☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland | 46-1315605 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
1451 Route 34, Suite 303 | ||
Farmingdale, New Jersey | 07727 | |
(Address of Principal Executive Offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
Common Stock, $0.01 par value per share | CHMI | New York Stock Exchange |
8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value per share | CHMI-PRA | New York Stock Exchange |
8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share | CHMI-PRB | New York Stock Exchange |
Large accelerated filer | ☐ | Accelerated filer | ☒ |
Non-accelerated filer | ☐ | Smaller reporting company | ☐ |
Emerging growth company | ☐ |
Page | ||
PART I. | ||
Item 1. | ||
Item 2. | 48 | |
Item 3. | ||
Item 4. | ||
PART II. | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. |
Item 1. | Consolidated Financial Statements |
(unaudited) | (unaudited) | |||||||||||||||
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
RMBS, available-for-sale, at fair value (including pledged assets of $801,102 and $1,164,416, respectively) | $ | 865,904 | $ | 1,228,251 | ||||||||||||
Investments in Servicing Related Assets, at fair value (including pledged assets of $210,819 and $174,414, respectively) | 210,819 | 174,414 | ||||||||||||||
RMBS, available-for-sale, at fair value (including pledged assets of $731,271 and $892,888, respectively) | $ | 774,113 | $ | 953,496 | ||||||||||||
Investments in Servicing Related Assets, at fair value (including pledged assets of $246,103 and $218,727, respectively) | 246,103 | 218,727 | ||||||||||||||
Cash and cash equivalents | 62,922 | 83,892 | 52,379 | 63,916 | ||||||||||||
Restricted cash | 16,240 | 46,326 | 26,974 | 12,861 | ||||||||||||
Derivative assets | 18,118 | 15,970 | 27,179 | 10,518 | ||||||||||||
Receivables from unsettled trades | 46,801 | 0 | ||||||||||||||
Receivables and other assets | 40,362 | 44,635 | 38,471 | 43,344 | ||||||||||||
Total Assets | $ | 1,214,365 | $ | 1,593,488 | $ | 1,212,020 | $ | 1,302,862 | ||||||||
Liabilities and Stockholders’ Equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Repurchase agreements | $ | 777,416 | $ | 1,149,978 | $ | 764,885 | $ | 865,494 | ||||||||
Derivative liabilities | 5,150 | 5,878 | 15,147 | 1,278 | ||||||||||||
Notes payable | 135,000 | 111,379 | 159,068 | 145,268 | ||||||||||||
Dividends payable | 6,900 | 6,725 | 7,210 | 7,056 | ||||||||||||
Due to manager | 4,458 | 3,217 | 3,631 | 1,889 | ||||||||||||
Accrued expenses and other liabilities | 2,935 | 3,745 | 2,428 | 3,061 | ||||||||||||
Total Liabilities | $ | 931,859 | $ | 1,280,922 | $ | 952,369 | $ | 1,024,046 | ||||||||
Stockholders’ Equity | ||||||||||||||||
Series A Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of September 30, 2021 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 2020, liquidation preference of $69,541 as of September 30, 2021 and liquidation preference of $69,541 as of December 31, 2020 | $ | 67,311 | $ | 67,311 | ||||||||||||
Series B Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of September 30, 2021 and 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of December 31, 2020, liquidation preference of $50,000 as of September 30, 2021 and liquidation preference of $50,000 as of December 31, 2020 | 48,068 | 48,068 | ||||||||||||||
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 17,666,950 shares issued and outstanding as of September 30, 2021 and 500,000,000 shares authorized and 17,076,858 shares issued and outstanding as of December 31, 2020 | 181 | 175 | ||||||||||||||
Series A Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of March 31, 2022 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 2021, liquidation preference of $69,541 as of March 31, 2022 and liquidation preference of $69,541 as of December 31, 2021 | $ | 67,311 | $ | 67,311 | ||||||||||||
Series B Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of March 31, 2022 and 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of December 31, 2021, liquidation preference of $50,000 as of March 31, 2022 and liquidation preference of $50,000 as of December 31, 2021 | 48,068 | 48,068 | ||||||||||||||
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 18,766,848 shares issued and outstanding as of March 31, 2022 and 500,000,000 shares authorized and 18,261,848 shares issued and outstanding as of December 31, 2021 | 192 | 187 | ||||||||||||||
Additional paid-in capital | 306,122 | 300,997 | 315,354 | 311,255 | ||||||||||||
Accumulated Deficit | (157,671 | ) | (141,980 | ) | (137,932 | ) | (158,483 | ) | ||||||||
Accumulated other comprehensive income | 15,803 | 35,594 | ||||||||||||||
Accumulated other comprehensive income (loss) | (37,008 | ) | 7,527 | |||||||||||||
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity | $ | 279,814 | $ | 310,165 | $ | 255,985 | $ | 275,865 | ||||||||
Non-controlling interests in Operating Partnership | 2,692 | 2,401 | 3,666 | 2,951 | ||||||||||||
Total Stockholders’ Equity | $ | 282,506 | $ | 312,566 | $ | 259,651 | $ | 278,816 | ||||||||
Total Liabilities and Stockholders’ Equity | $ | 1,214,365 | $ | 1,593,488 | $ | 1,212,020 | $ | 1,302,862 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Income | ||||||||||||||||
Interest income | $ | 7,043 | $ | 10,001 | $ | 20,113 | $ | 40,382 | ||||||||
Interest expense | 646 | (18 | ) | 1,207 | 15,698 | |||||||||||
Net interest income | 6,397 | 10,019 | 18,906 | 24,684 | ||||||||||||
Servicing fee income | 13,839 | 14,365 | 41,127 | 51,916 | ||||||||||||
Servicing costs | 3,080 | 5,266 | 10,234 | 17,700 | ||||||||||||
Net servicing income | 10,759 | 9,099 | 30,893 | 34,216 | ||||||||||||
Other income (loss) | ||||||||||||||||
Realized gain (loss) on RMBS, available-for-sale, net | (1,050 | ) | 6,722 | 2,027 | (12,590 | ) | ||||||||||
Realized loss on investments in MSRs, net | 0 | 0 | 0 | (11,347 | ) | |||||||||||
Realized loss on derivatives, net | (3,023 | ) | (7,841 | ) | (17,903 | ) | (22,039 | ) | ||||||||
Realized gain (loss) on acquired assets, net | (19 | ) | (95 | ) | 15 | (597 | ) | |||||||||
Unrealized gain (loss) on derivatives, net | (5,467 | ) | 3,702 | (9,978 | ) | 51,321 | ||||||||||
Unrealized loss on investments in Servicing Related Assets | (7,914 | ) | (20,972 | ) | (5,951 | ) | (131,850 | ) | ||||||||
Total Income (Loss) | (317 | ) | 634 | 18,009 | (68,202 | ) | ||||||||||
Expenses | ||||||||||||||||
General and administrative expense | 1,729 | 1,503 | 4,897 | 5,679 | ||||||||||||
Management fee to affiliate | 1,959 | 1,989 | 5,869 | 5,928 | ||||||||||||
Total Expenses | 3,688 | 3,492 | 10,766 | 11,607 | ||||||||||||
Income (Loss) Before Income Taxes | (4,005 | ) | (2,858 | ) | 7,243 | (79,809 | ) | |||||||||
Provision for (Benefit from) corporate business taxes | (215 | ) | (2,116 | ) | 1,418 | (17,548 | ) | |||||||||
Net Income (Loss) | (3,790 | ) | (742 | ) | 5,825 | (62,261 | ) | |||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 77 | 10 | (117 | ) | 1,147 | |||||||||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | ||||||||||||
Net Loss Applicable to Common Stockholders | $ | (6,175 | ) | $ | (3,191 | ) | $ | (1,682 | ) | $ | (68,493 | ) | ||||
Net Loss Per Share of Common Stock | ||||||||||||||||
Basic | $ | (0.36 | ) | $ | (0.19 | ) | $ | (0.10 | ) | $ | (4.06 | ) | ||||
Diluted | $ | (0.36 | ) | $ | (0.19 | ) | $ | (0.10 | ) | $ | (4.06 | ) | ||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||||||||||||
Basic | 17,185,872 | 17,054,634 | 17,108,956 | 16,850,133 | ||||||||||||
Diluted | 17,206,086 | 17,076,858 | 17,130,489 | 16,866,269 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Net income (loss) | $ | (3,790 | ) | $ | (742 | ) | $ | 5,825 | $ | (62,261 | ) | |||||
Other comprehensive income (loss): | ||||||||||||||||
Net unrealized gain (loss) on RMBS | 512 | 4,612 | (17,764 | ) | (6,545 | ) | ||||||||||
Reclassification of net realized (gain) loss on RMBS included in earnings | 1,050 | (6,722 | ) | (2,027 | ) | 12,590 | ||||||||||
Other comprehensive income (loss) | 1,562 | (2,110 | ) | (19,791 | ) | 6,045 | ||||||||||
Comprehensive loss | $ | (2,228 | ) | $ | (2,852 | ) | $ | (13,966 | ) | $ | (56,216 | ) | ||||
Comprehensive loss attributable to noncontrolling interests in Operating Partnership | (42 | ) | (49 | ) | (279 | ) | (1,035 | ) | ||||||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | ||||||||||||
Comprehensive loss attributable to common stockholders | $ | (4,648 | ) | $ | (5,262 | ) | $ | (21,077 | ) | $ | (62,560 | ) |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Income | ||||||||
Interest income | $ | 5,519 | $ | 3,301 | ||||
Interest expense | 1,640 | 1,454 | ||||||
Net interest income | 3,879 | 1,847 | ||||||
Servicing fee income | 13,116 | 13,540 | ||||||
Servicing costs | 3,193 | 3,082 | ||||||
Net servicing income | 9,923 | 10,458 | ||||||
Other income (loss) | ||||||||
Realized gain (loss) on RMBS, available-for-sale, net | (13,222 | ) | 2,094 | |||||
Realized loss on derivatives, net | (10,638 | ) | (540 | ) | ||||
Realized gain on acquired assets, net | 12 | 5 | ||||||
Unrealized gain (loss) on derivatives, net | 24,456 | (8,059 | ) | |||||
Unrealized gain on investments in Servicing Related Assets | 21,731 | 22,464 | ||||||
Total Income | 36,141 | 28,269 | ||||||
Expenses | ||||||||
General and administrative expense | 1,744 | 1,617 | ||||||
Management fee to affiliate | 1,793 | 1,961 | ||||||
Total Expenses | 3,537 | 3,578 | ||||||
Income Before Income Taxes | 32,604 | 24,691 | ||||||
Provision for corporate business taxes | 3,875 | 3,463 | ||||||
Net Income | 28,729 | 21,228 | ||||||
Net income allocated to noncontrolling interests in Operating Partnership | (633 | ) | (434 | ) | ||||
Dividends on preferred stock | 2,463 | 2,463 | ||||||
Net Income Applicable to Common Stockholders | $ | 25,633 | $ | 18,331 | ||||
Net Income Per Share of Common Stock | ||||||||
Basic | $ | 1.40 | $ | 1.07 | ||||
Diluted | $ | 1.40 | $ | 1.07 | ||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||||
Basic | 18,252,523 | 17,065,735 | ||||||
Diluted | 18,272,737 | 17,087,959 |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Net income | $ | 28,729 | $ | 21,228 | ||||
Other comprehensive income (loss): | ||||||||
Unrealized loss on RMBS, available-for-sale, net | (44,535 | ) | (19,349 | ) | ||||
Net other comprehensive loss | (44,535 | ) | (19,349 | ) | ||||
Comprehensive income (loss) | $ | (15,806 | ) | $ | 1,879 | |||
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership | (348 | ) | 38 | |||||
Dividends on preferred stock | 2,463 | 2,463 | ||||||
Comprehensive loss attributable to common stockholders | $ | (17,921 | ) | $ | (622 | ) |
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, 2019 | 16,660,655 | $ | 170 | 4,781,635 | $ | 115,281 | $ | 299,180 | $ | 41,414 | $ | (59,451 | ) | $ | 2,781 | $ | 399,375 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 9,500 | 0 | 0 | 0 | 124 | 0 | 0 | 0 | 124 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of common stock | (142,531 | ) | 0 | 0 | 0 | (1,748 | ) | 0 | 0 | 0 | (1,748 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Conversion of OP units | - | 0 | - | 0 | 0 | 0 | 0 | (76 | ) | (76 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | (47,926 | ) | (910 | ) | (48,836 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (7,631 | ) | 0 | 0 | (7,631 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 264 | 264 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (108 | ) | (108 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.40 per share | - | 0 | - | 0 | 0 | 0 | (6,611 | ) | 0 | (6,611 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,428 | ) | 0 | (1,428 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2020 | 16,527,624 | $ | 170 | 4,781,635 | $ | 115,281 | $ | 297,556 | $ | 33,783 | $ | (116,447 | ) | $ | 1,951 | $ | 332,294 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 549,234 | 5 | 0 | 0 | 3,352 | 0 | 0 | 0 | 3,357 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | (12,456 | ) | (227 | ) | (12,683 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Income | - | 0 | - | 0 | 0 | 15,786 | 0 | 0 | 15,786 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 307 | 307 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (61 | ) | (61 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,610 | ) | 0 | (4,610 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,430 | ) | 0 | (1,430 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2020 | 17,076,858 | $ | 175 | 4,781,635 | $ | 115,281 | $ | 300,908 | $ | 49,569 | $ | (135,974 | ) | $ | 1,970 | $ | 331,929 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 0 | 0 | 0 | 0 | 37 | 0 | 0 | 0 | 37 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of common stock | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of preferred stock | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Conversion of OP units | - | 0 | - | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | (732 | ) | (10 | ) | (742 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (2,110 | ) | 0 | 0 | (2,110 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 237 | 237 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (84 | ) | (84 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,615 | ) | 0 | (4,615 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,428 | ) | 0 | (1,428 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2020 | 17,076,858 | $ | 175 | 4,781,635 | $ | 115,281 | $ | 300,945 | $ | 47,459 | $ | (143,780 | ) | $ | 2,113 | $ | 322,193 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 17,076,858 | $ | 175 | 4,781,635 | $ | 115,379 | $ | 300,997 | $ | 35,594 | $ | (141,980 | ) | $ | 2,401 | $ | 312,566 | 17,076,858 | $ | 175 | 4,781,635 | $ | 115,379 | $ | 300,997 | $ | 35,594 | $ | (141,980 | ) | $ | 2,401 | $ | 312,566 | ||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 16,378 | 0 | 0 | 0 | 200 | 0 | 0 | 0 | 200 | 16,378 | 0 | 0 | 0 | 200 | 0 | 0 | 0 | 200 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Conversion of OP units | - | 0 | - | 0 | 0 | 0 | 0 | (147 | ) | (147 | ) | - | 0 | - | 0 | 0 | 0 | 0 | (147 | ) | (147 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | 20,794 | 434 | 21,228 | - | 0 | - | 0 | 0 | 0 | 20,794 | 434 | 21,228 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (19,349 | ) | 0 | 0 | (19,349 | ) | - | 0 | - | 0 | 0 | (19,349 | ) | 0 | 0 | (19,349 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 241 | 241 | - | 0 | - | 0 | 0 | 0 | 0 | 241 | 241 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (85 | ) | (85 | ) | - | 0 | - | 0 | 0 | 0 | 0 | (85 | ) | (85 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,611 | ) | 0 | (4,611 | ) | - | 0 | - | 0 | 0 | 0 | (4,611 | ) | 0 | (4,611 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,432 | ) | 0 | (1,432 | ) | - | 0 | - | 0 | 0 | 0 | (1,432 | ) | 0 | (1,432 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2021 | 17,093,236 | $ | 175 | 4,781,635 | $ | 115,379 | $ | 301,197 | $ | 16,245 | $ | (128,260 | ) | $ | 2,844 | $ | 307,580 | 17,093,236 | $ | 175 | 4,781,635 | $ | 115,379 | $ | 301,197 | $ | 16,245 | $ | (128,260 | ) | $ | 2,844 | $ | 307,580 | ||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | 18,261,848 | $ | 187 | 4,781,635 | $ | 115,379 | $ | 311,255 | $ | 7,527 | $ | (158,483 | ) | $ | 2,951 | $ | 278,816 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 20,214 | 0 | 0 | 0 | 52 | 0 | 0 | 0 | 52 | 505,000 | 5 | 0 | 0 | 4,099 | 0 | 0 | 0 | 4,104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of OP units for cash | - | 0 | - | 0 | 0 | 0 | 0 | (69 | ) | (69 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | (11,373 | ) | (240 | ) | (11,613 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | 28,096 | 633 | 28,729 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (2,004 | ) | 0 | 0 | (2,004 | ) | - | 0 | - | 0 | 0 | (44,535 | ) | 0 | 0 | (44,535 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 281 | 281 | - | 0 | - | 0 | 0 | 0 | 0 | 173 | 173 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (93 | ) | (93 | ) | - | 0 | - | 0 | 0 | 0 | 0 | (91 | ) | (91 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,621 | ) | 0 | (4,621 | ) | - | 0 | - | 0 | 0 | 0 | (5,082 | ) | 0 | (5,082 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,434 | ) | 0 | (1,434 | ) | - | 0 | - | 0 | 0 | 0 | (1,432 | ) | 0 | (1,432 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2021 | 17,113,450 | $ | 175 | 4,781,635 | $ | 115,379 | $ | 301,249 | $ | 14,241 | $ | (146,719 | ) | $ | 2,723 | $ | 287,048 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 553,500 | 6 | 0 | 0 | 4,873 | 0 | 0 | 0 | 4,879 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of OP units for cash | - | 0 | - | 0 | 0 | 0 | 0 | (20 | ) | (20 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | (3,713 | ) | (77 | ) | (3,790 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Income | - | 0 | - | 0 | 0 | 1,562 | 0 | 0 | 1,562 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 158 | 158 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (92 | ) | (92 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,777 | ) | 0 | (4,777 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,431 | ) | 0 | (1,431 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2021 | 17,666,950 | $ | 181 | 4,781,635 | $ | 115,379 | $ | 306,122 | $ | 15,803 | $ | (157,671 | ) | $ | 2,692 | $ | 282,506 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | 18,766,848 | $ | 192 | 4,781,635 | $ | 115,379 | $ | 315,354 | $ | (37,008 | ) | $ | (137,932 | ) | $ | 3,666 | $ | 259,651 |
Nine Months Ended September 30, | Three Months Ended March 31, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash Flows From Operating Activities | ||||||||||||||||
Net income (loss) | $ | 5,825 | $ | (62,261 | ) | |||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||
Net income | $ | 28,729 | $ | 21,228 | ||||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||||
Realized (gain) loss on RMBS, available-for-sale, net | (2,027 | ) | 12,590 | 13,222 | (2,094 | ) | ||||||||||
Unrealized loss on investments in Servicing Related Assets | 5,951 | 131,850 | ||||||||||||||
Realized loss on investments in MSRs, net | 0 | 11,347 | ||||||||||||||
Realized (gain) loss on acquired assets, net | (15 | ) | 597 | |||||||||||||
Unrealized gain on investments in Servicing Related Assets | (21,731 | ) | (22,464 | ) | ||||||||||||
Realized gain on acquired assets, net | (12 | ) | (5 | ) | ||||||||||||
Realized loss on derivatives, net | 17,903 | 22,039 | 10,638 | 540 | ||||||||||||
Unrealized (gain) loss on derivatives, net | 9,978 | (51,321 | ) | (24,456 | ) | 8,059 | ||||||||||
Realized gain on TBA dollar rolls, net | (9,686 | ) | (3,908 | ) | ||||||||||||
Amortization of premiums on RMBS, available-for-sale | 11,434 | 11,362 | 1,209 | 4,995 | ||||||||||||
Amortization of deferred financing costs | 121 | 337 | 0 | 50 | ||||||||||||
LTIP-OP Unit awards | 680 | 808 | 173 | 241 | ||||||||||||
Changes in: | ||||||||||||||||
Receivables and other assets, net | 4,290 | (1,445 | ) | 4,882 | 1,180 | |||||||||||
Due to affiliates | 1,241 | (168 | ) | 1,742 | 903 | |||||||||||
Accrued interest on derivatives, net | (3,028 | ) | (4,831 | ) | ||||||||||||
Dividends payable | 175 | (2,046 | ) | |||||||||||||
Accrued expenses and other liabilities, net | (810 | ) | (12,384 | ) | (633 | ) | 49 | |||||||||
Net cash provided by operating activities | $ | 42,032 | $ | 52,566 | $ | 13,763 | $ | 12,682 | ||||||||
Cash Flows From Investing Activities | ||||||||||||||||
Purchase of RMBS | (382,298 | ) | (821,816 | ) | (211,463 | ) | (22,045 | ) | ||||||||
Principal paydown of RMBS | 205,408 | 220,463 | 35,054 | 81,483 | ||||||||||||
Proceeds from sale of RMBS | 510,038 | 1,612,828 | 250,026 | 144,863 | ||||||||||||
Proceeds from sale of MSRs | 0 | 15,831 | ||||||||||||||
Acquisition of MSRs | (42,356 | ) | (31,061 | ) | (5,645 | ) | (20,295 | ) | ||||||||
Payments for settlement of derivatives | (7,044 | ) | (1,181 | ) | (10,362 | ) | (1,700 | ) | ||||||||
Proceeds from settlement of derivatives | 0 | 45,527 | ||||||||||||||
Net cash provided by investing activities | $ | 283,748 | $ | 1,040,591 | $ | 57,610 | $ | 182,306 | ||||||||
Cash Flows From Financing Activities | ||||||||||||||||
Borrowings under repurchase agreements | 4,198,211 | 5,915,017 | 1,496,531 | 1,502,670 | ||||||||||||
Repayments of repurchase agreements | (4,570,773 | ) | (6,887,184 | ) | (1,597,140 | ) | (1,718,647 | ) | ||||||||
Proceeds from derivative financing | (11,000 | ) | (9,947 | ) | 21,390 | (2,974 | ) | |||||||||
Proceeds from bank loans | 23,500 | 18,204 | 13,800 | 5,500 | ||||||||||||
Principal paydown of bank loans | 0 | (71,201 | ) | |||||||||||||
Dividends paid | (21,399 | ) | (23,215 | ) | (7,391 | ) | (7,063 | ) | ||||||||
LTIP-OP Units distributions paid | (270 | ) | (253 | ) | (91 | ) | (85 | ) | ||||||||
Conversion of OP units | (147 | ) | (76 | ) | 0 | (147 | ) | |||||||||
Redemption of OP units for cash | (89 | ) | 0 | |||||||||||||
Issuance of common stock, net of offering costs | 5,131 | 3,518 | 4,104 | 200 | ||||||||||||
Repurchase of common stock | 0 | (1,748 | ) | |||||||||||||
Net cash used in financing activities | $ | (376,836 | ) | $ | (1,056,885 | ) | $ | (68,797 | ) | $ | (220,546 | ) | ||||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | $ | (51,056 | ) | $ | 36,272 | $ | 2,576 | $ | (25,558 | ) | ||||||
Cash, Cash Equivalents and Restricted Cash, Beginning of Period | 130,218 | 91,708 | 76,777 | 130,218 | ||||||||||||
Cash, Cash Equivalents and Restricted Cash, End of Period | $ | 79,162 | $ | 127,980 | $ | 79,353 | $ | 104,660 | ||||||||
Supplemental Disclosure of Cash Flow Information | ||||||||||||||||
Cash paid during the period for interest expense | $ | 1,085 | $ | 15,363 | $ | 918 | $ | 172 | ||||||||
Cash paid during the period for income taxes | $ | 47 | $ | 20 | 2 | 6 | ||||||||||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||||||||||||||||
Dividends declared but not paid | $ | 6,900 | $ | 6,722 | $ | 7,210 | $ | 6,736 | ||||||||
Sale of RMBS, settled after period end | (46,801 | ) | (16,702 | ) | ||||||||||||
Purchase of RMBS, settled after period end | $ | 0 | $ | 6,899 | 0 | 29,250 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Realized gain (loss) on RMBS, net | ||||||||||||||||
Gain on RMBS | $ | 169 | $ | 7,082 | $ | 5,653 | $ | 25,745 | ||||||||
Loss on RMBS | (1,219 | ) | (360 | ) | (3,626 | ) | (38,335 | ) | ||||||||
Net realized gain (loss) on RMBS | (1,050 | ) | 6,722 | 2,027 | (12,590 | ) | ||||||||||
Realized loss on derivatives, net | (3,023 | ) | (7,841 | ) | (17,903 | ) | (22,039 | ) | ||||||||
Unrealized gain (loss) on derivatives, net | (5,467 | ) | 3,702 | (9,978 | ) | 51,321 | ||||||||||
Realized loss on MSRs, net | 0 | 0 | 0 | (11,347 | ) | |||||||||||
Unrealized loss on investments in Servicing Related Assets | (7,914 | ) | (20,972 | ) | (5,951 | ) | (131,850 | ) | ||||||||
Realized gain (loss) on acquired assets, net | (19 | ) | (95 | ) | 15 | (597 | ) | |||||||||
Total | $ | (17,473 | ) | $ | (18,484 | ) | $ | (31,790 | ) | $ | (127,102 | ) |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Realized gain (loss) on RMBS, net | ||||||||
Gain on RMBS | $ | 50 | $ | 2,664 | ||||
Loss on RMBS | (13,272 | ) | (570 | ) | ||||
Net realized gain (loss) on RMBS (A) | $ | (13,222 | ) | $ | 2,094 |
(A) | Reclassified from accumulated other comprehensive income into earnings. |
Servicing Related Assets | RMBS | All Other | Total | |||||||||||||
Income Statement | ||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||
Interest income | $ | 0 | $ | 5,519 | $ | 0 | $ | 5,519 | ||||||||
Interest expense | 1,253 | 387 | 0 | 1,640 | ||||||||||||
Net interest income (expense) | (1,253 | ) | 5,132 | 0 | 3,879 | |||||||||||
Servicing fee income | 13,116 | 0 | 0 | 13,116 | ||||||||||||
Servicing costs | 3,193 | 0 | 0 | 3,193 | ||||||||||||
Net servicing income | 9,923 | 0 | 0 | 9,923 | ||||||||||||
Other income (expense) | (3,366 | ) | 25,705 | 0 | 22,339 | |||||||||||
Other operating expenses | 522 | 228 | 2,787 | 3,537 | ||||||||||||
Provision for corporate business taxes | 3,875 | 0 | 0 | 3,875 | ||||||||||||
Net Income (Loss) | $ | 907 | $ | 30,609 | $ | (2,787 | ) | $ | 28,729 |
Servicing Related Assets | RMBS | All Other | Total | |||||||||||||||||||||||||||||
Income Statement | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Interest income | $ | 120 | $ | 6,923 | $ | 0 | $ | 7,043 | $ | 120 | $ | 3,181 | $ | 0 | $ | 3,301 | ||||||||||||||||
Interest expense | (808 | ) | 1,454 | 0 | 646 | 932 | 522 | 0 | 1,454 | |||||||||||||||||||||||
Net interest income | 928 | 5,469 | 0 | 6,397 | ||||||||||||||||||||||||||||
Servicing fee income | 13,839 | 0 | 0 | 13,839 | ||||||||||||||||||||||||||||
Servicing costs | 3,080 | 0 | 0 | 3,080 | ||||||||||||||||||||||||||||
Net servicing income | 10,759 | 0 | 0 | 10,759 | ||||||||||||||||||||||||||||
Other expense | (14,210 | ) | (3,263 | ) | 0 | (17,473 | ) | |||||||||||||||||||||||||
Other operating expenses | 1,030 | 0 | 2,658 | 3,688 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (215 | ) | 0 | 0 | (215 | ) | ||||||||||||||||||||||||||
Net Income (Loss) | $ | (3,338 | ) | $ | 2,206 | $ | (2,658 | ) | $ | (3,790 | ) | |||||||||||||||||||||
Three Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||
Interest income | $ | 380 | $ | 9,621 | $ | 0 | $ | 10,001 | ||||||||||||||||||||||||
Interest expense | (1,297 | ) | 1,279 | 0 | (18 | ) | ||||||||||||||||||||||||||
Net interest income | 1,677 | 8,342 | 0 | 10,019 | ||||||||||||||||||||||||||||
Servicing fee income | 14,365 | 0 | 0 | 14,365 | ||||||||||||||||||||||||||||
Servicing costs | 5,266 | 0 | 0 | 5,266 | ||||||||||||||||||||||||||||
Net servicing income | 9,099 | 0 | 0 | 9,099 | ||||||||||||||||||||||||||||
Other income (expense) | (25,492 | ) | 7,008 | 0 | (18,484 | ) | ||||||||||||||||||||||||||
Other operating expenses | 1,178 | 0 | 2,314 | 3,492 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (2,116 | ) | 0 | 0 | (2,116 | ) | ||||||||||||||||||||||||||
Net Income (Loss) | $ | (13,778 | ) | $ | 15,350 | $ | (2,314 | ) | $ | (742 | ) | |||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Interest income | $ | 345 | $ | 19,768 | $ | 0 | $ | 20,113 | ||||||||||||||||||||||||
Interest expense | (2,767 | ) | 3,974 | 0 | 1,207 | |||||||||||||||||||||||||||
Net interest income | 3,112 | 15,794 | 0 | 18,906 | ||||||||||||||||||||||||||||
Net interest income (expense) | (812 | ) | 2,659 | 0 | 1,847 | |||||||||||||||||||||||||||
Servicing fee income | 41,127 | 0 | 0 | 41,127 | 13,540 | 0 | 0 | 13,540 | ||||||||||||||||||||||||
Servicing costs | 10,234 | 0 | 0 | 10,234 | 3,082 | 0 | 0 | 3,082 | ||||||||||||||||||||||||
Net servicing income | 30,893 | 0 | 0 | 30,893 | 10,458 | 0 | 0 | 10,458 | ||||||||||||||||||||||||
Other income (expense) | (34,090 | ) | 2,300 | 0 | (31,790 | ) | (4,762 | ) | 20,726 | 0 | 15,964 | |||||||||||||||||||||
Other operating expenses | 2,438 | 0 | 8,328 | 10,766 | 566 | 171 | 2,841 | 3,578 | ||||||||||||||||||||||||
Provision for corporate business taxes | 1,418 | 0 | 0 | 1,418 | 3,463 | 0 | 0 | 3,463 | ||||||||||||||||||||||||
Net Income (Loss) | $ | (3,941 | ) | $ | 18,094 | $ | (8,328 | ) | $ | 5,825 | $ | 855 | $ | 23,214 | $ | (2,841 | ) | $ | 21,228 | |||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||
Interest income | $ | 2,500 | $ | 37,882 | $ | 0 | $ | 40,382 | ||||||||||||||||||||||||
Interest expense | 850 | 14,848 | 0 | 15,698 | ||||||||||||||||||||||||||||
Net interest income | 1,650 | 23,034 | 0 | 24,684 | ||||||||||||||||||||||||||||
Servicing fee income | 51,916 | 0 | 0 | 51,916 | ||||||||||||||||||||||||||||
Servicing costs | 17,700 | 0 | 0 | 17,700 | ||||||||||||||||||||||||||||
Net servicing income | 34,216 | 0 | 0 | 34,216 | ||||||||||||||||||||||||||||
Other expense | (82,094 | ) | (45,008 | ) | 0 | (127,102 | ) | |||||||||||||||||||||||||
Other operating expenses | 2,913 | 0 | 8,694 | 11,607 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (17,548 | ) | 0 | 0 | (17,548 | ) | ||||||||||||||||||||||||||
Net Loss | $ | (31,593 | ) | $ | (21,974 | ) | $ | (8,694 | ) | $ | (62,261 | ) |
Servicing Related Assets | RMBS | All Other | Total | Servicing Related Assets | RMBS | All Other | Total | |||||||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||||||||||
September 30, 2021 | ||||||||||||||||||||||||||||||||
March 31, 2022 | ||||||||||||||||||||||||||||||||
Investments | $ | 210,819 | $ | 865,904 | $ | 0 | $ | 1,076,723 | $ | 246,103 | $ | 774,113 | $ | 0 | $ | 1,020,216 | ||||||||||||||||
Other assets | 46,350 | 28,281 | 63,011 | 137,642 | 36,101 | 102,837 | 52,866 | 191,804 | ||||||||||||||||||||||||
Total assets | 257,169 | 894,185 | 63,011 | 1,214,365 | 282,204 | 876,950 | 52,866 | 1,212,020 | ||||||||||||||||||||||||
Debt | 135,000 | 777,416 | 0 | 912,416 | 159,068 | 764,885 | 0 | 923,953 | ||||||||||||||||||||||||
Other liabilities | 1,829 | 5,212 | 12,402 | 19,443 | 7,308 | 9,371 | 11,737 | 28,416 | ||||||||||||||||||||||||
Total liabilities | 136,829 | 782,628 | 12,402 | 931,859 | 166,376 | 774,256 | 11,737 | 952,369 | ||||||||||||||||||||||||
Book value | $ | 120,340 | $ | 111,557 | $ | 50,609 | $ | 282,506 | ||||||||||||||||||||||||
Net assets | $ | 115,828 | $ | 102,694 | $ | 41,129 | $ | 259,651 |
December 31, 2020 | ||||||||||||||||||||||||||||||||
December 31, 2021 | ||||||||||||||||||||||||||||||||
Investments | $ | 174,414 | $ | 1,228,251 | $ | 0 | $ | 1,402,665 | $ | 218,727 | $ | 953,496 | $ | 0 | $ | 1,172,223 | ||||||||||||||||
Other assets | 51,063 | 55,260 | 84,500 | 190,823 | 44,506 | 21,611 | 64,522 | 130,639 | ||||||||||||||||||||||||
Total assets | 225,477 | 1,283,511 | 84,500 | 1,593,488 | 263,233 | 975,107 | 64,522 | 1,302,862 | ||||||||||||||||||||||||
Debt | 111,379 | 1,149,978 | 0 | 1,261,357 | 145,268 | 865,494 | 0 | 1,010,762 | ||||||||||||||||||||||||
Other liabilities | 2,392 | 6,370 | 10,803 | 19,565 | 1,847 | 1,411 | 10,026 | 13,284 | ||||||||||||||||||||||||
Total liabilities | 113,771 | 1,156,348 | 10,803 | 1,280,922 | 147,115 | 866,905 | 10,026 | 1,024,046 | ||||||||||||||||||||||||
Book value | $ | 111,706 | $ | 127,163 | $ | 73,697 | $ | 312,566 | ||||||||||||||||||||||||
Net assets | $ | 116,118 | $ | 108,202 | $ | 54,496 | $ | 278,816 |
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 709,268 | $ | 510,769 | $ | 12,278 | $ | (881 | ) | $ | 522,166 | 70 | (B) | 3.12 | % | 3.00 | % | 27 | $ | 678,445 | $ | 476,781 | $ | 669 | $ | (22,459 | ) | $ | 454,991 | 68 | (B) | 3.10 | % | 2.99 | % | 27 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 422,028 | 339,213 | 6,557 | (2,032 | ) | 343,738 | 39 | (B) | 2.99 | % | 2.86 | % | 28 | 422,127 | 334,222 | 383 | (15,483 | ) | 319,122 | 42 | (B) | 3.08 | % | 2.97 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,131,296 | $ | 849,982 | $ | 18,835 | $ | (2,913 | ) | $ | 865,904 | 109 | 3.07 | % | 2.94 | % | 28 | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 |
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 840,175 | $ | 692,665 | $ | 22,530 | $ | (39 | ) | $ | 715,156 | 81 | (B) | 3.31 | % | 3.17 | % | 28 | $ | 772,607 | $ | 554,151 | $ | 9,276 | $ | (3,650 | ) | $ | 559,777 | 76 | (B) | 3.09 | % | 2.96 | % | 27 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 549,530 | 493,930 | 13,106 | (82 | ) | 506,954 | 49 | (B) | 2.99 | % | 2.87 | % | 28 | 484,479 | 391,700 | 5,260 | (3,241 | ) | 393,719 | 45 | (B) | 3.02 | % | 2.89 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
Private Label MBS | 22,000 | 5,944 | 197 | 0 | 6,141 | 5 | (B) | 4.08 | % | 4.08 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,411,705 | $ | 1,192,539 | $ | 35,833 | $ | (121 | ) | $ | 1,228,251 | 135 | 3.18 | % | 3.05 | % | 28 | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 |
(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. |
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Years to Maturity | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Over 10 Years | $ | 1,131,296 | $ | 849,982 | $ | 18,835 | $ | (2,913 | ) | $ | 865,904 | 109 | (B) | 3.07 | % | 2.94 | % | 28 | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | (B) | 3.09 | % | 2.98 | % | 28 | ||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,131,296 | $ | 849,982 | $ | 18,835 | $ | (2,913 | ) | $ | 865,904 | 109 | 3.07 | % | 2.94 | % | 28 | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 |
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Years to Maturity | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Over 10 Years | $ | 1,411,705 | $ | 1,192,539 | $ | 35,833 | $ | (121 | ) | $ | 1,228,251 | 135 | (B) | 3.18 | % | 3.05 | % | 28 | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | (B) | 3.06 | % | 2.93 | % | 28 | ||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,411,705 | $ | 1,192,539 | $ | 35,833 | $ | (121 | ) | $ | 1,228,251 | 135 | 3.18 | % | 3.05 | % | 28 | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 |
(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 | 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) | Original Face Value | Book Value | Gross Unrealized Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 336,133 | $ | 336,724 | $ | (2,851 | ) | $ | 333,873 | 32 | (B) | 2.56 | % | 2.44 | % | 29 | $ | 833,308 | $ | 704,077 | $ | (37,942 | ) | $ | 666,135 | 78 | (B) | 2.97 | % | 2.85 | % | 28 | ||||||||||||||||||||||||||||||||||
Twelve or More Months | 6,629 | 6,707 | (62 | ) | 6,645 | 1 | (B) | 3.00 | % | 2.83 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 342,762 | $ | 343,431 | $ | (2,913 | ) | $ | 340,518 | 33 | 2.57 | % | 2.45 | % | 29 | $ | 833,308 | $ | 704,077 | $ | (37,942 | ) | $ | 666,135 | 78 | 2.97 | % | 2.85 | % | 28 |
Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Duration in Loss Position | Original Face Value | Book Value | Gross Unrealized Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gross Unrealized Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 55,656 | $ | 57,945 | $ | (121 | ) | $ | 57,824 | 4 | (B) | 3.00 | % | 2.82 | % | 29 | $ | 612,547 | $ | 611,306 | $ | (6,783 | ) | $ | 604,523 | 56 | (B) | 2.76 | % | 2.62 | % | 29 | ||||||||||||||||||||||||||||||||||
Twelve or More Months | 6,629 | 6,022 | (108 | ) | 5,914 | 1 | (B) | 3.00 | % | 2.83 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 55,656 | $ | 57,945 | $ | (121 | ) | $ | 57,824 | 4 | 3.00 | % | 2.82 | % | 29 | $ | 619,176 | $ | 617,328 | $ | (6,891 | ) | $ | 610,437 | 57 | 2.77 | % | 2.62 | % | 29 |
(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) | 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 | $ | 20,781,421 | $ | 210,819 | 3.57 | % | 26.3 | $ | (5,951 | ) | $ | 20,441,178 | $ | 246,103 | 3.48 | % | 26.2 | $ | 21,731 | |||||||||||||||||||||
MSR Total/Weighted Average | $ | 20,781,421 | $ | 210,819 | 3.57 | % | 26.3 | $ | (5,951 | ) | $ | 20,441,178 | $ | 246,103 | 3.48 | % | 26.2 | $ | 21,731 |
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) | 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 | $ | 21,641,277 | $ | 174,414 | 3.92 | % | 26.3 | $ | (141,900 | ) | $ | 20,773,278 | $ | 218,727 | 3.51 | % | 26.3 | $ | (11,062 | ) | ||||||||||||||||||||
MSR Total/Weighted Average | $ | 21,641,277 | $ | 174,414 | 3.92 | % | 26.3 | $ | (141,900 | ) | $ | 20,773,278 | $ | 218,727 | 3.51 | % | 26.3 | $ | (11,062 | ) |
(A) | See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. |
(B) | Weighted average maturity of the underlying residential mortgage loans in the pool is based on the unpaid principal balance. |
Percentage of Total Outstanding Unpaid Principal Balance | ||||
California | % | |||
Virginia | % | |||
New York | % | |||
Maryland | % | |||
Texas | % | |||
North Carolina | % | |||
All other | % | |||
Total | 100.0 | % |
Percentage of Total Outstanding Unpaid Principal Balance | ||||
California | % | |||
Virginia | % | |||
New York | % | |||
Maryland | % | |||
Texas | % | |||
North Carolina | % | |||
All other | % | |||
Total | 100.0 | % |
LTIP-OP Units | Shares of Common Stock | Number of Securities Remaining Available For Future Issuance Under Equity | Weighted Average Issuance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans | Weighted Average Issuance Price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Units | Shares of Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issued | Forfeited | Converted | Redeemed | Issued | Forfeited | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | (290,275 | ) | 916 | 18,917 | 0 | (76,664 | ) | 3,155 | 1,156,049 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | (41,900 | )(A) | 0 | 0 | 0 | 0 | 0 | (41,900 | ) | $ | 14.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | 0 | 0 | 9,500 | 0 | (9,500 | ) | 0 | 0 | $ | 8.01 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2020 | (332,175 | ) | 916 | 28,417 | 0 | (86,164 | ) | 3,155 | 1,114,149 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | (9,672 | ) | 0 | 0 | 0 | 0 | 0 | (9,672 | ) | $ | 6.27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | 0 | 0 | 0 | 0 | (22,224 | ) | 0 | (22,224 | ) | $ | 9.18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2020 | (341,847 | ) | 916 | 28,417 | 0 | (108,388 | ) | 3,155 | 1,082,253 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2020 | (341,847) | 916 | 28,417 | (108,388) | 3,155 | 1,082,253 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issued | Forfeited | Converted | Redeemed | Issued | Forfeited | Compensation Plans | Price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | (341,847 | ) | 916 | 28,417 | 0 | (108,388 | ) | 3,155 | 1,082,253 | (341,847 | ) | 916 | 28,417 | 0 | (108,388 | ) | 3,155 | 1,082,253 | |||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | (49,800 | )(B) | 0 | 0 | 0 | 0 | 0 | (49,800 | ) | $ | 8.81 | (49,800 | ) | (A) | 0 | 0 | 0 | 0 | 0 | (49,800 | ) | $ | 8.81 | ||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | 0 | 0 | 16,378 | 0 | (16,378 | ) | 0 | 0 | $ | 9.00 | 0 | 0 | 16,378 | 0 | (16,378 | ) | 0 | 0 | $ | 9.00 | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | (391,647 | ) | 916 | 44,795 | 0 | (124,766 | ) | 3,155 | 1,032,453 | (391,647 | ) | 916 | 44,795 | 0 | (124,766 | ) | 3,155 | 1,032,453 | |||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | 0 | 0 | 0 | 3,500 | 0 | 0 | 0 | $ | 9.53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | 0 | 0 | 0 | 3,354 | 0 | 0 | 0 | $ | 10.48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | (391,647 | ) | 916 | 44,795 | 9,054 | (144,980 | ) | 3,155 | 1,012,239 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | 0 | 0 | 0 | (20,214 | )(C) | 0 | (20,214 | ) | $ | 10.39 | (68,250 | ) | (B) | 0 | 0 | 0 | 0 | (68,250 | ) | $ | 8.40 | ||||||||||||||||||||||||||||||||||||||||||||
June 30, 2021 | (391,647 | ) | 916 | 44,795 | 6,854 | (144,980 | ) | 3,155 | 1,012,239 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | 0 | 0 | 0 | 1,200 | 0 | 0 | 0 | $ | 9.21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | 1,000 | 0 | $ | 9.36 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | (391,647) | 916 | 44,795 | 9,054 | (144,980) | 3,155 | 1,012,239 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | (459,897 | ) | 916 | 44,795 | (144,980 | ) | 3,155 | 943,989 |
(A) | Subject to forfeiture in certain circumstances prior to January |
(B) | Subject to forfeiture in certain circumstances prior to January |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | |||||||||||||||||||
Numerator: | ||||||||||||||||||||||||
Net income (loss) | $ | (3,790 | ) | $ | (742 | ) | $ | 5,825 | $ | (62,261 | ) | |||||||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 77 | 10 | (117 | ) | 1,147 | |||||||||||||||||||
Net income | $ | 28,729 | $ | 21,228 | ||||||||||||||||||||
Net income allocated to noncontrolling interests in Operating Partnership | (633 | ) | (434 | ) | ||||||||||||||||||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | 2,463 | 2,463 | ||||||||||||||||||
Net income (loss) applicable to common stockholders | $ | (6,175 | ) | $ | (3,191 | ) | $ | (1,682 | ) | $ | (68,493 | ) | ||||||||||||
Net income applicable to common stockholders | $ | 25,633 | $ | 18,331 | ||||||||||||||||||||
Denominator: | ||||||||||||||||||||||||
Weighted average common shares outstanding | 17,185,872 | 17,054,634 | 17,108,956 | 16,850,133 | 18,252,523 | 17,065,735 | ||||||||||||||||||
Weighted average diluted shares outstanding | 17,206,086 | 17,076,858 | 17,130,489 | 16,866,269 | 18,272,737 | 17,087,959 | ||||||||||||||||||
Basic and Diluted EPS: | ||||||||||||||||||||||||
Basic | $ | (0.36 | ) | $ | (0.19 | ) | $ | (0.10 | ) | $ | (4.06 | ) | $ | 1.40 | $ | 1.07 | ||||||||
Diluted | $ | (0.36 | ) | $ | (0.19 | ) | $ | (0.10 | ) | $ | (4.06 | ) | $ | 1.40 | $ | 1.07 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | |||||||||||||||||||
Management fees | $ | 1,709 | $ | 1,727 | $ | 5,119 | $ | 5,190 | $ | 1,678 | $ | 1,711 | ||||||||||||
Compensation reimbursement | 250 | 262 | 750 | 738 | 115 | 250 | ||||||||||||||||||
Total | $ | 1,959 | $ | 1,989 | $ | 5,869 | $ | 5,928 | $ | 1,793 | $ | 1,961 |
Derivatives | September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | ||||||||||||
Notional amount of interest rate swaps | $ | 1,413,000 | $ | 1,451,900 | $ | 1,395,000 | $ | 1,448,000 | ||||||||
Notional amount of swaptions | 55,000 | 70,000 | 40,000 | 40,000 | ||||||||||||
Notional amount of TBAs, net | 536,000 | 332,000 | 166,600 | 439,000 | ||||||||||||
Notional amount of U.S. treasury futures | (30,000 | ) | 110,000 | (271,300 | ) | (80,600 | ) | |||||||||
Notional amount of options on U.S. treasury futures | 50,000 | 0 | 70,000 | 0 | ||||||||||||
Total notional amount | $ | 2,024,000 | $ | 1,963,900 | $ | 1,400,300 | $ | 1,846,400 |
Notional Amount | Fair Value | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||||||||||
September 30, 2021 | $ | 1,413,000 | $ | 16,906 | 0.48 | % | 0.71 | % | 6.3 | |||||||||||
December 31, 2020 | $ | 1,451,900 | $ | 4,913 | 0.45 | % | 0.84 | % | 6.4 |
Notional Amount | Fair Value | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||||||||||
March 31, 2022 | $ | 1,395,000 | $ | 13,883 | 0.63 | % | 0.98 | % | 5.8 | |||||||||||
December 31, 2021 | $ | 1,448,000 | $ | 9,883 | 0.50 | % | 0.73 | % | 6.1 |
Notional Amount | Fair Value | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate(A) | Weighted Average Underlying Years to Maturity(B) | Weighted Average Years to Expiration | ||||||||||||||||
September 30, 2021 | $ | 55,000 | $ | 694 | 1.73 | % | LIBOR-BBA% | 8.8 | 0.5 | ||||||||||||
December 31, 2020 | $ | 70,000 | $ | 798 | 1.32 | % | LIBOR-BBA% | 10.6 | 0.5 |
Notional Amount | Fair Value | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate(A) | Weighted Average Underlying Years to Maturity(B) | Weighted Average Years to Expiration | ||||||||||||||||
March 31, 2022 | $ | 40,000 | $ | 1,417 | 1.90 | % | LIBOR-BBA% | 7.7 | 0.1 | ||||||||||||
December 31, 2021 | $ | 40,000 | $ | 183 | 1.90 | % | LIBOR-BBA% | 8.0 | 0.4 |
(A) | Floats in accordance with LIBOR. |
(B) | Weighted average years to maturity of the underlying swaps from the reporting date. |
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Fair Value | Net Carrying Value | Notional | Implied Cost Basis | Implied Fair Value | Net Carrying Value | ||||||||||||||||||||||||
Purchase contracts | $ | 1,472,000 | $ | 1,514,278 | $ | 1,510,342 | $ | (3,935 | ) | $ | 1,075,500 | $ | 1,069,521 | $ | 1,053,940 | $ | (15,581 | ) | ||||||||||||||
Sale contracts | (936,000 | ) | (964,923 | ) | (965,776 | ) | (853 | ) | (908,900 | ) | (895,704 | ) | (887,491 | ) | 8,213 | |||||||||||||||||
Net TBA derivatives | $ | 536,000 | $ | 549,355 | $ | 544,566 | $ | (4,788 | ) | $ | 166,600 | $ | 173,817 | $ | 166,449 | $ | (7,368 | ) |
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Fair Value | Net Carrying Value | Notional | Implied Cost Basis | Implied Fair Value | Net Carrying Value | ||||||||||||||||||||||||
Purchase contracts | $ | 875,000 | $ | 904,653 | $ | 911,393 | $ | 6,740 | $ | 970,500 | $ | 988,173 | $ | 987,146 | $ | (1,026 | ) | |||||||||||||||
Sale contracts | (543,000 | ) | (564,934 | ) | (567,544 | ) | (2,610 | ) | (531,500 | ) | (544,346 | ) | (544,327 | ) | 19 | |||||||||||||||||
Net TBA derivatives | $ | 332,000 | $ | 339,719 | $ | 343,849 | $ | 4,130 | $ | 439,000 | $ | 443,827 | $ | 442,819 | $ | (1,007 | ) |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | |||||||||
10 years | $ | 0 | $ | (30,000 | ) | $ | (42 | ) | ||||
Total | $ | 0 | $ | (30,000 | ) | $ | (42 | ) |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | |||||||||
5 years | $ | 0 | $ | (104,300 | ) | $ | 1,720 | |||||
10 years | 0 | (167,000 | ) | 4,200 | ||||||||
Total | $ | 0 | $ | (271,300 | ) | $ | 5,920 |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | Notional Amount - Long | Notional Amount - Short | Fair Value | ||||||||||||||||||
2 years | $ | 0 | $ | (85,000 | ) | $ | 63 | |||||||||||||||||
5 years | $ | 85,000 | $ | 0 | $ | 252 | 0 | (15,000 | ) | (53 | ) | |||||||||||||
10 years | 25,000 | 0 | 0 | 19,400 | 0 | (63 | ) | |||||||||||||||||
Total | $ | 110,000 | $ | 0 | $ | 252 | $ | 19,400 | $ | (100,000 | ) | $ | (53 | ) |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | |||||||||
10 years | $ | 90,000 | $ | (20,000 | ) | $ | 47 | |||||
Total | $ | 90,000 | $ | (20,000 | ) | $ | 47 |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | Notional Amount - Long | Notional Amount - Short | Fair Value | ||||||||||||||||||
10 years | $ | 80,000 | $ | (30,000 | ) | $ | 198 | $ | 60,000 | $ | (60,000 | ) | $ | 234 | ||||||||||
Total | $ | 80,000 | $ | (30,000 | ) | $ | 198 | $ | 60,000 | $ | (60,000 | ) | $ | 234 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||||
Derivatives | Consolidated Statements of Income (Loss) Location | 2021 | 2020 | 2021 | 2020 | 2022 | 2021 | |||||||||||||||||||
Interest rate swaps | Realized loss on derivatives, net | $ | (968 | ) | $ | (8,832 | ) | $ | (1,260 | ) | $ | (63,456 | ) | $ | (1,191 | ) | $ | 57 | ||||||||
Swaptions | Realized loss on derivatives, net | (210 | ) | 0 | (804 | ) | (212 | ) | 0 | (273 | ) | |||||||||||||||
TBAs | Realized loss on derivatives, net | 332 | (1,279 | ) | (10,407 | ) | (935 | ) | (15,443 | ) | (582 | ) | ||||||||||||||
U.S Treasury futures | Realized loss on derivatives, net | (2,177 | ) | 2,270 | (5,432 | ) | 42,564 | |||||||||||||||||||
U.S. Treasury futures | 5,270 | (1,084 | ) | |||||||||||||||||||||||
U.S. Treasury futures options | (190 | ) | 0 | |||||||||||||||||||||||
Total | $ | (3,023 | ) | $ | (7,841 | ) | $ | (17,903 | ) | $ | (22,039 | ) | $ | (11,554 | ) | $ | (1,882 | ) |
(A) | Excludes interest rate swap periodic interest income of $915,000 and $1.3 million, for the three-month periods ended March 31, 2022 and March 31, 2021, respectively. |
Gross Amounts Not Offset in the Consolidated Balance Sheet | Net Amounts of Assets and | Gross Amounts Not Offset in the Consolidated Balance Sheet | ||||||||||||||||||||||||||||||||||||||||||||||
Gross Amounts of Recognized Assets or Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Received (Pledged) | Net Amount | Gross Amounts of Recognized Assets or Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Liabilities Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Received (Pledged) (A) | Net Amount | |||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | 17,226 | $ | 0 | $ | 17,226 | $ | (17,226 | ) | $ | 0 | $ | 0 | $ | 19,796 | $ | 0 | $ | 19,796 | $ | (19,796 | ) | $ | 0 | $ | 0 | ||||||||||||||||||||||
Interest rate swaptions | 694 | 0 | 694 | (694 | ) | 0 | 0 | 1,417 | 0 | 1,417 | (1,417 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||||
TBAs | 670 | (670 | ) | 0 | 0 | 0 | 0 | 9,082 | (9,082 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||
U.S. treasury futures | 5,919 | 0 | 5,919 | (5,919 | ) | 0 | 0 | |||||||||||||||||||||||||||||||||||||||||
U.S. treasury futures options | 198 | 0 | 198 | 837 | (1,035 | ) | 0 | 47 | 0 | 47 | (47 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||||
Total Assets | $ | 18,788 | $ | (670 | ) | $ | 18,118 | $ | (17,083 | ) | $ | (1,035 | ) | $ | 0 | $ | 36,261 | $ | (9,082 | ) | $ | 27,179 | $ | (27,179 | ) | $ | 0 | $ | 0 |
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 777,416 | $ | 0 | $ | 777,416 | $ | (762,211 | ) | $ | (15,205 | ) | $ | 0 | $ | 764,885 | $ | 0 | $ | 764,885 | $ | (737,911 | ) | $ | (26,974 | ) | $ | 0 | ||||||||||||||||||||
Interest rate swaps | 320 | 0 | 320 | (320 | ) | 0 | 0 | 5,914 | 0 | 5,914 | (5,914 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||||
TBAs | 5,458 | (670 | ) | 4,788 | (4,788 | ) | 0 | 0 | 16,450 | (9,082 | ) | 7,368 | (7,368 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||
U.S. treasury futures | 42 | 0 | 42 | (42 | ) | 0 | 0 | 1,865 | 0 | 1,865 | (1,865 | ) | 0 | 0 | ||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 783,236 | $ | (670 | ) | $ | 782,566 | $ | (767,361 | ) | $ | (15,205 | ) | $ | 0 | $ | 789,114 | $ | (9,082 | ) | $ | 780,032 | $ | (753,058 | ) | $ | (26,974 | ) | $ | 0 |
(A) | Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||||||||||||||||||||||||
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 | Financial Instruments | Cash Collateral Received (Pledged) | Net Amount | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Interest rate swaps | $ | 10,791 | $ | 0 | $ | 10,791 | $ | (10,791 | ) | $ | 0 | $ | 0 | |||||||||||
Interest rate swaptions | 798 | 0 | 798 | (798 | ) | 0 | 0 | |||||||||||||||||
TBAs | 6,740 | (2,611 | ) | 4,129 | (4,129 | ) | 0 | 0 | ||||||||||||||||
U.S. treasury futures | 252 | 0 | 252 | 1,717 | (1,969 | ) | 0 | |||||||||||||||||
Total Assets | $ | 18,581 | $ | (2,611 | ) | $ | 15,970 | $ | (14,001 | ) | $ | (1,969 | ) | $ | 0 |
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | 1,149,978 | $ | 0 | $ | 1,149,978 | $ | (1,105,621 | ) | $ | (44,357 | ) | $ | 0 | ||||||||||
Interest rate swaps | 5,878 | 0 | 5,878 | (5,878 | ) | 0 | 0 | |||||||||||||||||
TBAs | 2,611 | (2,611 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||
Total Liabilities | $ | 1,158,467 | $ | (2,611 | ) | $ | 1,155,856 | $ | (1,111,499 | ) | $ | (44,357 | ) | $ | 0 |
Net Amounts of Assets and | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||||||
Gross Amounts of Recognized Assets or Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Liabilities Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Received (Pledged) (A) | Net Amount | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Interest rate swaps | $ | 10,101 | $ | 0 | $ | 10,101 | $ | (10,101 | ) | $ | 0 | $ | 0 | |||||||||||
Interest rate swaptions | 183 | 0 | 183 | (183 | ) | 0 | 0 | |||||||||||||||||
TBAs | 338 | (338 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||
U.S. treasury futures options | 234 | 0 | 234 | 430 | (664) | 0 | ||||||||||||||||||
Total Assets | $ | 10,856 | $ | (338 | ) | $ | 10,518 | $ | (9,854 | ) | $ | (664) | $ | 0 |
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | 865,494 | $ | 0 | $ | 865,494 | $ | (853,297 | ) | $ | (12,197 | ) | $ | 0 | ||||||||||
Interest rate swaps | 218 | 0 | 218 | (218 | ) | 0 | 0 | |||||||||||||||||
TBAs | 1,345 | (338 | ) | 1,007 | (1,007 | ) | 0 | 0 | ||||||||||||||||
U.S. treasury futures | 53 | 0 | 53 | (53 | ) | 0 | 0 | |||||||||||||||||
Total Liabilities | $ | 867,110 | $ | (338 | ) | $ | 866,772 | $ | (854,575 | ) | $ | (12,197 | ) | $ | 0 |
(A) | Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Level 1 | Level 2 | Level 3 | Carrying Value | Level 1 | Level 2 | Level 3 | Carrying Value | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 0 | $ | 522,166 | $ | 0 | $ | 522,166 | $ | 0 | $ | 454,991 | $ | 0 | $ | 454,991 | ||||||||||||||||
Freddie Mac | 0 | 343,738 | 0 | 343,738 | 0 | 319,122 | 0 | 319,122 | ||||||||||||||||||||||||
RMBS total | 0 | 865,904 | 0 | 865,904 | 0 | 774,113 | 0 | 774,113 | ||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 17,226 | 0 | 17,226 | 0 | 19,796 | 0 | 19,796 | ||||||||||||||||||||||||
Interest rate swaptions | 0 | 694 | 0 | 694 | 0 | 1,417 | 0 | 1,417 | ||||||||||||||||||||||||
U.S. treasury futures | 0 | 5,919 | 0 | 5,919 | ||||||||||||||||||||||||||||
U.S. treasury futures options | 0 | 198 | 0 | 198 | 0 | 47 | 0 | 47 | ||||||||||||||||||||||||
Derivative assets total | 0 | 18,118 | 0 | 18,118 | 0 | 27,179 | 0 | 27,179 | ||||||||||||||||||||||||
Servicing related assets | 0 | 0 | 210,819 | 210,819 | 0 | 0 | 246,103 | 246,103 | ||||||||||||||||||||||||
Total Assets | $ | 0 | $ | 884,022 | $ | 210,819 | $ | 1,094,841 | $ | 0 | $ | 801,292 | $ | 246,103 | $ | 1,047,395 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 320 | 0 | 320 | 0 | 5,914 | 0 | 5,914 | ||||||||||||||||||||||||
TBAs | 0 | 4,788 | 0 | 4,788 | ||||||||||||||||||||||||||||
TBAs, net | 0 | 7,368 | 0 | 7,368 | ||||||||||||||||||||||||||||
U.S. treasury futures | 0 | 42 | 0 | 42 | 0 | 1,865 | 0 | 1,865 | ||||||||||||||||||||||||
Derivative liabilities total | 0 | 5,150 | 0 | 5,150 | 0 | 15,147 | 0 | 15,147 | ||||||||||||||||||||||||
Total Liabilities | $ | 0 | $ | 5,150 | $ | 0 | $ | 5,150 | $ | 0 | $ | 15,147 | $ | 0 | $ | 15,147 |
Level 1 | Level 2 | Level 3 | Carrying Value | Level 1 | Level 2 | Level 3 | Carrying Value | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 0 | $ | 715,156 | $ | 0 | $ | 715,156 | $ | 0 | $ | 559,777 | $ | 0 | $ | 559,777 | ||||||||||||||||
Freddie Mac | 0 | 506,954 | 0 | 506,954 | 0 | 393,719 | 0 | 393,719 | ||||||||||||||||||||||||
Private Label MBS | 0 | 6,141 | 0 | 6,141 | ||||||||||||||||||||||||||||
RMBS total | 0 | 1,228,251 | 0 | 1,228,251 | 0 | 953,496 | 0 | 953,496 | ||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 10,791 | 0 | 10,791 | 0 | 10,101 | 0 | 10,101 | ||||||||||||||||||||||||
Interest rate swaptions | 0 | 798 | 0 | 798 | 0 | 183 | 0 | 183 | ||||||||||||||||||||||||
TBAs | 0 | 4,129 | 0 | 4,129 | ||||||||||||||||||||||||||||
U.S. treasury futures | 0 | 252 | 0 | 252 | ||||||||||||||||||||||||||||
U.S. treasury futures options | 0 | 234 | 0 | 234 | ||||||||||||||||||||||||||||
Derivative assets total | 0 | 15,970 | 0 | 15,970 | 0 | 10,518 | 0 | 10,518 | ||||||||||||||||||||||||
Servicing related assets | 0 | 0 | 174,414 | 174,414 | 0 | 0 | 218,727 | 218,727 | ||||||||||||||||||||||||
Total Assets | $ | 0 | $ | 1,244,221 | $ | 174,414 | $ | 1,418,635 | $ | 0 | $ | 964,014 | $ | 218,727 | $ | 1,182,741 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 5,878 | 0 | 5,878 | 0 | 218 | 0 | 218 | ||||||||||||||||||||||||
TBAs, net | 0 | 1,007 | 0 | 1,007 | ||||||||||||||||||||||||||||
U.S. treasury futures | 0 | 53 | 0 | 53 | ||||||||||||||||||||||||||||
Derivative liabilities total | 0 | 5,878 | 0 | 5,878 | 0 | 1,278 | 0 | 1,278 | ||||||||||||||||||||||||
Total Liabilities | $ | 0 | $ | 5,878 | $ | 0 | $ | 5,878 | $ | 0 | $ | 1,278 | $ | 0 | $ | 1,278 |
Level 3 | Level 3 | |||||||
MSRs | MSRs | |||||||
Balance at December 31, 2020 | $ | 174,414 | ||||||
Purchases, sales and principal paydowns: | ||||||||
Balance at December 31, 2021 | $ | 218,727 | ||||||
Purchases and sales: | ||||||||
Purchases | 43,428 | 5,821 | ||||||
Other changes (A) | (1,072 | ) | (176 | ) | ||||
Purchases and sales: | $ | 42,356 | $ | 5,645 | ||||
Changes in Fair Value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model | 54,458 | 30,214 | ||||||
Other changes in fair value (B) | (60,409 | ) | (8,483 | ) | ||||
Unrealized gain (loss) included in Net Income | $ | (5,951 | ) | $ | 21,731 | |||
Balance at September 30, 2021 | $ | 210,819 | ||||||
Balance at March 31, 2022 | $ | 246,103 |
Level 3 | Level 3 | |||||||
MSRs | MSRs | |||||||
Balance at December 31, 2019 | $ | 291,111 | ||||||
Purchases, sales and principal paydowns: | ||||||||
Balance at December 31, 2020 | $ | 174,414 | ||||||
Purchases and sales: | ||||||||
Purchases | 54,439 | 56,638 | ||||||
Sales | (27,754 | ) | ||||||
Other changes (A) | (1,482 | ) | (1,263 | ) | ||||
Purchases and sales: | $ | 25,203 | $ | 55,375 | ||||
Changes in Fair Value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model | (8,318 | ) | 61,881 | |||||
Other changes in fair value (B) | (133,582 | ) | (72,943 | ) | ||||
Unrealized gain (loss) included in Net Income | $ | (141,900 | ) | $ | (11,062 | ) | ||
Balance at December 31, 2020 | $ | 174,414 | ||||||
Balance at December 31, 2021 | $ | 218,727 |
(A) | Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. |
(B) | Represents changes due to realization of expected cash flows and estimated MSR runoff. |
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted Average (B) | Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted Average (B) | |||||||||||||||||
MSRs | $ | 210,819 | Discounted cash flow | Constant prepayment speed | 5.0% - 21.0 | % | 12.2 | % | $ | 246,103 | Discounted cash flow | Constant prepayment speed | 5.0% - 18.1 | % | 8.9 | % | ||||||||||
Uncollected payments | 0.4% - 2.6 | % | 0.6 | % | Uncollected payments | 0.4% - 2.5 | % | 0.7 | % | |||||||||||||||||
Discount rate | 7.0 | % | Discount rate | 8.1 | % | |||||||||||||||||||||
Annual cost to service, per loan | $ | 76 | Annual cost to service, per loan | $ | 78 | |||||||||||||||||||||
Total | $ | 210,819 | ||||||||||||||||||||||||
TOTAL | $ | 246,103 |
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted Average (B) | Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted Average (B) | |||||||||||||||||
MSRs | $ | 174,414 | Discounted cash flow | Constant prepayment speed | 5.0% -38.0 | % | 15.4 | % | $ | 218,727 | Discounted cash flow | Constant prepayment speed | 5.0% -19.1 | % | 11.5 | % | ||||||||||
Uncollected payments | 0.3% - 2.6 | % | 0.6 | % | Uncollected payments | 0.4% - 2.5 | % | 0.6 | % | |||||||||||||||||
Discount rate | 6.1 | % | Discount rate | 7.2 | % | |||||||||||||||||||||
Annual cost to service, per loan | $ | 76 | Annual cost to service, per loan | $ | 76 | |||||||||||||||||||||
Total | $ | 174,414 | ||||||||||||||||||||||||
TOTAL | $ | 218,727 |
(A) | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates. |
(B) | Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios. |
Repurchase Agreements | Weighted Average Rate | Repurchase Agreements | Weighted Average Rate | |||||||||||||
Less than one month | $ | 300,823 | 0.11 | % | $ | 396,958 | 0.33 | % | ||||||||
One to three months | 476,593 | 0.12 | % | 367,927 | 0.46 | % | ||||||||||
Total/Weighted Average | $ | 777,416 | 0.11 | % | $ | 764,885 | 0.39 | % |
Repurchase Agreements | Weighted Average Rate | Repurchase Agreements | Weighted Average Rate | |||||||||||||
Less than one month | $ | 482,319 | 0.23 | % | $ | 291,007 | 0.13 | % | ||||||||
One to three months | 667,659 | 0.23 | % | 574,487 | 0.14 | % | ||||||||||
Total/Weighted Average | $ | 1,149,978 | 0.23 | % | $ | 865,494 | 0.14 | % |
2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Total | ||||||||||||||||||||||
MSR Revolver | ||||||||||||||||||||||||||||
Borrowings under MSR Revolver Facility | $ | 0 | $ | 63,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 63,000 | ||||||||||||||
Fannie Mae MSR Financing Facility | ||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility | $ | 72,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 72,000 | ||||||||||||||
Total | $ | 72,000 | $ | 63,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 135,000 |
2022 | 2023 | 2024 | 2025 | 2026 | Total | |||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 65,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 65,000 | ||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | 0 | 615 | 7,581 | 7,957 | 78,647 | 94,800 | ||||||||||||||||||
Total | $ | 65,000 | $ | 615 | $ | 7,581 | $ | 7,957 | $ | 78,647 | $ | 159,800 |
2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Total | ||||||||||||||||||||||
MSR Revolver | ||||||||||||||||||||||||||||
Borrowings under MSR Revolver Facility | $ | 47,500 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 47,500 | ||||||||||||||
Fannie Mae MSR Financing Facility | ||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility | $ | 64,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 64,000 | ||||||||||||||
Total | $ | 111,500 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 111,500 |
2022 | 2023 | 2024 | 2025 | 2026 | Total | |||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 63,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 63,000 | ||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | 0 | 571 | 6,994 | 7,261 | 68,174 | 83,000 | ||||||||||||||||||
Total | $ | 63,000 | $ | 571 | $ | 6,994 | $ | 7,261 | $ | 68,174 | $ | 146,000 |
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Servicing advances | $ | 15,630 | $ | 18,253 | $ | 13,192 | $ | 17,609 | ||||||||
Interest receivable | 2,156 | 3,119 | 2,242 | 2,393 | ||||||||||||
Deferred tax receivable | 19,977 | 21,523 | ||||||||||||||
Deferred tax asset | 16,740 | 20,614 | ||||||||||||||
Other receivables | 2,599 | 1,740 | 6,297 | 2,728 | ||||||||||||
Total other assets | $ | 40,362 | $ | 44,635 | $ | 38,471 | $ | 43,344 |
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Accrued interest payable | $ | 855 | $ | 1,008 | $ | 1,041 | $ | 996 | ||||||||
Accrued expenses | 2,080 | 2,737 | 1,387 | 2,065 | ||||||||||||
Total accrued expenses and other liabilities | $ | 2,935 | $ | 3,745 | $ | 2,428 | $ | 3,061 |
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Current federal income tax benefit | $ | (128 | ) | $ | 0 | |||
Deferred federal income tax expense (benefit) | 1,402 | (16,263 | ) | |||||
Deferred state income tax expense (benefit) | 144 | (1,285 | ) | |||||
Provision for (benefit from) Corporate Business Taxes | $ | 1,418 | $ | (17,548 | ) |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Current federal income tax benefit | $ | 0 | $ | (128 | ) | |||
Deferred federal income tax expense | 3,295 | 3,240 | ||||||
Deferred state income tax expense | 580 | 351 | ||||||
Provision for Corporate Business Taxes | $ | 3,875 | $ | 3,463 |
Nine Months Ended September 30, | ||||||||||||||||
2021 | 2020 | |||||||||||||||
Computed income tax expense (benefit) at federal rate | $ | 1,521 | 21.0 | % | $ | (16,760 | ) | 21.0 | % | |||||||
State tax expense (benefit), net of federal tax, if applicable | 127 | 1.8 | % | (1,284 | ) | 1.6 | % | |||||||||
Permanent differences in taxable income from GAAP pre-tax income | 175 | 2.4 | % | 0 | 0 | % | ||||||||||
Provision to return adjustment | (6 | ) | (0.1 | )% | (15 | ) | 0.0 | % | ||||||||
REIT income not subject to tax (benefit) | (399 | ) | (5.5 | )% | 511 | (0.6 | )% | |||||||||
Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate(A) | $ | 1,418 | 19.6 | % | $ | (17,548 | ) | 22.0 | % |
Three Months Ended March 31, | ||||||||||||||||
2022 | 2021 | |||||||||||||||
Computed income tax expense at federal rate | $ | 6,847 | 21.0 | % | $ | 5,185 | 21.0 | % | ||||||||
State tax expense, net of federal tax, if applicable | 459 | 1.4 | % | 351 | 1.4 | % | ||||||||||
REIT income not subject to tax (benefit) | (3,431 | ) | (10.5 | )% | (2,073 | ) | (8.4 | )% | ||||||||
Provision for Corporate Business Taxes/Effective Tax Rate(A) | $ | 3,875 | 11.9 | % | $ | 3,463 | 14.0 | % |
(A) | The provision for income taxes is recorded at the TRS level. |
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Income taxes recoverable | ||||||||||||||||
Federal income taxes recoverable | $ | 128 | $ | 0 | $ | 128 | $ | 128 | ||||||||
Income taxes recoverable | $ | 128 | $ | 0 | $ | 128 | $ | 128 |
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Deferred tax assets | ||||||||||||||||
Deferred tax - mortgage servicing rights | $ | 11,133 | $ | 15,176 | $ | 5,605 | $ | 10,539 | ||||||||
Deferred tax - net operating loss | 8,844 | 6,347 | 11,135 | 10,075 | ||||||||||||
Total net deferred tax assets | $ | 19,977 | $ | 21,523 | $ | 16,740 | $ | 20,614 |
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Quarter Ended | Average Asset Yield | Average Cost of Funds | Average Net Interest Rate Spread | Average Asset Yield | Average Cost of Funds | Average Net Interest Rate Spread | ||||||||||||||||||
March 31, 2022 | 2.98 | % | 0.49 | % | 2.49 | % | ||||||||||||||||||
December 31, 2021 | 2.93 | % | 0.62 | % | 2.31 | % | ||||||||||||||||||
September 30, 2021 | 2.94 | % | 0.63 | % | 2.31 | % | 2.94 | % | 0.63 | % | 2.31 | % | ||||||||||||
June 30, 2021 | 2.94 | % | 0.62 | % | 2.32 | % | 2.94 | % | 0.62 | % | 2.32 | % | ||||||||||||
March 31, 2021 | 3.04 | % | 0.53 | % | 2.52 | % | ||||||||||||||||||
December 31, 2020 | 3.05 | % | 0.59 | % | 2.46 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended | ||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | March 31, 2022 | December 31, 2021 | March 31, 2021 | ||||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Interest income | $ | 7,043 | $ | 10,001 | $ | 20,113 | $ | 40,382 | $ | 5,519 | $ | 4,529 | $ | 3,301 | ||||||||||||||
Interest expense | 646 | (18 | ) | 1,207 | 15,698 | 1,640 | 1,534 | 1,454 | ||||||||||||||||||||
Net interest income | 6,397 | 10,019 | 18,906 | 24,684 | 3,879 | 2,995 | 1,847 | |||||||||||||||||||||
Servicing fee income | 13,839 | 14,365 | 41,127 | 51,916 | 13,116 | 13,030 | 13,540 | |||||||||||||||||||||
Servicing costs | 3,080 | 5,266 | 10,234 | 17,700 | 3,193 | 3,390 | 3,082 | |||||||||||||||||||||
Net servicing income | 10,759 | 9,099 | 30,893 | 34,216 | 9,923 | 9,640 | 10,458 | |||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||
Realized gain (loss) on RMBS, available-for-sale, net | (1,050 | ) | 6,722 | 2,027 | (12,590 | ) | (13,222 | ) | (1,479 | ) | 2,094 | |||||||||||||||||
Realized loss on investments in MSRs, net | - | - | - | (11,347 | ) | |||||||||||||||||||||||
Realized loss on derivatives, net | (3,023 | ) | (7,841 | ) | (17,903 | ) | (22,039 | ) | (10,638 | ) | (4,688 | ) | (540 | ) | ||||||||||||||
Realized gain (loss) on acquired assets, net | (19 | ) | (95 | ) | 15 | (597 | ) | |||||||||||||||||||||
Realized gain on acquired assets, net | 12 | - | 5 | |||||||||||||||||||||||||
Unrealized gain (loss) on derivatives, net | (5,467 | ) | 3,702 | (9,978 | ) | 51,321 | 24,456 | 8,233 | (8,059 | ) | ||||||||||||||||||
Unrealized loss on investments in Servicing Related Assets | (7,914 | ) | (20,972 | ) | (5,951 | ) | (131,850 | ) | ||||||||||||||||||||
Total Income (Loss) | (317 | ) | 634 | 18,009 | (68,202 | ) | ||||||||||||||||||||||
Unrealized gain (loss) on investments in Servicing Related Assets | 21,731 | (5,111 | ) | 22,464 | ||||||||||||||||||||||||
Total Income | 36,141 | 9,590 | 28,269 | |||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||
General and administrative expense | 1,729 | 1,503 | 4,897 | 5,679 | 1,744 | 1,547 | 1,617 | |||||||||||||||||||||
Management fee to affiliate | 1,959 | 1,989 | 5,869 | 5,928 | 1,793 | 1,975 | 1,961 | |||||||||||||||||||||
Total Expenses | 3,688 | 3,492 | 10,766 | 11,607 | 3,537 | 3,522 | 3,578 | |||||||||||||||||||||
Income (Loss) Before Income Taxes | (4,005 | ) | (2,858 | ) | 7,243 | (79,809 | ) | |||||||||||||||||||||
Income Before Income Taxes | 32,604 | 6,068 | 24,691 | |||||||||||||||||||||||||
Provision for (Benefit from) corporate business taxes | (215 | ) | (2,116 | ) | 1,418 | (17,548 | ) | 3,875 | (637 | ) | 3,463 | |||||||||||||||||
Net Income (Loss) | (3,790 | ) | (742 | ) | 5,825 | (62,261 | ) | |||||||||||||||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 77 | 10 | (117 | ) | 1,147 | |||||||||||||||||||||||
Net Income | 28,729 | 6,705 | 21,228 | |||||||||||||||||||||||||
Net income allocated to noncontrolling interests in Operating Partnership | (633 | ) | (130 | ) | (434 | ) | ||||||||||||||||||||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | 2,463 | 2,463 | 2,463 | |||||||||||||||||||||
Net Loss Applicable to Common Stockholders | $ | (6,175 | ) | $ | (3,191 | ) | $ | (1,682 | ) | $ | (68,493 | ) | ||||||||||||||||
Net Income Applicable to Common Stockholders | $ | 25,633 | $ | 4,112 | $ | 18,331 |
Servicing Related Assets | RMBS | All Other | Total | Servicing Related Assets | RMBS | All Other | Total | |||||||||||||||||||||||||
Income Statement | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||
Interest income | $ | 120 | $ | 6,923 | $ | - | $ | 7,043 | $ | - | $ | 5,519 | $ | - | $ | 5,519 | ||||||||||||||||
Interest expense | (808 | ) | 1,454 | - | 646 | 1,253 | 387 | - | 1,640 | |||||||||||||||||||||||
Net interest income | 928 | 5,469 | - | 6,397 | ||||||||||||||||||||||||||||
Servicing fee income | 13,839 | - | - | 13,839 | ||||||||||||||||||||||||||||
Servicing costs | 3,080 | - | - | 3,080 | ||||||||||||||||||||||||||||
Net servicing income | 10,759 | - | - | 10,759 | ||||||||||||||||||||||||||||
Other expense | (14,210 | ) | (3,263 | ) | - | (17,473 | ) | |||||||||||||||||||||||||
Other operating expenses | 1,030 | - | 2,658 | 3,688 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (215 | ) | - | - | (215 | ) | ||||||||||||||||||||||||||
Net Income (Loss) | $ | (3,338 | ) | $ | 2,206 | $ | (2,658 | ) | $ | (3,790 | ) | |||||||||||||||||||||
Three Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||
Interest income | $ | 380 | $ | 9,621 | $ | - | $ | 10,001 | ||||||||||||||||||||||||
Interest expense | (1,297 | ) | 1,279 | - | (18 | ) | ||||||||||||||||||||||||||
Net interest income | 1,677 | 8,342 | - | 10,019 | ||||||||||||||||||||||||||||
Servicing fee income | 14,365 | - | - | 14,365 | ||||||||||||||||||||||||||||
Servicing costs | 5,266 | - | - | 5,266 | ||||||||||||||||||||||||||||
Net servicing income | 9,099 | - | - | 9,099 | ||||||||||||||||||||||||||||
Other income (expense) | (25,492 | ) | 7,008 | - | (18,484 | ) | ||||||||||||||||||||||||||
Other operating expenses | 1,178 | - | 2,314 | 3,492 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (2,116 | ) | - | - | (2,116 | ) | ||||||||||||||||||||||||||
Net Income (Loss) | $ | (13,778 | ) | $ | 15,350 | $ | (2,314 | ) | $ | (742 | ) | |||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Interest income | $ | 345 | $ | 19,768 | $ | - | $ | 20,113 | ||||||||||||||||||||||||
Interest expense | (2,767 | ) | 3,974 | - | 1,207 | |||||||||||||||||||||||||||
Net interest income | 3,112 | 15,794 | - | 18,906 | ||||||||||||||||||||||||||||
Net interest income (expense) | (1,253 | ) | 5,132 | - | 3,879 | |||||||||||||||||||||||||||
Servicing fee income | 41,127 | - | - | 41,127 | 13,116 | - | - | 13,116 | ||||||||||||||||||||||||
Servicing costs | 10,234 | - | - | 10,234 | 3,193 | - | - | 3,193 | ||||||||||||||||||||||||
Net servicing income | 30,893 | - | - | 30,893 | 9,923 | - | - | 9,923 | ||||||||||||||||||||||||
Other income (expense) | (34,090 | ) | 2,300 | - | (31,790 | ) | (3,366 | ) | 25,705 | - | 22,339 | |||||||||||||||||||||
Other operating expenses | 2,438 | - | 8,328 | 10,766 | 522 | 228 | 2,787 | 3,537 | ||||||||||||||||||||||||
Provision for corporate business taxes | 1,418 | - | - | 1,418 | 3,875 | - | - | 3,875 | ||||||||||||||||||||||||
Net Income (Loss) | $ | (3,941 | ) | $ | 18,094 | $ | (8,328 | ) | $ | 5,825 | $ | 907 | $ | 30,609 | $ | (2,787 | ) | $ | 28,729 | |||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||
Interest income | $ | 2,500 | $ | 37,882 | $ | - | $ | 40,382 | ||||||||||||||||||||||||
Interest expense | 850 | 14,848 | - | 15,698 | ||||||||||||||||||||||||||||
Net interest income | 1,650 | 23,034 | - | 24,684 | ||||||||||||||||||||||||||||
Servicing fee income | 51,916 | - | - | 51,916 | ||||||||||||||||||||||||||||
Servicing costs | 17,700 | - | - | 17,700 | ||||||||||||||||||||||||||||
Net servicing income | 34,216 | - | - | 34,216 | ||||||||||||||||||||||||||||
Other expense | (82,094 | ) | (45,008 | ) | - | (127,102 | ) | |||||||||||||||||||||||||
Other operating expenses | 2,913 | - | 8,694 | 11,607 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (17,548 | ) | - | - | (17,548 | ) | ||||||||||||||||||||||||||
Net Loss | $ | (31,593 | ) | $ | (21,974 | ) | $ | (8,694 | ) | $ | (62,261 | ) |
Three Months Ended December 31, 2021 | ||||||||||||||||
Interest income | $ | 30 | $ | 4,499 | $ | - | $ | 4,529 | ||||||||
Interest expense | 1,271 | 263 | - | 1,534 | ||||||||||||
Net interest income (expense) | (1,241 | ) | 4,236 | - | 2,995 | |||||||||||
Servicing fee income | 13,030 | - | - | 13,030 | ||||||||||||
Servicing costs | 3,390 | - | - | 3,390 | ||||||||||||
Net servicing income | 9,640 | - | - | 9,640 | ||||||||||||
Other income (expense) | (5,998 | ) | 2,953 | - | (3,045 | ) | ||||||||||
Other operating expenses | 597 | 182 | 2,743 | 3,522 | ||||||||||||
Benefit from corporate business taxes | (637 | ) | - | - | (637 | ) | ||||||||||
Net Income (Loss) | $ | 2,441 | $ | 7,007 | $ | (2,743 | ) | $ | 6,705 |
Three Months Ended March 31, 2021 | ||||||||||||||||
Interest income | $ | 120 | $ | 3,181 | $ | - | $ | 3,301 | ||||||||
Interest expense | 932 | 522 | - | 1,454 | ||||||||||||
Net interest income (expense) | (812 | ) | 2,659 | - | 1,847 | |||||||||||
Servicing fee income | 13,540 | - | - | 13,540 | ||||||||||||
Servicing costs | 3,082 | - | - | 3,082 | ||||||||||||
Net servicing income | 10,458 | - | - | 10,458 | ||||||||||||
Other income (expense) | (4,762 | ) | 20,726 | - | 15,964 | |||||||||||
Other operating expenses | 566 | 171 | 2,841 | 3,578 | ||||||||||||
Provision for corporate business taxes | 3,463 | - | - | 3,463 | ||||||||||||
Net Income (Loss) | $ | 855 | $ | 23,214 | $ | (2,841 | ) | $ | 21,228 |
Servicing Related Assets | RMBS | All Other | Total | |||||||||||||
Balance Sheet | ||||||||||||||||
March 31, 2022 | ||||||||||||||||
Investments | $ | 246,103 | $ | 774,113 | $ | - | $ | 1,020,216 | ||||||||
Other assets | 36,101 | 102,837 | 52,866 | 191,804 | ||||||||||||
Total assets | 282,204 | 876,950 | 52,866 | 1,212,020 | ||||||||||||
Debt | 159,068 | 764,885 | - | 923,953 | ||||||||||||
Other liabilities | 7,308 | 9,371 | 11,737 | 28,416 | ||||||||||||
Total liabilities | 166,376 | 774,256 | 11,737 | 952,369 | ||||||||||||
Net assets | $ | 115,828 | $ | 102,694 | $ | 41,129 | $ | 259,651 | ||||||||
December 31, 2021 | ||||||||||||||||
Investments | $ | 218,727 | $ | 953,496 | $ | - | $ | 1,172,223 | ||||||||
Other assets | 44,506 | 21,611 | 64,522 | 130,639 | ||||||||||||
Total assets | 263,233 | 975,107 | 64,522 | 1,302,862 | ||||||||||||
Debt | 145,268 | 865,494 | - | 1,010,762 | ||||||||||||
Other liabilities | 1,847 | 1,411 | 10,026 | 13,284 | ||||||||||||
Total liabilities | 147,115 | 866,905 | 10,026 | 1,024,046 | ||||||||||||
Net assets | $ | 116,118 | $ | 108,202 | $ | 54,496 | $ | 278,816 |
Servicing Related Assets | RMBS | All Other | Total | |||||||||||||
Balance Sheet | ||||||||||||||||
September 30, 2021 | ||||||||||||||||
Investments | $ | 210,819 | $ | 865,904 | $ | - | $ | 1,076,723 | ||||||||
Other assets | 46,350 | 28,281 | 63,011 | 137,642 | ||||||||||||
Total assets | 257,169 | 894,185 | 63,011 | 1,214,365 | ||||||||||||
Debt | 135,000 | 777,416 | - | 912,416 | ||||||||||||
Other liabilities | 1,829 | 5,212 | 12,402 | 19,443 | ||||||||||||
Total liabilities | 136,829 | 782,628 | 12,402 | 931,859 | ||||||||||||
Book value | $ | 120,340 | $ | 111,557 | $ | 50,609 | $ | 282,506 |
December 31, 2020 | ||||||||||||||||
Investments | $ | 174,414 | $ | 1,228,251 | $ | - | $ | 1,402,665 | ||||||||
Other assets | 51,063 | 55,260 | 84,500 | 190,823 | ||||||||||||
Total assets | 225,477 | 1,283,511 | 84,500 | 1,593,488 | ||||||||||||
Debt | 111,379 | 1,149,978 | - | 1,261,357 | ||||||||||||
Other liabilities | 2,392 | 6,370 | 10,803 | 19,565 | ||||||||||||
Total liabilities | 113,771 | 1,156,348 | 10,803 | 1,280,922 | ||||||||||||
Book value | $ | 111,706 | $ | 127,163 | $ | 73,697 | $ | 312,566 |
Three MonthsEnded September 30, 2021 | ||||
Accumulated other comprehensive gain (loss), June 30, 2021 | $ | 14,241 | ||
Other comprehensive income (loss) | 1,562 | |||
Accumulated other comprehensive gain (loss), September 30, 2021 | $ | 15,803 | ||
Nine Months Ended September 30, 2021 | ||||
Accumulated other comprehensive gain (loss), December 31, 2020 | $ | 35,594 | ||
Other comprehensive income (loss) | (19,791 | ) | ||
Accumulated other comprehensive gain (loss), September 30, 2021 | $ | 15,803 |
Three Months Ended March 31, 2022 | ||||
Accumulated other comprehensive gain (loss), December 31, 2021 | $ | 7,527 | ||
Other comprehensive loss | (44,535 | ) | ||
Accumulated other comprehensive gain (loss), March 31, 2022 | $ | (37,008 | ) |
Three Months Ended September 30, 2020 | ||||
Accumulated other comprehensive gain (loss), June 30, 2020 | $ | 49,569 | ||
Other comprehensive income (loss) | (2,110 | ) | ||
Accumulated other comprehensive gain (loss), September 30, 2020 | $ | 47,459 | ||
Nine Months Ended September 30, 2020 | ||||
Accumulated other comprehensive gain (loss), December 31, 2019 | $ | 41,414 | ||
Other comprehensive income (loss) | 6,045 | |||
Accumulated other comprehensive gain (loss), September 30, 2020 | $ | 47,459 |
Three Months Ended December 31, 2021 | ||||
Accumulated other comprehensive income, September 30, 2021 | $ | 15,803 | ||
Other comprehensive loss | (8,276 | ) | ||
Accumulated other comprehensive income, December 31, 2021 | $ | 7,527 |
Three Months Ended March 31, 2021 | ||||
Accumulated other comprehensive income, December 31, 2020 | $ | 35,594 | ||
Other comprehensive loss | (19,349 | ) | ||
Accumulated other comprehensive income, March 31, 2021 | $ | 16,245 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended | ||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | March 31, 2022 | December 31, 2021 | March 31, 2021 (B) | ||||||||||||||||||||||
Net Income (Loss) | $ | (3,790 | ) | $ | (742 | ) | $ | 5,825 | $ | (62,261 | ) | |||||||||||||||||
Net Income | $ | 28,729 | $ | 6,705 | $ | 21,228 | ||||||||||||||||||||||
Realized loss (gain) on RMBS, net | 1,050 | (6,722 | ) | (2,027 | ) | 12,590 | 13,222 | 1,479 | (2,094 | ) | ||||||||||||||||||
Realized loss on derivatives, net | 3,023 | 7,841 | 17,903 | 22,039 | 14,422 | 8,860 | 4,741 | |||||||||||||||||||||
Realized loss on investments in MSRs, net | - | - | - | 11,347 | ||||||||||||||||||||||||
Realized loss (gain) on acquired assets, net | 19 | 95 | (15 | ) | 597 | |||||||||||||||||||||||
Realized gain on acquired assets, net | (12 | ) | - | (5 | ) | |||||||||||||||||||||||
Unrealized loss (gain) on derivatives, net | 5,467 | (3,702 | ) | 9,978 | (51,321 | ) | (24,456 | ) | (8,233 | ) | 8,059 | |||||||||||||||||
Unrealized loss (gain) on investments in MSRs, net of estimated MSR amortization | 417 | 15,091 | (15,411 | ) | 113,654 | |||||||||||||||||||||||
Tax (benefit) expense on realized and unrealized (loss) gain on MSRs | 655 | (1,017 | ) | 4,045 | (14,849 | ) | ||||||||||||||||||||||
Unrealized gain on investments in MSRs, net of estimated MSR amortization | (28,011 | ) | (947 | ) | (30,059 | ) | ||||||||||||||||||||||
Tax expense on realized and unrealized gain on MSRs | 4,937 | 594 | 4,229 | |||||||||||||||||||||||||
Total EAD: | $ | 6,841 | $ | 10,844 | $ | 20,298 | $ | 31,796 | $ | 8,831 | $ | 8,458 | $ | 6,099 | ||||||||||||||
EAD attributable to noncontrolling interests in Operating Partnership | (134 | ) | (198 | ) | (406 | ) | (586 | ) | (195 | ) | (160 | ) | (125 | ) | ||||||||||||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | 2,463 | 2,463 | 2,463 | |||||||||||||||||||||
EAD Attributable to Common Stockholders | $ | 4,245 | $ | 8,187 | $ | 12,502 | $ | 23,831 | $ | 6,173 | $ | 5,835 | $ | 3,511 | ||||||||||||||
EAD Attributable to Common Stockholders, per Diluted Share | $ | 0.25 | $ | 0.48 | $ | 0.73 | $ | 1.41 | $ | 0.34 | $ | 0.32 | $ | 0.21 | ||||||||||||||
GAAP Net Loss Per Share of Common Stock, per Diluted Share | $ | (0.36 | ) | $ | (0.19 | ) | $ | (0.10 | ) | $ | (4.06 | ) | ||||||||||||||||
GAAP Net Income Per Share of Common Stock, per Diluted Share | $ | 1.40 | $ | 0.23 | $ | 1.07 |
(A) | Excludes drop income on TBA dollar rolls of $2.9 million, $3.4 million and $2.7 million and interest rate swap periodic interest income of $915,000, $786,000 and $1.3 million, for the three-month periods ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively, and includes trading expenses of $176,000 for the three-month period ended March 31, 2021. |
(B) | Commencing with the three-month period ended December 31, 2021, the Company has enhanced the calculation of unrealized gain (loss) on investments in MSRs used to determine EAD. EAD for the three-month period ended March 31, 2021 has not been adjusted to reflect the Company's enhanced calculation of unrealized loss (gain) on investments in MSRs, net of estimated MSR amortization. If the enhanced calculation had been applied retroactively to the three-months ended March 31, 2021, the Company would have reported EAD attributable to common stockholders of $3.9 million and EAD attributable to common stockholders per share of $0.23. |
Collateral Characteristics | Collateral Characteristics | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Carrying Amount | Current Principal Balance | WA Coupon | WA Servicing Fee | WA Maturity (months) | Weighted Average Loan Age (months) | ARMs %(A) | 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 | $ | 210,819 | $ | 20,781,421 | 3.57 | % | 0.25 | % | 316 | 24 | 0.1 | % | $ | 246,103 | $ | 20,441,178 | 3.48 | % | 0.25 | % | 315 | 26 | 0.1 | % | ||||||||||||||||||||||||||||||||
MSR Total/Weighted Average | $ | 210,819 | $ | 20,781,421 | 3.57 | % | 0.25 | % | 316 | 24 | 0.1 | % | $ | 246,103 | $ | 20,441,178 | 3.48 | % | 0.25 | % | 315 | 26 | 0.1 | % |
Collateral Characteristics | Collateral Characteristics | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Carrying Amount | Current Principal Balance | WA Coupon | WA Servicing Fee | WA Maturity (months) | Weighted Average Loan Age (months) | ARMs %(A) | 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 | $ | 174,414 | $ | 21,641,277 | 3.92 | % | 0.25 | % | 316 | 25 | 0.2 | % | $ | 218,727 | $ | 20,773,278 | 3.51 | % | 0.25 | % | 316 | 25 | 0.1 | % | ||||||||||||||||||||||||||||||||
MSR Total/Weighted Average | $ | 174,414 | $ | 21,641,277 | 3.92 | % | 0.25 | % | 316 | 25 | 0.2 | % | $ | 218,727 | $ | 20,773,278 | 3.51 | % | 0.25 | % | 316 | 25 | 0.1 | % |
(A) | Weighted average coupon, servicing fee, maturity and loan age of the underlying residential mortgage loans in the pool are based on the unpaid principal balance. |
(B) | ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs. |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | |||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 678,445 | $ | 476,781 | $ | 669 | $ | (22,459 | ) | $ | 454,991 | 68 | (B) | 3.10 | % | 2.99 | % | 27 | |||||||||||||||||||
Freddie Mac | 422,127 | 334,222 | 383 | (15,483 | ) | 319,122 | 42 | (B) | 3.08 | % | 2.97 | % | 28 | ||||||||||||||||||||||||
Total/Weighted Average | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | |||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 709,268 | $ | 510,769 | $ | 12,278 | $ | (881 | ) | $ | 522,166 | 70 | (B) | 3.12 | % | 3.00 | % | 27 | |||||||||||||||||||
Freddie Mac | 422,028 | 339,213 | 6,557 | (2,032 | ) | 343,738 | 39 | (B) | 2.99 | % | 2.86 | % | 28 | ||||||||||||||||||||||||
Total/Weighted Average | $ | 1,131,296 | $ | 849,982 | $ | 18,835 | $ | (2,913 | ) | $ | 865,904 | 109 | 3.07 | % | 2.94 | % | 28 |
Gross Unrealized | Weighted Average | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 840,175 | $ | 692,665 | $ | 22,530 | $ | (39 | ) | $ | 715,156 | 81 | (B) | 3.31 | % | 3.17 | % | 28 | $ | 772,607 | $ | 554,151 | $ | 9,276 | $ | (3,650 | ) | $ | 559,777 | 76 | (B) | 3.09 | % | 2.96 | % | 27 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 549,530 | 493,930 | 13,106 | (82 | ) | 506,954 | 49 | (B) | 2.99 | % | 2.87 | % | 28 | 484,479 | 391,700 | 5,260 | (3,241 | ) | 393,719 | 45 | (B) | 3.02 | % | 2.89 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
Private Label MBS | 22,000 | 5,944 | 197 | - | 6,141 | 5 | (B) | 4.08 | % | 4.08 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,411,705 | $ | 1,192,539 | $ | 35,833 | $ | (121 | ) | $ | 1,228,251 | 135 | 3.18 | % | 3.05 | % | 28 | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 |
(A) | See “Part I, Item 1. Notes to Consolidated Financial Statements—Note 9. Fair Value” regarding the estimation of fair value, which approximates carrying value for all securities. |
(B) | The Company used an implied AAA rating for the Agency RMBS. |
(C) | The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
September 30, 2021 | December 31, 2020 | March 31, 2022 | December 31, 2021 | |||||||||||||
Weighted Average Asset Yield | 2.98 | % | 2.49 | % | 3.77 | % | 3.19 | % | ||||||||
Weighted Average Interest Expense | 0.72 | % | 0.71 | % | 0.71 | % | 0.73 | % | ||||||||
Net Interest Spread | 2.26 | % | 1.78 | % | 3.06 | % | 2.46 | % |
Quarter Ended | Average Monthly Amount | Maximum Month-End Amount | Quarter Ending Amount | Average Monthly Amount | Maximum Month-End Amount | Quarter Ending Amount | ||||||||||||||||||
March 31, 2022 | $ | 820,270 | $ | 859,726 | $ | 764,885 | ||||||||||||||||||
December 31, 2021 | $ | 830,099 | $ | 865,494 | $ | 865,494 | ||||||||||||||||||
September 30, 2021 | $ | 790,587 | $ | 821,540 | $ | 777,416 | $ | 790,587 | $ | 821,540 | $ | 777,416 | ||||||||||||
June 30, 2021 | $ | 858,269 | $ | 897,047 | $ | 897,047 | $ | 858,269 | $ | 897,047 | $ | 897,047 | ||||||||||||
March 31, 2021 | $ | 1,012,389 | $ | 1,118,231 | $ | 934,001 | $ | 1,012,389 | $ | 1,118,231 | $ | 934,001 | ||||||||||||
December 31, 2020 | $ | 1,303,927 | $ | 1,465,037 | $ | 1,149,978 | $ | 1,303,927 | $ | 1,465,037 | $ | 1,149,978 | ||||||||||||
September 30, 2020 | $ | 1,374,041 | $ | 1,419,991 | $ | 1,365,471 | $ | 1,374,041 | $ | 1,419,991 | $ | 1,365,471 | ||||||||||||
June 30, 2020 | $ | 1,286,998 | $ | 1,395,317 | $ | 1,395,317 | $ | 1,286,998 | $ | 1,395,317 | $ | 1,395,317 | ||||||||||||
March 31, 2020 | $ | 2,383,300 | $ | 1,565,232 | $ | 1,565,232 | ||||||||||||||||||
December 31, 2019 | $ | 2,324,976 | $ | 2,337,638 | $ | 2,337,638 |
RMBS Market Value | Repurchase Agreements | Weighted Average Rate | RMBS Market Value | Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||
Less than one month | $ | 304,204 | $ | 300,823 | 0.11 | % | $ | 401,150 | $ | 396,958 | 0.33 | % | ||||||||||||
One to three months | 496,898 | 476,593 | 0.12 | % | 377,070 | 367,927 | 0.46 | % | ||||||||||||||||
Total/Weighted Average | $ | 801,102 | $ | 777,416 | 0.11 | % | $ | 778,220 | $ | 764,885 | 0.39 | % |
RMBS Market Value | Repurchase Agreements | Weighted Average Rate | RMBS Market Value | Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||
Less than one month | $ | 484,920 | $ | 482,319 | 0.23 | % | $ | 297,720 | $ | 291,007 | 0.13 | % | ||||||||||||
One to three months | 679,496 | 667,659 | 0.23 | % | 595,168 | 574,487 | 0.14 | % | ||||||||||||||||
Total/Weighted Average | $ | 1,164,416 | $ | 1,149,978 | 0.23 | % | $ | 892,888 | $ | 865,494 | 0.14 | % |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | ||||||||||||||||
Repurchase agreements | ||||||||||||||||||||
Borrowings under repurchase agreements | $ | 777,416 | $ | - | $ | - | $ | - | $ | 777,416 | ||||||||||
Interest on repurchase agreement borrowings(A) | $ | 62 | $ | - | $ | - | $ | - | $ | 62 | ||||||||||
MSR Revolver | ||||||||||||||||||||
Borrowings under MSR Revolver | $ | 63,000 | $ | - | $ | - | $ | - | $ | 63,000 | ||||||||||
Interest on MSR Revolver borrowings | $ | 2,370 | $ | - | $ | - | $ | - | $ | 2,370 | ||||||||||
Fannie Mae MSR Financing Facility | ||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility | $ | 72,000 | $ | - | $ | - | $ | - | $ | 72,000 | ||||||||||
Interest on Fannie Mae MSR Financing Facility | $ | 438 | $ | - | $ | - | $ | - | $ | 438 |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | ||||||||||||||||
Repurchase agreements | ||||||||||||||||||||
Borrowings under repurchase agreements | $ | 764,885 | $ | - | $ | - | $ | - | $ | 764,885 | ||||||||||
Interest on repurchase agreement borrowings(A) | $ | 137 | $ | - | $ | - | $ | - | $ | 137 | ||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 65,000 | $ | - | $ | - | $ | - | $ | 65,000 | ||||||||||
Interest on Freddie Mac MSR Revolver borrowings | $ | 1,390 | $ | - | $ | - | $ | - | $ | 1,390 | ||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | $ | - | $ | 10,150 | $ | 84,650 | $ | - | $ | 94,800 | ||||||||||
Interest on Fannie Mae MSR Revolving Facility | $ | 3,604 | $ | 8,247 | $ | 6,328 | $ | - | $ | 18,179 |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | ||||||||||||||||
Repurchase agreements | ||||||||||||||||||||
Borrowings under repurchase agreements | $ | 1,149,978 | $ | - | $ | - | $ | - | $ | 1,149,978 | ||||||||||
Interest on repurchase agreement borrowings(A) | $ | 492 | $ | - | $ | - | $ | - | $ | 492 | ||||||||||
MSR Revolver | ||||||||||||||||||||
Borrowings under MSR Revolver | $ | 47,500 | $ | - | $ | - | $ | - | $ | 47,500 | ||||||||||
Interest on MSR Revolver borrowings | $ | 1,134 | $ | - | $ | - | $ | - | $ | 1,134 | ||||||||||
Fannie Mae MSR Financing Facility | ||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility | $ | 64,000 | $ | - | $ | - | $ | - | $ | 64,000 | ||||||||||
Interest on Fannie Mae MSR Financing Facility | $ | 1,655 | $ | - | $ | - | $ | - | $ | 1,655 |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | ||||||||||||||||
Repurchase agreements | ||||||||||||||||||||
Borrowings under repurchase agreements | $ | 865,494 | $ | - | $ | - | $ | - | $ | 865,494 | ||||||||||
Interest on repurchase agreement borrowings(A) | $ | 135 | $ | - | $ | - | $ | - | $ | 135 | ||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 63,000 | $ | - | $ | - | $ | - | $ | 63,000 | ||||||||||
Interest on Freddie Mac MSR Revolver borrowings | $ | 1,954 | $ | - | $ | - | $ | - | $ | 1,954 | ||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | $ | - | $ | 7,566 | $ | 75,434 | $ | - | $ | 83,000 | ||||||||||
Interest on Fannie Mae MSR Revolving Facility | $ | 3,156 | $ | 6,127 | $ | 4,941 | $ | - | $ | 14,224 |
(A) | Interest expense is calculated based on the interest rate in effect at |
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
(20)% | (10)% | -% | 10% | 20% | (20)% | (10)% | -% | 10 | 20% | |||||||||||||||||||||||||||||||
Discount Rate Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 224,942 | $ | 217,667 | $ | 210,819 | $ | 204,365 | $ | 198,273 | $ | 266,226 | $ | 255,794 | $ | 246,103 | $ | 237,080 | $ | 228,665 | ||||||||||||||||||||
Change in FV | $ | 14,123 | $ | 6,848 | $ | - | $ | (6,454 | ) | $ | (12,547 | ) | $ | 20,124 | $ | 9,692 | $ | - | $ | (9,022 | ) | $ | (17,438 | ) | ||||||||||||||||
% Change in FV | 7 | % | 3 | % | - | (3 | )% | (6 | )% | 8 | % | 4 | % | - | (4 | )% | (7 | )% | ||||||||||||||||||||||
Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | ||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 238,655 | $ | 224,090 | $ | 210,819 | $ | 198,714 | $ | 187,639 | $ | 267,481 | $ | 256,627 | $ | 246,103 | $ | 236,163 | $ | 226,796 | ||||||||||||||||||||
Change in FV | $ | 27,835 | $ | 13,270 | $ | - | $ | (12,106 | ) | $ | (23,181 | ) | $ | 21,379 | $ | 10,525 | $ | - | $ | (9,940 | ) | $ | (19,306 | ) | ||||||||||||||||
% Change in FV | 13 | % | 6 | % | - | (6 | )% | (11 | )% | 9 | % | 4 | % | - | (4 | )% | (8 | )% | ||||||||||||||||||||||
Servicing Cost Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 217,347 | $ | 214,083 | $ | 210,819 | $ | 207,556 | $ | 204,292 | $ | 253,441 | $ | 249,772 | $ | 246,103 | $ | 242,433 | $ | 238,764 | ||||||||||||||||||||
Change in FV | $ | 6,528 | $ | 3,264 | $ | - | $ | (3,264 | ) | $ | (6,528 | ) | $ | 7,339 | $ | 3,669 | $ | - | $ | (3,669 | ) | $ | (7,339 | ) | ||||||||||||||||
% Change in FV | 3 | % | 2 | % | - | (2 | )% | (3 | )% | 3 | % | 1 | % | - | (1 | )% | (3 | )% |
(20)% | (10)% | -% | 10% | 20% | (20)% | (10)% | -% | 10% | 20% | |||||||||||||||||||||||||||||||
Discount Rate Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 184,906 | $ | 179,511 | $ | 174,414 | $ | 169,595 | $ | 165,031 | $ | 233,342 | $ | 225,813 | $ | 218,727 | $ | 212,050 | $ | 205,749 | ||||||||||||||||||||
Change in FV | $ | 10,492 | $ | 5,096 | $ | - | $ | (4,820 | ) | $ | (9,383 | ) | $ | 14,614 | $ | 7,085 | $ | - | $ | (6,677 | ) | $ | (12,979 | ) | ||||||||||||||||
% Change in FV | 6 | % | 3 | % | - | (3 | )% | (5 | )% | 7 | % | 3 | % | - | (3 | )% | (6 | )% | ||||||||||||||||||||||
Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | ||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 210,532 | $ | 191,603 | $ | 174,414 | $ | 158,811 | $ | 144,606 | $ | 244,460 | $ | 231,026 | $ | 218,727 | $ | 207,458 | $ | 197,103 | ||||||||||||||||||||
Change in FV | $ | 36,117 | $ | 17,189 | $ | - | $ | (15,603 | ) | $ | (29,808 | ) | $ | 25,732 | $ | 12,298 | $ | - | $ | (11,270 | ) | $ | (21,624 | ) | ||||||||||||||||
% Change in FV | 21 | % | 10 | % | - | (9 | )% | (17 | )% | 12 | % | 6 | % | - | (5 | )% | (10 | )% | ||||||||||||||||||||||
Servicing Cost Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 180,274 | $ | 177,344 | $ | 174,414 | $ | 171,485 | $ | 168,555 | $ | 225,480 | $ | 222,104 | $ | 218,727 | $ | 215,351 | $ | 211,975 | ||||||||||||||||||||
Change in FV | $ | 5,859 | $ | 2,930 | $ | - | $ | (2,930 | ) | $ | (5,859 | ) | $ | 6,752 | $ | 3,376 | $ | - | $ | (3,376 | ) | $ | (6,752 | ) | ||||||||||||||||
% Change in FV | 3 | % | 2 | % | - | (2 | )% | (3 | )% | 3 | % | 2 | % | - | (2 | )% | (3 | )% |
Fair Value Change | Fair Value Change | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | March 31, 2022 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | |||||||||||||||||||||||||||||||||||||
RMBS Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps | $ | 1,436,545 | $ | 1,023,612 | ||||||||||||||||||||||||||||||||||||||||||||
RMBS Total Return (%) | (0.21 | )% | (0.57 | )% | (1.06 | )% | (1.64 | )% | (3.07 | )% | (0.17 | )% | (0.41 | )% | (0.71 | )% | (1.06 | )% | (1.89 | )% | ||||||||||||||||||||||||||||
RMBS Dollar Return | $ | (2,998 | ) | $ | (8,176 | ) | $ | (15,158 | ) | $ | (23,584 | ) | $ | (44,127 | ) | $ | (1,761 | ) | $ | (4,229 | ) | $ | (7,289 | ) | $ | (10,857 | ) | $ | (19,396 | ) |
Fair Value Change | Fair Value Change | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | December 31, 2021 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | |||||||||||||||||||||||||||||||||||||
RMBS Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps | $ | 1,570,182 | $ | 1,429,335 | ||||||||||||||||||||||||||||||||||||||||||||
RMBS Total Return (%) | (0.07 | )% | (0.32 | )% | (0.74 | )% | (1.31 | )% | (2.81 | )% | (0.18 | )% | (0.49 | )% | (0.92 | )% | (1.44 | )% | (2.74 | )% | ||||||||||||||||||||||||||||
RMBS Dollar Return | $ | (1,160 | ) | $ | (4,975 | ) | $ | (11,554 | ) | $ | (20,597 | ) | $ | (44,187 | ) | $ | (2,584 | ) | $ | (7,016 | ) | $ | (13,110 | ) | $ | (20,635 | ) | $ | (39,125 | ) |
Item 4. | Controls and Procedures |
Item 1. | Legal Proceedings |
Item 1A. | Risk Factors |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
Item 3. | Defaults Upon Senior Securities |
Item 4. | Mine Safety Disclosures |
Item 5. | Other Information |
Item 6. | Exhibits |
Exhibit Number | Description | |
31.1* | Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934. | |
31.2* | Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934. | |
32.1** | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
32.2** | Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
101.INS* | Inline XBRL Instance Document | |
101.SCH* | Inline XBRL Taxonomy Extension Schema | |
101.CAL* | Inline XBRL Taxonomy Extension Calculation Linkbase | |
101.DEF* | Inline XBRL Taxonomy Definition Linkbase | |
101.LAB* | Inline XBRL Taxonomy Extension Label Linkbase | |
101.PRE* | Inline XBRL Taxonomy Extension Presentation Linkbase | |
104* | Cover Page Interactive Data File - cover page XBRL tags are embedded within the Inline XBRL document |
CHERRY HILL MORTGAGE INVESTMENT CORPORATION | ||
May 9, | By: | /s/ Jeffrey Lown II |
Jeffrey Lown II | ||
President and Chief Executive Officer (Principal Executive Officer) | ||
May 9, | By: | /s/ Michael Hutchby |
Michael Hutchby | ||
Chief Financial Officer, Treasurer and Secretary (Principal Financial Officer) |
Exhibit Number | Description | |
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934. | ||
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934. | ||
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
101.INS* | Inline XBRL Instance Document | |
101.SCH* | Inline XBRL Taxonomy Extension Schema | |
101.CAL* | Inline XBRL Taxonomy Extension Calculation Linkbase | |
101.DEF* | Inline XBRL Taxonomy Definition Linkbase | |
101.LAB* | Inline XBRL Taxonomy Extension Label Linkbase | |
101.PRE* | Inline XBRL Taxonomy Extension Presentation Linkbase | |
104* | Cover Page Interactive Data File - cover page XBRL tags are embedded within the Inline XBRL document |