Member]
Preferred Stock [Member]
|
Series B Preferred Stock [Member]
Additional Paid-in Capital [Member]
|
Series B Preferred Stock [Member]
Accumulated Other Comprehensive Income (Loss) [Member]
|
Series B Preferred Stock [Member]
Retained Earnings (Deficit) [Member]
|
Series B Preferred Stock [Member]
Non-Controlling Interest in Operating Partnership [Member]
|
Series B Preferred Stock [Member] |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning balance at Dec. 31, 2020 | $ 175 | $ 115,379 | $ 300,997 | $ 35,594 | $ (141,980) | $ 2,401 | $ 312,566 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 17,076,858 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 0 | $ 0 | 200 | 0 | 0 | 0 | 200 | ||||||||||||||
Issuance of common stock (in shares) | 16,378 | 0 | |||||||||||||||||||
Conversion of OP units | $ 0 | $ 0 | 0 | 0 | 0 | (147) | (147) | ||||||||||||||
Net Income before dividends on preferred stock | 0 | 0 | 0 | 0 | 20,794 | 434 | 21,228 | ||||||||||||||
Other Comprehensive Loss | 0 | 0 | 0 | (19,349) | 0 | 0 | (19,349) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 241 | 241 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (85) | (85) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,611) | 0 | (4,611) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,432) | $ 0 | $ (1,432) | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,031) | $ 0 | $ (1,031) | |||||||
Ending balance at Mar. 31, 2021 | $ 175 | $ 115,379 | 301,197 | 16,245 | (128,260) | 2,844 | 307,580 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2021 | 17,093,236 | 4,781,635 | |||||||||||||||||||
Beginning balance at Dec. 31, 2020 | $ 175 | $ 115,379 | 300,997 | 35,594 | (141,980) | 2,401 | 312,566 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 17,076,858 | 4,781,635 | |||||||||||||||||||
Ending balance at Dec. 31, 2021 | $ 187 | $ 115,379 | 311,255 | 7,527 | (158,483) | 2,951 | $ 278,816 | ||||||||||||||
Ending balance (in shares) at Dec. 31, 2021 | 18,261,848 | 4,781,635 | 18,261,848 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 5 | $ 0 | 4,099 | 0 | 0 | 0 | $ 4,104 | ||||||||||||||
Issuance of common stock (in shares) | 505,000 | 0 | |||||||||||||||||||
Net Income before dividends on preferred stock | $ 0 | $ 0 | 0 | 0 | 28,096 | 633 | 28,729 | ||||||||||||||
Other Comprehensive Loss | 0 | 0 | 0 | (44,535) | 0 | 0 | (44,535) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 173 | 173 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (91) | (91) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (5,082) | 0 | (5,082) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,432) | $ 0 | $ (1,432) | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,031) | $ 0 | $ (1,031) | |||||||
Ending balance at Mar. 31, 2022 | $ 192 | $ 115,379 | $ 315,354 | $ (37,008) | $ (137,932) | $ 3,666 | $ 259,651 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2022 | 18,766,848 | 4,781,635 | 18,766,848 |
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares |
3 Months Ended | |
---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Common dividends declared (in dollars per share) | $ 0.27 | $ 0.27 |
Series A Preferred Stock [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Preferred dividends declared (in dollars per share) | 0.5125 | 0.5125 |
Series B Preferred Stock [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Preferred dividends declared (in dollars per share) | $ 0.5156 | $ 0.5156 |
Consolidated Statements of Cash Flows - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
Dec. 31, 2021 |
|||
Cash Flows From Operating Activities | |||||
Net income | $ 28,729 | $ 21,228 | |||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||
Realized (gain) loss on RMBS, available-for-sale, net | [1] | 13,222 | (2,094) | ||
Unrealized gain on investments in Servicing Related Assets | (21,731) | (22,464) | |||
Realized gain on acquired assets, net | (12) | (5) | |||
Realized loss on derivatives, net | 10,638 | 540 | |||
Unrealized (gain) loss on derivatives, net | (24,456) | 8,059 | |||
Amortization of premiums on RMBS, available-for-sale | 1,209 | 4,995 | |||
Amortization of deferred financing costs | 0 | 50 | |||
LTIP-OP Unit awards | 173 | 241 | |||
Changes in: | |||||
Receivables and other assets, net | 4,882 | 1,180 | |||
Due to affiliates | 1,742 | 903 | |||
Accrued expenses and other liabilities, net | (633) | 49 | |||
Net cash provided by operating activities | 13,763 | 12,682 | |||
Cash Flows From Investing Activities | |||||
Purchase of RMBS | (211,463) | (22,045) | |||
Principal paydown of RMBS | 35,054 | 81,483 | |||
Proceeds from sale of RMBS | 250,026 | 144,863 | |||
Acquisition of MSRs | (5,645) | (20,295) | |||
Payments for settlement of derivatives | (10,362) | (1,700) | |||
Net cash provided by investing activities | 57,610 | 182,306 | |||
Cash Flows From Financing Activities | |||||
Borrowings under repurchase agreements | 1,496,531 | 1,502,670 | |||
Repayments of repurchase agreements | (1,597,140) | (1,718,647) | |||
Proceeds from derivative financing | 21,390 | (2,974) | |||
Proceeds from bank loans | 13,800 | 5,500 | |||
Dividends paid | (7,391) | (7,063) | |||
LTIP-OP Units distributions paid | (91) | (85) | |||
Conversion of OP units | 0 | (147) | |||
Issuance of common stock, net of offering costs | 4,104 | 200 | |||
Net cash used in financing activities | (68,797) | (220,546) | |||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | 2,576 | (25,558) | |||
Cash, Cash Equivalents and Restricted Cash, Beginning of Period | 76,777 | 130,218 | $ 130,218 | ||
Cash, Cash Equivalents and Restricted Cash, End of Period | 79,353 | 104,660 | $ 76,777 | ||
Supplemental Disclosure of Cash Flow Information | |||||
Cash paid during the period for interest expense | 918 | 172 | |||
Cash paid during the period for income taxes | 2 | 6 | |||
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||||
Dividends declared but not paid | 7,210 | 6,736 | |||
Sale of RMBS, settled after period end | (46,801) | (16,702) | |||
Purchase of RMBS, settled after period end | $ 0 | $ 29,250 | |||
|
Organization and Operations |
3 Months Ended |
---|---|
Mar. 31, 2022 | |
Organization and Operations [Abstract] | |
Organization and Operations |
Note 1 — Organization and Operations
Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”) was incorporated in Maryland on October 31, 2012 and was
organized to invest in residential mortgage assets in the United States. Under the Company’s charter, the Company is authorized to issue up to 500,000,000
shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share.
The accompanying consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership, LP (the “Operating
Partnership”), CHMI Sub-REIT, Inc. (the “Sub-REIT”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), Cherry Hill QRS V, LLC (“QRS V”), CHMI Solutions, Inc. (“CHMI
Solutions”) and Aurora Financial Group, Inc. (“Aurora”).
The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability
company established by Mr. Stanley Middleman. The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage Corporation (“Freedom Mortgage”) (in such capacity, the “Services Provider”), which is owned and
controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7.
The Company has elected to be taxed as a REIT for U.S. federal income tax purposes, commencing with its short taxable year ended December 31, 2013. As long as the Company
continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income
to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes.
Effective January 1, 2020, the Operating Partnership, owned 97.8%
by the Company, contributed substantially all of its assets to the Sub-REIT in exchange for all of the common stock of the Sub-REIT. As a result of this contribution, the Sub-REIT is a wholly-owned subsidiary of the Operating Partnership and
operations formerly conducted by the Operating Partnership through its subsidiaries are now conducted by the Sub-REIT through those same subsidiaries. The Sub-REIT elected to be taxed as a REIT under the Code commencing with the taxable year ended
December 31, 2020.
|
Basis of Presentation and Significant Accounting Policies |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Basis of Presentation and Significant Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies |
Note 2 — Basis of Presentation and Significant Accounting Policies
Basis of Accounting
The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted
accounting principles (“GAAP”) for financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The consolidated financial statements include the accounts of the Company and its consolidated
subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing
decisions of the entity. The consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the periods presented herein.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of
the fair value of Servicing Related Assets, RMBS and derivatives, estimates of credit losses and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered
by, the consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective. Actual results could differ from the Company’s estimates, and the differences
may be material.
Risks and Uncertainties
In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the
Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of
investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks
involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels,
and the availability of financing.
The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in
any taxable year, the Company would be subject to U.S. federal income tax on its REIT income, which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for
the four taxable years following the year during which qualification is lost.
The COVID-19 pandemic continues to create substantial uncertainty for government policy makers and
the Federal Reserve Board with consequent effects of the economy in the United States. While the economy has largely reopened, the increased presence of highly contagious variants of the virus has exacerbated supply chain issues that arose during the
shutdown of various economies. Certain forbearance programs and prohibitions on foreclosures have been extended while others have expired adding to the concern of the consequences once all such programs end. As of March 31, 2022, 1.3% of borrowers on loans underlying the MSRs owned by Aurora are reflected as being in an active forbearance program, with 10.6% of those borrowers continuing to make their regular scheduled monthly payment. The Company continues to maintain an elevated level of unrestricted
cash due to the continuing uncertainty regarding government policy and the economy. Based on information currently available to the Company, the Company continues to believe that it will be able to satisfy all of its servicing obligations for the
next twelve months.
Investments in RMBS
Classification – The Company
classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of
its portfolio. Available-for-sale securities are carried at fair value.
Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other
applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected
life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.
Investment securities transactions are recorded on the trade date. At disposition, the net realized
gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. RMBS with a fair value of $46.8
million were sold during the three-month period ended March 31, 2022 and were settled after period end. All RMBS purchased and sold during the year ended December 31, 2021 were settled prior to year-end.
Revenue Recognition – Interest income from coupon payments is accrued based on the
outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are amortized and accreted, respectively, into interest income over the projected lives of the securities using
the effective interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for
actual prepayment activity. We recognized interest receivable of approximately $2.1 million and $2.3 million at March 31, 2022 and December 31, 2021, respectively. Interest income receivable has been classified within “Receivables and other assets” on the consolidated
balance sheets. For further discussion of Receivables and other assets, see Note 13.
Impairment – When the fair
value of a security is less than its amortized cost basis as of the balance sheet date, the security’s cost basis is considered impaired. If the Company determines that it intends to sell the security or it is more likely than not that it will be
required to sell before recovery, the Company recognizes the difference between the fair value and amortized cost as a loss in the consolidated statements of income (loss). If the Company determines it does not intend to sell the security or it
is not more likely than not it will be required to sell the security before recovery, the Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit
related factors. In its assessment of whether a credit loss exists, the Company performs a qualitative assessment around whether a credit loss exists and if necessary, it compares the present value of estimated future cash flows of the impaired
security with the amortized cost basis of such security. The estimated future cash flows reflect those that a “market participant” would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default
rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to
accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in provision for credit losses on securities in the consolidated
statements of income (loss).
Investments in MSRs
Classification – MSRs represent the contractual right to service mortgage loans. The Company
has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this
election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value of its MSRs in net income as described below.
Although transactions in
MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs are reported on the consolidated
statements of income (loss). Fluctuations in the fair value of MSRs are recorded within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). Fair value is generally determined by
discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs in accordance
with ASC 820, management uses internally developed pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. The Company’s application of ASC 820
guidance is discussed in further detail in Note 9.
Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing
mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and are recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as
incurred. Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of income (loss). Float income from custodial accounts associated with MSRs of $192,000 and $230,000 for the three-month periods ended March 31,
2022 and March 31, 2021, respectively, is included in “Net interest income” on the consolidated statements of income (loss). Late fees and ancillary income of $494,000 and $321,000 for the three-month periods ended March 31, 2022 and March 31, 2021, respectively,
are included in “Servicing fee income” on the consolidated statements of income (loss).
As an owner of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans underlying the MSRs, but not
yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Reimbursable servicing advances, other than principal and interest
advances, also have been classified within “Receivables and other assets” on the consolidated balance sheets. Advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in
accordance with the relevant guidelines are generally recoverable. The Company’s servicing related assets were composed entirely of Fannie Mae and Freddie Mac MSRs as of March 31, 2022 and December 31, 2021. As a result, the Company has determined
that no reserves for unrecoverable advances for the related underlying loans are necessary at March 31, 2022 and December 31, 2021.
For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.
Derivatives and Hedging Activities
Derivative transactions include swaps, swaptions, U.S. treasury futures and “to-be-announced” securities (“TBAs”). A TBA contract is an agreement to purchase or sell, for
future delivery, an Agency RMBS with a specified issuer, term and coupon. Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and U.S. treasury futures are used to manage duration risk as well
as basis risk and pricing risk on the Company’s financing facilities for MSRs. The decision as to whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved
and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and
anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally,
derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.
From time to time, the Company enters into a TBA dollar roll which represents a transaction where TBA contracts with the same terms but different settlement dates are
simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. The drop is a reflection of the expected
net interest income from an investment in similar Agency RMBS, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current
settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period.
Accordingly, drop income on TBA dollar rolls generally represents the economic equivalent of the net interest income earned on the underlying Agency RMBS less an implied financing cost. TBA dollar roll transactions are accounted for under GAAP as
a series of derivatives transactions.
The Company’s bi-lateral derivative financial instruments contain credit risk to the extent that its counterparties may be unable to meet the terms of the agreements. The
Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps and U.S. treasury futures
are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.
Classification – All derivatives, including TBAs, are recognized as either assets or
liabilities on the consolidated balance sheets and measured at fair value. The fair value of TBA derivatives is determined using methods similar to those used to value Agency RMBS. Due to the nature of these instruments, they may be in a
receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of
the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable
by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset
exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.
Revenue Recognition – With respect to derivatives that have not been designated as hedges,
any payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized gain (loss) on derivatives, net” and “Unrealized gain (loss) on derivatives, net” in the consolidated statements of income
(loss). Interest rate swap periodic interest income (expense) is included in “Realized loss on derivatives, net” in the consolidated statements of income (loss).
Cash and Cash Equivalents and Restricted Cash
The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on
deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $0 and $664,000 at March 31, 2022 and December 31, 2021,
respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $27.0 million and $12.2 million at March 31, 2022 and December 31, 2021, respectively).
The Company’s centrally cleared interest rate swaps require that the Company post an “initial margin” amount determined by the clearing exchange, which is generally
intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the
exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. The Company has accounted for the receipt or
payment of variation margin on interest rate swaps as a direct reduction or increase to the carrying value of the interest rate swap asset or liability. At March 31, 2022 and December 31, 2021, approximately $64.3 million and $45.6 million,
respectively, of variation margin was reported as a decrease to the interest rate swap asset, at fair value.
Due to Manager
The sum under “Due to manager” on the consolidated balance sheets represents amounts due to the Manager
pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.
Income Taxes
The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its
short taxable year ended December 31, 2013. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains,
and that it pay tax at regular corporate income tax rates to the extent that it annually distributes less than 100% of its taxable income. The Company’s TRS, CHMI Solutions, as well as CHMI Solutions’ wholly-owned subsidiary, Aurora, are subject to
U.S. federal income taxes on their taxable income. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold,
income it may generate and its stockholder composition. In 2017, the Internal Revenue Service issued a revenue procedure permitting “publicly offered” REITs to make elective stock dividends (i.e., dividends paid in a mixture of stock and cash),
with at least 20% of the total distribution being paid in cash, to satisfy their REIT distribution requirements. In December 2021, the Internal Revenue Service issued a revenue procedure that temporarily reduces the minimum amount of the total
distribution that must be paid in cash to 10% for distributions declared on or after November 1, 2021, and on or before June 30, 2022, provided certain other parameters detailed in the Revenue Procedure are satisfied. Pursuant to these revenue
procedures, the Company has in the past elected to make distributions of its taxable income in a mixture of stock and cash.
The Company accounts for income taxes in accordance with ASC 740, Income Taxes.
ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income
tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or
settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any
material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the
provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.
Realized Gain (Loss) on RMBS
The following table presents realized gains and losses on RMBS for the periods indicated (dollars in thousands):
Repurchase Agreements and Interest Expense
The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. Borrowings under the repurchase agreements are generally
short-term debt due within one year. These borrowings generally bear interest rates offered by the “lending” counterparty from time to time for the term of the proposed repurchase transaction (e.g. 30 days, 60 days etc.) of a specified margin over
one-month LIBOR. The repurchase agreements represent uncommitted financing. Borrowings under these agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective
agreements. Interest is recorded at the contractual amount on an accrual basis.
Dividends Payable
Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form
of quarterly dividend payments. The Company accrues the dividend payable on outstanding shares on the accounting date, which causes an offsetting reduction in retained earnings.
Comprehensive Income
Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding
those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income (loss), as presented in the consolidated statements of income (loss), adjusted for unrealized gains or losses on
RMBS, which are designated as available for sale.
Recent Accounting Pronouncements
Reference Rate Reform - In March
2020, the FASB issued ASU 2020-04, Reference Rate Reform, which provides optional expedients and exceptions for applying generally accepted accounting principles to contracts, hedging relationships, and
other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be
discontinued because of reference rate reform. While the Company currently does not have any hedging relationships, the Company’s debt facilities incorporate LIBOR as the reference rate. Certain of these facilities mature prior to the phase out of
LIBOR while others have provisions in place that provide for an alternative to LIBOR upon its phase out. If a facility is silent on a fall back, the transition will be governed by market approaches prevailing at the time. The ASU was effective
immediately for all entities and expires after December 31, 2022. The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures.
Changes in Presentation
Certain prior period amounts have been reclassified to conform to current period presentation.
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Segment Reporting |
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Segment Reporting |
Note 3 — Segment Reporting
The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other,” which
consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (see Note 7). For segment reporting purposes,
the Company does not allocate interest income on short-term investments or general and administrative expenses.
Summary financial data with respect to the Company’s segments is given below, together with the data for the Company as a whole (dollars in thousands):
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Investments in RMBS |
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Investments in RMBS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS |
Note 4 — Investments in RMBS
At March 31, 2022, the Company’s investments in RMBS consist solely of Agency RMBS. The Company’s investments in RMBS may also include, from time to time, any of the
following: CMOs, which are either loss share securities issued by Fannie Mae or Freddie Mac; or non-Agency RMBS, sometimes called “private label MBS,” which are structured debt instruments representing interests in specified pools of mortgage loans
subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles and different ratings by one or more nationally recognized statistical rating organizations. All of the Company’s RMBS are
classified as available-for-sale and are, therefore, reported at fair value. Beginning on January 1, 2020, upon the adoption of ASU 2016-13, Financial Instruments-Credit Losses, credit related impairment, if
any, is included in provision (reversal) for credit losses on securities in the consolidated statements of income (loss). All other changes in fair value are recorded in other comprehensive income (loss).
The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in
thousands):
Summary of RMBS Assets
As of March 31, 2022
As of December 31, 2021
Summary of RMBS Assets by Maturity
As of March 31, 2022
As of December 31, 2021
At March 31, 2022 and December 31, 2021, the Company pledged Agency RMBS with a carrying value of approximately $731.3 million and $892.9 million, respectively, as collateral for
borrowings under repurchase agreements. At March 31, 2022 and December 31, 2021, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.
Based on management’s analysis of the Company’s securities, the performance of the underlying loans and changes in market factors, management determined that unrealized
losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. The Company performed analyses in relation to such securities, using management’s
best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding periods. Such market factors include changes in market interest rates and credit spreads and
certain macroeconomic events, none of which will directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those
securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to
value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this
analysis for investments in RMBS that are not guaranteed by U.S. government agencies or U.S. government sponsored enterprises. All of the Company’s investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored
enterprises.
Both credit related and non-credit related unrealized losses on securities that the Company (i) intends to sell, or (ii) will more likely than not be required to sell
before recovering their cost basis, are recognized in earnings. The Company did not record an allowance for credit losses on the balance sheet at March 31, 2022 and December 31, 2021, or any impairment charges in earnings during the three-month
periods ended March 31, 2022 and March 31, 2021.
The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):
RMBS Unrealized Loss Positions
As of March 31, 2022
As of December 31, 2021
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Investments in Servicing Related Assets |
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Investments in Servicing Related Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Servicing Related Assets |
Note 5 — Investments in Servicing Related Assets
Aurora’s portfolio of Servicing Related Assets consists of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately $20.4 billion as of March 31, 2022.
The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands):
Servicing Related Assets Summary
As of March 31, 2022
As of December 31, 2021
The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the
Servicing Related Assets as of the dates indicated:
Geographic Concentration of Servicing Related Assets
As of March 31, 2022
As of December 31, 2021
Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company
holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets.
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Equity and Earnings per Common Share |
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Equity and Earnings per Common Share |
Note 6 — Equity and Earnings per Common Share
Common and Preferred Stock
On October 9, 2013, the Company completed an initial
public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement.
The Company’s 8.20% Series A Cumulative Redeemable
Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”) ranks senior to the Company’s common stock with respect to
rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will
remain outstanding indefinitely unless repurchased or redeemed by the Company or converted by the holders of the Series A Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series A Preferred Stock is
not redeemable by the Company prior to August 17, 2022, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and
after August 17, 2022, the Company may, at its option, redeem the Series A Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the
Series A Preferred Stock upon certain changes in control, the holders of the Series A Preferred Stock have the right to convert some or all of their shares of Series A Preferred Stock into a number of shares of the Company’s common stock based on a
defined formula, subject to a share cap, or alternative consideration. The share cap on each share of Series A Preferred Stock is 2.62881
shares of common stock, subject to certain adjustments. The Company pays cumulative cash dividends at the rate of 8.20% per annum of the
$25.00 per share liquidation preference (equivalent to $2.05 per annum per share) on the Series A Preferred Stock, in arrears, on or about the 15th day of January, April, July and October of each year.
The Company’s 8.250% Series B Fixed-to-Floating Rate
Cumulative Redeemable Stock, par value $0.01 per share (the “Series B Preferred Stock”) ranks senior to the Company’s common stock with
respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up, and on parity with the Company’s Series A Preferred Stock with respect to rights to the payment of dividends and
the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless
repurchased or redeemed by the Company or converted by the holders of the Series B Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series B Preferred Stock is not redeemable by the Company prior to
April 15, 2024, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and after April 15, 2024, the Company may,
at its option, redeem the Series B Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00
per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the Series B Preferred Stock upon certain changes in control, the holders of the Series
B Preferred Stock have the right to convert some or all of their shares of Series B Preferred Stock into a number of shares of the Company’s common stock based on a defined formula, subject to a share cap, or alternative consideration. The share
cap on each share of Series B Preferred Stock is 2.68962 shares of common stock, subject to certain adjustments. Holders of Series B
Preferred Stock will be entitled to receive cumulative cash dividends (i) from and including February 11, 2019 to, but excluding, April 15, 2024 at a fixed rate equal to 8.250% per annum of the $25.00 per share liquidation preference
(equivalent to $2.0625 per annum per share) and (ii) from and including April 15, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.631%
per annum. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October, when and as authorized by the Company’s board of directors and declared by the Company.
Common Stock ATM Program
In August 2018, the Company instituted an at-the-market offering program (the “Common Stock ATM
Program”) of up to $50.0 million of its common stock, of which, approximately $16.0 million was remaining as of March 31, 2022. Under the Common Stock ATM Program, the Company may, but is not obligated to, sell shares of common stock from time to time through one or
more selling agents. The Common Stock ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the three-month period ended March 31, 2022 the Company issued and sold 505,000 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $8.19 per share for gross proceeds of approximately $4.1
million before fees of approximately $83,000. During the year ended December 31, 2021, the Company issued and sold 1,148,398 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $8.88 per share for gross proceeds of approximately $10.2
million before fees of approximately $200,000.
Preferred Stock ATM Program
In April 2018, the Company
instituted an at-the-market offering program (the “Preferred Series A ATM Program”) of up to $35.0 million of its Series A Preferred Stock. Under the Preferred Series A ATM Program, the Company may, but is not obligated to, sell shares of Series A Preferred Stock from time to time through one
or more selling agents. The Preferred Series A ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the three-month period ended March 31, 2022 and the year ended December 31, 2021, the Company did not issue any shares of Series A Preferred Stock under the Preferred Series A ATM
Program.
Share Repurchase Program
In September 2019, the Company instituted a share repurchase program that allows for the repurchase of up to
an aggregate of $10.0 million of the Company’s common
stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Exchange Act or by any combination of such
methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares,
and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three-month period ended March 31, 2022 and the year ended December 31, 2021, the Company did not repurchase any shares under the share repurchase program.
Equity Incentive Plan
During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (the “2013 Plan”). The
2013 Plan provides for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units
(“LTIP-OP Units”) of the Operating Partnership.
LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of
services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions;
however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership’s net income or loss. Under the terms of the LTIP-OP Units, the Operating
Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of
LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units
will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all
the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the
Company’s common stock under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis.
An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net
income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied in cash, or at
the Company’s option, the Company may purchase the OP Units for common stock, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for
each LTIP-OP Unit. When an LTIP-OP Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased.
LTIP-OP Units vest ratably over the first
annual
anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the applicable grant date in all other cases.The following table sets forth the number of shares of the Company’s common stock as well as LTIP-OP Units
and the values thereof (based on the closing prices on the respective dates of grant) granted under the 2013 Plan. Except as otherwise indicated, all shares are fully vested.
Equity Incentive Plan Information
The Company recognized approximately $225,000 and $294,000 in share-based compensation expense in the three-month periods ended March 31, 2022 and March 31, 2021, respectively. There was approximately $862,000 of total unrecognized share-based compensation expense as of March 31, 2022, which was related to unvested LTIP-OP Units and directors
compensation paid in stock subject to forfeiture. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated statements of income
(loss).
Non-Controlling Interests in Operating Partnership
Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to LTIP-OP Units and OP Units issued upon conversion
of LTIP-OP Units, in either case, held by parties other than the Company.
As of March 31, 2022, the non-controlling interest holders in the Operating Partnership owned 402,857 LTIP-OP Units, or approximately 2.2% of the units of the
Operating Partnership. Pursuant to ASC 810, Consolidation, changes in a parent’s ownership interest (and transactions with non-controlling interest unit
holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the non-controlling interest will be adjusted to reflect the change in
its ownership interest in the subsidiary, with the offset to equity attributable to the Company.
Earnings per Common Share
The Company is required to present both basic and diluted earnings per common share (“EPS”). Basic EPS is calculated by dividing net income applicable to common
stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income applicable to common stockholders by the weighted average number of shares of common stock
outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share, if there is a
loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares.
The following table presents basic and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):
Earnings per Common Share Information
There were no participating securities or equity
instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented.
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Transactions with Related Parties |
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties |
Note 7 — Transactions with Related Parties
Manager
The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations.
The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. Pursuant to the Management Agreement, the Manager, under the
supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and
managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement). The term of the Management Agreement expires on October
22, 2022 and will be automatically renewed for a one-year term on such date and on each anniversary of such date thereafter unless
terminated or not renewed as described below. Either the Company or the Manager may elect not to renew the Management Agreement upon expiration of its initial term or any renewal term by providing written notice of non-renewal at least 180 days, but not more than 270 days,
before expiration. No such written notice of non-renewal was provided in 2021. In the event the Company elects not to renew the term, the Company will be required to pay the Manager a termination fee equal to three times the average annual
management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the non-renewal. The Company may terminate the Management Agreement at any time for cause
effective upon 30 days prior written notice of termination from the Company to the Manager, in which case no termination fee would be
due. The Company’s board of directors will review the Manager’s performance prior to the automatic renewal of the Management Agreement and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of the Company’s
board of directors or of the holders of a majority of the Company’s outstanding common stock, the Company may terminate the Management Agreement based upon unsatisfactory performance by the Manager that is materially detrimental to the Company or a
determination by the Company’s independent directors that the management fees payable to the Manager are not fair, subject to the right of the Manager to prevent such a termination by agreeing to a reduction of the management fees payable to the
Manager. Upon any termination of the Management Agreement based on unsatisfactory performance or unfair management fees, the Company would be required to pay the Manager the termination fee described above. The Manager may terminate the Management
Agreement in the event that the Company becomes regulated as an investment company under the Investment Company Act of 1940, as amended, in which case the Company would not be required to pay the termination fee described above. The Manager may
also terminate the Management Agreement upon 60 days’ written notice if the Company defaults in the performance of any material term of
the Management Agreement and the default continues for a period of 30 days after written notice to the Company, whereupon the Company
would be required to pay the Manager the termination fee described above.
The Manager is a party to the Services Agreement with the Services Provider, pursuant to which the Services Provider provides to the Manager personnel and payroll and
benefits administration services as needed by the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a
non-exclusive remedy, a direct right of action against the Services Provider in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by the
Services Provider of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement.
The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the
Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and the Services Provider were controlled by Mr. Stanley Middleman. In 2016, ownership of the Manager was
transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.
The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the
Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) an agreed upon portion of the compensation paid to specified
officers of the Company. The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands):
Management Fees and Compensation Reimbursement to Manager
Subservicing Agreements
In August 2020, Freedom Mortgage acquired RoundPoint Mortgage Servicing Corporation (“RoundPoint”), one of Aurora’s subservicers and a seller of Fannie Mae and Freddie
Mac MSRs pursuant to a flow purchase agreement with Aurora. The subservicing agreement with RoundPoint had an initial term of two years
and is subject to automatic renewal for additional terms equal to the initial term unless either party chooses not to renew. The subservicing agreement may be terminated without cause by either party by giving notice as specified in the agreement.
If the agreement is not renewed by Aurora or terminated by Aurora without cause, de-boarding fees will be due to the subservicer. Under the subservicing agreement, the sub-servicer agrees to service the applicable mortgage loans in accordance with
applicable law. During the three-month periods ended March 31, 2022 and March 31, 2021, Aurora paid RoundPoint $1.7 million and $1.3 million, respectively, in servicing costs. Aurora had servicing receivables of $4.1 million and $493,000 from RoundPoint as of March 31, 2022 and December 31,
2021, respectively. The flow purchase agreement provides that RoundPoint may offer, and Aurora may purchase mortgage servicing rights from time to time on loans originated through RoundPoint’s network of loan sellers. RoundPoint’s sellers sell the
loans to Fannie Mae or Freddie Mac and sell the mortgage servicing rights to RoundPoint which sells the MSR to Aurora. RoundPoint then subservices the loans for Aurora pursuant to the subservicing agreement.
During the three-month periods ended March 31, 2022 and March 31, 2021, Aurora purchased MSRs with an aggregate UPB of approximately $57.0 million and $1.8 billion,
respectively from RoundPoint pursuant to the flow agreement for purchase prices of $650,000 and $14.0 million, respectively.
Joint Marketing Recapture Agreements
In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint, one of Aurora’s subservicers and since August 2020, a wholly-owned subsidiary of
Freedom Mortgage. Pursuant to this agreement, RoundPoint attempts to refinance certain mortgage loans underlying Aurora’s MSR portfolio subserviced by RoundPoint as directed by Aurora. If a loan is refinanced, Freedom Mortgage will sell the loan to
Fannie Mae or Freddie Mac, as applicable, retain the sale proceeds and transfer the related MSR to Aurora. The agreement continues in effect while the subservicing agreement remains in effect.
Other Transactions with Related Parties
Aurora leases three employees from Freedom Mortgage and
reimburses Freedom Mortgage on a monthly basis.
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Derivative Instruments |
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Derivative Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments |
Note 8 — Derivative Instruments
Interest Rate Swap Agreements, Swaptions, TBAs and U.S. Treasury Futures
In order to help mitigate exposure to higher short-term interest rates in connection with borrowings under its repurchase agreements, the Company enters into interest rate
swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the
related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate
swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying
hedging instruments for GAAP purposes.
In order to help mitigate duration risk and manage basis risk and the pricing risk under the Company’s financing facilities, the Company utilizes U.S. treasury futures and
forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms
and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. Unless otherwise indicated, references to U.S. treasury futures include options on U.S.
treasury futures.
The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):
The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):
The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):
The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars
in thousands):
As March 31, 2022
As of December 31, 2021
The following tables present information about the Company’s U.S. treasury futures agreements as of the dates
indicated (dollars in thousands):
As of March 31, 2022
As of December 31,
2021
The
following table presents information about the Company’s U.S. treasury futures options agreements as of the dates indicated (dollars in thousands):
As
of March 31, 2022
As
of December 31, 2021
The following table presents information about realized gain (loss) on derivatives, which is included on the
consolidated statements of income (loss) for the periods indicated (dollars in thousands):
Realized Gains (Losses) on Derivatives
Offsetting Assets and Liabilities
The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swaps and
Derivatives Association and the Securities Industry and Financial Markets Association. Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and
report the net amount. The Company presents interest rate swaps, swaptions and U.S. treasury futures assets and liabilities on a gross basis in its consolidated balance sheets, but in the case of interest rate swaps, net of variation margin. The
Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements.
However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets.
The following tables present information about the Company’s assets and liabilities that are subject to master
netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):
Offsetting Assets and Liabilities
As of March 31, 2022
As of December 31, 2021
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Fair Value |
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Fair Value [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value |
Note 9 – Fair Value
Fair Value Measurements
ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at
the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop
those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820
requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring the fair value of a liability.
ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based
on the lowest level of significant input to its valuation. Following is a description of the three levels:
Recurring Fair Value Measurements
The following is a description of the methods used to estimate the fair values of the Company’s assets and liabilities measured at fair value on a recurring basis, as
well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company’s valuations consider assumptions that it believes a market participant would consider in valuing the assets and
liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected
relevant market conditions.
RMBS
The Company holds a portfolio of RMBS that are classified as available for sale
and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers develop their pricing based on
transaction prices of recent trades for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs.
As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at March 31, 2022 and December 31, 2021.
MSRs
The Company, through its subsidiary Aurora, holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted
cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount
rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value
assets at March 31, 2022 and December 31, 2021.
Derivative Instruments
The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest
rate swaps, swaptions, TBAs and U.S. treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. The third-party pricing providers develop their pricing based on transaction prices of recent trades
for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs. As a result, the Company classified
100% of its derivative instruments as Level 2 fair value assets and liabilities at March 31, 2022 and December 31, 2021.
Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the
Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting
thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps and U.S. treasury futures are required to be cleared on an exchange, which further mitigates, but does not
eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.
The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).
Recurring Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application
of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of March 31, 2022 and December 31, 2021, the Company did not have any assets or liabilities measured at fair value on a
nonrecurring basis in the periods presented.
Level 3 Assets and Liabilities
The valuation of Level 3 assets and liabilities requires significant judgment by management. The Company estimates the fair value of its Servicing Related Assets based on
internal pricing models rather than quotations and compares the results of these internal models against the results from models generated by third-party pricing providers. The third-party pricing providers and management rely on inputs such as
market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3
instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party
pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on
pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is
reasonable.
Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair
values. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or
estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of March 31, 2022 and December 31, 2021 and do not take into consideration the effects of subsequent changes in
market or other factors.
The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates
indicated (dollars in thousands):
Level 3 Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified
as Level 3 fair value assets as of the dates indicated (dollars in thousands):
Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
Fair Value of Financial Assets and Liabilities
In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the
consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments.
Corporate debt that matures in more than one year consists solely of financing secured by Aurora’s Servicing Related Assets. All of the Company’s debt is revolving and
bears interest at adjustable rates. The Company considers that the amount of the corporate debt generally approximates fair value.
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Commitments and Contingencies |
3 Months Ended |
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Mar. 31, 2022 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies |
Note 10 — Commitments and Contingencies
The commitments and contingencies of the Company as of March 31, 2022 and December 31, 2021 are described below.
Management Agreement
The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in
the Management Agreement as of the end of such fiscal quarter. The Manager relies on the Services Provider to provide the Manager with the necessary resources and personnel to conduct the Company’s operations. For further discussion regarding the
management fee, see Note 7.
Legal and Regulatory
From time to time, the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary
course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower
than the amounts established for those claims. The Company has established immaterial reserves for these possible matters. Based on information currently available, management is not aware of any legal or regulatory claims that would have a
material effect on the Company’s consolidated financial statements.
Commitments to Purchase/Sell RMBS
As of March 31, 2022 and December 31, 2021, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward Agency RMBS
trades, whereby the Company committed to purchasing or selling a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not
yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date.
As of March 31, 2022 and December 31, 2021, the Company was not
obligated to purchase or sell any RMBS securities.
Acknowledgment Agreements
In connection with the Fannie Mae MSR Financing Facility (as defined below in Note 12), entered into by Aurora and QRS III, those parties also entered into an
acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security
interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the Fannie Mae MSR Financing Facility and the financing facility it replaced.
In connection with the Freddie Mac MSR Revolver (as defined below in Note 12), Aurora, QRS V, and the lender, with a limited joinder by the Company, entered into an
acknowledgement agreement with Freddie Mac pursuant to which Freddie Mac consented to the pledge of the Freddie Mac MSRs securing the Freddie Mac MSR Revolver. Aurora and the lender also entered into a consent agreement with Freddie Mac pursuant to
which Freddie Mac consented to the pledge of Aurora’s rights to reimbursement for advances on the underlying loans. See Note 12—Notes Payable for a description of the Freddie Mac MSR Revolver.
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Repurchase Agreements |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements |
Note 11 – Repurchase Agreements
The Company had outstanding approximately $764.9 million
and $865.5 million of borrowings under its repurchase agreements as of March 31, 2022 and December 31, 2021, respectively. The Company’s
obligations under these agreements had weighted average remaining maturities of 33 days and 38 days as of March 31, 2022 and December 31, 2021. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4).
The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):
Repurchase Agreements Characteristics
As of March 31, 2022
As of December 31, 2021
There were no overnight or demand securities as of
March 31, 2022 or December 31, 2021.
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Notes Payable |
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Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable |
Note 12 – Notes Payable
As of March 31, 2022, the Company had two separate MSR financing facilities: (i) the Freddie Mac MSR Revolver, which is revolving credit facility for up to $100.0 million that is secured by all Freddie Mac MSRs owned by Aurora; and (ii) the Fannie Mae MSR Revolving Facility, which is a revolving credit facility for up to $150.0 million, that is secured by all Fannie Mae MSRs owned by Aurora. Both financing facilities are available for MSRs as well as certain servicing
related advances associated with MSRs.
Freddie Mac MSR Revolver. In July
2018, the Company, Aurora and QRS V (collectively with Aurora and the Company, the “Borrowers”) entered into a $25.0 million revolving
credit facility (the “Freddie Mac MSR Revolver”) pursuant to which Aurora pledged all of its existing and future MSRs on loans owned or securitized by Freddie Mac. The term of the Freddie Mac MSR Revolver is 364 days with the Borrowers’ option for two renewals for similar terms followed by a one-year term out feature with a 24-month amortization schedule. The Freddie Mac MSR Revolver was upsized to $45.0 million in September 2018. The Company also has the ability to request up to an additional $5.0 million of borrowings. On April 2, 2019, Aurora and QRS V entered into an amendment that increased the maximum amount of the Freddie Mac MSR Revolver to $100.0 million. In July 2021, the Borrowers entered into an amendment to the Freddie Mac MSR Revolver that extended the revolving period for an
additional 364 days with the option for two more renewals of 364 days each. At the end of the revolving period, the
outstanding amount will be converted to a one-year term loan. Amounts borrowed bear interest at an adjustable rate equal to a spread
above one-month LIBOR. At March 31, 2022 and December 31, 2021, approximately $65.0 million and $63.0 million, respectively, was outstanding under the
Freddie Mac MSR Revolver.
Fannie Mae MSR Revolving Facility. In
October 2021, Aurora and QRS III entered into a loan and security agreement (the “Fannie Mae MSR Revolving Facility”), to replace the Prior Fannie Mae MSR Financing Facility. Under the Fannie Mae MSR Revolving Facility, Aurora and QRS III pledged
their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The maximum credit amount outstanding at any one time under the Fannie Mae MSR Revolving
Facility is $150.0 million. The revolving period is 24 months which may be extended by agreement with the lender. During the revolving period, borrowings bear interest at a rate equal to a spread over one-month LIBOR subject to a floor. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan that will bear interest at a rate calculated at a spread over the rate for one-year interest rate swaps. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Revolving Facility. At March 31, 2022 and December 31, 2021,
approximately $94.8 million and $83.0
million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.
As noted above, the Fannie Mae MSR Revolving Facility replaced the Prior Fannie
Mae MSR Financing Facility. In September 2019, Aurora and QRS III entered into a loan and security agreement (the “Prior Fannie Mae MSR Financing Facility”). Under the Prior Fannie Mae MSR Facility, Aurora and QRS III pledged their respective
rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The maximum credit amount outstanding at any one time under the facility was $200 million, of which $100 million was
committed. Borrowings bore interest at a rate equal to a spread over one-month LIBOR subject to a floor. This facility was terminated
and replaced in October 2021 with the Fannie Mae MSR Revolving Facility (as defined and discussed above). As a result, there was no outstanding balance under the Prior Fannie Mae MSR Financing Facility at March 31, 2022 and December 31, 2021.
The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):
Notes Payable Repayment Characteristics
As of March 31, 2022
As of December 31, 2021
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Receivables and Other Assets |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets |
Note 13 – Receivables and Other Assets
The assets comprising “Receivables and other assets” as of March 31, 2022 and December 31, 2021 are summarized in the following table (dollars in thousands):
Receivables and Other Assets
The Company only records as an asset those servicing advances that the Company deems recoverable.
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Accrued Expenses and Other Liabilities |
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Accrued Expenses and Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||
Accrued Expenses and Other Liabilities |
Note 14 – Accrued Expenses and Other Liabilities
The liabilities comprising “Accrued expenses and other liabilities” as of March 31, 2022 and December 31, 2021 are summarized in the following table (dollars in
thousands):
Accrued Expenses and Other Liabilities
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Income Taxes |
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Income Taxes [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes |
Note 15 – Income Taxes
The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company
generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder
composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within
the next year as permitted by the Code.
Effective January 1, 2014, CHMI Solutions elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded
entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of the Sub-REIT to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its
wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation.
The state and local tax jurisdictions for which the Company is subject to tax filing obligations recognize the Company’s status as a REIT, and therefore, the Company
generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes.
The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):
The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):
The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in
thousands):
In assessing the realizability of deferred tax
assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income
during the periods in which temporary differences become deductible. The Company’s net operating losses (“NOLs”) of $46.7 million were
created subsequent to 2017 and can be carried forward indefinitely pursuant to the Tax Cuts and Jobs Act passed on December 22, 2017 (“2017 Tax Act”). As of March 31, 2022, the Company believes it is more likely than not that it will fully
realize its deferred tax assets. Deferred tax assets are included in “Receivables and other assets” in the consolidated balance sheets.
Based on the Company’s evaluation, the Company has concluded that there are no
significant liabilities for unrecognized tax benefits required to be reported in the Company’s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these
consolidated financial statements.
The Company’s 2020, 2019 and 2018 federal, state and local income tax returns
remain open for examination by the relevant authorities.
Distributions to stockholders generally will be primarily taxable as ordinary
income, although a portion of such distributions may be designated as qualified dividend income or may constitute a return of capital. The Company furnishes annually to each stockholder a statement setting forth distributions paid during the
preceding year and their U.S. federal income tax treatment.
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Subsequent Events |
3 Months Ended |
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Mar. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events |
Note 16 – Subsequent Events
Events subsequent to March 31, 2022 were evaluated and no additional events were identified requiring further disclosure in the consolidated financial statements.
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Basis of Presentation and Significant Accounting Policies (Policies) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Basis of Presentation and Significant Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting |
Basis of Accounting
The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted
accounting principles (“GAAP”) for financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The consolidated financial statements include the accounts of the Company and its consolidated
subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing
decisions of the entity. The consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the periods presented herein.
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Use of Estimates |
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of
the fair value of Servicing Related Assets, RMBS and derivatives, estimates of credit losses and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered
by, the consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective. Actual results could differ from the Company’s estimates, and the differences
may be material.
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Risks and Uncertainties |
Risks and Uncertainties
In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the
Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of
investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks
involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels,
and the availability of financing.
The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in
any taxable year, the Company would be subject to U.S. federal income tax on its REIT income, which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for
the four taxable years following the year during which qualification is lost.
The COVID-19 pandemic continues to create substantial uncertainty for government policy makers and
the Federal Reserve Board with consequent effects of the economy in the United States. While the economy has largely reopened, the increased presence of highly contagious variants of the virus has exacerbated supply chain issues that arose during the
shutdown of various economies. Certain forbearance programs and prohibitions on foreclosures have been extended while others have expired adding to the concern of the consequences once all such programs end. As of March 31, 2022, 1.3% of borrowers on loans underlying the MSRs owned by Aurora are reflected as being in an active forbearance program, with 10.6% of those borrowers continuing to make their regular scheduled monthly payment. The Company continues to maintain an elevated level of unrestricted
cash due to the continuing uncertainty regarding government policy and the economy. Based on information currently available to the Company, the Company continues to believe that it will be able to satisfy all of its servicing obligations for the
next twelve months.
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Investments in RMBS |
Investments in RMBS
Classification – The Company
classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of
its portfolio. Available-for-sale securities are carried at fair value.
Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other
applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected
life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.
Investment securities transactions are recorded on the trade date. At disposition, the net realized
gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. RMBS with a fair value of $46.8
million were sold during the three-month period ended March 31, 2022 and were settled after period end. All RMBS purchased and sold during the year ended December 31, 2021 were settled prior to year-end.
Revenue Recognition – Interest income from coupon payments is accrued based on the
outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are amortized and accreted, respectively, into interest income over the projected lives of the securities using
the effective interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for
actual prepayment activity. We recognized interest receivable of approximately $2.1 million and $2.3 million at March 31, 2022 and December 31, 2021, respectively. Interest income receivable has been classified within “Receivables and other assets” on the consolidated
balance sheets. For further discussion of Receivables and other assets, see Note 13.
Impairment – When the fair
value of a security is less than its amortized cost basis as of the balance sheet date, the security’s cost basis is considered impaired. If the Company determines that it intends to sell the security or it is more likely than not that it will be
required to sell before recovery, the Company recognizes the difference between the fair value and amortized cost as a loss in the consolidated statements of income (loss). If the Company determines it does not intend to sell the security or it
is not more likely than not it will be required to sell the security before recovery, the Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit
related factors. In its assessment of whether a credit loss exists, the Company performs a qualitative assessment around whether a credit loss exists and if necessary, it compares the present value of estimated future cash flows of the impaired
security with the amortized cost basis of such security. The estimated future cash flows reflect those that a “market participant” would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default
rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to
accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in provision for credit losses on securities in the consolidated
statements of income (loss).
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Investments in MSRs |
Investments in MSRs
Classification – MSRs represent the contractual right to service mortgage loans. The Company
has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this
election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value of its MSRs in net income as described below.
Although transactions in
MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs are reported on the consolidated
statements of income (loss). Fluctuations in the fair value of MSRs are recorded within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). Fair value is generally determined by
discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs in accordance
with ASC 820, management uses internally developed pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. The Company’s application of ASC 820
guidance is discussed in further detail in Note 9.
Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing
mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and are recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as
incurred. Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of income (loss). Float income from custodial accounts associated with MSRs of $192,000 and $230,000 for the three-month periods ended March 31,
2022 and March 31, 2021, respectively, is included in “Net interest income” on the consolidated statements of income (loss). Late fees and ancillary income of $494,000 and $321,000 for the three-month periods ended March 31, 2022 and March 31, 2021, respectively,
are included in “Servicing fee income” on the consolidated statements of income (loss).
As an owner of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans underlying the MSRs, but not
yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Reimbursable servicing advances, other than principal and interest
advances, also have been classified within “Receivables and other assets” on the consolidated balance sheets. Advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in
accordance with the relevant guidelines are generally recoverable. The Company’s servicing related assets were composed entirely of Fannie Mae and Freddie Mac MSRs as of March 31, 2022 and December 31, 2021. As a result, the Company has determined
that no reserves for unrecoverable advances for the related underlying loans are necessary at March 31, 2022 and December 31, 2021.
For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.
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Derivatives and Hedging Activities |
Derivatives and Hedging Activities
Derivative transactions include swaps, swaptions, U.S. treasury futures and “to-be-announced” securities (“TBAs”). A TBA contract is an agreement to purchase or sell, for
future delivery, an Agency RMBS with a specified issuer, term and coupon. Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and U.S. treasury futures are used to manage duration risk as well
as basis risk and pricing risk on the Company’s financing facilities for MSRs. The decision as to whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved
and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and
anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally,
derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.
From time to time, the Company enters into a TBA dollar roll which represents a transaction where TBA contracts with the same terms but different settlement dates are
simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. The drop is a reflection of the expected
net interest income from an investment in similar Agency RMBS, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current
settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period.
Accordingly, drop income on TBA dollar rolls generally represents the economic equivalent of the net interest income earned on the underlying Agency RMBS less an implied financing cost. TBA dollar roll transactions are accounted for under GAAP as
a series of derivatives transactions.
The Company’s bi-lateral derivative financial instruments contain credit risk to the extent that its counterparties may be unable to meet the terms of the agreements. The
Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps and U.S. treasury futures
are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.
Classification – All derivatives, including TBAs, are recognized as either assets or
liabilities on the consolidated balance sheets and measured at fair value. The fair value of TBA derivatives is determined using methods similar to those used to value Agency RMBS. Due to the nature of these instruments, they may be in a
receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of
the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable
by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset
exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.
Revenue Recognition – With respect to derivatives that have not been designated as hedges,
any payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized gain (loss) on derivatives, net” and “Unrealized gain (loss) on derivatives, net” in the consolidated statements of income
(loss). Interest rate swap periodic interest income (expense) is included in “Realized loss on derivatives, net” in the consolidated statements of income (loss).
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Cash and Cash Equivalents and Restricted Cash |
Cash and Cash Equivalents and Restricted Cash
The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on
deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $0 and $664,000 at March 31, 2022 and December 31, 2021,
respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $27.0 million and $12.2 million at March 31, 2022 and December 31, 2021, respectively).
The Company’s centrally cleared interest rate swaps require that the Company post an “initial margin” amount determined by the clearing exchange, which is generally
intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the
exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. The Company has accounted for the receipt or
payment of variation margin on interest rate swaps as a direct reduction or increase to the carrying value of the interest rate swap asset or liability. At March 31, 2022 and December 31, 2021, approximately $64.3 million and $45.6 million,
respectively, of variation margin was reported as a decrease to the interest rate swap asset, at fair value.
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Due to Manager |
Due to Manager
The sum under “Due to manager” on the consolidated balance sheets represents amounts due to the Manager
pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.
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Income Taxes |
Income Taxes
The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its
short taxable year ended December 31, 2013. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains,
and that it pay tax at regular corporate income tax rates to the extent that it annually distributes less than 100% of its taxable income. The Company’s TRS, CHMI Solutions, as well as CHMI Solutions’ wholly-owned subsidiary, Aurora, are subject to
U.S. federal income taxes on their taxable income. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold,
income it may generate and its stockholder composition. In 2017, the Internal Revenue Service issued a revenue procedure permitting “publicly offered” REITs to make elective stock dividends (i.e., dividends paid in a mixture of stock and cash),
with at least 20% of the total distribution being paid in cash, to satisfy their REIT distribution requirements. In December 2021, the Internal Revenue Service issued a revenue procedure that temporarily reduces the minimum amount of the total
distribution that must be paid in cash to 10% for distributions declared on or after November 1, 2021, and on or before June 30, 2022, provided certain other parameters detailed in the Revenue Procedure are satisfied. Pursuant to these revenue
procedures, the Company has in the past elected to make distributions of its taxable income in a mixture of stock and cash.
The Company accounts for income taxes in accordance with ASC 740, Income Taxes.
ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income
tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or
settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any
material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the
provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.
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Realized Gain (Loss) on RMBS |
Realized Gain (Loss) on RMBS
The following table presents realized gains and losses on RMBS for the periods indicated (dollars in thousands):
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Repurchase Agreements and Interest Expense |
Repurchase Agreements and Interest Expense
The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. Borrowings under the repurchase agreements are generally
short-term debt due within one year. These borrowings generally bear interest rates offered by the “lending” counterparty from time to time for the term of the proposed repurchase transaction (e.g. 30 days, 60 days etc.) of a specified margin over
one-month LIBOR. The repurchase agreements represent uncommitted financing. Borrowings under these agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective
agreements. Interest is recorded at the contractual amount on an accrual basis.
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Dividends Payable |
Dividends Payable
Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form
of quarterly dividend payments. The Company accrues the dividend payable on outstanding shares on the accounting date, which causes an offsetting reduction in retained earnings.
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Comprehensive Income |
Comprehensive Income
Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding
those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income (loss), as presented in the consolidated statements of income (loss), adjusted for unrealized gains or losses on
RMBS, which are designated as available for sale.
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Recent Accounting Pronouncements |
Recent Accounting Pronouncements
Reference Rate Reform - In March
2020, the FASB issued ASU 2020-04, Reference Rate Reform, which provides optional expedients and exceptions for applying generally accepted accounting principles to contracts, hedging relationships, and
other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be
discontinued because of reference rate reform. While the Company currently does not have any hedging relationships, the Company’s debt facilities incorporate LIBOR as the reference rate. Certain of these facilities mature prior to the phase out of
LIBOR while others have provisions in place that provide for an alternative to LIBOR upon its phase out. If a facility is silent on a fall back, the transition will be governed by market approaches prevailing at the time. The ASU was effective
immediately for all entities and expires after December 31, 2022. The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures.
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Changes in Presentation |
Changes in Presentation
Certain prior period amounts have been reclassified to conform to current period presentation.
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Basis of Presentation and Significant Accounting Policies (Tables) |
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Basis of Presentation and Significant Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized Gain (Loss) on RMBS |
The following table presents realized gains and losses on RMBS for the periods indicated (dollars in thousands):
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Segment Reporting (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Data on CHMI's Segments with Reconciliation |
Summary financial data with respect to the Company’s segments is given below, together with the data for the Company as a whole (dollars in thousands):
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Investments in RMBS (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of RMBS Investments |
The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in
thousands):
Summary of RMBS Assets
As of March 31, 2022
As of December 31, 2021
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Summary of RMBS Investments by Maturity |
Summary of RMBS Assets by Maturity
As of March 31, 2022
As of December 31, 2021
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Summary of RMBS Securities in an Unrealized Loss Position |
The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):
RMBS Unrealized Loss Positions
As of March 31, 2022
As of December 31, 2021
|
Investments in Servicing Related Assets (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Servicing Related Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Servicing Related Assets |
The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands):
Servicing Related Assets Summary
As of March 31, 2022
As of December 31, 2021
|
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Geographic Concentration of Servicing Related Assets |
The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the
Servicing Related Assets as of the dates indicated:
Geographic Concentration of Servicing Related Assets
As of March 31, 2022
As of December 31, 2021
|
Equity and Earnings per Common Share (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity and Earnings per Common Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Information about Company's 2013 Plan |
The following table sets forth the number of shares of the Company’s common stock as well as LTIP-OP Units
and the values thereof (based on the closing prices on the respective dates of grant) granted under the 2013 Plan. Except as otherwise indicated, all shares are fully vested.
Equity Incentive Plan Information
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Basic Earnings per Share of Common Stock |
The following table presents basic and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):
Earnings per Common Share Information
|
Transactions with Related Parties (Tables) |
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
Management Fees and Compensation Reimbursement to Manager |
The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the
Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) an agreed upon portion of the compensation paid to specified
officers of the Company. The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands):
Management Fees and Compensation Reimbursement to Manager
|
Derivative Instruments (Tables) |
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Notional Amounts of Derivative Instruments |
The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):
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Information about Company's Interest Rate Swap Agreements |
The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):
|
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Information about Company's Interest Rate Swaption Agreements |
The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):
|
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Information of TBA Derivatives |
The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars
in thousands):
As March 31, 2022
As of December 31, 2021
|
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Information of U.S. Treasury Futures Agreements |
The following tables present information about the Company’s U.S. treasury futures agreements as of the dates
indicated (dollars in thousands):
As of March 31, 2022
As of December 31,
2021
The
following table presents information about the Company’s U.S. treasury futures options agreements as of the dates indicated (dollars in thousands):
As
of March 31, 2022
As
of December 31, 2021
|
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Realized Gain (Loss) Related to Derivatives |
The following table presents information about realized gain (loss) on derivatives, which is included on the
consolidated statements of income (loss) for the periods indicated (dollars in thousands):
Realized Gains (Losses) on Derivatives
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Assets |
The following tables present information about the Company’s assets and liabilities that are subject to master
netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):
Offsetting Assets and Liabilities
As of March 31, 2022
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Liabilities |
The following tables present information about the Company’s assets and liabilities that are subject to master
netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):
Offsetting Assets and Liabilities
As of March 31, 2022
|
Fair Value (Tables) |
3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Company's Assets and Liabilities Measured at Fair Value on Recurring Basis |
The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).
Recurring Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis |
The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates
indicated (dollars in thousands):
Level 3 Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
|
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Significant Unobservable Inputs Used in Fair Value Measurement |
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified
as Level 3 fair value assets as of the dates indicated (dollars in thousands):
Fair Value Measurements
As of March 31, 2022
As of December 31, 2021
|
Repurchase Agreements (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements Remaining Maturities and Weighted Average Rates |
The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):
Repurchase Agreements Characteristics
As of March 31, 2022
As of December 31, 2021
|
Notes Payable (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Notes Payable Remaining Maturities |
The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):
Notes Payable Repayment Characteristics
As of March 31, 2022
As of December 31, 2021
|
Receivables and Other Assets (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets |
The assets comprising “Receivables and other assets” as of March 31, 2022 and December 31, 2021 are summarized in the following table (dollars in thousands):
Receivables and Other Assets
|
Accrued Expenses and Other Liabilities (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||
Accrued Expenses and Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||
Accrued Expenses and Other Liabilities |
The liabilities comprising “Accrued expenses and other liabilities” as of March 31, 2022 and December 31, 2021 are summarized in the following table (dollars in
thousands):
Accrued Expenses and Other Liabilities
|
Income Taxes (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Tax Expense (Benefit) |
The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Statutory Federal Rate to Effective Rate |
The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes Recoverable and Deferred Tax Assets |
The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in
thousands):
|
Organization and Operations (Details) - $ / shares |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Class of Stock Disclosures [Abstract] | ||
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Operating Partnership [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Ownership percentage | 97.80% | |
Series A Preferred Stock [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Basis of Presentation and Significant Accounting Policies (Details) - USD ($) |
3 Months Ended | ||||
---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
Dec. 31, 2021 |
|||
Risks and Uncertainties [Abstract] | |||||
Percentage of active forbearance loan borrowers | 1.30% | ||||
Percentage of active forbearance loan borrowers paying monthly payment | 10.60% | ||||
Investments in RMBS [Abstract] | |||||
Sale of RMBS, settled after period end | $ (46,801,000) | $ (16,702,000) | |||
Investments in MSRs [Abstract] | |||||
Net interest income | 3,879,000 | 1,847,000 | |||
Servicing fee income | 13,116,000 | 13,540,000 | |||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | 26,974,000 | $ 12,861,000 | |||
Variation margin | 64,300,000 | 45,600,000 | |||
Realized gain (loss) on RMBS, net [Abstract] | |||||
Gain on RMBS | 50,000 | 2,664,000 | |||
Loss on RMBS | (13,272,000) | (570,000) | |||
Net realized gain (loss) on RMBS | [1] | (13,222,000) | 2,094,000 | ||
MSRs [Member] | |||||
Investments in MSRs [Abstract] | |||||
Net interest income | 192,000 | 230,000 | |||
Servicing fee income | 494,000 | $ 321,000 | |||
Reserves for unrecoverable advances | 0 | 0 | |||
Derivatives [Member] | |||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | 0 | 664,000 | |||
Repurchase Agreements [Member] | |||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | 27,000,000.0 | 12,200,000 | |||
Receivables and Other Assets [Member] | RMBS [Member] | |||||
Investments in RMBS [Abstract] | |||||
Income receivable | $ 2,100,000 | $ 2,300,000 | |||
|
Segment Reporting (Details) - USD ($) $ in Thousands |
3 Months Ended | ||||
---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
Dec. 31, 2021 |
|||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | $ 5,519 | $ 3,301 | |||
Interest expense | 1,640 | 1,454 | |||
Net interest income (expense) | 3,879 | 1,847 | |||
Servicing fee income | 13,116 | 13,540 | |||
Servicing costs | 3,193 | 3,082 | |||
Net servicing income | 9,923 | 10,458 | |||
Other income (expense) | 22,339 | 15,964 | |||
Other operating expenses | 3,537 | 3,578 | |||
Provision for corporate business taxes | [1] | 3,875 | 3,463 | ||
Net Income | 28,729 | 21,228 | |||
Investments | 1,020,216 | $ 1,172,223 | |||
Other assets | 191,804 | 130,639 | |||
Total Assets | 1,212,020 | 1,302,862 | |||
Debt | 923,953 | 1,010,762 | |||
Other liabilities | 28,416 | 13,284 | |||
Total Liabilities | 952,369 | 1,024,046 | |||
Net assets | 259,651 | 278,816 | |||
Servicing Related Assets [Member] | Operating Segments [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 0 | 120 | |||
Interest expense | 1,253 | 932 | |||
Net interest income (expense) | (1,253) | (812) | |||
Servicing fee income | 13,116 | 13,540 | |||
Servicing costs | 3,193 | 3,082 | |||
Net servicing income | 9,923 | 10,458 | |||
Other income (expense) | (3,366) | (4,762) | |||
Other operating expenses | 522 | 566 | |||
Provision for corporate business taxes | 3,875 | 3,463 | |||
Net Income | 907 | 855 | |||
Investments | 246,103 | 218,727 | |||
Other assets | 36,101 | 44,506 | |||
Total Assets | 282,204 | 263,233 | |||
Debt | 159,068 | 145,268 | |||
Other liabilities | 7,308 | 1,847 | |||
Total Liabilities | 166,376 | 147,115 | |||
Net assets | 115,828 | 116,118 | |||
RMBS [Member] | Operating Segments [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 5,519 | 3,181 | |||
Interest expense | 387 | 522 | |||
Net interest income (expense) | 5,132 | 2,659 | |||
Servicing fee income | 0 | 0 | |||
Servicing costs | 0 | 0 | |||
Net servicing income | 0 | 0 | |||
Other income (expense) | 25,705 | 20,726 | |||
Other operating expenses | 228 | 171 | |||
Provision for corporate business taxes | 0 | 0 | |||
Net Income | 30,609 | 23,214 | |||
Investments | 774,113 | 953,496 | |||
Other assets | 102,837 | 21,611 | |||
Total Assets | 876,950 | 975,107 | |||
Debt | 764,885 | 865,494 | |||
Other liabilities | 9,371 | 1,411 | |||
Total Liabilities | 774,256 | 866,905 | |||
Net assets | 102,694 | 108,202 | |||
All Other [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 0 | 0 | |||
Interest expense | 0 | 0 | |||
Net interest income (expense) | 0 | 0 | |||
Servicing fee income | 0 | 0 | |||
Servicing costs | 0 | 0 | |||
Net servicing income | 0 | 0 | |||
Other income (expense) | 0 | 0 | |||
Other operating expenses | 2,787 | 2,841 | |||
Provision for corporate business taxes | 0 | 0 | |||
Net Income | (2,787) | $ (2,841) | |||
Investments | 0 | 0 | |||
Other assets | 52,866 | 64,522 | |||
Total Assets | 52,866 | 64,522 | |||
Debt | 0 | 0 | |||
Other liabilities | 11,737 | 10,026 | |||
Total Liabilities | 11,737 | 10,026 | |||
Net assets | $ 41,129 | $ 54,496 | |||
|
Investments in RMBS, Summary (Details) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Mar. 31, 2022
USD ($)
Security
|
Dec. 31, 2021
USD ($)
Security
|
|||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Carrying value | $ 774,113 | $ 953,496 | ||||||
Carrying value of collateral for repurchase agreements | 731,271 | 892,888 | ||||||
RMBS [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | 1,100,572 | 1,257,086 | ||||||
Book value | 811,003 | 945,851 | ||||||
Gross unrealized gains | 1,052 | 14,536 | ||||||
Gross unrealized losses | (37,942) | (6,891) | ||||||
Carrying value | [1] | $ 774,113 | $ 953,496 | |||||
Number of securities | Security | 110 | 121 | ||||||
Weighted average coupon | 3.09% | 3.06% | ||||||
Weighted average yield | [2] | 2.98% | 2.93% | |||||
Weighted average maturity | 28 years | 28 years | ||||||
Carrying value of collateral for repurchase agreements | $ 731,300 | $ 892,900 | ||||||
Fannie Mae [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | 678,445 | 772,607 | ||||||
Book value | 476,781 | 554,151 | ||||||
Gross unrealized gains | 669 | 9,276 | ||||||
Gross unrealized losses | (22,459) | (3,650) | ||||||
Carrying value | [1],[3] | $ 454,991 | $ 559,777 | |||||
Number of securities | Security | 68 | 76 | ||||||
Weighted average coupon | 3.10% | 3.09% | ||||||
Weighted average yield | [2] | 2.99% | 2.96% | |||||
Weighted average maturity | 27 years | 27 years | ||||||
Freddie Mac [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | $ 422,127 | $ 484,479 | ||||||
Book value | 334,222 | 391,700 | ||||||
Gross unrealized gains | 383 | 5,260 | ||||||
Gross unrealized losses | (15,483) | (3,241) | ||||||
Carrying value | [1],[3] | $ 319,122 | $ 393,719 | |||||
Number of securities | Security | 42 | 45 | ||||||
Weighted average coupon | 3.08% | 3.02% | ||||||
Weighted average yield | [2] | 2.97% | 2.89% | |||||
Weighted average maturity | 28 years | 28 years | ||||||
|
Investments in RMBS, Assets by Maturity (Details) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Mar. 31, 2022
USD ($)
Security
|
Dec. 31, 2021
USD ($)
Security
|
|||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Carrying value | $ 774,113 | $ 953,496 | ||||||
RMBS [Member] | ||||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Original face value | 1,100,572 | 1,257,086 | ||||||
Book value | 811,003 | 945,851 | ||||||
Gross unrealized gains | 1,052 | 14,536 | ||||||
Gross unrealized losses | (37,942) | (6,891) | ||||||
Carrying value | [1] | $ 774,113 | $ 953,496 | |||||
Number of securities | Security | 110 | 121 | ||||||
Weighted average coupon | 3.09% | 3.06% | ||||||
Weighted average yield | [2] | 2.98% | 2.93% | |||||
Weighted average maturity | 28 years | 28 years | ||||||
RMBS [Member] | Over 10 Years [Member] | ||||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Original face value | $ 1,100,572 | $ 1,257,086 | ||||||
Book value | 811,003 | 945,851 | ||||||
Gross unrealized gains | 1,052 | 14,536 | ||||||
Gross unrealized losses | (37,942) | (6,891) | ||||||
Carrying value | [1],[3] | $ 774,113 | $ 953,496 | |||||
Number of securities | Security | 110 | 121 | ||||||
Weighted average coupon | 3.09% | 3.06% | ||||||
Weighted average yield | [2] | 2.98% | 2.93% | |||||
Weighted average maturity | 28 years | 28 years | ||||||
|
Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Mar. 31, 2022
USD ($)
Security
|
Dec. 31, 2021
USD ($)
Security
|
|||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Carrying value | $ 774,113 | $ 953,496 | ||||||
RMBS [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | 1,100,572 | 1,257,086 | ||||||
Book value | 811,003 | 945,851 | ||||||
Gross unrealized losses | (37,942) | (6,891) | ||||||
Carrying value | [1] | $ 774,113 | $ 953,496 | |||||
Number of securities | Security | 110 | 121 | ||||||
Weighted average coupon | 3.09% | 3.06% | ||||||
Weighted average yield | [2] | 2.98% | 2.93% | |||||
Weighted average maturity | 28 years | 28 years | ||||||
RMBS [Member] | Unrealized Loss Positions [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | $ 833,308 | $ 619,176 | ||||||
Book value | 704,077 | 617,328 | ||||||
Gross unrealized losses | (37,942) | (6,891) | ||||||
Carrying value | [1] | $ 666,135 | $ 610,437 | |||||
Number of securities | Security | 78 | 57 | ||||||
Weighted average coupon | 2.97% | 2.77% | ||||||
Weighted average yield | [2] | 2.85% | 2.62% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
RMBS [Member] | Less than Twelve Months [Member] | Unrealized Loss Positions [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | $ 833,308 | $ 612,547 | ||||||
Book value | 704,077 | 611,306 | ||||||
Gross unrealized losses | (37,942) | (6,783) | ||||||
Carrying value | [1],[3] | $ 666,135 | $ 604,523 | |||||
Number of securities | Security | 78 | 56 | ||||||
Weighted average coupon | 2.97% | 2.76% | ||||||
Weighted average yield | [2] | 2.85% | 2.62% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
RMBS [Member] | Twelve or More Months [Member] | Unrealized Loss Positions [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | $ 6,629 | |||||||
Book value | 6,022 | |||||||
Gross unrealized losses | (108) | |||||||
Carrying value | [1],[3] | $ 5,914 | ||||||
Number of securities | Security | 1 | |||||||
Weighted average coupon | 3.00% | |||||||
Weighted average yield | [2] | 2.83% | ||||||
Weighted average maturity | 28 years | |||||||
|
Investments in Servicing Related Assets, Portfolio of Servicing Related Assets (Details) $ in Billions |
Mar. 31, 2022
USD ($)
|
---|---|
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | |
Mortgage Loans on Real Estate [Abstract] | |
Aggregate unpaid principal balance | $ 20.4 |
Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|||||
Servicing Asset [Abstract] | ||||||
Unpaid principal balance | $ 20,441,178 | $ 20,773,278 | ||||
Carrying value | [1] | $ 246,103 | $ 218,727 | |||
Weighted average coupon | 3.48% | 3.51% | ||||
Weighted average maturity | [2] | 26 years 2 months 12 days | 26 years 3 months 18 days | |||
Year to date changes in fair value recorded in other income (loss) | $ 21,731 | $ (11,062) | ||||
Mortgage Servicing Rights (MSRs) [Member] | ||||||
Servicing Asset [Abstract] | ||||||
Unpaid principal balance | 20,441,178 | 20,773,278 | ||||
Carrying value | [1] | $ 246,103 | $ 218,727 | |||
Weighted average coupon | 3.48% | 3.51% | ||||
Weighted average maturity | [2] | 26 years 2 months 12 days | 26 years 3 months 18 days | |||
Year to date changes in fair value recorded in other income (loss) | $ 21,731 | $ (11,062) | ||||
|
Investments in Servicing Related Assets, Geographic Concentration (Details) |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 100.00% | 100.00% |
California [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 14.10% | 13.80% |
Virginia [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 9.20% | 9.30% |
New York [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 8.80% | 8.80% |
Maryland [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 6.90% | 6.90% |
Texas [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 6.20% | 6.20% |
North Carolina [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 5.60% | 5.60% |
All Other [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 49.20% | 49.40% |
Equity and Earnings per Common Share, Common and Preferred Stock (Details) - $ / shares |
3 Months Ended | |
---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|
Class of Stock Disclosures [Abstract] | ||
Date of conducting IPO and concurrent private placement of common stock | Oct. 09, 2013 | |
Series A Preferred Stock [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Preferred stock dividend rate | 8.20% | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Cash redemption price (in dollars per share) | $ 25.00 | |
Shares issued upon conversion, preferred stock (in shares) | 2.62881 | |
Percentage of cash dividends rate | 8.20% | |
Liquidation preference per share (in dollars per share) | $ 25.00 | |
Cumulative cash dividends (in dollars per share) | 2.05 | |
Series B Preferred Stock [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Preferred stock, par value (in dollars per share) | 0.01 | $ 0.01 |
Cash redemption price (in dollars per share) | $ 25.00 | |
Shares issued upon conversion, preferred stock (in shares) | 2.68962 | |
Percentage of offering of fixed-to-floating rate cumulative redeemable stock | 8.25% | |
Series B Preferred Stock [Member] | LIBOR [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Shares issued upon conversion, preferred stock (in shares) | 2.0625 | |
Liquidation preference per share (in dollars per share) | $ 25.00 | |
Percentage of offering of fixed-to-floating rate cumulative redeemable stock | 8.25% | |
Term of floating rate | 3 months | |
Basis spread on variable rate | 5.631% |
Equity and Earnings per Common Share, Common Stock and Preferred Stock ATM Program and Share Repurchase Program (Details) - USD ($) |
1 Months Ended | 3 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Aug. 31, 2018 |
Apr. 30, 2018 |
Mar. 31, 2022 |
Mar. 31, 2021 |
Dec. 31, 2021 |
|
Class of Stock Disclosures [Abstract] | |||||
Issuance of common stock, net of offering costs | $ 4,104,000 | $ 200,000 | |||
Series A Preferred Stock [Member] | Preferred Stock ATM Program [Member] | |||||
Class of Stock Disclosures [Abstract] | |||||
Issuance of common stock (in shares) | 0 | 0 | |||
Preferred stock value authorized | $ 35,000,000.0 | ||||
Common Stock [Member] | |||||
Class of Stock Disclosures [Abstract] | |||||
Issuance of common stock (in shares) | 505,000 | 16,378 | |||
Share Repurchase Program [Abstract] | |||||
Share repurchase program, authorized amount | $ 10,000,000.0 | ||||
Number of shares repurchased (in shares) | 0 | 0 | |||
Common Stock [Member] | Common Stock ATM Program [Member] | |||||
Class of Stock Disclosures [Abstract] | |||||
Common stock value authorized | $ 50,000,000.0 | ||||
Common stock value remaining | $ 16,000,000.0 | ||||
Issuance of common stock (in shares) | 505,000 | 1,148,398 | |||
Weighted average price (in dollars per share) | $ 8.19 | $ 8.88 | |||
Issuance of common stock, net of offering costs | $ 4,100,000 | $ 10,200,000 | |||
Stock issuance fee | $ 83,000 | $ 200,000 |
Equity and Earnings per Common Share, Equity Incentive Plan (Details) - USD ($) |
3 Months Ended | |||||
---|---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|||||
Equity Incentive Plan Information [Abstract] | ||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) | 1,012,239 | 1,082,253 | ||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (68,250) | |||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) | 943,989 | 1,032,453 | ||||
Weighted Average Issuance Price (in dollars per share) | $ 8.40 | |||||
January 4, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (49,800) | |||||
Weighted Average Issuance Price (in dollars per share) | $ 8.81 | |||||
January 29, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | 0 | |||||
Weighted Average Issuance Price (in dollars per share) | $ 9.00 | |||||
LTIP-OP Units [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
LTIP-OP unit vesting period | 3 years | |||||
LTIP-OP Units, Beginning Balance (in shares) | (391,647) | (341,847) | ||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | [1] | (68,250) | ||||
LTIP-OP Units, Ending Balance (in shares) | (459,897) | (391,647) | ||||
LTIP-OP Units Forfeited, Beginning Balance (in shares) | 916 | 916 | ||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Forfeited, Ending Balance (in shares) | 916 | 916 | ||||
LTIP-OP Units Converted, Beginning Balance (in shares) | 44,795 | 28,417 | ||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Converted, Ending Balance (in shares) | 44,795 | 44,795 | ||||
LTIP-OP Units Redeemed, Beginning Balance (in shares) | 9,054 | 0 | ||||
LTIP-OP Units Redeemed, Ending Balance (in shares) | 0 | |||||
Share-based compensation expense recognized | $ 225,000 | $ 294,000 | ||||
Unrecognized share-based compensation expense | $ 862,000 | |||||
LTIP-OP Units [Member] | January 4, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | [2] | (49,800) | ||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units [Member] | January 29, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 16,378 | |||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
LTIP-OP Units [Member] | Maximum [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Period of recognition of unrecognized share-based compensation expense | 3 years | |||||
Common Stock [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Shares of Common Stock Issued, Beginning Balance (in shares) | (144,980) | (108,388) | ||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
Shares of Common Stock Issued, Ending Balance (in shares) | (144,980) | (124,766) | ||||
Shares of Common Stock Forfeited, Beginning Balance (in shares) | 3,155 | 3,155 | ||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
Shares of Common Stock Forfeited, Ending Balance (in shares) | 3,155 | 3,155 | ||||
Common Stock [Member] | January 4, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
Common Stock [Member] | January 29, 2021 [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | (16,378) | |||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | |||||
2013 Plan [Member] | LTIP-OP Units [Member] | ||||||
Equity Incentive Plan Information [Abstract] | ||||||
Number of share equivalent to unit awarded (in shares) | 1 | |||||
|
Equity and Earnings per Common Share, Non-Controlling Interests in Operating Partnership (Details) - LTIP-OP Units [Member] - Operating Partnership [Member] |
Mar. 31, 2022
shares
|
---|---|
Noncontrolling Interest in Operating Partnership [Abstract] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) | 402,857 |
Percentage of operating partnership | 2.20% |
Equity and Earnings per Common Share, Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|
Numerator [Abstract] | ||
Net income | $ 28,729 | $ 21,228 |
Net income allocated to noncontrolling interests in Operating Partnership | (633) | (434) |
Dividends on preferred stock | 2,463 | 2,463 |
Net income applicable to common stockholders | $ 25,633 | $ 18,331 |
Denominator [Abstract] | ||
Weighted average common shares outstanding (in shares) | 18,252,523 | 17,065,735 |
Weighted average diluted shares outstanding (in shares) | 18,272,737 | 17,087,959 |
Basic and Diluted EPS [Abstract] | ||
Basic (in dollars per share) | $ 1.40 | $ 1.07 |
Diluted (in dollars per share) | $ 1.40 | $ 1.07 |
Anti-dilutive securities (in shares) | 0 | 0 |
Transactions with Related Parties (Details) |
3 Months Ended | ||
---|---|---|---|
Mar. 31, 2022
USD ($)
Employee
|
Mar. 31, 2021
USD ($)
|
Dec. 31, 2021
USD ($)
|
|
Related Party Transactions [Abstract] | |||
Percentage of annual management fee paid equal to gross equity | 1.50% | ||
Renew of management agreement subject to termination | 1 year | ||
Management agreement subject to termination, notice period for termination to manager | 30 days | ||
Management agreement subject to termination, period of notice by manager in the event of default | 60 days | ||
Management agreement subject to termination, period of termination fee payment in the event of default | 30 days | ||
Servicing costs | $ 3,193,000 | $ 3,082,000 | |
Agreement purchase price | 5,645,000 | 20,295,000 | |
Management Fees and Compensation Reimbursement to Affiliate [Abstract] | |||
Management fees | 1,678,000 | 1,711,000 | |
Compensation reimbursement | 115,000 | 250,000 | |
Total | $ 1,793,000 | 1,961,000 | |
Minimum [Member] | |||
Related Party Transactions [Abstract] | |||
Management agreement subject to non-renewal, notice period | 180 days | ||
Maximum [Member] | |||
Related Party Transactions [Abstract] | |||
Management agreement subject to non-renewal, notice period | 270 days | ||
RoundPoint Mortgage Servicing Corporation [Member] | |||
Related Party Transactions [Abstract] | |||
Subservicing agreement term | 2 years | ||
Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | |||
Related Party Transactions [Abstract] | |||
Servicing costs | $ 1,700,000 | 1,300,000 | |
Servicing receivables | 4,100,000 | $ 493,000 | |
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | Flow Agreement [Member] | |||
Related Party Transactions [Abstract] | |||
Aggregate unpaid principal balance | 57,000,000.0 | 1,800,000,000 | |
Agreement purchase price | $ 650,000 | $ 14,000,000.0 | |
Freedom Mortgage Excess Service Right [Member] | |||
Related Party Transactions [Abstract] | |||
Number of employees leases from mortgage | Employee | 3 |
Derivative Instruments, Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|||||
Notional Amount of Interest Rate Swaps [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | $ 1,395,000 | $ 1,448,000 | ||||
Fair value | $ 13,883 | $ 9,883 | ||||
Weighted average pay rate | 0.63% | 0.50% | ||||
Weighted average receive rate | 0.98% | 0.73% | ||||
Weighted average years to maturity | 5 years 9 months 18 days | 6 years 1 month 6 days | ||||
Notional Amount of Swaptions [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | $ 40,000 | $ 40,000 | ||||
Fair value | $ 1,417 | $ 183 | ||||
Weighted average pay rate | 1.90% | 1.90% | ||||
Weighted average years to maturity | [1] | 7 years 8 months 12 days | 8 years | |||
Weighted average years to expiration | 1 month 6 days | 4 months 24 days | ||||
Notional Amount of Swaptions [Member] | LIBOR [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Weighted average receive rate type | [2] | LIBOR-BBA | ||||
Notional Amount of TBAs, Net [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | $ 166,600 | $ 439,000 | ||||
Fair value | 166,449 | 442,819 | ||||
Notional Amount of U.S. Treasury Futures [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Fair value | 5,920 | (53) | ||||
Notional Amount of Options on U.S. Treasury Futures [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Fair value | 47 | 234 | ||||
Not Designated as Hedging Instrument [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | 1,400,300 | 1,846,400 | ||||
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | 1,395,000 | 1,448,000 | ||||
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | 40,000 | 40,000 | ||||
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | 166,600 | 439,000 | ||||
Not Designated as Hedging Instrument [Member] | Notional Amount of U.S. Treasury Futures [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | 271,300 | 80,600 | ||||
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on U.S. Treasury Futures [Member] | ||||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||||
Total notional amount | $ 70,000 | $ 0 | ||||
|
Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
TBA Derivatives [Abstract] | ||
Notional | $ 166,600 | $ 439,000 |
Implied Cost Basis | 173,817 | 443,827 |
Implied Fair Value | 166,449 | 442,819 |
Net Carrying Value | (7,368) | (1,007) |
Purchase Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 1,075,500 | 970,500 |
Implied Cost Basis | 1,069,521 | 988,173 |
Implied Fair Value | 1,053,940 | 987,146 |
Net Carrying Value | (15,581) | (1,026) |
Sale Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 908,900 | 531,500 |
Implied Cost Basis | (895,704) | (544,346) |
Implied Fair Value | (887,491) | (544,327) |
Net Carrying Value | $ 8,213 | $ 19 |
Derivative Instruments, Information of Treasury Futures Agreements (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Fair Value | $ 5,920 | $ (53) |
U.S. Treasury Futures [Member] | 2 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 63 | |
U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 1,720 | (53) |
U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 4,200 | (63) |
U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Fair Value | 47 | 234 |
U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 47 | 234 |
Long Positions [Member] | U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | 19,400 |
Long Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | |
Long Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | 0 |
Long Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | 19,400 |
Long Positions [Member] | U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 90,000 | 60,000 |
Long Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 90,000 | 60,000 |
Short Positions [Member] | U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 271,300 | 100,000 |
Short Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 85,000 | |
Short Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 104,300 | 15,000 |
Short Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 167,000 | 0 |
Short Positions [Member] | U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 20,000 | 60,000 |
Short Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | $ 20,000 | $ 60,000 |
Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands |
3 Months Ended | |||
---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
|||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | $ (10,638) | $ (540) | ||
Interest Rate Swaps [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Periodic interest income | 915 | 1,300 | ||
U.S. Treasury Futures Options [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (190) | 0 | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (11,554) | (1,882) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Interest Rate Swaps [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | [1] | (1,191) | 57 | |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Swaptions [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | 0 | (273) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | TBAs [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (15,443) | (582) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | U.S. Treasury Futures [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | $ 5,270 | $ (1,084) | ||
|
Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | $ 36,261 | $ 10,856 | ||
Gross amounts offset in the consolidated balance sheet | (9,082) | (338) | ||
Net amounts of assets presented in the consolidated balance sheet | 27,179 | 10,518 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (27,179) | (9,854) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | (664) | |
Net amount | 0 | 0 | ||
Interest Rate Swaps [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 19,796 | 10,101 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 19,796 | 10,101 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (19,796) | (10,101) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | 0 | 0 | ||
Interest Rate Swaptions [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 1,417 | 183 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 1,417 | 183 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (1,417) | (183) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | 0 | 0 | ||
TBAs [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 9,082 | 338 | ||
Gross amounts offset in the consolidated balance sheet | (9,082) | (338) | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | 0 | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | 0 | 0 | ||
U.S. Treasury Futures [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 5,919 | |||
Gross amounts offset in the consolidated balance sheet | 0 | |||
Net amounts of assets presented in the consolidated balance sheet | 5,919 | |||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (5,919) | |||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | ||
Net amount | 0 | |||
U.S. Treasury Futures Options [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 47 | 234 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 47 | 234 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (47) | |||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 430 | |||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | (664) | |
Net amount | $ 0 | $ 0 | ||
|
Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | $ 789,114 | $ 867,110 | ||
Gross amounts offset in the consolidated balance sheet | (9,082) | (338) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 780,032 | 866,772 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (753,058) | (854,575) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | (26,974) | (12,197) | |
Net amount | 0 | 0 | ||
Repurchase Agreements [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 764,885 | 865,494 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of liabilities presented in the consolidated balance sheet | 764,885 | 865,494 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (737,911) | (853,297) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | (26,974) | (12,197) | |
Net amount | 0 | 0 | ||
Interest Rate Swaps [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 5,914 | 218 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of liabilities presented in the consolidated balance sheet | 5,914 | 218 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (5,914) | (218) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | 0 | 0 | ||
TBAs [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 16,450 | 1,345 | ||
Gross amounts offset in the consolidated balance sheet | (9,082) | (338) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 7,368 | 1,007 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (7,368) | (1,007) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | 0 | 0 | ||
U.S. Treasury Futures [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 1,865 | 53 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of liabilities presented in the consolidated balance sheet | 1,865 | 53 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (1,865) | (53) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | 0 | |
Net amount | $ 0 | $ 0 | ||
|
Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Assets [Abstract] | ||||
Derivative assets total | $ 27,179 | $ 10,518 | ||
Servicing related assets | [1] | 246,103 | 218,727 | |
Liabilities [Abstract] | ||||
Derivative liabilities total | 15,147 | 1,278 | ||
Interest Rate Swaps [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 19,796 | 10,101 | ||
Interest Rate Swaptions [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 1,417 | 183 | ||
TBAs [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
U.S. Treasury Futures [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 5,919 | |||
U.S. Treasury Futures Options [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 47 | 234 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Servicing related assets | 0 | 0 | ||
Total Assets | 0 | 0 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Total Liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 27,179 | 10,518 | ||
Servicing related assets | 0 | 0 | ||
Total Assets | 801,292 | 964,014 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 15,147 | 1,278 | ||
Total Liabilities | 15,147 | 1,278 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Servicing related assets | 246,103 | 218,727 | ||
Total Assets | 246,103 | 218,727 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Total Liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 19,796 | 10,101 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 5,914 | 218 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 1,417 | 183 | ||
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 1 [Member] | ||||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 2 [Member] | ||||
Liabilities [Abstract] | ||||
Derivative liabilities total | 7,368 | 1,007 | ||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 3 [Member] | ||||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 5,919 | 234 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 1,865 | 53 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | 0 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | |||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 47 | |||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 0 | |||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 27,179 | 10,518 | ||
Servicing related assets | 246,103 | 218,727 | ||
Total Assets | 1,047,395 | 1,182,741 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 15,147 | 1,278 | ||
Total Liabilities | 15,147 | 1,278 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 19,796 | 10,101 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 5,914 | 218 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 1,417 | 183 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member] | ||||
Liabilities [Abstract] | ||||
Derivative liabilities total | 7,368 | 1,007 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | 5,919 | 234 | ||
Liabilities [Abstract] | ||||
Derivative liabilities total | 1,865 | $ 53 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures Options [Member] | ||||
Assets [Abstract] | ||||
Derivative assets total | $ 47 | |||
RMBS [Member] | Level 2 [Member] | ||||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | ||||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | $ 0 | $ 0 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 774,113 | 953,496 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 0 | 0 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 774,113 | 953,496 | ||
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 0 | 0 | ||
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 454,991 | 559,777 | ||
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 0 | 0 | ||
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 454,991 | 559,777 | ||
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 0 | 0 | ||
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 319,122 | 393,719 | ||
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Assets [Abstract] | ||||
RMBS total | 0 | 0 | ||
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||||
Assets [Abstract] | ||||
RMBS total | $ 319,122 | $ 393,719 | ||
MSRs [Member] | Level 3 [Member] | ||||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | ||||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | ||
Derivative Instruments [Member] | Level 2 [Member] | ||||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | ||||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | ||
|
Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|||||||
Servicing Related Assets [Abstract] | ||||||||
Beginning balance | [1] | $ 218,727 | ||||||
Changes in Fair Value due to [Abstract] | ||||||||
Ending balance | [1] | 246,103 | $ 218,727 | |||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||||||
Servicing Related Assets [Abstract] | ||||||||
Beginning balance | 218,727 | |||||||
Changes in Fair Value due to [Abstract] | ||||||||
Ending balance | 246,103 | 218,727 | ||||||
MSRs [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||||||
Servicing Related Assets [Abstract] | ||||||||
Beginning balance | 218,727 | 174,414 | ||||||
Purchases and sales [Abstract] | ||||||||
Purchases | 5,821 | 56,638 | ||||||
Other changes | [2] | (176) | (1,263) | |||||
Purchases and sales | 5,645 | 55,375 | ||||||
Changes in Fair Value due to [Abstract] | ||||||||
Changes in valuation inputs or assumptions used in valuation model | 30,214 | 61,881 | ||||||
Other changes in fair value | [3] | (8,483) | (72,943) | |||||
Unrealized gain (loss) included in Net Income | 21,731 | (11,062) | ||||||
Ending balance | $ 246,103 | $ 218,727 | ||||||
|
Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|||||
Valuation Technique and Input, Description [Abstract] | ||||||
Fair Value | $ 246,103 | $ 218,727 | ||||
MSRs [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Fair Value | 246,103 | 218,727 | ||||
Annual cost to service, per loan | [1] | $ 78 | $ 76 | |||
MSRs [Member] | Minimum [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [2] | 5.00% | 5.00% | |||
Uncollected Payments | [2] | 0.40% | 0.40% | |||
MSRs [Member] | Maximum [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [2] | 18.10% | 19.10% | |||
Uncollected Payments | [2] | 2.50% | 2.50% | |||
MSRs [Member] | Weighted Average [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [1] | 8.90% | 11.50% | |||
Uncollected Payments | [1] | 0.70% | 0.60% | |||
Discount rate | [1] | 8.10% | 7.20% | |||
|
Commitments and Contingencies (Details) - USD ($) $ in Millions |
3 Months Ended | |
---|---|---|
Mar. 31, 2022 |
Dec. 31, 2021 |
|
Commitments and Contingencies [Abstract] | ||
Percentage of annual management fee paid equal to gross equity | 1.50% | |
Securities obligated to purchase | $ 0 | $ 0 |
Securities obligated to sell | $ 0 | $ 0 |
Repurchase Agreements (Details) $ in Thousands |
3 Months Ended | 12 Months Ended |
---|---|---|
Mar. 31, 2022
USD ($)
Security
|
Dec. 31, 2021
USD ($)
Security
|
|
Repurchase Agreements [Abstract] | ||
Weighted average of remaining maturities days | 33 days | 38 days |
Repurchase Agreement Characteristics Remaining Maturities [Abstract] | ||
Less than one month, repurchase agreements | $ 396,958 | $ 291,007 |
One to three months, repurchase agreements | 367,927 | 574,487 |
Total repurchase agreements | $ 764,885 | $ 865,494 |
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.33% | 0.13% |
One to three months, weighted average rate | 0.46% | 0.14% |
Weighted average rate | 0.39% | 0.14% |
Number of overnight or demand securities | Security | 0 | 0 |
Notes Payable (Details) $ in Thousands |
1 Months Ended | 3 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jul. 31, 2021
RenewalOption
|
Mar. 31, 2022
USD ($)
Facility
RenewalOption
|
Dec. 31, 2021
USD ($)
|
Oct. 31, 2019
USD ($)
|
Sep. 30, 2019
USD ($)
|
Apr. 02, 2019
USD ($)
|
Sep. 30, 2018
USD ($)
|
Jul. 31, 2018
USD ($)
|
Sep. 30, 2016
USD ($)
|
|
Maturities of Notes Payable [Abstract] | |||||||||
2022 | $ 65,000 | $ 63,000 | |||||||
2023 | 615 | 571 | |||||||
2024 | 7,581 | 6,994 | |||||||
2025 | 7,957 | 7,261 | |||||||
2026 | 78,647 | 68,174 | |||||||
Notes payable | $ 159,800 | 146,000 | |||||||
MSR Financing Facility [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Number of separate MSR financing facilities | Facility | 2 | ||||||||
Fannie Mae MSR Financing Facility [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Debt instrument committed line of credit | $ 100,000 | ||||||||
Fannie Mae MSR Financing Facility [Member] | LIBOR [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Debt instrument term of variable rate | 1 month | ||||||||
Fannie Mae MSR Financing Facility [Member] | Interest Rate Swaps [Member] | LIBOR [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Debt instrument term of variable rate | 1 year | ||||||||
Freddie Mac MSR Revolver [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Maximum borrowing amount | $ 100,000 | $ 45,000 | $ 25,000 | $ 100,000 | |||||
Debt instrument term | 364 days | ||||||||
Debt instrument, amortization period | 24 months | ||||||||
Number of Borrowers option renewals | RenewalOption | 2 | 2 | |||||||
Term out feature of credit facility | 1 year | ||||||||
Additional borrowing capacity | $ 5,000 | ||||||||
Maturities of Notes Payable [Abstract] | |||||||||
2022 | $ 65,000 | 63,000 | |||||||
2023 | 0 | 0 | |||||||
2024 | 0 | 0 | |||||||
2025 | 0 | 0 | |||||||
2026 | 0 | 0 | |||||||
Notes payable | $ 65,000 | 63,000 | |||||||
Freddie Mac MSR Revolver [Member] | LIBOR [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Debt instrument term of variable rate | 1 month | ||||||||
Fannie Mae MSR Revolving Facility [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Maximum borrowing amount | $ 150,000 | $ 150,000 | $ 200,000 | ||||||
Debt instrument term | 24 months | ||||||||
Term out feature of credit facility | 3 years | ||||||||
Maturities of Notes Payable [Abstract] | |||||||||
2022 | $ 0 | 0 | |||||||
2023 | 615 | 571 | |||||||
2024 | 7,581 | 6,994 | |||||||
2025 | 7,957 | 7,261 | |||||||
2026 | 78,647 | 68,174 | |||||||
Notes payable | $ 94,800 | $ 83,000 | |||||||
Fannie Mae MSR Revolving Facility [Member] | LIBOR [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Debt instrument term of variable rate | 1 month |
Receivables and Other Assets (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Receivables and Other Assets [Abstract] | ||
Servicing advances | $ 13,192 | $ 17,609 |
Interest receivable | 2,242 | 2,393 |
Deferred tax asset | 16,740 | 20,614 |
Other receivables | 6,297 | 2,728 |
Total other assets | $ 38,471 | $ 43,344 |
Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands |
Mar. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Accrued Expenses and Other Liabilities [Abstract] | ||
Accrued interest payable | $ 1,041 | $ 996 |
Accrued expenses | 1,387 | 2,065 |
Total accrued expenses and other liabilities | $ 2,428 | $ 3,061 |
Income Taxes (Details) - USD ($) $ in Thousands |
3 Months Ended | ||||
---|---|---|---|---|---|
Mar. 31, 2022 |
Mar. 31, 2021 |
Dec. 31, 2021 |
|||
Income Taxes [Abstract] | |||||
Percentage of taxable income that must be distributed to qualify as a REIT | 90.00% | ||||
Components of Income Tax Expense (Benefit) [Abstract] | |||||
Current federal income tax benefit | $ 0 | $ (128) | |||
Deferred federal income tax expense | 3,295 | 3,240 | |||
Deferred state income tax expense | 580 | 351 | |||
Provision for Corporate Business Taxes | [1] | 3,875 | 3,463 | ||
Effective Income Tax Rate Reconciliation, Amount [Abstract] | |||||
Computed income tax expense at federal rate | 6,847 | 5,185 | |||
State tax expense, net of federal tax, if applicable | 459 | 351 | |||
REIT income not subject to tax (benefit) | (3,431) | (2,073) | |||
Provision for Corporate Business Taxes | [1] | $ 3,875 | $ 3,463 | ||
Effective Income Tax Rate Reconciliation, Percent [Abstract] | |||||
Computed income tax expense at federal rate | 21.00% | 21.00% | |||
State tax expense, net of federal tax, if applicable | 1.40% | 1.40% | |||
REIT income not subject to tax (benefit) | (10.50%) | (8.40%) | |||
Provision for effective Tax Rate | [1] | 11.90% | 14.00% | ||
Income taxes recoverable [Abstract] | |||||
Income taxes recoverable | $ 128 | $ 128 | |||
Deferred tax assets [Abstract] | |||||
Deferred tax - mortgage servicing rights | 5,605 | 10,539 | |||
Deferred tax - net operating loss | 11,135 | 10,075 | |||
Total net deferred tax assets | 16,740 | $ 20,614 | |||
Net operating loss carryforwards | $ 46,700 | ||||
|
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