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ANNUAL 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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Accelerated filer
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☐
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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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PART I
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9
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Item 1.
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9
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Item 1A.
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16
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Item 1B.
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42
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Item 1C.
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42
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Item 2.
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43
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Item 3.
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43
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Item 4.
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43 | |
PART II
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44 | |
Item 5.
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44 | |
Item 6.
|
47 | |
Item 7.
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48 | |
Item 7A.
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68 | |
Item 8.
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73
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Item 9.
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116 | |
Item 9A.
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116
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Item 9B.
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118 | |
Item 9C.
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118
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PART III
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118
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Item 10.
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118 | |
Item 11.
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119 | |
Item 12.
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119
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Item 13.
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119
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Item 14.
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119
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PART IV
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119
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Item 15.
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119
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Item 16.
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123
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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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• |
the Company’s ability to make distributions to holders of the Company’s common and preferred stock;
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• |
the Company’s ability to compete in the marketplace;
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• |
the Company’s ability to hedge interest rate risk and prepayment risk associated with its assets;
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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,
the Board of Governors of the Federal Reserve System, Fannie Mae, Freddie Mac, Ginnie Mae and the U.S. Securities and Exchange Commission (“SEC”);
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• |
mortgage loan modification programs and future legislative actions;
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• |
the Federal Reserve’s potential changes in interest rates;
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• |
the Company’s ability to qualify and maintain 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
|
• |
projected prepayment and/or default rates.
|
• |
the factors referenced in this Annual Report on Form 10-K, including those set forth under “Item 1. Business” and “Item 1A. Risk Factors” of Part I and “Item 7. Management’s Discussion and Analysis of Financial
Condition and Results of Operations” of Part II;
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• |
general volatility of the capital markets;
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• |
inflationary trends could result in further interest rate increases or sustained higher interest rates for longer than expected periods of time, which could lead to increased market volatility;
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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 ability to operate its licensed mortgage servicing subsidiary and oversee the activities of such subsidiary;
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• |
the Company’s ability to manage various operational and regulatory risks associated with its business;
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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 or not renew 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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• |
changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;
|
• |
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);
|
• |
the degree and nature of the Company’s competition, including competition for the residential mortgage assets in which the Company invests; and
|
• |
other risks associated with acquiring, investing in and managing residential mortgage assets.
|
• |
The Company uses third-party servicers to directly service the loans underlying its Servicing Related Assets which exposes the Company to the risk that such third-party servicers fail to comply with applicable
law, including data protection and privacy laws, and the requirements of the Agencies that own those loans.
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• |
Relatively high rates of prepayments on residential mortgage loans adversely affect the values of the Company’s assets.
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• |
The Company relies on financial modeling to value its Servicing Related Assets.
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• |
The Company cannot predict the impact future actions by the U.S. Federal Reserve will have on the Company’s business, and any such actions may negatively impact the Company.
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• |
The Company uses leverage to increase returns, but it exposes the Company to margin calls on its investable assets.
|
• |
The Company is dependent on its Manager to provide qualified personnel.
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• |
The amount of the fee the Company pays to its Manager is not affected by the performance of the Company’s investments.
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• |
Certain of the Company’s lenders prohibit terminating its Manager without their consent.
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• |
Maintenance of certain exceptions from (or otherwise not falling within) the definitions of “investment company” under the Investment Company Act imposes significant limitations on the Company’s operations.
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• |
The REIT rules impose ownership limits which may discourage a possible takeover. Certain provisions of Maryland law have the same effect.
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• |
The trading volume and market prices for shares of the Company’s equity securities tend to be volatile due to the relatively small market capitalization of our Company.
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• |
The Company’s preferred stock has not been rated and is junior to its debt and any additional shares of senior stock that the Company may issue.
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• |
The Company may not be able to pay dividends on its equity securities.
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• |
The Company’s preferred stock has very limited voting rights which generally do not include voting for directors.
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• |
If the Company fails to satisfy the ongoing REIT qualification tests, it will become subject to taxation which will adversely affect the return on your investment.
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• |
In order to satisfy those requirements, the Company may be required to forgo or liquidate otherwise attractive investments.
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• |
The Company could lose its status as a REIT if the IRS successfully challenges its characterization of investments in internally created excess mortgage servicing rights.
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• |
The REIT rules require that the Company’s mortgage servicing rights be held by a taxable REIT subsidiary, and the taxes payable by its taxable REIT subsidiary reduce the returns from that investment.
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Item 1. |
Business
|
• |
RMBS, including Agency RMBS, residential mortgage pass-through certificates, CMOs and TBAs; and
|
• |
Servicing Related Assets consisting of MSRs and Excess MSRs.
|
• |
allocating a substantial portion of our equity capital to the acquisition of Servicing Related Assets;
|
• |
the creation of intercompany Excess MSRs from MSRs acquired by our mortgage servicing subsidiary, Aurora;
|
• |
acquiring RMBS on a leveraged basis; and
|
• |
opportunistically mitigating our prepayment and interest rate and, to a lesser extent, credit risk by using a variety of hedging instruments and, where applicable and available, recapture agreements.
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• |
No investment will be made if it causes us to fail to qualify as a REIT under the Code.
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• |
No investment will be made if it causes us to be regulated as an investment company under the Investment Company Act.
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• |
We will not enter into principal transactions or split price executions with Freedom Mortgage or any of its affiliates unless such transaction is otherwise in accordance with our investment guidelines and the
management agreement between us and our Manager and the terms of such transaction are at least as favorable to us as to Freedom Mortgage or its affiliate.
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• |
Any proposed material investment that is outside our targeted asset classes must be approved by at least a majority of our independent directors.
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• |
To reduce waste and promote a cleaner environment, we recycle paper, glass, plastic and aluminum cans, electronic equipment, batteries and ink cartridges, and we emphasize electronic communications, record storage e-statements and
invoices to reduce our office paper usage.
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• |
To reduce our carbon footprint, we utilize video conferencing as an alternative to business travel.
|
• |
To reduce energy usage, we use Energy Star ® certified products, printers and televisions.
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Item 1A. |
Risk Factors
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• |
its failure to comply with applicable laws and regulations;
|
• |
its failure to perform its loss mitigation obligations;
|
• |
a downgrade in its servicer rating;
|
• |
its failure to perform adequately in its external audits;
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• |
a failure in or poor performance of its operational systems or infrastructure;
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• |
a data breach and other cybersecurity incidents impacting a mortgage servicer;
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• |
regulatory or legal scrutiny, enforcement proceedings, consent orders or similar actions regarding any aspect of its operations, including, but not limited to, servicing practices and foreclosure processes
lengthening foreclosure timelines; or
|
• |
the transfer of servicing to another party.
|
• |
payments made by such mortgage servicer to us, or obligations incurred by it, being voided by a court under federal or state preference laws or federal or state fraudulent conveyance laws; or
|
• |
any agreement between us and the mortgage servicer being rejected in a bankruptcy proceeding.
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• |
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
|
• |
available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
|
• |
the duration of the hedge may not match the duration of the related assets or liabilities being hedged;
|
• |
to the extent hedging transactions do not satisfy certain provisions of the Code, and are not made through a TRS, the amount of income that a REIT may earn from hedging transactions to offset interest rate
losses is limited by U.S. federal tax provisions governing REITs;
|
• |
the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments or “mark-to-market losses” would reduce
our total stockholders’ equity;
|
• |
the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
• |
the hedging counterparty owing money in the hedging transaction may default on its obligation to pay.
|
• |
“business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10%
or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the
voting power of our then-outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder became an interested stockholder, and thereafter require two supermajority
stockholder votes to approve any such combination; and
|
• |
“control share” provisions that provide that a holder of “control shares” of the Company (defined as voting shares of stock which, when aggregated with all other shares of stock owned by the acquiror or in
respect of which the acquiror is able to exercise or direct the exercise of voting power (except solely by virtue of a revocable proxy), entitle the acquiror to exercise one of three increasing ranges of voting power in electing
directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of issued and outstanding “control shares,” subject to certain exceptions) generally has no voting rights
with respect to the control shares except to the extent approved by our stockholders by the affirmative vote of two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares.
|
• |
actual receipt of an improper benefit or profit in money, property or services; or
|
• |
active and deliberate dishonesty by the director or officer that was established by a final judgment and is material to the cause of action.
|
• |
the uncertainty and economic impact of global pandemics, including the COVID-19 pandemic and the resulting impact on market liquidity, the value of assets and availability of financing;
|
• |
actual or anticipated variations in our quarterly operating results;
|
• |
increases in market interest rates that lead purchasers of our common stock to demand a higher yield or to seek alternative investments;
|
• |
changes in market valuations of similar companies;
|
• |
adverse market reaction to any increased indebtedness we incur in the future;
|
• |
additions or departures of key personnel;
|
• |
actions by stockholders;
|
• |
speculation in the press or investment community;
|
• |
general market, economic and political conditions and the impact of these conditions on the global credit markets;
|
• |
the operating performance of other similar companies;
|
• |
changes in accounting principles; and
|
• |
passage of legislation, changes in monetary policy or other regulatory developments that adversely affect us or our industry.
|
• |
prevailing interest rates, increases in which may have an adverse effect on the market price of the Preferred Stock;
|
• |
trading prices of common and preferred equity securities issued by REITs and other similar companies;
|
• |
the annual yield from distributions on the Preferred Stock as compared to yields on other financial instruments;
|
• |
general economic and financial market conditions;
|
• |
government action or regulation;
|
• |
our financial condition, performance and prospects and those of our competitors;
|
• |
changes in financial estimates or recommendations by securities analysts with respect to us, our competitors or our industry;
|
• |
our issuance of additional preferred equity securities or the incurrence of debt; and
|
• |
actual or anticipated variations in our quarterly operating results and those of our competitors.
|
• |
85% of our REIT ordinary income for that year;
|
• |
95% of our REIT capital gain net income for that year; and
|
• |
any undistributed taxable income from prior years.
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Item 1B. |
Unresolved Staff Comments
|
Item 1C. |
Cybersecurity
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Item 2. |
Properties
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Item 3. |
Legal Proceedings
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Item 4. |
Mine Safety Disclosures
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Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities Market Information
|
•
|
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.
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|
Declaration
Date
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Record
Date
|
Payment
Date
|
Amount per
Share
|
|||||
2023
|
|
|
|
||||||
Fourth Quarter
|
12/8/2023
|
12/29/2023
|
1/31/2024
|
$
|
0.15
|
||||
Third Quarter
|
9/14/2023
|
9/29/2023
|
10/31/2023
|
$
|
0.15
|
||||
Second Quarter
|
6/15/2023
|
6/30/2023
|
7/31/2023
|
$
|
0.15
|
||||
First Quarter
|
3/16/2023
|
3/31/2023
|
4/25/2023
|
$
|
0.27
|
||||
2022
|
|||||||||
Fourth Quarter
|
12/16/2022
|
12/30/2022
|
1/31/2023
|
$
|
0.27
|
||||
Third Quarter
|
9/15/2022
|
9/30/2022
|
10/25/2022
|
$
|
0.27
|
||||
Second Quarter
|
6/17/2022
|
6/30/2022
|
7/26/2022
|
$
|
0.27
|
||||
First Quarter
|
3/11/2022
|
3/31/2022
|
4/26/2022
|
$
|
0.27
|
December 31, 2019
|
December 31, 2020
|
December 31, 2021
|
December 30, 2022
|
December 29, 2023
|
||||||||||||||||
Cherry Hill Mortgage Investment Corporation
|
$
|
93.27
|
$
|
67.61
|
$
|
68.70
|
$
|
57.29
|
$
|
46.48
|
||||||||||
Russel 2000
|
$
|
125.52
|
$
|
150.58
|
$
|
172.90
|
$
|
137.56
|
$
|
160.85
|
||||||||||
S&P U.S. BMI Mortgage REITs (A)
|
$
|
119.61
|
$
|
94.68
|
$
|
108.65
|
$
|
80.83
|
$
|
93.30
|
||||||||||
S&P 500
|
$
|
131.49
|
$
|
155.68
|
$
|
200.37
|
$
|
164.08
|
$
|
207.21
|
(A) |
In addition to the Company, as of December 31, 2023, the S&P U.S. BMI Mortgage REITs Index comprised the following companies: AFC Gamma Inc., AG Mortgage Investment Trust, Inc., AGNC Investment
Corp., Angel Oak Mortgage, Inc., Apollo Commercial Real Estate Finance, Inc., Arbor Realty Trust, Inc., Ares Commercial RE Corporation, Arlington Asset Invt Corp., ARMOUR Residential REIT, Inc., Blackstone Mortgage Trust,
Inc., BrightSpire Capital, Inc., Broadmark Realty Capital Inc., Chimera Investment Corporation, Claros Mortgage Trust, Inc., Dynex Capital, Inc., Ellington Financial Inc., Ellington Residential Mortgage REIT, Franklin BSP
Realty Trust, Inc., Granite Point Mortgage Trust, Inc., Great Ajax Corp., Hannon Armstrong Sustainable Infrastructure Capital, Inc., Invesco Mortgage Capital Inc., KKR Real Estate Finance Trust Inc., Ladder Capital Corp,
Lument Finance Trust, Inc., MFA Financial, Inc., New York Mortgage Trust, Inc., NexPoint Real Estate Finance, Inc., Orchid Island Capital, Inc., PennyMac Mortgage Investment Trust, Ready Capital Corporation, Redwood Trust,
Inc., Rithm Capital Corp., Sachem Capital Corp., Seven Hills Realty Trust, Starwood Property Trust, Inc., TPG RE Finance Trust, Inc, and Western Asset Mortgage Capital Corporation.
|
Number of Securities Issued
or to be Issued Upon
Exercise
|
Number of Securities
Remaining Available For
Future Issuance Under
Equity Compensation Plans
|
|||||||
Equity compensation Plans Approved By Shareholders
|
2,788,165
|
|||||||
LTIP-OP Units
|
552,097
|
|||||||
Forfeited LTIP-OP Units
|
(5,832
|
)
|
||||||
Converted LTIP-OP Units
|
(44,795
|
)
|
||||||
Redeemed LTIP-OP Units
|
(9,054
|
)
|
||||||
Shares of Common Stock
|
220,256
|
|||||||
Forfeited Shares of Common Stock
|
(3,155
|
)
|
||||||
Equity Compensation Plans Not Approved By Shareholders
|
-
|
Item 6. |
Reserved
|
Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
Quarter Ended
|
Average Asset Yield
|
Average Cost of Funds (A)
|
Average Net Interest Rate Spread
|
|||||||||
December 31, 2023
|
4.77
|
%
|
0.96
|
%
|
3.81
|
%
|
||||||
September 30, 2023
|
4.66
|
%
|
0.87
|
%
|
3.79
|
%
|
||||||
June 30, 2023
|
4.49
|
%
|
0.53
|
%
|
3.96
|
%
|
||||||
March 31, 2023
|
4.40
|
%
|
0.73
|
%
|
3.68
|
%
|
||||||
December 31, 2022
|
4.29
|
%
|
0.69
|
%
|
3.60
|
%
|
||||||
September 30, 2022
|
3.90
|
%
|
0.77
|
%
|
3.13
|
%
|
||||||
June 30, 2022
|
3.56
|
%
|
0.32
|
%
|
3.25
|
%
|
||||||
March 31, 2022
|
2.98
|
%
|
0.49
|
%
|
2.49
|
%
|
(A) |
Average Cost of Funds also includes the benefits of related swaps.
|
•
|
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.
|
Year Ended December 31,
|
||||||||
2023
|
2022
|
|||||||
Income
|
||||||||
Interest income
|
$
|
49,985
|
$
|
29,642
|
||||
Interest expense
|
51,642
|
17,563
|
||||||
Net interest income (expense)
|
(1,657
|
)
|
12,079
|
|||||
Servicing fee income
|
53,427
|
53,430
|
||||||
Servicing costs
|
11,248
|
11,837
|
||||||
Net servicing income
|
42,179
|
41,593
|
||||||
Other income (loss)
|
||||||||
Realized loss on RMBS, net
|
(36,315
|
)
|
(99,694
|
)
|
||||
Realized gain on derivatives, net
|
33,821
|
1,363
|
||||||
Realized gain on acquired assets, net
|
23
|
12
|
||||||
Unrealized gain on RMBS, measured at fair value through earnings, net
|
9,755
|
-
|
||||||
Unrealized gain (loss) on derivatives, net
|
(43,071
|
)
|
61,864
|
|||||
Unrealized gain (loss) on investments in Servicing Related Assets
|
(25,937
|
)
|
22,976
|
|||||
Total Income (Loss)
|
(21,202
|
)
|
40,193
|
|||||
Expenses
|
||||||||
General and administrative expense
|
6,900
|
6,305
|
||||||
Management fee to affiliate
|
6,830
|
6,629
|
||||||
Total Expenses
|
13,730
|
12,934
|
||||||
Income (Loss) Before Income Taxes
|
(34,932
|
)
|
27,259
|
|||||
Provision for corporate business taxes
|
523
|
5,070
|
||||||
Net Income (Loss)
|
(35,455
|
)
|
22,189
|
|||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership
|
661
|
(450
|
)
|
|||||
Dividends on preferred stock
|
9,853
|
9,853
|
||||||
Net Income (Loss) Applicable to Common Stockholders
|
$
|
(44,647
|
)
|
$
|
11,886
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Income Statement
|
||||||||||||||||
Year Ended December 31, 2023
|
||||||||||||||||
Interest income
|
$
|
-
|
$
|
49,985
|
$
|
-
|
$
|
49,985
|
||||||||
Interest expense
|
1,572
|
50,070
|
-
|
51,642
|
||||||||||||
Net interest expense
|
(1,572
|
)
|
(85
|
)
|
-
|
(1,657
|
)
|
|||||||||
Servicing fee income
|
53,427
|
-
|
-
|
53,427
|
||||||||||||
Servicing costs
|
11,248
|
-
|
-
|
11,248
|
||||||||||||
Net servicing income
|
42,179
|
-
|
-
|
42,179
|
||||||||||||
Other expense
|
(29,443
|
)
|
(32,281
|
)
|
-
|
(61,724
|
)
|
|||||||||
Other operating expenses
|
(2,231
|
)
|
(664
|
)
|
(10,835
|
)
|
(13,730
|
)
|
||||||||
Provision for corporate business taxes
|
(523
|
)
|
-
|
-
|
(523
|
)
|
||||||||||
Net Income (Loss)
|
$
|
8,410
|
$
|
(33,030
|
)
|
$
|
(10,835
|
)
|
$
|
(35,455
|
)
|
|||||
|
||||||||||||||||
Year Ended December 31, 2022
|
||||||||||||||||
Interest income
|
$
|
-
|
$
|
29,642
|
$
|
-
|
$
|
29,642
|
||||||||
Interest expense
|
3,837
|
13,726
|
-
|
17,563
|
||||||||||||
Net interest income (expense)
|
(3,837
|
)
|
15,916
|
-
|
12,079
|
|||||||||||
Servicing fee income
|
53,430
|
-
|
-
|
53,430
|
||||||||||||
Servicing costs
|
11,837
|
-
|
-
|
11,837
|
||||||||||||
Net servicing income
|
41,593
|
-
|
-
|
41,593
|
||||||||||||
Other income (expense)
|
(26,655
|
)
|
13,176
|
-
|
(13,479
|
)
|
||||||||||
Other operating expenses
|
(2,099
|
)
|
(692
|
)
|
(10,143
|
)
|
(12,934
|
)
|
||||||||
Provision for corporate business taxes
|
(5,070
|
)
|
-
|
-
|
(5,070
|
)
|
||||||||||
Net Income (Loss)
|
$
|
3,932
|
$
|
28,400
|
$
|
(10,143
|
)
|
$
|
22,189
|
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
||||||||||||
Balance Sheet
|
||||||||||||||||
December 31, 2023
|
||||||||||||||||
Investments
|
$
|
253,629
|
$
|
1,012,130
|
$
|
-
|
$
|
1,265,759
|
||||||||
Other assets
|
33,785
|
39,939
|
53,509
|
127,233
|
||||||||||||
Total assets
|
287,414
|
1,052,069
|
53,509
|
1,392,992
|
||||||||||||
Debt
|
169,314
|
903,489
|
-
|
1,072,803
|
||||||||||||
Other liabilities
|
4,240
|
47,990
|
9,584
|
61,814
|
||||||||||||
Total liabilities
|
173,554
|
951,479
|
9,584
|
1,134,617
|
||||||||||||
Net Assets
|
$
|
113,860
|
$
|
100,590
|
$
|
43,925
|
$
|
258,375
|
||||||||
|
||||||||||||||||
December 31, 2022
|
||||||||||||||||
Investments
|
$
|
279,739
|
$
|
931,431
|
$
|
-
|
$
|
1,211,170
|
||||||||
Other assets
|
32,849
|
106,885
|
57,921
|
197,655
|
||||||||||||
Total assets
|
312,588
|
1,038,316
|
57,921
|
1,408,825
|
||||||||||||
Debt
|
183,888
|
825,962
|
-
|
1,009,850
|
||||||||||||
Other liabilities
|
29,047
|
92,875
|
11,537
|
133,459
|
||||||||||||
Total liabilities
|
212,935
|
918,837
|
11,537
|
1,143,309
|
||||||||||||
Net Assets
|
$
|
99,653
|
$
|
119,479
|
$
|
46,384
|
$
|
265,516
|
Year Ended
December 31, 2023 |
||||
Accumulated other comprehensive loss, December 31, 2022
|
$
|
(29,104
|
)
|
|
Other comprehensive income
|
26,559
|
|||
Accumulated other comprehensive loss, December 31, 2023
|
$
|
(2,545
|
)
|
Year Ended
December 31, 2022 |
||||
Accumulated other comprehensive income, December 31, 2021
|
$
|
7,527
|
||
Other comprehensive loss
|
(36,631
|
)
|
||
Accumulated other comprehensive loss, December 31, 2022
|
$
|
(29,104
|
)
|
•
|
earnings available for distribution; and
|
•
|
earnings available for distribution per average common share.
|
Year Ended December 31,
|
||||||||
2023
|
2022
|
|||||||
Net Income (Loss)
|
$
|
(35,455
|
)
|
$
|
22,189
|
|||
Realized loss on RMBS, net
|
36,315
|
99,694
|
||||||
Realized loss on derivatives, net (A)
|
4,377
|
16,051
|
||||||
Realized gain on acquired assets, net
|
(23
|
)
|
(12
|
)
|
||||
Unrealized gain on RMBS measured at fair value through earnings, net
|
(9,755
|
)
|
-
|
|||||
Unrealized loss (gain) on derivatives, net
|
43,071
|
(61,864
|
)
|
|||||
Unrealized gain on investments in MSRs, net of estimated MSR amortization
|
(12,593
|
)
|
(53,182
|
)
|
||||
Tax expense on realized and unrealized gain on MSRs
|
2,876
|
9,460
|
||||||
Total EAD:
|
$
|
28,813
|
$
|
32,336
|
||||
EAD attributable to noncontrolling interests in Operating Partnership
|
(537
|
)
|
(656
|
)
|
||||
Dividends on preferred stock
|
9,853
|
9,853
|
||||||
EAD Attributable to Common Stockholders
|
$
|
18,423
|
$
|
21,827
|
||||
EAD Attributable to Common Stockholders, per Diluted Share
|
$
|
0.70
|
$
|
1.10
|
||||
GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share
|
$
|
(1.70)
|
$
|
0.60
|
(A) |
Excludes drop income on TBA dollar rolls of $3.2 million and $6.3 million and interest rate swap periodic interest income of $35.0 million and $11.1 million for the years ended December 31, 2023 and December 31, 2022,
respectively.
|
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
|
$
|
253,629
|
$
|
19,972,994
|
3.48
|
%
|
0.25
|
%
|
300
|
42
|
0.1
|
%
|
||||||||||||||||
MSR Total/Weighted Average
|
$
|
253,629
|
$
|
19,972,994
|
3.48
|
%
|
0.25
|
%
|
300
|
42
|
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
|
$
|
279,739
|
$
|
21,688,353
|
3.49
|
%
|
0.25
|
%
|
310
|
31
|
0.1
|
%
|
||||||||||||||||
MSR Total/Weighted Average
|
$
|
279,739
|
$
|
21,688,353
|
3.49
|
%
|
0.25
|
%
|
310
|
31
|
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, available-for-sale, measured at fair value through OCI
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
211,773
|
$
|
187,746
|
$
|
2,970
|
$
|
(1,607
|
)
|
$
|
189,109
|
15
|
(B)
|
4.55
|
%
|
4.70
|
%
|
28
|
|||||||||||||||||||
Freddie Mac
|
262,695
|
235,260
|
1,075
|
(4,865
|
)
|
231,470
|
19
|
(B)
|
4.45
|
%
|
4.50
|
%
|
28
|
||||||||||||||||||||||||
RMBS, measured at fair value through earnings
|
|||||||||||||||||||||||||||||||||||||
Fannie Mae
|
221,965
|
208,487
|
4,606
|
(1,076
|
)
|
212,017
|
17
|
(B)
|
4.78
|
%
|
4.94
|
%
|
28
|
||||||||||||||||||||||||
Freddie Mac
|
401,287
|
373,310
|
7,515
|
(1,291
|
)
|
379,534
|
29
|
(B)
|
4.72
|
%
|
4.88
|
%
|
29
|
||||||||||||||||||||||||
Total/weighted average RMBS
|
$
|
1,097,720
|
$
|
1,004,803
|
$
|
16,166
|
$
|
(8,839
|
)
|
$
|
1,012,130
|
80
|
|
4.64
|
%
|
4.77
|
%
|
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, available-for-sale, measured at fair value through OCI
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
550,740
|
$
|
497,038
|
$
|
2,843
|
$
|
(16,484
|
)
|
$
|
483,397
|
45
|
(B)
|
4.27
|
%
|
4.34
|
%
|
29
|
|||||||||||||||||||
Freddie Mac
|
500,873
|
463,380
|
1,384
|
(16,730
|
)
|
448,034
|
38
|
(B)
|
4.18
|
%
|
4.24
|
%
|
29
|
||||||||||||||||||||||||
Total/weighted average RMBS
|
$
|
1,051,613
|
$
|
960,418
|
$
|
4,227
|
$
|
(33,214
|
)
|
$
|
931,431
|
83
|
4.23
|
%
|
4.29
|
%
|
29
|
(A)
|
See “Item 8. Consolidated Financial Statements and Supplementary Data—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.
|
December 31, 2023
|
December 31, 2022
|
|||||||
Weighted Average Asset Yield
|
5.33
|
%
|
4.44
|
%
|
||||
Weighted Average Interest Expense (A)
|
1.51
|
%
|
0.67
|
%
|
||||
Net Interest Spread
|
3.82
|
%
|
3.77
|
%
|
(A) |
Weighted average interest expense includes the benefits of related swaps.
|
Quarter Ended
|
Average Monthly
Amount
|
Maximum Month-End
Amount
|
Quarter Ending
Amount |
|||||||||
December 31, 2023
|
$
|
897,547
|
$
|
903,489
|
$
|
903,489
|
||||||
September 30, 2023
|
$
|
972,935
|
$
|
984,931
|
$
|
967,289
|
||||||
June 30, 2023
|
$
|
992,631
|
$
|
1,010,934
|
$
|
979,907
|
||||||
March 31, 2023
|
$
|
972,138
|
$
|
991,618
|
$
|
991,618
|
||||||
December 31, 2022
|
$
|
808,623
|
$
|
825,962
|
$
|
825,962
|
||||||
September 30, 2022
|
$
|
776,544
|
$
|
865,414
|
$
|
865,414
|
||||||
June 30, 2022
|
$
|
679,702
|
$
|
702,130
|
$
|
683,173
|
||||||
March 31, 2022
|
$
|
820,270
|
$
|
859,726
|
$
|
764,885
|
RMBS Market
Value
|
Repurchase
Agreements
|
Weighted
Average Rate
|
||||||||||
Less than one month
|
$
|
833,443
|
$
|
772,466
|
5.55
|
%
|
||||||
One to three months
|
139,778
|
131,023
|
5.55
|
%
|
||||||||
Total/Weighted Average
|
$
|
973,221
|
$
|
903,489
|
5.55
|
%
|
RMBS Market
Value
|
Repurchase
Agreements
|
Weighted
Average Rate
|
||||||||||
Less than one month
|
$
|
750,218
|
$
|
715,899
|
4.39
|
%
|
||||||
One to three months
|
114,418
|
110,063
|
4.53
|
%
|
||||||||
Total/Weighted Average
|
$
|
864,636
|
$
|
825,962
|
4.41
|
%
|
•
|
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
|
$
|
903,489
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
903,489
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
3,930
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,930
|
||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
64,500
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
64,500
|
||||||||||
Interest on Freddie Mac MSR Revolver borrowings
|
$
|
1,329
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,329
|
||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
$
|
-
|
$
|
8,679
|
$
|
97,321
|
$
|
-
|
$
|
106,000
|
||||||||||
Interest on Fannie Mae MSR Revolving Facility
|
$
|
747
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
747
|
Less than
1 year |
1 to 3
years |
3 to 5
years |
More than
5 years |
Total
|
||||||||||||||||
Repurchase agreements
|
||||||||||||||||||||
Borrowings under repurchase agreements
|
$
|
825,962
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
825,962
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
2,797
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,797
|
||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
68,500
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
68,500
|
||||||||||
Interest on Freddie Mac MSR Revolver borrowings
|
$
|
1,010
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,010
|
||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
$
|
627
|
$
|
16,406
|
$
|
98,967
|
$
|
-
|
$
|
116,000
|
||||||||||
Interest on Fannie Mae MSR Revolving Facility
|
$
|
700
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
700
|
(A) |
Interest expense is calculated based on the interest rate in effect at December 31, 2023 and December 31, 2022, respectively, and includes all interest expense incurred through those dates.
|
Item 7A. |
Quantitative and Qualitative Disclosures about Market Risk
|
(20)%
|
|
(10)%
|
|
-%
|
|
10%
|
|
20%
|
|
|||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
278,018
|
$
|
265,310
|
$
|
253,629
|
$
|
242,863
|
$
|
232,917
|
||||||||||
Change in FV
|
$
|
24,389
|
$
|
11,682
|
$
|
-
|
$
|
(10,766
|
)
|
$
|
(20,712
|
)
|
||||||||
% Change in FV
|
10
|
%
|
5
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
265,422
|
$
|
259,981
|
$
|
253,629
|
$
|
246,972
|
$
|
240,306
|
||||||||||
Change in FV
|
$
|
11,793
|
$
|
6,352
|
$
|
-
|
$
|
(6,657
|
)
|
$
|
(13,322
|
)
|
||||||||
% Change in FV
|
5
|
%
|
3
|
%
|
-
|
(3
|
)%
|
(5
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
262,597
|
$
|
258,113
|
$
|
253,629
|
$
|
249,144
|
$
|
244,660
|
||||||||||
Change in FV
|
$
|
8,968
|
$
|
4,484
|
$
|
-
|
$
|
(4,484
|
)
|
$
|
(8,968
|
)
|
||||||||
% Change in FV
|
4
|
%
|
2
|
%
|
-
|
(2
|
)%
|
(4
|
)%
|
(20)%
|
|
(10)%
|
|
-%
|
|
10%
|
|
20%
|
|
|||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
305,821
|
$
|
292,241
|
$
|
279,739
|
$
|
268,201
|
$
|
257,526
|
||||||||||
Change in FV
|
$
|
26,082
|
$
|
12,502
|
$
|
-
|
$
|
(11,538
|
)
|
$
|
(22,213
|
)
|
||||||||
% Change in FV
|
9
|
%
|
4
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
296,237
|
$
|
288,025
|
$
|
279,739
|
$
|
271,707
|
$
|
264,005
|
||||||||||
Change in FV
|
$
|
16,498
|
$
|
8,286
|
$
|
-
|
$
|
(8,032
|
)
|
$
|
(15,734
|
)
|
||||||||
% Change in FV
|
6
|
%
|
3
|
%
|
-
|
(3
|
)%
|
(6
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
288,345
|
$
|
284,042
|
$
|
279,739
|
$
|
275,436
|
$
|
271,133
|
||||||||||
Change in FV
|
$
|
8,606
|
$
|
4,303
|
$
|
-
|
$
|
(4,303
|
)
|
$
|
(8,606
|
)
|
||||||||
% Change in FV
|
3
|
%
|
2
|
%
|
-
|
(2
|
)%
|
(3
|
)%
|
December 31, 2023
|
(0.75)%
|
|
(0.50)%
|
|
(0.25)%
|
|
0.25%
|
|
0.50%
|
|
0.75%
|
|
||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||||||
RMBS, net of swaps
|
$
|
749,491
|
||||||||||||||||||||||||||
Estimated FV
|
$
|
753,297
|
$
|
752,391
|
$
|
751,103
|
$
|
747,569
|
$
|
745,369
|
$
|
742,833
|
||||||||||||||||
Change in FV
|
$
|
3,806
|
$
|
2,900
|
$
|
1,612
|
$
|
(1,922
|
)
|
$
|
(4,122
|
)
|
$
|
(6,658
|
)
|
|||||||||||||
% Change in FV
|
0.51
|
%
|
0.39
|
%
|
0.22
|
%
|
(0.26
|
)%
|
(0.55
|
)%
|
(0.89
|
)%
|
December 31, 2022
|
(0.75)%
|
|
(0.50)%
|
|
(0.25)%
|
|
0.25%
|
|
0.50%
|
|
0.75%
|
|
||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||||||
RMBS, net of swaps
|
$
|
785,308
|
||||||||||||||||||||||||||
Estimated FV
|
$
|
781,962
|
$
|
783,468
|
$
|
784,625
|
$
|
785,583
|
$
|
785,537
|
$
|
785,188
|
||||||||||||||||
Change in FV
|
$
|
(3,346
|
)
|
$
|
(1,840
|
)
|
$
|
(683
|
)
|
$
|
275
|
$
|
229
|
$
|
(120
|
)
|
||||||||||||
% Change in FV
|
(0.43
|
)%
|
(0.23
|
)%
|
(0.09
|
)%
|
0.04
|
%
|
0.03
|
%
|
(0.02
|
)%
|
Page
|
||||
74 | ||||
75 | ||||
76 | ||||
77 | ||||
78 | ||||
79 | ||||
80 |
Description of
the Matter
|
The Company invests in servicing related assets comprising mortgage servicing rights (MSRs) which have a fair value of $254 million as of December 31, 2023 as included
in Notes 5 and 9 to the consolidated financial statements. The Company records servicing related assets at fair value on a recurring basis with changes in fair value recognized in the income statement. These fair value estimates are based
on valuation techniques used to estimate future cash flows that incorporate significant unobservable inputs and assumptions which include prepayment speeds, discount rates and cost to service.
Auditing the valuation of servicing related assets is complex and required the use of specialists due to the high degree of judgment in management’s assumptions which
are unobservable in nature. Additionally, selecting and applying audit procedures to address the estimation uncertainty involves auditor subjectivity and industry-specific knowledge of servicing related assets including the current market
conditions considered by a market participant.
|
|
How We
Addressed the
Matter in Our
Audit
|
We obtained an understanding, evaluated and tested the Company’s processes and the design and operating effectiveness of internal controls addressing the valuation of
servicing related assets including management’s review of the completeness and accuracy of the key inputs and data used in the valuation, management’s comparison of assumptions to independent third party data and the internal fair value
mark to third party independent valuation firms ranges to evaluate the reasonableness of the fair values developed by the Company.
To test the valuation of servicing related assets, our audit procedures included, among others, evaluating the Company’s use of the discounted cash flow valuation
technique, validating the accuracy of model objective inputs to underlying records, and evaluating significant subjective assumptions by comparing to current industry, market and economic trends. We involved our valuation specialists to
assist in our evaluation of the Company’s model, valuation methodology, significant assumptions and to independently develop a range of fair values for the MSRs. We evaluated the knowledge, skill and ability, and objectivity of
management’s independent valuation firms engaged to evaluate the reasonableness of the fair values developed by the Company. We compared management’s assumptions and fair value estimates to the assumptions and fair value ranges developed
by management’s valuation specialists and our independent range to assess management’s estimate of fair value and identify potential sources of contrary information. We evaluated the Company’s fair value disclosures included in Note 9 for
consistency with US GAAP.
|
December 31, 2023
|
December 31, 2022
|
|||||||
Assets
|
||||||||
RMBS, at fair value (including pledged assets of $
|
$
|
|
$
|
|
||||
Investments in Servicing Related Assets, at fair value (including pledged assets of $
|
|
|
||||||
Cash and cash equivalents
|
|
|
||||||
Restricted cash
|
|
|
||||||
Derivative assets
|
|
|
||||||
Receivables from unsettled trades
|
||||||||
Receivables and other assets
|
|
|
||||||
Total Assets
|
$
|
|
$
|
|
||||
Liabilities and Stockholders’ Equity
|
||||||||
Liabilities
|
||||||||
Repurchase agreements
|
$
|
|
$
|
|
||||
Derivative liabilities
|
|
|
||||||
Notes payable
|
|
|
||||||
Dividends payable
|
|
|
||||||
Due to manager
|
|
|
||||||
Payables for unsettled trades
|
||||||||
Accrued expenses and other liabilities
|
|
|
||||||
Total Liabilities
|
$
|
|
$
|
|
||||
Stockholders’ Equity
|
||||||||
Series A Preferred stock, $
|
$
|
|
$
|
|
||||
Series B Preferred stock, $
|
|
|
||||||
Common stock, $
|
|
|
||||||
Additional paid-in capital
|
|
|
||||||
Accumulated Deficit
|
(
|
)
|
(
|
)
|
||||
Accumulated other comprehensive loss
|
(
|
)
|
(
|
)
|
||||
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity
|
$
|
|
$
|
|
||||
Non-controlling interests in Operating Partnership
|
|
|
||||||
Total Stockholders’ Equity
|
$
|
|
$
|
|
||||
Total Liabilities and Stockholders’ Equity
|
$
|
|
$
|
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Income
|
||||||||||||
Interest income
|
$
|
|
$
|
|
$
|
|
||||||
Interest expense
|
|
|
|
|||||||||
Net interest income (expense)
|
(
|
)
|
|
|
||||||||
Servicing fee income
|
|
|
|
|||||||||
Servicing costs
|
|
|
|
|||||||||
Net servicing income
|
|
|
|
|||||||||
Other income (loss)
|
||||||||||||
Realized gain (loss) on RMBS, net
|
(
|
)
|
(
|
)
|
|
|||||||
Realized gain (loss) on derivatives, net
|
|
|
(
|
)
|
||||||||
Realized gain on acquired assets, net
|
|
|
|
|||||||||
Unrealized gain on RMBS, measured at fair value through earnings, net
|
||||||||||||
Unrealized gain (loss) on derivatives, net
|
(
|
)
|
|
(
|
)
|
|||||||
Unrealized gain (loss) on investments in Servicing Related Assets
|
(
|
)
|
|
(
|
)
|
|||||||
Total Income (Loss)
|
(
|
)
|
|
|
||||||||
Expenses
|
||||||||||||
General and administrative expense
|
|
|
|
|||||||||
Management fee to affiliate
|
|
|
|
|||||||||
Total Expenses
|
|
|
|
|||||||||
Income (Loss) Before Income Taxes
|
(
|
)
|
|
|
||||||||
Provision for corporate business taxes
|
|
|
|
|||||||||
Net Income (Loss)
|
(
|
)
|
|
|
||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership
|
|
(
|
)
|
(
|
)
|
|||||||
Dividends on preferred stock
|
|
|
|
|||||||||
Net Income (Loss) Applicable to Common Stockholders
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Net Income (Loss) Per Share of Common Stock
|
||||||||||||
Basic
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Diluted
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Weighted Average Number of Shares of Common Stock Outstanding
|
||||||||||||
Basic
|
|
|
|
|||||||||
Diluted
|
|
|
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Net income (loss)
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Other comprehensive income (loss):
|
||||||||||||
Unrealized gain (loss) on RMBS, available-for-sale, net
|
|
(
|
)
|
(
|
)
|
|||||||
Net other comprehensive income (loss)
|
|
(
|
)
|
(
|
)
|
|||||||
Comprehensive loss
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
(
|
)
|
|||
Comprehensive loss attributable to noncontrolling interests in Operating Partnership
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Dividends on preferred stock
|
|
|
|
|||||||||
Comprehensive loss attributable to common stockholders
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
(
|
)
|
Common
Stock
Shares
|
Common
Stock
Amount
|
Preferred
Stock
Shares
|
Preferred
Stock
Amount
|
Additional
Paid-in
Capital
|
Accumulated
Other
Comprehensive
Income (Loss)
|
Retained
Earnings
(Deficit)
|
Non-
Controlling
Interest in
Operating
Partnership
|
Total
Stockholders’
Equity
|
||||||||||||||||||||||||||||
Balance, December 31, 2020
|
|
$
|
|
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||||||||||
Issuance of common stock
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Conversion of OP units
|
-
|
|
-
|
|
|
|
|
(
|
)
|
(
|
)
|
|||||||||||||||||||||||||
Redemption of OP units for cash
|
- | - | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
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, 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, December 31, 2022
|
|
$
|
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
$
|
|
||||||||||||||||||
Issuance of common stock
|
||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock
|
- | - | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||
Other Comprehensive Income
|
- | - | ||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards
|
- | - | ||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
- | - | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Common dividends declared, $
|
- | - | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $
|
- | - | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $
|
- | - | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Balance, December 31, 2023
|
$ | $ | $ | $ | ( |
) | $ | ( |
) | $ | $ |
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Cash Flows From Operating Activities
|
||||||||||||
Net income (loss)
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||||||||
Realized (gain) loss on RMBS, net
|
|
|
(
|
)
|
||||||||
Unrealized (gain) loss on investments in Servicing Related Assets
|
|
(
|
)
|
|
||||||||
Realized gain on acquired assets, net
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Realized (gain) loss on derivatives, net
|
(
|
)
|
(
|
)
|
|
|||||||
Unrealized gain on RMBS, measured at fair value through earnings, net
|
( |
) | ||||||||||
Unrealized (gain) loss on derivatives, net
|
|
(
|
)
|
|
||||||||
Amortization (accretion) of premiums on RMBS
|
(
|
)
|
|
|
||||||||
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
|
( |
) | ( |
) | ( |
) | ||||||
Proceeds from settlement of derivatives
|
|
|
|
|||||||||
Net cash provided by (used in) investing activities
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
|
||||
Cash Flows From Financing Activities
|
||||||||||||
Borrowings under repurchase agreements
|
|
|
|
|||||||||
Repayments of repurchase agreements
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Proceeds from derivative financing
|
|
|
|
|||||||||
Proceeds from bank loans
|
(
|
)
|
|
|
||||||||
Principal paydown of bank loans
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Dividends paid
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
LTIP-OP Units distributions paid
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Conversion of OP units
|
|
|
(
|
)
|
||||||||
Redemption of OP units for cash
|
( |
) | ||||||||||
Issuance of common stock, net of offering costs
|
|
|
|
|||||||||
Net cash provided by (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
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Realized gain (loss) on RMBS, net
|
||||||||||||
Gain on RMBS, available-for-sale, measured at fair value through OCI (A)
|
$
|
|
$
|
|
$
|
|
||||||
Loss on RMBS, available-for-sale, measured at fair value through OCI (A)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Loss on RMBS measured at fair value through earnings
|
( |
) | ||||||||||
Realized gain (loss) on RMBS, net |
$ | ( |
) | $ | ( |
) | $ |
(A) |
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Income Statement
|
||||||||||||||||
Year Ended December 31, 2023
|
||||||||||||||||
Interest income
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Interest expense
|
|
|
|
|
||||||||||||
Net interest expense
|
(
|
)
|
(
|
)
|
|
(
|
)
|
|||||||||
Servicing fee income
|
|
|
|
|
||||||||||||
Servicing costs
|
|
|
|
|
||||||||||||
Net servicing income
|
|
|
|
|
||||||||||||
Other expense
|
(
|
)
|
(
|
)
|
|
(
|
)
|
|||||||||
Other operating expenses
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Provision for corporate business taxes
|
(
|
)
|
|
|
(
|
)
|
||||||||||
Net Income (Loss)
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
(
|
)
|
|||||
Year Ended December 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)
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||||
Year Ended December 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
|
||||||||||||||||
December 31, 2023
|
||||||||||||||||
Investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Other assets
|
|
|
|
|
||||||||||||
Total assets
|
|
|
|
|
||||||||||||
Debt
|
|
|
|
|
||||||||||||
Other liabilities
|
|
|
|
|
||||||||||||
Total liabilities
|
|
|
|
|
||||||||||||
Net Assets
|
$
|
|
$
|
|
$
|
|
$
|
|
December 31, 2022
|
||||||||||||||||
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, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$ |
$ | $ | $ | ( |
) | $ |
(B) | % | % | |||||||||||||||||||||||||||
Freddie Mac
|
( |
) | (B) | % | % | ||||||||||||||||||||||||||||||||
RMBS, measured at fair value through earnings
|
|||||||||||||||||||||||||||||||||||||
Fannie Mae
|
( |
) | (B) | % | % | ||||||||||||||||||||||||||||||||
Freddie Mac
|
( |
) | (B) | % | % | ||||||||||||||||||||||||||||||||
Total/weighted average RMBS
|
$ | $ | $ | $ | ( |
) | $ | % | % |
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, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||||
Freddie Mac
|
|
|
|
(
|
)
|
|
|
(B)
|
|
%
|
|
%
|
|
||||||||||||||||||||||||
Total/weighted average RMBS
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
%
|
|
%
|
|
(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)
|
|||||||||||||||||||||||||||
RMBS, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||||||
Over 10 Years
|
$ | $ | $ | $ | ( |
) | $ | (B) | % | % | |||||||||||||||||||||||||||
RMBS, measured at fair value through earnings
|
|||||||||||||||||||||||||||||||||||||
Over 10 Years | ( |
) | (B) | % | % | ||||||||||||||||||||||||||||||||
Total/weighted average RMBS
|
$ | $ | $ | $ | ( |
) | $ | % | % |
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)
|
|||||||||||||||||||||||||||
RMBS, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||||||
Over 10 Years
|
$ | $ | $ | $ | ( |
) | $ | (B) | % | % | |||||||||||||||||||||||||||
Total/weighted average RMBS
|
$ | $ | $ | $ | ( |
) | $ | % | % |
(A) |
See Note 9 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.
|
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)
|
||||||||||||||||||||||||
RMBS, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||
Less than Twelve Months
|
$ | $ |
$ | ( |
) | $ | (B) | % | % | ||||||||||||||||||||||||
Twelve or More Months
|
( |
) | (B) | % | % | ||||||||||||||||||||||||||||
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI
|
$ | $ | $ | ( |
) | $ | % | % |
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)
|
||||||||||||||||||||||||
RMBS, available-for-sale, measured at fair value through OCI
|
|||||||||||||||||||||||||||||||||
Less than Twelve Months
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
(B)
|
|
%
|
|
%
|
|
|||||||||||||||||
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|
|
%
|
|
%
|
|
(A) |
See Note 9 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.
|
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
|
|
%
|
||
Florida
|
% | |||
North Carolina
|
|
%
|
||
All other
|
|
%
|
||
Total
|
|
%
|
Percentage of Total
Outstanding Unpaid
Principal Balance
|
||||
California
|
% | |||
Virginia
|
% | |||
New York
|
% | |||
Maryland
|
% | |||
Texas
|
% | |||
Florida | % | |||
North Carolina | % | |||
All other
|
% | |||
Total
|
% |
LTIP-OP Units | Shares of Common Stock | |||||||||||||||||||||||||||||||||
Issued
|
Forfeited
|
Converted
|
Redeemed |
Issued
|
Forfeited
|
Number of Securities
Remaining Available For
Future Issuance Under
Equity Compensation Plans
|
Weighted Average Issuance
Price
|
|||||||||||||||||||||||||||
December 31, 2020
|
(
|
)
|
|
|
(
|
)
|
|
|
||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(
|
)
|
(A) |
|
|
(
|
)
|
|
(
|
)
|
$
|
|
||||||||||||||||||||||
Number of securities redeemed
|
- | - | - | - | - | - | ||||||||||||||||||||||||||||
December 31, 2021
|
(
|
)
|
|
|
(
|
)
|
|
|
||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(
|
)
|
(B) |
|
|
(
|
)
|
|
(
|
)
|
$
|
|
||||||||||||||||||||||
Number of securities forfeited
|
- | - | - | - | - |
|||||||||||||||||||||||||||||
December 31, 2022
|
(
|
)
|
|
|
(
|
)
|
|
|
||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
|
( |
) | (C) |
( |
) | (D) | ( |
) | $ | ||||||||||||||||||||||||
Increase in the number of securities available for issuance |
- | - | - | - | - | - | ||||||||||||||||||||||||||||
December 31, 2023 | ( |
) | ( |
) |
(A) |
|
(B) |
|
(C) |
|
(D) |
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Numerator:
|
||||||||||||
Net income (loss)
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership
|
|
(
|
)
|
(
|
)
|
|||||||
Dividends on preferred stock
|
|
|
|
|||||||||
Net income (loss) applicable to common stockholders
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Denominator:
|
||||||||||||
Weighted average common shares outstanding
|
|
|
|
|||||||||
Weighted average diluted shares outstanding
|
|
|
|
|||||||||
Basic and Diluted EPS:
|
||||||||||||
Basic
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Diluted
|
$
|
(
|
)
|
$
|
|
$
|
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Management fees
|
$
|
|
$
|
|
$
|
|
||||||
Compensation reimbursement
|
|
|
|
|||||||||
Total
|
$
|
|
$
|
|
$
|
|
Derivatives
|
December 31, 2023
|
December 31, 2022
|
||||||
Notional amount of interest rate swaps
|
$
|
|
$
|
|
||||
Notional amount of TBAs, net
|
(
|
)
|
(
|
)
|
||||
Notional amount of U.S. treasury futures
|
|
(
|
)
|
|||||
Notional amount of options on treasury futures
|
||||||||
Total notional amount
|
$
|
|
$
|
|
Notional Amount(A)
|
Fair Value
|
Weighted Average
Pay Rate
|
Weighted Average
Receive Rate
|
Weighted Average
Years to Maturity
|
||||||||||||||||
December 31, 2023
|
$
|
|
$ |
|
|
%
|
|
%
|
|
|||||||||||
December 31, 2022
|
$ |
|
$ |
|
|
%
|
|
%
|
|
(A)
|
|
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
|
|||||||||
2 years | $ | $ | $ | |||||||||
5 years | ||||||||||||
10 years (A) | ( |
) | ( |
) | ||||||||
Total
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
10 years (A)
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Total
|
$
|
|
$
|
(
|
)
|
$
|
|
(A)
|
|
Maturity
|
Notional
Amount -
Long
|
Notional
Amount -
Short
|
Fair Value
|
|||||||||
10 years
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Total
|
$
|
|
$
|
(
|
)
|
$ |
|
Year Ended December 31,
|
||||||||||||
Derivatives
|
2023
|
2022
|
2021
|
|||||||||
Interest rate swaps (A)
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
(
|
)
|
|||
Swaptions
|
|
(
|
)
|
(
|
)
|
|||||||
TBAs
|
|
(
|
)
|
(
|
)
|
|||||||
U.S. Treasury futures
|
(
|
)
|
|
(
|
)
|
|||||||
U.S. treasury futures options |
( |
) | ( |
) | ( |
) | ||||||
Total
|
$
|
(
|
)
|
$
|
(
|
)
|
$
|
(
|
)
|
(A)
|
|
Gross Amounts
of Recognized
Assets or
Liabilities
|
Gross Amounts
Offset in the
Consolidated
Balance Sheet
|
Net Amounts
of Assets
and Liabilities
Presented in the
Consolidated
Balance Sheet
|
Gross Amounts Not Offset in the
Consolidated Balance Sheet
|
|||||||||||||||||||||
|
Financial
Instruments
|
Cash Collateral
Received (Pledged) (A)
|
Net Amount
|
|||||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||
TBAs
|
|
(
|
)
|
|
|
|
|
|||||||||||||||||
U.S. treasury futures
|
|
(
|
)
|
|
|
|
|
|||||||||||||||||
Total Assets
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||||||||
Interest rate swaps
|
|
|
|
(
|
)
|
|
|
|||||||||||||||||
TBAs
|
|
(
|
)
|
|
(
|
)
|
(
|
)
|
|
|||||||||||||||
U.S. treasury futures
|
( |
) | ( |
) | ||||||||||||||||||||
Total Liabilities
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
(
|
)
|
$
|
|
$
|
|
Gross Amounts
of Recognized
Assets or
Liabilities
|
Gross Amounts
Offset in the
Consolidated
Balance Sheet
|
Net Amounts
of Assets
and Liabilities
Presented in the
Consolidated
Balance Sheet
|
Gross Amounts Not Offset 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
|
|
(
|
)
|
|
(
|
)
|
|
|
||||||||||||||||
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
|
|
|
|
|
||||||||||||
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
|
|
|
|
|
||||||||||||
TBAs, net | ||||||||||||||||
U.S. treasury futures | ||||||||||||||||
U.S. treasury futures options | ||||||||||||||||
Derivative assets total
|
|
|
|
|
||||||||||||
Servicing related assets
|
|
|
|
|
||||||||||||
Total Assets
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
|
|
|
|
||||||||||||
Derivative liabilities total
|
|
|
|
|
||||||||||||
Total Liabilities
|
$
|
|
$
|
|
$
|
|
$
|
|
Year
Ended December 31,
|
||||||||||||
2023 |
2022
|
2021 | ||||||||||
Balance at beginning of period
|
$ |
$
|
|
$ | ||||||||
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
|
( |
) |
|
|||||||||
(B)
|
( |
) |
(
|
)
|
( |
) | ||||||
Unrealized gain (loss) included in Net Income
|
( |
) |
|
|
( |
) | ||||||
Balance at end of period
|
$ |
$
|
|
$ |
(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
|
$
|
|
|
%
|
2024
|
2025
|
2026
|
2027
|
2028
|
2029 |
Total
|
||||||||||||||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$ |
$
|
|
|||||||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
|
|
|
|
|
|
||||||||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$ |
$
|
|
2023
|
2024
|
2025
|
2026
|
2027
|
2028 |
Total
|
||||||||||||||||||||||
Freddie Mac MSR Revolver
|
||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$ |
$
|
|
|||||||||||||||
Fannie Mae MSR Revolving Facility
|
||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility
|
|
|
|
|
|
|
||||||||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
$
|
|
$ |
$
|
|
December 31, 2023
|
December 31, 2022
|
|||||||
Servicing advances
|
$
|
|
$
|
|
||||
Interest receivable
|
|
|
||||||
Deferred tax asset
|
|
|
||||||
Other receivables
|
|
|
||||||
Total other assets
|
$
|
|
$
|
|
December 31, 2023
|
December 31, 2022
|
|||||||
Accrued interest on repurchase agreements |
$ |
$ |
||||||
Accrued interest on notes payable
|
|
|
|
|
||||
Accrued expenses
|
|
|
||||||
Due to counterparties (A) |
||||||||
Total accrued expenses and other liabilities
|
$
|
|
$
|
|
(A) |
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Current federal income tax benefit
|
$
|
|
$
|
|
$
|
(
|
)
|
|||||
Deferred federal income tax expense
|
|
|
|
|||||||||
Deferred state income tax expense
|
|
|
(
|
)
|
||||||||
Provision for Corporate Business Taxes
|
$
|
|
$
|
|
$
|
|
Year Ended December 31,
|
||||||||||||||||||||||||
2023
|
2022
|
2021
|
||||||||||||||||||||||
Computed income tax expense (benefit) at federal rate
|
$
|
(
|
)
|
|
%
|
$
|
|
|
%
|
$
|
|
|
%
|
|||||||||||
State tax expense, net of federal tax, if applicable
|
|
(
|
)%
|
|
|
%
|
|
|
%
|
|||||||||||||||
Tax provision due to state tax rate change
|
|
(
|
)%
|
|
|
%
|
(
|
)
|
(
|
)%
|
||||||||||||||
Permanent differences in taxable income from GAAP pre-tax income
|
% | % |
% |
|||||||||||||||||||||
Provision to return adjustment
|
(
|
)
|
|
% |
(
|
)
|
|
% |
(
|
)
|
% | |||||||||||||
REIT income not subject to tax expense (benefit)
|
|
(
|
)%
|
(
|
)
|
(
|
)%
|
(
|
)
|
(
|
)%
|
|||||||||||||
Provision for Corporate Business Taxes/Effective Tax Rate(A)
|
$
|
|
(
|
)%
|
$
|
|
|
%
|
$
|
|
|
%
|
(A) |
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021 | ||||||||||
Income taxes recoverable
|
||||||||||||
Federal income taxes recoverable
|
$
|
|
$
|
|
$ | |||||||
Income taxes recoverable
|
$
|
|
$
|
|
$ |
Deferred tax assets
|
||||||||||||
Deferred tax - mortgage
servicing rights
|
$
|
(
|
)
|
$
|
|
$ | ||||||
Deferred tax - net operating
loss
|
|
|
||||||||||
Deferred tax - other
|
||||||||||||
Total net deferred tax assets
|
$
|
|
$
|
|
$ |
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Dividends per share
|
$
|
|
(A) |
$
|
|
(B) |
$
|
|
(C) | |||
Ordinary income
|
|
%
|
|
% |
|
|||||||
Long-term capital gain
|
|
% |
|
% |
|
% |
||||||
Return of capital
|
|
%
|
|
%
|
|
%
|
(A) |
|
(B) |
|
(C) |
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Dividends per share
|
$
|
|
(A) |
$
|
|
(B) |
$
|
|
(C) | |||
Ordinary income
|
|
%
|
|
%
|
|
%
|
||||||
Long-term capital gain
|
|
% |
|
% |
|
% | ||||||
Return of capital
|
|
|
% |
|
|
% |
% |
(A) |
|
(B) |
|
(C) |
|
Year Ended December 31,
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Dividends per share |
$ | (A) | $ | (B) | $ | (C) | ||||||
Ordinary income
|
|
%
|
|
%
|
|
%
|
||||||
Long-term capital gain
|
|
% |
|
% |
|
% | ||||||
Return of capital
|
|
% |
|
% |
|
%
|
(A) |
|
(B) |
|
(C) |
|
Item 9. |
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
|
Item 9A. |
Controls and Procedures
|
•
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and
dispositions of the assets of the Company;
|
• |
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and that
receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
• |
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a
material effect on the financial statements.
|
Item 9C. |
Disclosure Regarding Foreign Jurisdictions that Prevent Inspections
|
Item 10. |
Directors, Executive Officers and Corporate Governance
|
Item 11. |
Executive Compensation
|
Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
|
Item 13. |
Certain Relationships and Related Transactions, and Director Independence
|
Item 14. |
Principal Accountant Fees and Services
|
Item 15. |
Exhibits and Financial Statement Schedules
|
1.
|
Financial Statements.
|
2.
|
Financial Statement Schedule.
|
3.
|
Exhibits.
|
Exhibit
Number
|
Description
|
|
At Market Issuance Sale Agreement, dated August 31, 2018, by and among Cherry Hill Mortgage Investment Corporation and JMP Securities LLC (incorporated by reference to Exhibit 1.1 to the Company’s
Current Report on Form 8-K filed with the SEC on August 31, 2018).
|
||
At Market Issuance Sale Agreement, August 31, 2018, by and among Cherry Hill Mortgage Investment Corporation and B. Riley Securities, Inc. (incorporated by reference to Exhibit 1.2 to the Company’s
Current Report on Form 8-K filed with the SEC on August 31, 2018).
|
||
Amendment No. 1 to At Market Issuance Sale Agreement, dated August 25, 2021, by and among Cherry Hill Mortgage Investment Corporation and JMP Securities LLC.
|
||
Amendment No. 1 to At Market Issuance Sale Agreement, dated August 25, 2021, by and among Cherry Hill Mortgage Investment Corporation and B. Riley Securities, Inc.
|
||
Amendment No. 2 to At Market Issuance Sale Agreement, dated November 4, 2022, by and among Cherry Hill Mortgage Investment Corporation and JMP Securities LLC (incorporated by reference to Exhibit
1.1 to the Company’s Current Report on Form 8-K filed with the SEC on November 7, 2022).
|
||
Amendment No. 2 to At Market Issuance Sale Agreement, dated November 4, 2022, by and among Cherry Hill Mortgage Investment Corporation and B. Riley Securities, Inc. (incorporated by reference to
Exhibit 1.2 to the Company’s Current Report on Form 8-K filed with the SEC on November 7, 2022).
|
||
Articles of Amendment and Restatement of Cherry Hill Mortgage Investment Corporation (incorporated by reference to Exhibit 3.1 to Amendment No. 2 to the Company’s Registration Statement on Form
S-11 (Registration No. 333-188214) filed with the SEC on June 10, 2013).
|
||
Second Amended and Restated Bylaws of Cherry Hill Mortgage Investment Corporation (incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed with the SEC on April
26, 2023).
|
||
Articles Supplementary designating the Company’s 8.20% Series A Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.3 to the Company’s Registration Statement on Form 8-A
(File No. 001-36099) filed with the SEC on August 16, 2017).
|
||
Articles Supplementary classifying and designating 1,270,000 additional shares of the Company’s 8.20% Series A Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.1 to the
Company’s Current Report on Form 8-K (File No. 001-36099) filed with the SEC on April 5, 2018).
|
||
Articles Supplementary designating the Company’s 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.3 to the Company’s Registration
Statement on Form 8-A (File No. 001-36099) filed with the SEC on February 8, 2019).
|
||
Specimen Common Stock Certificate (incorporated by reference to Exhibit 4.1 to Amendment No. 1 to the Company’s Registration Statement on Form S-11 (Registration No. 333-188214) filed with the SEC
on May 29, 2013).
|
||
Description of Registrant’s Securities.
|
Amended and Restated Management Agreement, entered into as of September 24, 2013, by and among Cherry Hill Mortgage Investment Corporation and its consolidated subsidiaries and Cherry Hill Mortgage
Management, LLC (incorporated by reference to Exhibit 10.5 to Amendment No. 4 to the Company’s Registration Statement on Form S-11 (Registration No. 333-188214) filed with the SEC on September 26, 2013).
|
||
Amendment No. 1, entered into as of October 22, 2015, to Amended and Restated Management Agreement, entered into as of September 24, 2013, by and among Cherry Hill Mortgage Investment Corporation
and its consolidated subsidiaries and Cherry Hill Mortgage Management, LLC (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K (File No. 001-36099) filed with the SEC on October 23, 2015).
|
Form of Indemnification Agreement (incorporated by reference to Exhibit 10.6 to Amendment No. 1 to the Company’s Registration Statement on Form S-11 (Registration No. 333-188214) filed with the SEC
on May 29, 2013).
|
||
Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (incorporated by reference to Exhibit 10.7 to Amendment No. 2 to the Company’s Registration Statement on Form S-11
(Registration No. 333-188214) filed with the SEC on June 10, 2013).
|
||
Agreement of Limited Partnership of Cherry Hill Operating Partnership, LP, dated as of April 25, 2013 (incorporated by reference to Exhibit 10.8 to Amendment No. 1 to the Company’s Registration
Statement on Form S-11 (Registration No. 333-188214) filed with the SEC on May 29, 2013).
|
||
First Amendment to Agreement of Limited Partnership of Cherry Hill Operating Partnership, LP, dated August 16, 2017 (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on
Form 8-K (File No. 001-36099) filed with the SEC on August 16, 2017).
|
||
Second Amendment to Agreement of Limited Partnership of Cherry Hill Operating Partnership, LP, dated April 5, 2018 (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form
8-K (File No. 001-36099) filed with the SEC on April 5, 2018).
|
||
Third Amendment to Agreement of Limited Partnership of Cherry Hill Operating Partnership, LP, dated February 8, 2019 (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on
Form 8-K (File No. 001-36099) filed with the SEC on February 8, 2019).
|
||
Form of LTIP Unit Vesting Agreement (incorporated by reference to Exhibit 10.9 to Amendment No. 2 to the Company’s Registration Statement on Form S-11 (Registration No. 333-188214) filed with the
SEC on June 10, 2013).
|
||
Form of Unrestricted Non-Employee Director Stock Award Agreement (incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K (File No. 001-36099) filed with the SEC on
January 27, 2014).
|
||
Form of Restricted Non-Employee Director Stock Award Agreement (incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K (File No. 001-36099) filed with the SEC on
January 27, 2014).
|
||
Cherry Hill Mortgage Investment Corporation 2023 Equity Incentive Plan (incorporated by reference to Exhibit 4.6 to the Company’s Registration Statement on Form S-8 (Registration No. 333-273002)
filed with the SEC on June 29, 2023).
|
||
Subsidiaries of Cherry Hill Mortgage Investment Corporation.
|
Consent of Ernst & Young LLP.
|
||
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 Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith).
|
||
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith).
|
||
Cherry Hill Mortgage Investment Corporation Clawback Policy.
|
||
Services Agreement, dated May 1, 2013, between Cherry Hill Mortgage Management, LLC and Freedom Mortgage Corporation (incorporated by reference to Exhibit 10.5 to Amendment No. 1 to the Company’s
Registration Statement on Form S-11 (Registration No. 333-188214) filed with the SEC on May 29,2013).
|
||
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
|
* |
Filed herewith.
|
+ |
This document has been identified as a management contract or compensatory plan or arrangement.
|
Item 16. |
Form 10-K Summary
|
Cherry Hill Mortgage Investment Corporation
|
||
Date: March 7, 2024
|
By:
|
/s/ Jeffrey Lown II
|
Jeffrey Lown II
|
||
President and Chief Executive Officer and Director
(Principal Executive Officer)
|
Date: March 7, 2024
|
By:
|
/s/ Jeffrey Lown II
|
Jeffrey Lown II
|
||
President and Chief Executive Officer and Director
(Principal Executive Officer)
|
||
Date: March 7, 2024
|
By:
|
/s/ Michael Hutchby
|
Michael Hutchby
|
||
Chief Financial Officer, Secretary and Treasurer
|
||
(Principal Financial and Accounting Officer)
|
||
Date: March 7, 2024
|
By:
|
/s/ Joseph Murin
|
Joseph Murin
|
||
Director
|
||
Date: March 7, 2024
|
By:
|
/s/ Robert C. Mercer, Jr.
|
Robert C. Mercer, Jr.
|
||
Director
|
Date: March 7, 2024
|
By:
|
/s/ Sharon Lee Cook
|
Sharon Lee Cook
|
||
Director
|
Jay Lown |
jay.lown@chmm.com
|
Michael Hutchby |
michael.hutchby@chmm.com
|
Robert Wipperman |
robert.wipperman@chmm.com
|
Tosh Chandra |
tchandra@jmpsecurities.com
|
Aidan Whitehead |
awhitehead@jmpsecurities.com
|
Walter Conroy |
wconroy@jmpsecurities.com
|
JMP Compliance |
compliance@jmpsecurities.com
|
Very truly yours,
|
|||
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
|
|||
By:
|
/s/ Michael Hutchby
|
||
Name: Michael Hutchby
|
|||
Title: Chief Financial Officer, Treasurer and Secretary
|
JMP SECURITIES LLC
|
||
By:
|
/s/ Tosh Chandra
|
|
Name: Tosh Chandra
|
||
Title: Managing Director
|
Jay Lown |
jay.lown@chmm.com
|
Michael Hutchby |
michael.hutchby@chmm.com
|
Robert Wipperman |
robert.wipperman@chmm.com
|
Patrice McNicoll |
pmcnicoll@brileyfin.com
|
Mike Cavanagh |
mcavanagh@brileyfin.com
|
Scott Ammaturo |
sammaturo@brileyfin.com
|
Keith Pompliano |
kpompliano@brileyfin.com
|
B. Riley ATM Admin |
atmdesk@brileyfin.com
|
Very truly yours,
|
|||
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
|
|||
By:
|
/s/ Michael Hutchby
|
||
Name: Michael Hutchby
|
|||
Title: Chief Financial Officer, Treasurer and Secretary
|
B. RILEY SECURITIES, INC.
|
||
By:
|
/s/ Patrice McNicoll
|
|
Name: Patrice McNicoll
|
||
Title: Co-Head of Investment Banking
|
• |
senior to all classes or series of our common stock and any other class or series of stock we may issue in the future that by its terms ranks junior to our Series A Preferred Stock with
respect to the payment of dividends and the distribution of assets in the event of our liquidation, dissolution or winding up (together, the “Junior Stock”);
|
• |
on parity with any class or series of stock we may issue in the future with terms specifically providing that such stock ranks on parity with our Series A Preferred Stock with respect to
the payment of dividends and the distribution of assets in the event of our liquidation, dissolution or winding up (the “Parity Stock”);
|
• |
on parity with any class or series of stock we may issue in the future with terms specifically providing that such stock ranks on parity with our Series A Preferred Stock with respect to
the payment of dividends and the distribution of assets in the event of our liquidation, dissolution or winding up (the “Parity Stock”);
|
• |
junior to all of our existing and future indebtedness (including indebtedness convertible into or exchangeable for our common stock or preferred stock) and the indebtedness of our
existing and future subsidiaries
|
• |
the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Exchange Act, of beneficial ownership, directly
or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our
stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable
or is exercisable only upon the occurrence of a subsequent condition); and
|
• |
following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or
American Depositary Receipts representing such securities) listed on the NYSE, the NYSE MKT LLC or the Nasdaq Stock Market, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE MKT LLC or the
Nasdaq Stock Market.
|
• |
the redemption date;
|
• |
the number of shares of our Series A Preferred Stock to be redeemed;
|
• |
the redemption price;
|
• |
the place or places where certificates (if any) for our Series A Preferred Stock are to be surrendered for payment of the redemption price;
|
• |
that dividends on the shares to be redeemed will cease to accumulate on the redemption date;
|
• |
if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions
constituting such Change of Control; and
|
• |
if such redemption is being made in connection with a Change of Control, that the holders of the shares of our Series A Preferred Stock being so called for redemption
will not be able to tender such shares of our Series A Preferred Stock for conversion in connection with the Change of Control and that each share of our Series A Preferred Stock tendered for conversion that is called, prior to the Change
of Control Conversion Date, for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date.
|
• |
the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of our Series A Preferred Stock, plus any accumulated and unpaid
dividends (whether or not earned or declared) thereon to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a dividend record date and prior to the corresponding dividend payment
date for our Series A Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends will be included in this sum) by (ii) the Common Stock Price, as defined below; and
|
• |
2.62881, or the “Share Cap,” subject to certain adjustments as described below.
|
• |
the events constituting the Change of Control;
|
• |
the date of the Change of Control;
|
• |
the last date on which the holders of our Series A Preferred Stock may exercise their Change of Control Conversion Right;
|
• |
the method and period for calculating the Common Stock Price;
|
• |
the Change of Control Conversion Date;
|
• |
that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of our Series A Preferred Stock, holders
will not be able to convert the shares of Series A Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change
of Control Conversion Right;
|
• |
if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of our Series A Preferred Stock;
|
• |
the name and address of the paying agent, transfer agent and conversion agent for our Series A Preferred Stock;
|
• |
the procedures that the holders of our Series A Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering
shares of our Series A Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and
|
• |
the last date on which holders of our Series A Preferred Stock may withdraw shares of our Series A Preferred Stock surrendered for conversion and the procedures that
such holders must follow to effect such a withdrawal.
|
• |
the relevant Change of Control Conversion Date;
|
• |
the number of shares of our Series A Preferred Stock to be converted; and
|
• |
that the shares of the Series A Preferred Stock are to be converted pursuant to the applicable provisions of the Series A Preferred Stock.
|
• |
the number of withdrawn shares of our Series A Preferred Stock;
|
• |
if certificated shares of our Series A Preferred Stock have been surrendered for conversion, the certificate numbers of the withdrawn shares of our Series A Preferred
Stock; and
|
• |
the number of shares of our Series A Preferred Stock, if any, which remain subject to the holder’s conversion notice.
|
• |
the corporation’s board of directors will be divided into three classes;
|
• |
the affirmative vote of two-thirds of all the votes entitled to be cast by stockholders generally in the election of directors is required to remove a director;
|
• |
the number of directors may be fixed only by vote of the board of directors;
|
• |
a vacancy on the board of directors may be filled only by the remaining directors and that directors elected to fill a vacancy will serve for the remainder of the
full term of the class of directors in which the vacancy occurred; and
|
• |
the request of stockholders entitled to cast at least a majority of all the votes entitled to be cast at the meeting is required for stockholders to require the
calling of a special meeting of stockholders.
|
• |
the act or omission of the director or officer was material to the matter giving rise to the proceeding and (1) was committed in bad faith or (2) was the result of
active and deliberate dishonesty;
|
• |
the director or officer actually received an improper personal benefit in money, property or services; or
|
• |
in the case of any criminal proceeding, the director or officer had reasonable cause to believe that the act or omission was unlawful.
|
• |
a written affirmation by the director or officer of his or her good faith belief that he or she has met the standard of conduct necessary for indemnification by the
corporation; and
|
• |
a written undertaking by the director or officer or on the director’s or officer’s behalf to repay the amount paid or reimbursed by the corporation if it is
ultimately determined that the director or officer did not meet the standard of conduct.
|
• |
any present or former director or officer of our company who is made, or threatened to be made, a party to the proceeding by reason of his or her service in that
capacity; and
|
• |
any individual who, while a director or officer of our company and at our request, serves or has served as a director, officer, partner, trustee, member or manager of
another corporation, REIT, limited liability company, partnership, joint venture, trust, employee benefit plan or other enterprise and who is made, or threatened to be made, a party to the proceeding by reason of his or her service in that
capacity.
|
• |
beneficially owning shares of our stock to the extent such beneficial ownership would result in our being “closely held” under Section 856(h) of the Code (without
regard to whether the ownership interest is held during the last half of a taxable year);
|
• |
transferring shares of our stock to the extent such transfer would result in our shares of stock being beneficially owned by fewer than 100 stockholders (determined
under the principles of Section 856(a)(5) of the Code); and
|
• |
beneficially or constructively owning shares of our stock to the extent that such beneficial or constructive ownership would otherwise cause us to fail to qualify as
a REIT under the Code.
|
Subsidiary
|
Jurisdiction of Formation
|
|
Cherry Hill Operating Partnership, LP
|
Delaware
|
|
CHMI-Sub REIT, Inc.
|
Maryland
|
|
Cherry Hill QRS I, LLC
|
Delaware
|
|
Cherry Hill QRS II, LLC
|
Delaware
|
|
Cherry Hill QRS III, LLC
|
Delaware
|
|
Cherry Hill QRS IV, LLC
|
Delaware
|
|
Cherry Hill QRS V, LLC
|
Delaware
|
|
CHMI Solutions, Inc.
|
Delaware
|
|
Aurora Financial Group Inc.
|
New Jersey
|
•
|
Registration Statement (Form S-3 No. 333-251078) of Cherry Hill Mortgage Investment Corporation;
|
•
|
Registration Statement (Form S-8 No. 333-191600) pertaining to the 2013 Equity Incentive Plan of Cherry Hill Mortgage Investment Corporation and
|
•
|
Registration Statement (Form S-8 No. 333-273002) pertaining to the 2023 Equity Incentive Plan of Cherry Hill Mortgage Investment Corporation; |
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 (the Registrant’s fourth fiscal quarter in the
case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and
|
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.
|
Date: March 7, 2024
|
||
By:
|
/s/ Jeffrey Lown II
|
Name:
|
Jeffrey Lown II
|
||
Title:
|
President and Chief Executive Officer and Director
|
||
(Principal Executive Officer)
|
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 (the Registrant’s fourth fiscal quarter in the
case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and
|
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.
|
Date: March 7, 2024
|
|||
|
|||
By:
|
/s/ Michael Hutchby
|
|
|
|
Name:
|
Michael Hutchby
|
|
|
Title:
|
Chief Financial Officer, Secretary and Treasurer
|
|
|
|
(Principal Financial Officer)
|
|
1.
|
The report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2. |
The information contained in the report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date: March 7, 2024
|
|||
By:
|
/s/ Jeffrey Lown II
|
||
Name:
|
Jeffrey Lown II
|
||
Title:
|
President and Chief Executive Officer and Director
|
||
(Principal Executive Officer)
|
1.
|
The report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2. |
The information contained in the report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
Date: March 7, 2024
|
|||
By:
|
/s/ Michael Hutchby
|
||
Name:
|
Michael Hutchby
|
||
Title:
|
Chief Financial Officer, Secretary and Treasurer
|
||
(Principal Financial Officer)
|
Section 1. |
Definitions. As used in this Policy, the
following definitions shall apply:
|
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M8YA/%^G$XDNS">XEM)%Q^=6X/$6FSG$6L:>Q].A_]"K;=%<8=0P]",U3FTK3
MYQB:RMG^L0IWI=G]_P#P!6J=U]W_ 18[CS1F.\M7'^R,_\ LU38G/26+_OV
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Consolidated Statements of Income (Loss) - USD ($) $ in Thousands |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Income | |||||
Interest income | $ 49,985 | $ 29,642 | $ 14,956 | ||
Interest expense | 51,642 | 17,563 | 5,768 | ||
Net interest income (expense) | (1,657) | 12,079 | 9,188 | ||
Servicing fee income | 53,427 | 53,430 | 54,157 | ||
Servicing costs | 11,248 | 11,837 | 13,624 | ||
Net servicing income | 42,179 | 41,593 | 40,533 | ||
Other income (loss) | |||||
Realized gain (loss) on RMBS, net | (36,315) | (99,694) | 548 | ||
Realized gain (loss) on derivatives, net | 33,821 | 1,363 | (9,339) | ||
Realized gain on acquired assets, net | 23 | 12 | 15 | ||
Unrealized gain on RMBS, measured at fair value through earnings, net | 9,755 | 0 | 0 | ||
Unrealized gain (loss) on derivatives, net | (43,071) | 61,864 | (1,745) | ||
Unrealized gain (loss) on investments in Servicing Related Assets | (25,937) | 22,976 | (11,062) | ||
Total Income (Loss) | (21,202) | 40,193 | 28,138 | ||
Expenses | |||||
General and administrative expense | 6,900 | 6,305 | 6,983 | ||
Management fee to affiliate | 6,830 | 6,629 | 7,844 | ||
Total Expenses | 13,730 | 12,934 | 14,827 | ||
Income (Loss) Before Income Taxes | (34,932) | 27,259 | 13,311 | ||
Provision for corporate business taxes | [1] | 523 | 5,070 | 781 | |
Net Income (Loss) | (35,455) | 22,189 | 12,530 | ||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 661 | (450) | (247) | ||
Dividends on preferred stock | 9,853 | 9,853 | 9,853 | ||
Net Income (Loss) Applicable to Common Stockholders | $ (44,647) | $ 11,886 | $ 2,430 | ||
Net Income (Loss) Per Share of Common Stock | |||||
Basic (in dollars per share) | $ (1.7) | $ 0.6 | $ 0.14 | ||
Diluted (in dollars per share) | $ (1.7) | $ 0.6 | $ 0.14 | ||
Weighted Average Number of Shares of Common Stock Outstanding | |||||
Basic (in shares) | 26,262,407 | 19,768,286 | 17,324,362 | ||
Diluted (in shares) | 26,293,903 | 19,795,639 | 17,345,562 | ||
|
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Consolidated Statements of Comprehensive Income (Loss) [Abstract] | |||
Net income (loss) | $ (35,455) | $ 22,189 | $ 12,530 |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on RMBS, available-for-sale, net | 26,559 | (36,631) | (28,067) |
Net other comprehensive income (loss) | 26,559 | (36,631) | (28,067) |
Comprehensive loss | (8,896) | (14,442) | (15,537) |
Comprehensive loss attributable to noncontrolling interests in Operating Partnership | (166) | (293) | (306) |
Dividends on preferred stock | 9,853 | 9,853 | 9,853 |
Comprehensive loss attributable to common stockholders | $ (18,583) | $ (24,002) | $ (25,084) |
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 | $ 12 | $ 0 | 10,258 | 0 | 0 | 0 | 10,270 | ||||||||||||||
Issuance of common stock (in shares) | 1,184,990 | 0 | |||||||||||||||||||
Conversion of OP units | $ 0 | $ 0 | 0 | 0 | 0 | (147) | (147) | ||||||||||||||
Redemption of OP units for cash | 0 | 0 | 0 | 0 | 0 | (89) | (89) | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | 12,283 | 247 | 12,530 | ||||||||||||||
Other Comprehensive (Loss) Income | 0 | 0 | 0 | (28,067) | 0 | 0 | (28,067) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 900 | 900 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (361) | (361) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (18,930) | 0 | (18,930) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (5,732) | $ 0 | $ (5,732) | $ 0 | $ 0 | $ 0 | $ 0 | $ (4,124) | $ 0 | $ (4,124) | |||||||
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 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 52 | $ 0 | 33,255 | 0 | 0 | 0 | 33,307 | ||||||||||||||
Issuance of common stock (in shares) | 5,246,282 | 0 | |||||||||||||||||||
Net Income (Loss) before dividends on preferred stock | $ 0 | $ 0 | 0 | 0 | 21,739 | 450 | 22,189 | ||||||||||||||
Other Comprehensive (Loss) Income | 0 | 0 | 0 | (36,631) | 0 | 0 | (36,631) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 496 | 496 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (416) | (416) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (22,393) | 0 | (22,393) | ||||||||||||||
Preferred dividends declared | 0 | 0 | 0 | 0 | (5,728) | 0 | (5,728) | 0 | 0 | 0 | 0 | (4,124) | 0 | (4,124) | |||||||
Ending balance at Dec. 31, 2022 | $ 239 | $ 115,379 | 344,510 | (29,104) | (168,989) | 3,481 | $ 265,516 | ||||||||||||||
Ending balance (in shares) at Dec. 31, 2022 | 23,508,130 | 4,781,635 | 23,508,130 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 66 | $ 0 | 30,988 | 0 | 0 | 0 | $ 31,054 | ||||||||||||||
Issuance of common stock (in shares) | 6,511,839 | 0 | |||||||||||||||||||
Net Income (Loss) before dividends on preferred stock | $ 0 | $ 0 | 0 | 0 | (34,794) | (661) | (35,455) | ||||||||||||||
Other Comprehensive (Loss) Income | 0 | 0 | 0 | 26,559 | 0 | 0 | 26,559 | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 468 | 468 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (389) | (389) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (19,527) | 0 | (19,527) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (5,728) | $ 0 | $ (5,728) | $ 0 | $ 0 | $ 0 | $ 0 | $ (4,123) | $ 0 | $ (4,123) | |||||||
Ending balance at Dec. 31, 2023 | $ 305 | $ 115,379 | $ 375,498 | $ (2,545) | $ (233,161) | $ 2,899 | $ 258,375 | ||||||||||||||
Ending balance (in shares) at Dec. 31, 2023 | 30,019,969 | 4,781,635 | 30,019,969 |
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Common dividends declared (in dollars per share) | $ 0.72 | $ 1.08 | $ 1.08 |
Series A Preferred Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Preferred dividends declared (in dollars per share) | 2.05 | 2.05 | 2.05 |
Series B Preferred Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Preferred dividends declared (in dollars per share) | $ 2.06 | $ 2.06 | $ 2.06 |
Consolidated Statements of Cash Flows - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Cash Flows From Operating Activities | |||
Net income (loss) | $ (35,455) | $ 22,189 | $ 12,530 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Realized (gain) loss on RMBS, net | 36,315 | 99,694 | (548) |
Unrealized (gain) loss on investments in Servicing Related Assets | 25,937 | (22,976) | 11,062 |
Realized gain on acquired assets, net | (23) | (12) | (15) |
Realized (gain) loss on derivatives, net | (33,821) | (1,363) | 9,339 |
Unrealized gain on RMBS, measured at fair value through earnings, net | (9,755) | 0 | 0 |
Unrealized (gain) loss on derivatives, net | 43,071 | (61,864) | 1,745 |
Amortization (accretion) of premiums on RMBS | (1,820) | 613 | 13,514 |
Amortization of deferred financing costs | 185 | 120 | 188 |
LTIP-OP Unit awards | 468 | 496 | 900 |
Changes in: | |||
Receivables and other assets, net | (1,613) | 6,589 | 1,304 |
Due to affiliates | (81) | (19) | (1,328) |
Accrued expenses and other liabilities, net | 17,251 | 16,446 | (684) |
Net cash provided by operating activities | 40,659 | 59,913 | 48,007 |
Cash Flows From Investing Activities | |||
Purchase of RMBS | (761,946) | (1,080,180) | (583,617) |
Principal paydown of RMBS | 68,371 | 92,598 | 246,973 |
Proceeds from sale of RMBS | 585,617 | 901,788 | 570,366 |
Acquisition of MSRs | 174 | (38,036) | (55,375) |
Payments for settlement of derivatives | (9,329) | (27,774) | (11,826) |
Proceeds from settlement of derivatives | 13,059 | 23,402 | 0 |
Net cash provided by (used in) investing activities | (104,054) | (128,202) | 166,521 |
Cash Flows From Financing Activities | |||
Borrowings under repurchase agreements | 9,300,725 | 6,081,968 | 5,323,587 |
Repayments of repurchase agreements | (9,223,198) | (6,121,500) | (5,608,071) |
Proceeds from derivative financing | 4,946 | 56,025 | 1,595 |
Proceeds from bank loans | (759) | 41,500 | 105,702 |
Principal paydown of bank loans | (14,000) | (3,000) | (72,000) |
Dividends paid | (31,211) | (30,818) | (28,455) |
LTIP-OP Units distributions paid | (389) | (416) | (361) |
Conversion of OP units | 0 | 0 | (147) |
Redemption of OP units for cash | 0 | 0 | (89) |
Issuance of common stock, net of offering costs | 31,054 | 33,307 | 10,270 |
Net cash provided by (used in) financing activities | 67,168 | 57,066 | (267,969) |
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | 3,773 | (11,223) | (53,441) |
Cash, Cash Equivalents and Restricted Cash, Beginning of Period | 65,554 | 76,777 | 130,218 |
Cash, Cash Equivalents and Restricted Cash, End of Period | 69,327 | 65,554 | 76,777 |
Supplemental Disclosure of Cash Flow Information | |||
Cash paid during the period for interest expense | 28,885 | 10,806 | 2,272 |
Cash paid during the period for income taxes | 56 | 44 | 58 |
Supplemental Schedule of Non-Cash Investing and Financing Activities | |||
Dividends declared but not paid | $ 6,650 | 8,483 | 7,056 |
Sale of RMBS, settled after period end | (49,803) | 0 | |
Purchase of RMBS, settled after period end | $ 78,881 | $ 0 |
Organization and Operations |
12 Months Ended |
---|---|
Dec. 31, 2023 | |
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 real estate investment trust (“REIT”), as defined under the Internal Revenue Code of 1986, as amended (the
“Code”), 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.
We conduct substantially all of our operations and own substantially all of our assets through our Operating Partnership. We are the sole general partner
of our Operating Partnership. As of December 31, 2023, we owned 98.1% of our Operating Partnership. Our Operating Partnership, in turn,
owns all of the outstanding common stock of the Sub-REIT. 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 |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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-K. 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 mortgage servicing rights (“MSRs” or “Servicing Related Assets”); residential mortgage-backed securities (“RMBS” or “securities”) and derivatives; 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.
Investments in RMBS
Classification – The Company reports all of its investments in RMBS at
fair value on its consolidated balance sheets. Pursuant to Accounting Standards Codification (“ASC”) 320, Investments – Debt and Equity Securities, the
Company may designate a security as held-to-maturity, available-for-sale or trading, at the time of purchase, depending on the Company’s ability and intent to hold the security to maturity. Alternatively, the Company may elect the fair value option
of accounting for securities pursuant to ASC 825, Financial Instruments. Prior to January 1, 2023, the Company designated its RMBS as available-for sale. On
January 1, 2023, the Company elected the fair value option of accounting for all RMBS acquired after such date. Unrealized gains and losses on securities classified as available-for sale are reported in “Other comprehensive income (loss)” within
the consolidated statements of comprehensive income, whereas unrealized gains and losses on securities for which the Company elected the fair value option are reported in “Unrealized loss on RMBS, measured at fair value through earnings, net”
within the consolidated statements of income (loss).
Fair value is determined under the guidance of 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 on securities is determined on the
basis of the cost of the specific investment and for securities designated as available-for-sale, the unrealized gain or loss is reclassified out of accumulated other comprehensive income into earnings. All RMBS purchased and sold during the year
ended December 31, 2023, were settled prior to year-end. RMBS with a fair value of $49.8 million sold during the year ended December 31,
2022, were settled after year end. RMBS with a fair value of $78.9 million purchased during the year ended December 31, 2022, were
settled after 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 $4.0 million and $3.3 million at December 31, 2023 and December 31, 2022, 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 an available-for-sale designated 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). Since all of the Company’s available-for-sale designated securities
are Agency RMBS, the Company does not have an allowance for credit losses.
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 is included in “Net
interest income” on the consolidated statements of income (loss). Late fees and ancillary income 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 December 31, 2023 and December 31, 2022. As a
result, the Company has determined that no reserves for unrecoverable advances for the related underlying loans are necessary at
December 31, 2023 and December 31, 2022. 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”, respectively, in the
consolidated statements of income (loss). Interest rate swap periodic interest income (expense) is included in “Realized gain (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 $16.4 million and $4.2 million at December
31, 2023 and December 31, 2022, respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $0 and
$4.1 million at December 31, 2023 and December 31, 2022, 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 December 31, 2023 and December 31, 2022, approximately $75.8 million and $99.0 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 taxable REIT subsidiary (“TRS”), CHMI Solutions, as well as CHMI Solutions’s 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 reduced 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 the overnight SOFR rate. 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
Segment Reporting - In November 2023, the FASB issued ASU 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures. This standard requires
public companies to disclose information about their reportable segments’ significant expenses on an interim and annual basis to provide more transparency about the expenses they incur from revenue generating business units. The new standard is
effective for annual periods beginning after December 15, 2023, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements.
Income Taxes - In December
2023, the FASB issued ASU No. 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures. This standard requires entities to provide additional information about federal,
state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction. For
public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each
period presented. The Company has determined this ASU will not have a material impact on its Consolidated Financial Statements.
Changes in Presentation
Certain prior period amounts have been reclassified to conform to current period presentation.
|
Segment Reporting |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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):
|
Investments in RMBS |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS |
Note 4 — Investments in RMBS
At December 31, 2023, 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: Collateralized mortgage obligations (“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.
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 December 31, 2023
As of December 31, 2022
Summary of RMBS Assets by Maturity
As of December 31, 2023
As of December 31, 2022
At December 31, 2023 and December 31, 2022, the Company pledged Agency RMBS with a carrying value of approximately $973.2 million and $815.2 million,
respectively, as collateral for borrowings under repurchase agreements. At December 31, 2023 and December 31, 2022, 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 available-for-sale designated 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 available-for-sale designated 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 available-for-sale designated investments in RMBS that are not guaranteed by U.S. government agencies or U.S. government sponsored enterprises. All of the Company’s
available-for-sale designated 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 available-for-sale 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 December 31, 2023 and December 31, 2022, nor any impairment charges in earnings during the years ended December 31, 2023 and
December 31, 2022.
The following
tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands):
Available-For-Sale RMBS Unrealized Loss Positions
As of December 31, 2023
As of December 31, 2022
|
Investments in Servicing Related Assets |
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Investments in Servicing Related Assets |
Note 5 — Investments in Servicing Related Assets
MSRs
The Company’s portfolio of
Servicing Related Assets consists of Fannie Mae and Freddie Mac with an aggregate UPB of approximately $20.0 billion as of December 31, 2023.
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 December 31, 2023
As of December 31, 2022
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 December 31, 2023
As of December 31, 2022
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 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.
Redeemable Preferred Stock
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.
Since August 17, 2022, the Company could have at its option, redeemed 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. The Company did not redeem any Series A Preferred Stock during
the year ended December 31, 2023. 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. Because LIBOR ceased publication after June 30, 2023, under the terms of the Series B Preferred
Stock, the Company will appoint a calculation agent and the calculation agent will consult with an investment bank of national standing to determine whether there is an industry accepted substitute or successor base rate to USD LIBOR. If, after
such consultation, the calculation agent determines that there is an industry accepted substitute or successor base rate, the calculation agent will use such substitute or successor base rate. In such case, the calculation agent in its sole
discretion may also implement other technical changes to the Series B Preferred Stock in a manner that is consistent with industry accepted practices for such substitute or successor base rate. It is currently anticipated that the successor rate to
be chosen by the calculation agent during the floating rate period will be 3-month CME Term SOFR plus a tenor spread adjustment of 0.26161%.
Dividends on the Series A and B Preferred Stock 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. In November 2022, the Company entered into amendments to the existing At Market Issuance Sales Agreements, increasing the aggregate offering
price to up to an aggregate of $100.0 million of its common stock, of which, approximately $4.8 million was remaining as of December 31, 2023. 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 year ended December 31, 2023, the Company issued and sold 6,470,004 shares of common stock under the Common Stock ATM Program. The shares
were sold at a weighted average price of $4.87 per share for aggregate gross proceeds of approximately $31.5 million before fees of approximately $631,000.
During the year ended December 31, 2022, the Company issued and sold 5,212,841 shares of common stock under the Common Stock ATM
Program. The shares were sold at a weighted average price of $6.50 per share for aggregate gross proceeds of approximately $33.9 million before fees of approximately $677,000.
Preferred Series A 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. The Company terminated the Preferred Series A ATM Program effective as of January 29, 2024. Under the Preferred
Series A ATM Program, the Company could, but was not obligated to, sell shares of Series A Preferred Stock from time to time through one or more selling agents. During the years ended December 31, 2023 and December 31, 2022, the Company did not sell any shares of Series A Preferred Stock pursuant to 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 Securities Exchange Act of
1934, as amended, or 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 years ended December 31, 2023 and December 31, 2022, the Company
did not repurchase any shares of its common stock pursuant to the share repurchase program.
Preferred Stock Repurchase Program
In December 2023, the Company initiated a Preferred Stock repurchase program that allows for the repurchase of up to an aggregate of $50.0 million of its Preferred 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 under the Exchange Act. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The Preferred Stock 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 year ended December 31, 2023, the Company did not repurchase any Preferred Stock pursuant to the 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, which expired by its terms in October 2023, provided for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights (“SARs”), performance units, incentive awards and
other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Operating Partnership.
In April 2023, the Company’s board of directors adopted the Cherry Hill Mortgage Investment Corporation 2023 Equity Incentive Plan (the “2023 Plan”). In
June 2023, at the Company’s annual meeting of stockholders, the 2023 Plan was approved. The 2023 Plan, which expires by its term in April 2033, permits the Company to provide equity-based compensation in the form of options to purchase shares of the
Company’s common stock, stock awards, SARs, performance units, incentive awards and other equity-based awards (including LTIP-OP Units). The 2023 Plan replaced the 2013 Plan upon the 2023 Plan’s approval by stockholders and no further awards will be
made by the Company under the 2013 Plan. Currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms.
The maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan pursuant to the exercise of options and SARs, the grant of
stock awards or other equity-based awards (including LTIP-OP Units) and the settlement of incentive awards and performance units is equal to 2,830,000
shares. Other equity-based awards that are LTIP-OP Units will reduce the maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan on a one-for-one basis—that is, each such LTIP-OP Unit will be treated as an award of common stock; provided, however, for the avoidance of doubt, the conversion of any such LTIP-OP Units at a
later date into a share of common stock will not count as an award of common stock under the 2023 Plan for purposes of determining the aggregate limit to avoid any double counting of the same award. In connection with stock splits, dividends,
recapitalizations and certain other events, the Company’s board of directors will make equitable adjustments that it deems appropriate in the aggregate number of shares of common stock issuable pursuant to the 2023 Plan and the terms of outstanding
awards.
If any options or stock appreciation rights terminate, expire or are cancelled, forfeited, exchanged or surrendered without having been exercised or are
paid in cash without delivery of common stock or if any stock awards, performance units or other equity-based awards (including LTIP-OP Units) are forfeited, the shares of common stock subject to such awards will again be available for purposes of
the 2023 Plan. Shares of common stock tendered or withheld to satisfy the exercise price or for tax withholding are not available for future grants under the 2023 Plan.
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.
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
and the 2023 Plan. As noted above, effective as of June 15, 2023, (the date of the Company’s 2023 annual meeting of stockholders) the 2023 Plan replaced the 2013 Plan. No further awards will be made by the Company under the 2013 Plan, and currently
outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. Except as otherwise indicated, all shares shown in the table below are fully vested.
Equity Incentive Plan Information
The Company recognized share-based compensation expense of approximately $676,000 and $705,000 during the years ended December 31, 2023 and December 31, 2022, respectively. There was approximately $641,000 of total unrecognized share-based compensation expense as of December 31, 2023, 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 December 31, 2023, the non-controlling interest holders in the Operating Partnership owned 489,890 LTIP-OP Units, or approximately 1.9% 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 |
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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, 2024 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. 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 Management Agreement also requires the Company and the Manager to terminate the Management Agreement
without payment of any termination fee in connection with the consummation of an internalization event (as defined in the Management Agreement).
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 Agreement
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. In September 2023, RoundPoint ceased being a wholly owned subsidiary of Freedom Mortgage when it was acquired by Matrix Financial Services Corporation. The subservicing agreement with RoundPoint had an initial term of two years and is subject to automatic renewal every two years for an additional two-year term unless either party chooses not to renew. The current renewal term expires in
August 2025. 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, RoundPoint agrees to service the applicable mortgage loans in accordance with applicable law. Aurora received servicing fee income from RoundPoint of $23.9 million and $33.5 million during the nine-month period ended
September 30, 2023 and the year ended December 31, 2022, respectively. Aurora paid RoundPoint servicing costs of $3.8 million and $6.1 million during the nine-month period ended September 30, 2023 and the year ended December 31, 2022, respectively. Aurora had servicing receivables
of $687,000 from RoundPoint as of December 31, 2022. 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 nine-month period ended September 30, 2023, Aurora purchased MSRs with an aggregate UPB of approximately $987,000 from RoundPoint pursuant to the flow agreement for a purchase price of $5,000. During the year ended December 31, 2022, Aurora purchased
MSRs with an aggregate UPB of approximately $545.2 million from RoundPoint pursuant to the flow agreement for a purchase price of $5.6 million.
Joint Marketing Recapture Agreement
In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint, one of Aurora’s subservicers and from August 2020 to September 2023, 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, RoundPoint will sell the loan to Fannie Mae or Freddie
Mac, as applicable, retain the sale proceeds and transfer the related MSR to Aurora. During the period where RoundPoint was a wholly-owned subsidiary of Freedom Mortgage, RoundPoint outsourced such recapture services to Freedom Mortgage on
RoundPoint’s behalf.
Other Transactions with Related Persons
Aurora leases three employees from
Freedom Mortgage and reimburses Freedom Mortgage on a monthly basis.
|
Derivative Instruments |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments |
Note 8 — Derivative Instruments
Interest Rate Swap Agreements, Swaptions, TBAs and 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 tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):
As of December 31, 2023
As of December 31, 2022
The following tables present information about the Company’s U.S. treasury futures agreements as of the dates indicated (dollars in thousands):
As of December 31, 2023
As of December 31, 2022
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 December 31, 2022
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):
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 December 31, 2023
As of December 31, 2022
|
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 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 December 31, 2023 and December 31, 2022.
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 December 31, 2023 and
December 31, 2022.
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 December 31, 2023 and December 31, 2022.
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 December 31, 2023
As of December 31, 2022
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 December 31, 2023 and December 31, 2022, 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 December 31, 2023 and December 31, 2022 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
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 December 31, 2023
As of December 31, 2022
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 |
12 Months Ended |
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Dec. 31, 2023 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies |
Note 10 — Commitments and Contingencies
The commitments and contingencies of the Company as of December 31, 2023 and December 31, 2022 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 December 31, 2023 and December 31, 2022, 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.
See Note 2 — Basis of
Presentation and Significant Accounting Policies for details of unsettled RMBS trades as of December 31, 2022.
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 |
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements |
Note 11 — Repurchase Agreements
The Company had outstanding approximately $903.5
million and $826.0 million of borrowings under its repurchase agreements as of December 31, 2023 and December 31, 2022, respectively. The
Company’s obligations under these agreements had weighted average remaining maturities of 21 days and 18 days as of December 31, 2023 and December 31, 2022, respectively. 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 December 31, 2023
As of December 31, 2022
There were no overnight or demand
securities as of December 31, 2023 or December 31, 2022.
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Notes Payable |
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Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable |
Note 12 — Notes Payable
As of December 31, 2023, 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 2023, 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 one more renewal of 364 days. At the end of the revolving period, the
outstanding amount will be converted to a one-year term loan. Amounts borrowed bear interest at a weighted average borrowing rate of 7.7%. At December 31, 2023 and December 31, 2022, approximately $64.5 million and $68.5 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”), pursuant to which 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. In October 2023, Aurora and QRS III entered into an amendment to the
Fannie Mae MSR Revolving Facility that extended the revolving period for an additional 24 months. Amounts borrowed bear interest at a
weighted average borrowing rate of 7.8%. 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 December 31, 2023 and December 31, 2022, approximately $106.0 million and $116.0 million,
respectively, was outstanding under the Fannie Mae MSR Revolving Facility.
The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):
Long-Term Borrowings Repayment Characteristics
As of December 31, 2023
As of December 31, 2022
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Receivables and Other Assets |
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets |
Note 13 — Receivables and Other Assets
The assets comprising “Receivables and other assets” as of December 31, 2023 and December 31, 2022 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 December 31, 2023 and December 31, 2022 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 CHMI 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. All of the Company’s pre-tax book income is from U.S. domestic sources.
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 had net operating losses (“NOLs”) of $72.6 million as of December 31, 2023, which were created subsequent to 2017 and can be carried forward indefinitely. As of December 31, 2023, 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 2022, 2021 and 2020 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.
Common Stock distributions for the years indicated below were taxable as follows:
Series A Preferred Stock distributions for the years indicated below were taxable as follows:
Series B Preferred Stock distributions for the years indicated below were taxable as follows:
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Subsequent Events |
12 Months Ended |
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Dec. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events |
Note 16 — Subsequent Events
Events subsequent to December 31, 2023 were evaluated and no
additional events were identified requiring further disclosure in the consolidated financial statements.
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Insider Trading Arrangements |
3 Months Ended |
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Dec. 31, 2023 | |
Insider Trading Arrangements [Line Items] | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
Basis of Presentation and Significant Accounting Policies (Policies) |
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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-K. 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 mortgage servicing rights (“MSRs” or “Servicing Related Assets”); residential mortgage-backed securities (“RMBS” or “securities”) and derivatives; 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.
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Investments in RMBS |
Investments in RMBS
Classification – The Company reports all of its investments in RMBS at
fair value on its consolidated balance sheets. Pursuant to Accounting Standards Codification (“ASC”) 320, Investments – Debt and Equity Securities, the
Company may designate a security as held-to-maturity, available-for-sale or trading, at the time of purchase, depending on the Company’s ability and intent to hold the security to maturity. Alternatively, the Company may elect the fair value option
of accounting for securities pursuant to ASC 825, Financial Instruments. Prior to January 1, 2023, the Company designated its RMBS as available-for sale. On
January 1, 2023, the Company elected the fair value option of accounting for all RMBS acquired after such date. Unrealized gains and losses on securities classified as available-for sale are reported in “Other comprehensive income (loss)” within
the consolidated statements of comprehensive income, whereas unrealized gains and losses on securities for which the Company elected the fair value option are reported in “Unrealized loss on RMBS, measured at fair value through earnings, net”
within the consolidated statements of income (loss).
Fair value is determined under the guidance of 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 on securities is determined on the
basis of the cost of the specific investment and for securities designated as available-for-sale, the unrealized gain or loss is reclassified out of accumulated other comprehensive income into earnings. All RMBS purchased and sold during the year
ended December 31, 2023, were settled prior to year-end. RMBS with a fair value of $49.8 million sold during the year ended December 31,
2022, were settled after year end. RMBS with a fair value of $78.9 million purchased during the year ended December 31, 2022, were
settled after 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 $4.0 million and $3.3 million at December 31, 2023 and December 31, 2022, 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 an available-for-sale designated 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). Since all of the Company’s available-for-sale designated securities
are Agency RMBS, the Company does not have an allowance for credit losses.
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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 is included in “Net
interest income” on the consolidated statements of income (loss). Late fees and ancillary income 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 December 31, 2023 and December 31, 2022. As a
result, the Company has determined that no reserves for unrecoverable advances for the related underlying loans are necessary at
December 31, 2023 and December 31, 2022. 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”, respectively, in the
consolidated statements of income (loss). Interest rate swap periodic interest income (expense) is included in “Realized gain (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 $16.4 million and $4.2 million at December
31, 2023 and December 31, 2022, respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $0 and
$4.1 million at December 31, 2023 and December 31, 2022, 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 December 31, 2023 and December 31, 2022, approximately $75.8 million and $99.0 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 taxable REIT subsidiary (“TRS”), CHMI Solutions, as well as CHMI Solutions’s 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 reduced 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 the overnight SOFR rate. 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
Segment Reporting - In November 2023, the FASB issued ASU 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures. This standard requires
public companies to disclose information about their reportable segments’ significant expenses on an interim and annual basis to provide more transparency about the expenses they incur from revenue generating business units. The new standard is
effective for annual periods beginning after December 15, 2023, with early adoption permitted. The Company does not expect the adoption of the new standard to have a material effect on its Consolidated Financial Statements.
Income Taxes - In December
2023, the FASB issued ASU No. 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures. This standard requires entities to provide additional information about federal,
state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction. For
public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each
period presented. The Company has determined this ASU will not have a material impact on its Consolidated Financial Statements.
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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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Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized Gains and Losses 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) |
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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) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 December 31, 2023
As of December 31, 2022
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Summary of RMBS Investments by Maturity |
Summary of RMBS Assets by Maturity
As of December 31, 2023
As of December 31, 2022
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Summary of RMBS Securities in an Unrealized Loss Position |
The following
tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands):
Available-For-Sale RMBS Unrealized Loss Positions
As of December 31, 2023
As of December 31, 2022
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Investments in Servicing Related Assets (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 December 31, 2023
As of December 31, 2022
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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 December 31, 2023
As of December 31, 2022
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Equity and Earnings per Common Share (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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
and the 2023 Plan. As noted above, effective as of June 15, 2023, (the date of the Company’s 2023 annual meeting of stockholders) the 2023 Plan replaced the 2013 Plan. No further awards will be made by the Company under the 2013 Plan, and currently
outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. Except as otherwise indicated, all shares shown in the table below are fully vested.
Equity Incentive Plan Information
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Basic and Diluted 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) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Management Fees and Compensation Reimbursement to Affiliate |
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
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Derivative Instruments (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 of TBA Derivatives |
The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):
As of December 31, 2023
As of December 31, 2022
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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 December 31, 2023
As of December 31, 2022
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 December 31, 2022
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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):
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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 December 31, 2023
As of December 31, 2022
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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 December 31, 2023
As of December 31, 2022
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Fair Value (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 December 31, 2023
As of December 31, 2022
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|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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
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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 December 31, 2023
As of December 31, 2022
|
Repurchase Agreements (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 December 31, 2023
As of December 31, 2022
|
Notes Payable (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Long-Term Borrowings Remaining Maturities |
The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):
Long-Term Borrowings Repayment Characteristics
As of December 31, 2023
As of December 31, 2022
|
Receivables and Other Assets (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets |
The assets comprising “Receivables and other assets” as of December 31, 2023 and December 31, 2022 are summarized in the following table (dollars in
thousands):
Receivables and Other Assets
|
Accrued Expenses and Other Liabilities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued Expenses and Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued Expenses and Other Liabilities |
The liabilities comprising “Accrued expenses and other liabilities” as of December 31, 2023 and December 31, 2022 are summarized in the following table
(dollars in thousands):
Accrued Expenses and Other Liabilities
|
Income Taxes (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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):
|
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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):
|
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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):
|
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Distributions to Stockholders |
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.
Common Stock distributions for the years indicated below were taxable as follows:
Series A Preferred Stock distributions for the years indicated below were taxable as follows:
Series B Preferred Stock distributions for the years indicated below were taxable as follows:
|
Organization and Operations (Details) - $ / shares |
Dec. 31, 2023 |
Dec. 31, 2022 |
---|---|---|
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 | 98.10% | |
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 ($) |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Investments in RMBS [Abstract] | |||||
Sale of RMBS, settled after period end | $ (49,803,000) | $ 0 | |||
Purchase of RMBS, settled after period end | 78,881,000 | 0 | |||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | $ 16,441,000 | 8,234,000 | |||
Variation margin | 75,800,000 | 99,000,000 | |||
Realized gain (loss) on RMBS, net [Abstract] | |||||
Gain on RMBS, available-for-sale, measured at fair value through OCI | [1] | 0 | 50,000 | 5,653,000 | |
Loss on RMBS, available-for-sale, measured at fair value through OCI | [1] | (29,944,000) | (99,744,000) | (5,105,000) | |
Loss on RMBS measured at fair value through earnings | (6,371,000) | 0 | 0 | ||
Realized gain (loss) on RMBS, net | (36,315,000) | (99,694,000) | $ 548,000 | ||
MSRs [Member] | |||||
Investments in MSRs [Abstract] | |||||
Reserve for unrecoverable advances | 0 | 0 | |||
Derivatives [Member] | |||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | 16,400,000 | 4,200,000 | |||
Repurchase Agreements [Member] | |||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||||
Restricted cash | 0 | 4,100,000 | |||
Receivables and Other Assets [Member] | RMBS [Member] | |||||
Investments in RMBS [Abstract] | |||||
Income receivable | $ 4,000,000 | $ 3,300,000 | |||
|
Segment Reporting (Details) - USD ($) $ in Thousands |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | $ 49,985 | $ 29,642 | $ 14,956 | ||
Interest expense | 51,642 | 17,563 | 5,768 | ||
Net interest income (expense) | (1,657) | 12,079 | 9,188 | ||
Servicing fee income | 53,427 | 53,430 | 54,157 | ||
Servicing costs | 11,248 | 11,837 | 13,624 | ||
Net servicing income | 42,179 | 41,593 | 40,533 | ||
Other income (expense) | (61,724) | (13,479) | (21,583) | ||
Other operating expenses | (13,730) | (12,934) | (14,827) | ||
Provision for corporate business taxes | [1] | (523) | (5,070) | (781) | |
Net Income (Loss) | (35,455) | 22,189 | 12,530 | ||
Investments | 1,265,759 | 1,211,170 | |||
Other assets | 127,233 | 197,655 | |||
Total Assets | 1,392,992 | 1,408,825 | |||
Debt | 1,072,803 | 1,009,850 | |||
Other liabilities | 61,814 | 133,459 | |||
Total Liabilities | 1,134,617 | 1,143,309 | |||
Net Assets | 258,375 | 265,516 | |||
Servicing Related Assets [Member] | Operating Segments [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 0 | 0 | 376 | ||
Interest expense | 1,572 | 3,837 | 4,484 | ||
Net interest income (expense) | (1,572) | (3,837) | (4,108) | ||
Servicing fee income | 53,427 | 53,430 | 54,157 | ||
Servicing costs | 11,248 | 11,837 | 13,624 | ||
Net servicing income | 42,179 | 41,593 | 40,533 | ||
Other income (expense) | (29,443) | (26,655) | (34,103) | ||
Other operating expenses | (2,231) | (2,099) | (3,040) | ||
Provision for corporate business taxes | (523) | (5,070) | (781) | ||
Net Income (Loss) | 8,410 | 3,932 | (1,499) | ||
Investments | 253,629 | 279,739 | |||
Other assets | 33,785 | 32,849 | |||
Total Assets | 287,414 | 312,588 | |||
Debt | 169,314 | 183,888 | |||
Other liabilities | 4,240 | 29,047 | |||
Total Liabilities | 173,554 | 212,935 | |||
Net Assets | 113,860 | 99,653 | |||
RMBS [Member] | Operating Segments [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 49,985 | 29,642 | 14,580 | ||
Interest expense | 50,070 | 13,726 | 1,284 | ||
Net interest income (expense) | (85) | 15,916 | 13,296 | ||
Servicing fee income | 0 | 0 | 0 | ||
Servicing costs | 0 | 0 | 0 | ||
Net servicing income | 0 | 0 | 0 | ||
Other income (expense) | (32,281) | 13,176 | 12,520 | ||
Other operating expenses | (664) | (692) | (717) | ||
Provision for corporate business taxes | 0 | 0 | 0 | ||
Net Income (Loss) | (33,030) | 28,400 | 25,099 | ||
Investments | 1,012,130 | 931,431 | |||
Other assets | 39,939 | 106,885 | |||
Total Assets | 1,052,069 | 1,038,316 | |||
Debt | 903,489 | 825,962 | |||
Other liabilities | 47,990 | 92,875 | |||
Total Liabilities | 951,479 | 918,837 | |||
Net Assets | 100,590 | 119,479 | |||
All Other [Member] | |||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||
Interest income | 0 | 0 | 0 | ||
Interest expense | 0 | 0 | 0 | ||
Net interest income (expense) | 0 | 0 | 0 | ||
Servicing fee income | 0 | 0 | 0 | ||
Servicing costs | 0 | 0 | 0 | ||
Net servicing income | 0 | 0 | 0 | ||
Other income (expense) | 0 | 0 | 0 | ||
Other operating expenses | (10,835) | (10,143) | (11,070) | ||
Provision for corporate business taxes | 0 | 0 | 0 | ||
Net Income (Loss) | (10,835) | (10,143) | $ (11,070) | ||
Investments | 0 | 0 | |||
Other assets | 53,509 | 57,921 | |||
Total Assets | 53,509 | 57,921 | |||
Debt | 0 | 0 | |||
Other liabilities | 9,584 | 11,537 | |||
Total Liabilities | 9,584 | 11,537 | |||
Net Assets | $ 43,925 | $ 46,384 | |||
|
Investments in RMBS, Summary (Details) $ in Thousands |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2023
USD ($)
Security
|
Dec. 31, 2022
USD ($)
Security
|
|||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Carrying value | $ 1,012,130 | $ 931,431 | ||||||
RMBS [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | 1,097,720 | 1,051,613 | ||||||
Book value | 1,004,803 | 960,418 | ||||||
Gross unrealized gains | 16,166 | 4,227 | ||||||
Gross unrealized losses | (8,839) | (33,214) | ||||||
Carrying value | [1] | $ 1,012,130 | $ 931,431 | |||||
Number of securities | Security | 80 | 83 | ||||||
Weighted average coupon | 4.64% | 4.23% | ||||||
Weighted average yield | [2] | 4.77% | 4.29% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
Fannie Mae [Member] | Fair Value through OCI [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | $ 211,773 | $ 550,740 | ||||||
Book value | 187,746 | 497,038 | ||||||
Gross unrealized gains | 2,970 | 2,843 | ||||||
Gross unrealized losses | (1,607) | (16,484) | ||||||
Carrying value | [1],[3] | $ 189,109 | $ 483,397 | |||||
Number of securities | Security | 15 | 45 | ||||||
Weighted average coupon | 4.55% | 4.27% | ||||||
Weighted average yield | [2] | 4.70% | 4.34% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
Fannie Mae [Member] | Fair Value through Earnings [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | $ 221,965 | |||||||
Book value | 208,487 | |||||||
Gross unrealized gains | 4,606 | |||||||
Gross unrealized losses | (1,076) | |||||||
Carrying value | [1],[3] | $ 212,017 | ||||||
Number of securities | Security | 17 | |||||||
Weighted average coupon | 4.78% | |||||||
Weighted average yield | [2] | 4.94% | ||||||
Weighted average maturity | 28 years | |||||||
Freddie Mac [Member] | Fair Value through OCI [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | $ 262,695 | $ 500,873 | ||||||
Book value | 235,260 | 463,380 | ||||||
Gross unrealized gains | 1,075 | 1,384 | ||||||
Gross unrealized losses | (4,865) | (16,730) | ||||||
Carrying value | [1],[3] | $ 231,470 | $ 448,034 | |||||
Number of securities | Security | 19 | 38 | ||||||
Weighted average coupon | 4.45% | 4.18% | ||||||
Weighted average yield | [2] | 4.50% | 4.24% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
Freddie Mac [Member] | Fair Value through Earnings [Member] | ||||||||
Residential Mortgage-Backed Securities [Abstract] | ||||||||
Original face value | $ 401,287 | |||||||
Book value | 373,310 | |||||||
Gross unrealized gains | 7,515 | |||||||
Gross unrealized losses | (1,291) | |||||||
Carrying value | [1],[3] | $ 379,534 | ||||||
Number of securities | Security | 29 | |||||||
Weighted average coupon | 4.72% | |||||||
Weighted average yield | [2] | 4.88% | ||||||
Weighted average maturity | 29 years | |||||||
|
Investments in RMBS, Assets by Maturity (Details) $ in Thousands |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2023
USD ($)
Security
|
Dec. 31, 2022
USD ($)
Security
|
|||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Carrying value | $ 1,012,130 | $ 931,431 | ||||||
Carrying value of collateral for repurchase agreements | 973,221 | 815,171 | ||||||
RMBS [Member] | ||||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Original face value | 1,097,720 | 1,051,613 | ||||||
Book value | 1,004,803 | 960,418 | ||||||
Gross unrealized gains | 16,166 | 4,227 | ||||||
Gross unrealized losses | (8,839) | (33,214) | ||||||
Carrying value | [1] | $ 1,012,130 | $ 931,431 | |||||
Number of securities | Security | 80 | 83 | ||||||
Weighted average coupon | 4.64% | 4.23% | ||||||
Weighted average yield | [2] | 4.77% | 4.29% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
Carrying value of collateral for repurchase agreements | $ 973,200 | $ 815,200 | ||||||
Allowance for credit losses | 0 | 0 | ||||||
Impairment charges | 0 | 0 | ||||||
RMBS [Member] | Fair Value through OCI [Member] | Over 10 Years [Member] | ||||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Original face value | 474,467 | 1,051,613 | ||||||
Book value | 423,007 | 960,418 | ||||||
Gross unrealized gains | 4,045 | 4,227 | ||||||
Gross unrealized losses | (6,472) | (33,214) | ||||||
Carrying value | [1],[3] | $ 420,579 | $ 931,431 | |||||
Number of securities | Security | 34 | 83 | ||||||
Weighted average coupon | 4.49% | 4.23% | ||||||
Weighted average yield | [2] | 4.59% | 4.29% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
RMBS [Member] | Fair Value through Earnings [Member] | Over 10 Years [Member] | ||||||||
RMBS, Assets by Maturity [Abstract] | ||||||||
Original face value | $ 623,253 | |||||||
Book value | 581,796 | |||||||
Gross unrealized gains | 12,121 | |||||||
Gross unrealized losses | (2,367) | |||||||
Carrying value | [1],[3] | $ 591,551 | ||||||
Number of securities | Security | 46 | |||||||
Weighted average coupon | 4.74% | |||||||
Weighted average yield | [2] | 4.90% | ||||||
Weighted average maturity | 28 years | |||||||
|
Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2023
USD ($)
Security
|
Dec. 31, 2022
USD ($)
Security
|
|||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Carrying value | $ 1,012,130 | $ 931,431 | ||||||
RMBS [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | 1,097,720 | 1,051,613 | ||||||
Book value | 1,004,803 | 960,418 | ||||||
Gross unrealized losses | (8,839) | (33,214) | ||||||
Carrying value | [1] | $ 1,012,130 | $ 931,431 | |||||
Number of securities | Security | 80 | 83 | ||||||
Weighted average coupon | 4.64% | 4.23% | ||||||
Weighted average yield | [2] | 4.77% | 4.29% | |||||
Weighted average maturity | 28 years | 29 years | ||||||
RMBS [Member] | Unrealized Loss Positions [Member] | ||||||||
RMBS, Unrealized Loss Positions [Abstract] | ||||||||
Original face value | $ 290,139 | $ 848,768 | ||||||
Book value | 257,666 | 767,412 | ||||||
Gross unrealized losses | (6,472) | (33,214) | ||||||
Carrying value | [1] | $ 251,194 | $ 734,198 | |||||
Number of securities | Security | 20 | 67 | ||||||
Weighted average coupon | 4.14% | 4.06% | ||||||
Weighted average yield | [2] | 4.21% | 4.10% | |||||
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 | $ 126,949 | $ 848,768 | ||||||
Book value | 109,425 | 767,412 | ||||||
Gross unrealized losses | (813) | (33,214) | ||||||
Carrying value | [1],[3] | $ 108,612 | $ 734,198 | |||||
Number of securities | Security | 8 | 67 | ||||||
Weighted average coupon | 4.23% | 4.06% | ||||||
Weighted average yield | [2] | 4.35% | 4.10% | |||||
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 | $ 163,190 | |||||||
Book value | 148,241 | |||||||
Gross unrealized losses | (5,659) | |||||||
Carrying value | [1],[3] | $ 142,582 | ||||||
Number of securities | Security | 12 | |||||||
Weighted average coupon | 4.08% | |||||||
Weighted average yield | [2] | 4.10% | ||||||
Weighted average maturity | 28 years | |||||||
|
Investments in Servicing Related Assets, Portfolio of Servicing Related Assets (Details) $ in Billions |
Dec. 31, 2023
USD ($)
|
---|---|
Mortgage Loans on Real Estate [Abstract] | |
Investment, Type [Extensible Enumeration] | Mortgage Service Right [Member] |
Aurora Financial Group, Inc. [Member] | |
Mortgage Loans on Real Estate [Abstract] | |
Aggregate unpaid principal balance | $ 20.0 |
Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
|||||
Servicing Asset [Abstract] | ||||||
Unpaid principal balance | $ 19,972,994 | $ 21,688,353 | ||||
Carrying value | [1] | $ 253,629 | $ 279,739 | |||
Weighted average coupon | 3.48% | 3.49% | ||||
Weighted average maturity | [2] | 25 years | 25 years 9 months 18 days | |||
Year to date changes in fair value recorded in other income (loss) | $ (25,937) | $ 22,976 | ||||
Mortgage Service Rights (MSRs) [Member] | ||||||
Servicing Asset [Abstract] | ||||||
Unpaid principal balance | 19,972,994 | 21,688,353 | ||||
Carrying value | [1] | $ 253,629 | $ 279,739 | |||
Weighted average coupon | 3.48% | 3.49% | ||||
Weighted average maturity | [2] | 25 years | 25 years 9 months 18 days | |||
Year to date changes in fair value recorded in other income (loss) | $ (25,937) | $ 22,976 | ||||
|
Investments in Servicing Related Assets, Geographic Concentration (Details) |
Dec. 31, 2023 |
Dec. 31, 2022 |
---|---|---|
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 | 13.70% | 13.50% |
Virginia [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 8.30% | 8.30% |
New York [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 8.30% | 8.20% |
Maryland [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 6.40% | 6.30% |
Texas [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 5.90% | 6.00% |
Florida [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 5.40% | 5.50% |
North Carolina [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 5.00% | 5.10% |
All Other [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 47.00% | 47.10% |
Equity and Earnings per Common Share, Common and Redeemable Preferred Stock (Details) - $ / shares |
12 Months Ended | |
---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
|
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 | |
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 | |
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 | |
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 | |
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% | |
Series B Preferred Stock [Member] | SOFR [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Term of floating rate | 3 months | |
Basis spread on variable rate | 0.26161% |
Equity and Earnings per Common Share, Common Stock and Preferred Stock ATM Program and Share Repurchase Program (Details) - USD ($) |
1 Months Ended | 12 Months Ended | |||||
---|---|---|---|---|---|---|---|
Nov. 30, 2022 |
Aug. 31, 2018 |
Apr. 30, 2018 |
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
Sep. 30, 2019 |
|
Class of Stock Disclosures [Abstract] | |||||||
Issuance of common stock, net of offering costs | $ 31,054,000 | $ 33,307,000 | $ 10,270,000 | ||||
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 | ||||||
Common Stock [Member] | |||||||
Class of Stock Disclosures [Abstract] | |||||||
Issuance of common stock (in shares) | 6,511,839 | 5,246,282 | 1,184,990 | ||||
Share Repurchase Program [Abstract] | |||||||
Share repurchase program, authorized amount | $ 10,000,000 | ||||||
Number of shares purchased (in shares) | 0 | 0 | |||||
Common Stock [Member] | Common Stock ATM Program [Member] | |||||||
Class of Stock Disclosures [Abstract] | |||||||
Common stock value authorized | $ 100,000,000 | $ 50,000,000 | |||||
Common stock value remaining | $ 4,800,000 | ||||||
Issuance of common stock (in shares) | 6,470,004 | 5,212,841 | |||||
Weighted average price (in dollars per share) | $ 4.87 | $ 6.5 | |||||
Issuance of common stock, net of offering costs | $ 31,500,000 | $ 33,900,000 | |||||
Stock issuance fee | $ 631,000 | $ 677,000 | |||||
Preferred Stock [Member] | |||||||
Class of Stock Disclosures [Abstract] | |||||||
Issuance of common stock (in shares) | 0 | 0 | 0 | ||||
Share Repurchase Program [Abstract] | |||||||
Share repurchase program, authorized amount | $ 50,000,000 | ||||||
Number of shares purchased (in shares) | 0 | 0 |
Equity and Earnings per Common Share, Equity Incentive Plan (Details) |
12 Months Ended | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023
USD ($)
$ / shares
shares
|
Dec. 31, 2022
USD ($)
$ / shares
shares
|
Dec. 31, 2021
$ / shares
shares
|
||||||||||||
Equity Incentive Plan Information [Abstract] | ||||||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) | 915,464 | 1,012,239 | 1,082,253 | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, During the Period (in shares) | (134,035) | (101,691) | (70,014) | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, number of securities forfeited (in shares) | 4,916 | |||||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Increase in Securities Available for issuance (in shares) | 2,006,736 | |||||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) | 2,788,165 | 915,464 | 1,012,239 | |||||||||||
Weighted Average Issuance Price (in dollars per share) | $ / shares | $ 5.74 | $ 7.7 | $ 9.77 | |||||||||||
LTIP-OP Units [Member] | ||||||||||||||
Equity Incentive Plan Information [Abstract] | ||||||||||||||
LTIP-OP unit vesting period | 3 years | |||||||||||||
LTIP-OP Units Issued, Beginning Balance (in shares) | (459,897) | (391,647) | (341,847) | |||||||||||
LTIP-OP Units Issued, number of securities issued or to be issued upon exercise (in shares) | (92,200) | [1] | (68,250) | [2] | (49,800) | [3] | ||||||||
LTIP-OP Units Issued, Ending Balance (in shares) | (552,097) | (459,897) | (391,647) | |||||||||||
LTIP-OP Units Forfeited, Beginning Balance (in shares) | 5,832 | 916 | 916 | |||||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | 0 | |||||||||||
LTIP-OP Units Forfeited, number of securities forfeited (in shares) | 4,916 | |||||||||||||
LTIP-OP Units Forfeited, Ending Balance (in shares) | 5,832 | 5,832 | 916 | |||||||||||
LTIP-OP Units Converted, Beginning Balance (in shares) | 44,795 | 44,795 | 28,417 | |||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | 16,378 | |||||||||||
LTIP-OP Units Converted, Ending Balance (in shares) | 44,795 | 44,795 | 44,795 | |||||||||||
LTIP-OP Units Redeemed, Beginning Balance (in shares) | 9,054 | 9,054 | 0 | |||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | 0 | |||||||||||
LTIP-OP Units Redeemed, Number of securities redeemed (in shares) | 9,054 | |||||||||||||
LTIP-OP Units Redeemed, Ending Balance (in shares) | 9,054 | 9,054 | 9,054 | |||||||||||
Share-based compensation expense recognized | $ | $ 676,000 | $ 705,000 | ||||||||||||
Unrecognized share-based compensation expense | $ | $ 641,000 | |||||||||||||
LTIP-OP Units [Member] | Maximum [Member] | ||||||||||||||
Equity Incentive Plan Information [Abstract] | ||||||||||||||
Period of unrecognized share-based compensation expense expected to vest | 3 years | |||||||||||||
Common Stock [Member] | ||||||||||||||
Equity Incentive Plan Information [Abstract] | ||||||||||||||
Shares of Common Stock Issued, Beginning Balance (in shares) | (178,421) | (144,980) | (108,388) | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | (41,835) | [4] | (33,441) | (36,592) | ||||||||||
Shares of Common Stock Issued, Ending Balance (in shares) | (220,256) | (178,421) | (144,980) | |||||||||||
Shares of Common Stock Forfeited, Beginning Balance (in shares) | 3,155 | 3,155 | 3,155 | |||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | 0 | |||||||||||
Shares of Common Stock Forfeited, Ending Balance (in shares) | 3,155 | 3,155 | 3,155 | |||||||||||
2013 Plan [Member] | ||||||||||||||
Equity Incentive Plan Information [Abstract] | ||||||||||||||
Maximum aggregate number of common shares issuable (in shares) | 2,830,000 | |||||||||||||
Ratio of common stock issuable against LTIP-OP units | 1 | |||||||||||||
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] |
Dec. 31, 2023
shares
|
---|---|
Noncontrolling Interest in Operating Partnership [Abstract] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) | 489,890 |
Percentage of operating partnership | 1.90% |
Equity and Earnings per Common Share, Earnings per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Numerator [Abstract] | |||
Net income (loss) | $ (35,455) | $ 22,189 | $ 12,530 |
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 661 | (450) | (247) |
Dividends on preferred stock | 9,853 | 9,853 | 9,853 |
Net income (loss) applicable to common stockholders | $ (44,647) | $ 11,886 | $ 2,430 |
Denominator [Abstract] | |||
Weighted average common shares outstanding (in shares) | 26,262,407 | 19,768,286 | 17,324,362 |
Weighted average diluted shares outstanding (in shares) | 26,293,903 | 19,795,639 | 17,345,562 |
Basic and Diluted EPS [Abstract] | |||
Basic (in dollars per share) | $ (1.7) | $ 0.6 | $ 0.14 |
Diluted (in dollars per share) | $ (1.7) | $ 0.6 | $ 0.14 |
Anti-dilutive securities (in shares) | 0 | 0 | 0 |
Transactions with Related Parties (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023
USD ($)
|
Dec. 31, 2023
USD ($)
Employee
|
Dec. 31, 2022
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 | |||
Management Fees and Compensation Reimbursement to Manager [Abstract] | ||||
Management fees | $ 6,250 | $ 6,119 | $ 6,844 | |
Compensation reimbursement | 580 | 510 | 1,000 | |
Total | 6,830 | 6,629 | 7,844 | |
Subservicing Agreement [Abstract] | ||||
Servicing fee income | 53,427 | 53,430 | 54,157 | |
Servicing costs | 11,248 | 11,837 | 13,624 | |
Agreement purchase price | $ (174) | 38,036 | $ 55,375 | |
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] | ||||
Subservicing Agreement [Abstract] | ||||
Subservicing agreement term | 2 years | |||
Subservicing agreement renewal term | 2 years | |||
Subservicing agreement additional renewal term | 2 years | |||
Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | ||||
Subservicing Agreement [Abstract] | ||||
Servicing fee income | $ 23,900 | 33,500 | ||
Servicing costs | 3,800 | 6,100 | ||
Servicing receivables | 687 | |||
Mortgage Service Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | Flow Agreement [Member] | ||||
Subservicing Agreement [Abstract] | ||||
Aggregate unpaid principal balance | 987 | 545,200 | ||
Agreement purchase price | $ 5 | $ 5,600 | ||
Freedom Mortgage Excess Service Right [Member] | ||||
Other Transactions with Related Persons [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 |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
|||
Pay SOFR [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 869,000 | |||
Weighted average years to maturity | 3 years 9 months 18 days | |||
Fixed interest rate | 5.40% | |||
Receive SOFR [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 188,000 | |||
Weighted average years to maturity | 2 years | |||
Fixed interest rate | 5.40% | |||
Pay SOFR/LIBOR [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 1,030,000 | |||
Weighted average years to maturity | 4 years 8 months 12 days | |||
Fixed interest rate | 4.40% | |||
Receive LIBOR [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 275,000 | |||
Weighted average years to maturity | 6 years 6 months | |||
Fixed interest rate | 4.60% | |||
Notional Amount of Interest Rate Swaps [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | [1] | $ 1,057,000 | $ 1,305,000 | |
Fair value | $ 16,705 | $ 15,748 | ||
Weighted average pay rate | 1.59% | 1.53% | ||
Weighted average receive rate | 5.24% | 3.96% | ||
Weighted average years to maturity | 3 years 6 months | 5 years 1 month 6 days | ||
Notional Amount of TBAs, Net [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 376,600 | $ 306,100 | ||
Fair value | (357,252) | (285,593) | ||
Notional Amount of U.S. Treasury Futures [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Fair value | (1,651) | 618 | ||
Notional Amount of Options on Treasury Futures [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Fair value | 234 | |||
Not Designated as Hedging Instrument [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | 954,500 | 930,200 | ||
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 | 1,057,000 | 1,305,000 | ||
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | 376,600 | 306,100 | ||
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 | 274,100 | 88,700 | ||
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on Treasury Futures [Member] | ||||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | ||||
Total notional amount | $ 0 | $ 20,000 | ||
|
Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
---|---|---|
TBA Derivatives [Abstract] | ||
Notional | $ 376,600 | $ 306,100 |
Implied Cost Basis | (345,085) | (289,809) |
Implied Market Value | (357,252) | (285,593) |
Net Carrying Value | (12,167) | 4,215 |
Purchase Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 368,300 | 518,300 |
Implied Cost Basis | 357,472 | 506,245 |
Implied Market Value | 360,821 | 501,682 |
Net Carrying Value | 3,350 | (4,563) |
Sale Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 744,900 | 824,400 |
Implied Cost Basis | (702,557) | (796,054) |
Implied Market Value | (718,073) | (787,275) |
Net Carrying Value | $ (15,517) | $ 8,778 |
Derivative Instruments, Information of Treasury Futures Agreements (Details) - USD ($) $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
|||
U.S. Treasury Futures [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | $ (1,651) | $ 618 | ||
U.S. Treasury Futures [Member] | 2 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | 2,090 | |||
U.S. Treasury Futures [Member] | 5 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | 4,944 | |||
U.S. Treasury Futures [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | [1] | $ (8,685) | 618 | |
U.S. Treasury Futures Options [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | 234 | |||
U.S. Treasury Futures Options [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Fair Value | 234 | |||
Ultra Futures Contracts [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Future agreement period | 10 years | |||
Long Bond Futures Contracts [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Future agreement period | 10 years | |||
Long Positions [Member] | U.S. Treasury Futures [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | $ 418,300 | 0 | ||
Long Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 196,800 | |||
Long Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 221,500 | |||
Long Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | [1] | 0 | 0 | |
Long Positions [Member] | U.S. Treasury Futures Options [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 70,000 | |||
Long Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 70,000 | |||
Short Positions [Member] | U.S. Treasury Futures [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 144,200 | 88,700 | ||
Short Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 0 | |||
Short Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 0 | |||
Short Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | [1] | $ 144,200 | 88,700 | |
Short Positions [Member] | U.S. Treasury Futures Options [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | 50,000 | |||
Short Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||||
Treasury Futures Agreements [Abstract] | ||||
Net Notional Amount | $ 50,000 | |||
|
Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | $ 33,821 | $ 1,363 | $ (9,339) | ||
Interest Rate Swaps [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Periodic interest income | 35,000 | 11,100 | 3,800 | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | (1,166) | (9,751) | (13,152) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Interest Rate Swaps [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | [1] | (4,896) | (4,794) | (884) | |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Interest Rate Swaptions [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | 0 | (585) | (1,028) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | TBAs [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | 13,059 | (27,774) | (4,668) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Treasury Futures [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | (8,992) | 23,752 | (3,670) | ||
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | U.S. Treasury Futures Options [Member] | |||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | |||||
Realized gain (loss) on derivatives, net | $ (337) | $ (350) | $ (2,902) | ||
|
Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | $ 29,888 | $ 50,104 | ||
Gross amounts offset in the consolidated balance sheet | (10,384) | (4,571) | ||
Net amounts of assets presented in the consolidated balance sheet | 19,504 | 45,533 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (19,504) | (41,669) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | (3,864) | |
Net amount | 0 | 0 | ||
Interest Rate Swaps [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 19,504 | 40,466 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 19,504 | 40,466 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (19,504) | (40,466) | ||
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 | 0 | |||
Gross amounts offset in the consolidated balance sheet | 0 | |||
Net amounts of assets presented in the consolidated balance sheet | 0 | |||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | |||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 0 | ||
Net amount | 0 | |||
TBAs [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 3,350 | 8,786 | ||
Gross amounts offset in the consolidated balance sheet | (3,350) | (4,571) | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 4,215 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | (4,215) | ||
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 | 7,034 | 618 | ||
Gross amounts offset in the consolidated balance sheet | (7,034) | 0 | ||
Net amounts of assets presented in the consolidated balance sheet | 0 | 618 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | (618) | ||
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 Options [Member] | ||||
Offsetting Derivative Assets [Abstract] | ||||
Gross amounts of recognized assets | 234 | |||
Gross amounts offset in the consolidated balance sheet | 0 | |||
Net amounts of assets presented in the consolidated balance sheet | 234 | |||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 3,630 | |||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | (3,864) | ||
Net amount | $ 0 | |||
|
Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | $ 930,490 | $ 855,251 | ||
Gross amounts offset in the consolidated balance sheet | (10,384) | (4,571) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 920,106 | 850,680 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (933,218) | (857,507) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 13,112 | 6,827 | |
Net amount | 0 | 0 | ||
Repurchase Agreements [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 903,489 | 825,962 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of liabilities presented in the consolidated balance sheet | 903,489 | 825,962 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (933,042) | (830,022) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | 29,553 | 4,060 | |
Net amount | 0 | 0 | ||
Interest Rate Swaps [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 2,799 | 24,718 | ||
Gross amounts offset in the consolidated balance sheet | 0 | 0 | ||
Net amounts of liabilities presented in the consolidated balance sheet | 2,799 | 24,718 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (2,799) | (24,718) | ||
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 | 15,517 | 4,571 | ||
Gross amounts offset in the consolidated balance sheet | (3,350) | (4,571) | ||
Net amounts of liabilities presented in the consolidated balance sheet | 12,167 | 0 | ||
Gross amounts not offset in the consolidated balance sheet in financial instruments | (1,162) | (2,767) | ||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | (11,005) | 2,767 | |
Net amount | 0 | $ 0 | ||
U.S. Treasury Futures [Member] | ||||
Offsetting Derivative Liabilities [Abstract] | ||||
Gross amounts of recognized liabilities | 8,685 | |||
Gross amounts offset in the consolidated balance sheet | (7,034) | |||
Net amounts of liabilities presented in the consolidated balance sheet | 1,651 | |||
Gross amounts not offset in the consolidated balance sheet in financial instruments | 3,785 | |||
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | [1] | (5,436) | ||
Net amount | $ 0 | |||
|
Fair Value, Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|---|---|
Assets [Abstract] | ||||||
Derivative assets total | $ 19,504 | $ 45,533 | ||||
Servicing related assets | [1] | 253,629 | 279,739 | |||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 16,617 | 24,718 | ||||
Interest Rate Swaps [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 19,504 | 40,466 | ||||
Interest Rate Swaptions [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | |||||
TBAs [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | 4,215 | ||||
U.S. Treasury Futures [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | 618 | ||||
U.S. Treasury Futures Options [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 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 | 19,504 | 45,533 | ||||
Servicing related assets | 0 | 0 | ||||
Total Assets | 1,031,634 | 976,964 | ||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 16,617 | 24,718 | ||||
Total Liabilities | 16,617 | 24,718 | ||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | 0 | ||||
Servicing related assets | 253,629 | 279,739 | $ 218,727 | $ 174,414 | ||
Total Assets | 253,629 | 279,739 | ||||
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 | 19,504 | 40,466 | ||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 2,799 | 24,718 | ||||
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] | TBAs [Member] | Level 1 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 0 | |||||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 2 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 4,215 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 12,167 | |||||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 3 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 0 | |||||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 1 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 0 | |||||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 2 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 618 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 1,651 | |||||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 3 [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 0 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 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 | 234 | |||||
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 | 19,504 | 45,533 | ||||
Servicing related assets | 253,629 | 279,739 | ||||
Total Assets | 1,285,263 | 1,256,703 | ||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 16,617 | 24,718 | ||||
Total Liabilities | 16,617 | 24,718 | ||||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 19,504 | 40,466 | ||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 2,799 | 24,718 | ||||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 4,215 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | 12,167 | |||||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | 618 | |||||
Liabilities [Abstract] | ||||||
Derivative liabilities total | $ 1,651 | |||||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures Options [Member] | ||||||
Assets [Abstract] | ||||||
Derivative assets total | $ 234 | |||||
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 | 1,012,130 | 931,431 | ||||
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 | 1,012,130 | 931,431 | ||||
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 | 401,126 | 483,397 | ||||
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 | 401,126 | 483,397 | ||||
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 | 611,004 | 448,034 | ||||
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 | $ 611,004 | $ 448,034 | ||||
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 and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
12 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|||||||
Servicing Asset [Abstract] | |||||||||
Beginning balance | [1] | $ 279,739 | |||||||
Changes in Fair Value due to [Abstract] | |||||||||
Ending balance | [1] | 253,629 | $ 279,739 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||||||||
Servicing Asset [Abstract] | |||||||||
Beginning balance | 279,739 | 218,727 | $ 174,414 | ||||||
Purchases and sales [Abstract] | |||||||||
Purchases | 5 | 38,592 | 56,638 | ||||||
Other changes | [2] | (178) | (556) | (1,263) | |||||
Purchases and sales | (173) | 38,036 | 55,375 | ||||||
Changes in Fair Value due to [Abstract] | |||||||||
Changes in valuation inputs or assumptions used in valuation model | (8,576) | 48,253 | 61,881 | ||||||
Other changes in fair value | [3] | $ (17,361) | $ (25,277) | $ (72,943) | |||||
Servicing Asset, Fair Value, Change in Fair Value, Other, Statement of Income or Comprehensive Income [Extensible Enumeration] | [3] | Unrealized Gain (Loss) On Investments In Servicing Related Assets | Unrealized Gain (Loss) On Investments In Servicing Related Assets | Unrealized Gain (Loss) On Investments In Servicing Related Assets | |||||
Unrealized gain (loss) included in Net Income | $ (25,937) | $ 22,976 | $ (11,062) | ||||||
Ending balance | $ 253,629 | $ 279,739 | $ 218,727 | ||||||
|
Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($) $ in Thousands |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
|||||
Valuation Technique and Input, Description [Abstract] | ||||||
Fair Value | $ 253,629 | $ 279,739 | ||||
MSRs [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Fair Value | 253,629 | 279,739 | ||||
Annual cost to service, per loan | [1] | $ 88 | $ 81 | |||
MSRs [Member] | Minimum [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [2] | 3.90% | 4.30% | |||
Uncollected Payments | [2] | 0.60% | 0.50% | |||
MSRs [Member] | Maximum [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [2] | 14.80% | 18.20% | |||
Uncollected Payments | [2] | 6.80% | 3.20% | |||
MSRs [Member] | Weighted Average [Member] | ||||||
Valuation Technique and Input, Description [Abstract] | ||||||
Constant prepayment speed | [1] | 6.90% | 7.40% | |||
Uncollected Payments | [1] | 0.80% | 0.70% | |||
Discount rate | [1] | 9.60% | 9.50% | |||
|
Commitments and Contingencies (Details) |
12 Months Ended |
---|---|
Dec. 31, 2023 | |
Commitments and Contingencies [Abstract] | |
Percentage of annual management fee paid equal to gross equity | 1.50% |
Repurchase Agreements (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2023
USD ($)
Security
|
Dec. 31, 2022
USD ($)
Security
|
|
Repurchase Agreements [Abstract] | ||
Weighted average of remaining maturities days | 21 days | 18 days |
Repurchase Agreement Characteristics, Remaining Maturities [Abstract] | ||
Less than one month, repurchase agreements | $ 772,466 | $ 715,899 |
One to three months, repurchase agreements | 131,023 | 110,063 |
Total repurchase agreements | $ 903,489 | $ 825,962 |
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 5.55% | 4.39% |
One to three months, weighted average rate | 5.55% | 4.53% |
Weighted average rate | 5.55% | 4.41% |
Number of overnight or demand securities | Security | 0 | 0 |
Notes Payable (Details) $ in Thousands |
1 Months Ended | 12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Oct. 31, 2023 |
Dec. 31, 2023
USD ($)
Facility
RenewalOption
|
Jul. 31, 2023 |
Dec. 31, 2022
USD ($)
|
Oct. 31, 2021
USD ($)
|
Apr. 02, 2019
USD ($)
|
Sep. 30, 2018
USD ($)
|
Jul. 31, 2018
USD ($)
|
Sep. 30, 2016
USD ($)
|
|
Maturities of Long-Term Borrowings [Abstract] | |||||||||
Long-term debt, maturity, year one | $ 64,500 | $ 69,127 | |||||||
Long-term debt, maturity, year two | 595 | 7,868 | |||||||
Long-term debt, maturity, year three | 7,438 | 8,538 | |||||||
Long-term debt, maturity, year four | 8,018 | 98,967 | |||||||
Long-term debt, maturity, year five | 89,949 | 0 | |||||||
Long-term debt, maturity, year six | 0 | 0 | |||||||
Long-term borrowings | $ 170,500 | 184,500 | |||||||
MSR Financing Facility [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Number of separate MSR financing facilities | Facility | 2 | ||||||||
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 | ||||||||
Number of borrowers option renewals | RenewalOption | 2 | ||||||||
Term out feature of credit facility | 1 year | ||||||||
Debt instrument, amortization period | 24 months | 24 months | |||||||
Weighted average interest rate | 7.80% | 7.70% | |||||||
Additional borrowing capacity | $ 5,000 | ||||||||
Number of borrowers option additional renewals | RenewalOption | 1 | ||||||||
Maturities of Long-Term Borrowings [Abstract] | |||||||||
Long-term debt, maturity, year one | $ 64,500 | 68,500 | |||||||
Long-term debt, maturity, year two | 0 | 0 | |||||||
Long-term debt, maturity, year three | 0 | 0 | |||||||
Long-term debt, maturity, year four | 0 | 0 | |||||||
Long-term debt, maturity, year five | 0 | 0 | |||||||
Long-term debt, maturity, year six | 0 | 0 | |||||||
Long-term borrowings | 64,500 | 68,500 | |||||||
Fannie Mae MSR Revolving Facility [Member] | |||||||||
Debt Instruments [Abstract] | |||||||||
Maximum borrowing amount | $ 150,000 | $ 150,000 | |||||||
Debt instrument term | 24 months | ||||||||
Term out feature of credit facility | 3 years | ||||||||
Maturities of Long-Term Borrowings [Abstract] | |||||||||
Long-term debt, maturity, year one | $ 0 | 627 | |||||||
Long-term debt, maturity, year two | 595 | 7,868 | |||||||
Long-term debt, maturity, year three | 7,438 | 8,538 | |||||||
Long-term debt, maturity, year four | 8,018 | 98,967 | |||||||
Long-term debt, maturity, year five | 89,949 | 0 | |||||||
Long-term debt, maturity, year six | 0 | 0 | |||||||
Long-term borrowings | $ 106,000 | $ 116,000 |
Receivables and Other Assets (Details) - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
---|---|---|
Receivables and Other Assets [Abstract] | ||
Servicing advances | $ 15,455 | $ 15,090 |
Interest receivable | 5,503 | 4,381 |
Deferred tax asset | 15,022 | 15,545 |
Other receivables | 2,422 | 1,749 |
Total other assets | $ 38,402 | $ 36,765 |
Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Accrued Expenses and Other Liabilities [Abstract] | ||||
Accrued interest on repurchase agreements | $ 3,929 | $ 2,796 | ||
Accrued interest on notes payable | 2,076 | 1,710 | ||
Accrued expenses | 1,200 | 3,804 | ||
Due to counterparties | [1] | 29,553 | 11,197 | |
Total accrued expenses and other liabilities | $ 36,758 | $ 19,507 | ||
|
Income Taxes (Details) - USD ($) $ / shares in Units, $ in Thousands |
12 Months Ended | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
Jan. 31, 2024 |
Jan. 31, 2023 |
Jan. 31, 2022 |
||||||||||||||||||||||||
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 | $ 0 | $ (127) | ||||||||||||||||||||||||||
Deferred federal income tax expense | 280 | 4,116 | 1,180 | ||||||||||||||||||||||||||
Deferred state income tax expense | 243 | 954 | (272) | ||||||||||||||||||||||||||
Provision for Corporate Business Taxes/Effective Tax Rate | [1] | 523 | 5,070 | 781 | |||||||||||||||||||||||||
Effective Income Tax Rate Reconciliation, Amount [Abstract] | |||||||||||||||||||||||||||||
Computed income tax expense (benefit) at federal rate | (7,336) | 5,724 | 2,795 | ||||||||||||||||||||||||||
State tax expense, net of federal tax, if applicable | 30 | 494 | 120 | ||||||||||||||||||||||||||
Tax provision due to state tax rate change | 206 | 329 | (413) | ||||||||||||||||||||||||||
Permanent differences in taxable income from GAAP pre-tax income | 0 | 0 | 185 | ||||||||||||||||||||||||||
Provision to return adjustment | (7) | (7) | (6) | ||||||||||||||||||||||||||
REIT income not subject to tax expense (benefit) | 7,630 | (1,470) | (1,900) | ||||||||||||||||||||||||||
Provision for Corporate Business Taxes/Effective Tax Rate | [1] | $ 523 | $ 5,070 | $ 781 | |||||||||||||||||||||||||
Effective Income Tax Rate Reconciliation, Percent [Abstract] | |||||||||||||||||||||||||||||
Computed income tax (benefit) expense at federal rate | 21.00% | 21.00% | 21.00% | ||||||||||||||||||||||||||
State tax (benefit), net of federal tax, if applicable | (0.10%) | 1.80% | 0.90% | ||||||||||||||||||||||||||
Tax provision due to state tax rate change | (0.60%) | 1.20% | (3.10%) | ||||||||||||||||||||||||||
Permanent differences in taxable income from GAAP pre-tax income | 0.00% | 0.00% | 1.40% | ||||||||||||||||||||||||||
Provision to return adjustment | 0.00% | 0.00% | 0.00% | ||||||||||||||||||||||||||
REIT income not subject to tax expense (benefit) | (21.80%) | (5.40%) | (14.30%) | ||||||||||||||||||||||||||
Provision for (Benefit from) effective Tax Rate | [1] | (1.50%) | 18.60% | 5.90% | |||||||||||||||||||||||||
Income taxes recoverable [Abstract] | |||||||||||||||||||||||||||||
Income taxes recoverable | $ 0 | $ 128 | $ 128 | ||||||||||||||||||||||||||
Deferred tax assets [Abstract] | |||||||||||||||||||||||||||||
Deferred tax - mortgage servicing rights | (1,789) | 1,082 | 10,539 | ||||||||||||||||||||||||||
Deferred tax - net operating loss | 16,811 | 13,844 | 10,075 | ||||||||||||||||||||||||||
Deferred tax - other | 0 | 619 | 0 | ||||||||||||||||||||||||||
Total net deferred tax assets | 15,022 | $ 15,545 | $ 20,614 | ||||||||||||||||||||||||||
Net operating loss carryforwards | $ 72,600 | ||||||||||||||||||||||||||||
Series A Preferred Stock [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 2.05 | [2] | $ 2.05 | [3] | $ 2.05 | [4] | |||||||||||||||||||||||
Ordinary income | 100.00% | 100.00% | 10.00% | ||||||||||||||||||||||||||
Long-term capital gain | 0.00% | 0.00% | 0.00% | ||||||||||||||||||||||||||
Return of capital | 0.00% | 0.00% | 90.00% | ||||||||||||||||||||||||||
Series A Preferred Stock [Member] | Dividend Declared December 2022 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2023 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2024 | ||||||||||||||||||||||||||||
Series A Preferred Stock [Member] | Dividend Declared December 2022 [Member] | Subsequent Event [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.51 | ||||||||||||||||||||||||||||
Series A Preferred Stock [Member] | Dividend Declared December 2021 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.51 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2022 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2023 | ||||||||||||||||||||||||||||
Series A Preferred Stock [Member] | Dividend Declared December 2020 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.51 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2021 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2022 | ||||||||||||||||||||||||||||
Series B Preferred Stock [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 2.06 | [5] | $ 2.06 | [6] | $ 2.06 | [7] | |||||||||||||||||||||||
Ordinary income | 100.00% | 100.00% | 10.00% | ||||||||||||||||||||||||||
Long-term capital gain | 0.00% | 0.00% | 0.00% | ||||||||||||||||||||||||||
Return of capital | 0.00% | 0.00% | 90.00% | ||||||||||||||||||||||||||
Series B Preferred Stock [Member] | Dividend Declared December 2022 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2023 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2024 | ||||||||||||||||||||||||||||
Series B Preferred Stock [Member] | Dividend Declared December 2022 [Member] | Subsequent Event [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | 0.52 | ||||||||||||||||||||||||||||
Series B Preferred Stock [Member] | Dividend Declared December 2021 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | 0.52 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2022 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2023 | ||||||||||||||||||||||||||||
Series B Preferred Stock [Member] | Dividend Declared December 2020 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | 0.52 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2021 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2022 | ||||||||||||||||||||||||||||
Common Stock [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.84 | [8] | $ 1.08 | [9] | $ 1.08 | [10] | |||||||||||||||||||||||
Ordinary income | 95.00% | 60.00% | 0.00% | ||||||||||||||||||||||||||
Long-term capital gain | 0.00% | 0.00% | 0.00% | ||||||||||||||||||||||||||
Return of capital | 5.00% | 40.00% | 100.00% | ||||||||||||||||||||||||||
Common Stock [Member] | Dividend Declared December 2022 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2023 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2024 | ||||||||||||||||||||||||||||
Common Stock [Member] | Dividend Declared December 2022 [Member] | Subsequent Event [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.15 | ||||||||||||||||||||||||||||
Common Stock [Member] | Dividend Declared December 2021 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.27 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2022 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2023 | ||||||||||||||||||||||||||||
Common Stock [Member] | Dividend Declared December 2020 [Member] | |||||||||||||||||||||||||||||
Distributions to Stockholders [Abstract] | |||||||||||||||||||||||||||||
Dividend declared (in dollars per share) | $ 0.27 | ||||||||||||||||||||||||||||
Dividends payable, date declared | Dec. 31, 2021 | ||||||||||||||||||||||||||||
Dividend payable, date to be paid | Jan. 31, 2022 | ||||||||||||||||||||||||||||
|
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