☒ | 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 | ||
6 | ||
PART I. | 8 | |
Item 1. | 8 | |
8 | ||
9 | ||
10 | ||
11 | ||
12 | ||
13 | ||
Item 2. | ||
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) | |||||||||||||||
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
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 | ||||||||||||||
RMBS, available-for-sale, at fair value (including pledged assets of $802,195 and $892,888, respectively) | $ | 868,035 | $ | 953,496 | ||||||||||||
Investments in Servicing Related Assets, at fair value (including pledged assets of $279,020 and $218,727, respectively) | 279,020 | 218,727 | ||||||||||||||
Cash and cash equivalents | 52,379 | 63,916 | 42,738 | 63,916 | ||||||||||||
Restricted cash | 26,974 | 12,861 | 23,005 | 12,861 | ||||||||||||
Derivative assets | 27,179 | 10,518 | 59,474 | 10,518 | ||||||||||||
Receivables from unsettled trades | 46,801 | 0 | 63,582 | - | ||||||||||||
Receivables and other assets | 38,471 | 43,344 | 29,917 | 43,344 | ||||||||||||
Total Assets | $ | 1,212,020 | $ | 1,302,862 | $ | 1,365,771 | $ | 1,302,862 | ||||||||
Liabilities and Stockholders’ Equity | ||||||||||||||||
Liabilities | ||||||||||||||||
Repurchase agreements | $ | 764,885 | $ | 865,494 | $ | 865,414 | $ | 865,494 | ||||||||
Derivative liabilities | 15,147 | 1,278 | 28,396 | 1,278 | ||||||||||||
Notes payable | 159,068 | 145,268 | 177,348 | 145,268 | ||||||||||||
Dividends payable | 7,210 | 7,056 | 7,804 | 7,056 | ||||||||||||
Due to manager | 3,631 | 1,889 | 2,313 | 1,889 | ||||||||||||
Payables for unsettled trades | 26,565 | - | ||||||||||||||
Accrued expenses and other liabilities | 2,428 | 3,061 | 7,130 | 3,061 | ||||||||||||
Total Liabilities | $ | 952,369 | $ | 1,024,046 | $ | 1,114,970 | $ | 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 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 | ||||||||||||||
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, 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 September 30, 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 September 30, 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 September 30, 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 20,989,030 shares issued and outstanding as of September 30, 2022 and 500,000,000 shares authorized and 18,261,848 shares issued and outstanding as of December 31, 2021 | 214 | 187 | ||||||||||||||
Additional paid-in capital | 315,354 | 311,255 | 329,910 | 311,255 | ||||||||||||
Accumulated Deficit | (137,932 | ) | (158,483 | ) | (128,125 | ) | (158,483 | ) | ||||||||
Accumulated other comprehensive income (loss) | (37,008 | ) | 7,527 | (70,759 | ) | 7,527 | ||||||||||
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity | $ | 255,985 | $ | 275,865 | $ | 246,619 | $ | 275,865 | ||||||||
Non-controlling interests in Operating Partnership | 3,666 | 2,951 | 4,182 | 2,951 | ||||||||||||
Total Stockholders’ Equity | $ | 259,651 | $ | 278,816 | $ | 250,801 | $ | 278,816 | ||||||||
Total Liabilities and Stockholders’ Equity | $ | 1,212,020 | $ | 1,302,862 | $ | 1,365,771 | $ | 1,302,862 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Income | ||||||||||||||||||||||||
Interest income | $ | 5,519 | $ | 3,301 | $ | 8,213 | $ | 3,600 | $ | 19,736 | $ | 10,427 | ||||||||||||
Interest expense | 1,640 | 1,454 | 4,882 | 1,439 | 9,024 | 4,234 | ||||||||||||||||||
Net interest income | 3,879 | 1,847 | 3,331 | 2,161 | 10,712 | 6,193 | ||||||||||||||||||
Servicing fee income | 13,116 | 13,540 | 13,426 | 13,839 | 39,730 | 41,127 | ||||||||||||||||||
Servicing costs | 3,193 | 3,082 | 2,725 | 3,080 | 8,533 | 10,234 | ||||||||||||||||||
Net servicing income | 9,923 | 10,458 | 10,701 | 10,759 | 31,197 | 30,893 | ||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||
Realized gain (loss) on RMBS, available-for-sale, net | (13,222 | ) | 2,094 | (9,735 | ) | (1,050 | ) | (68,993 | ) | 2,027 | ||||||||||||||
Realized loss on derivatives, net | (10,638 | ) | (540 | ) | ||||||||||||||||||||
Realized gain on acquired assets, net | 12 | 5 | ||||||||||||||||||||||
Realized gain (loss) on derivatives, net | 6,210 | 1,420 | (7,158 | ) | (4,651 | ) | ||||||||||||||||||
Realized gain (loss) on acquired assets, net | - | (19 | ) | 12 | 15 | |||||||||||||||||||
Unrealized gain (loss) on derivatives, net | 24,456 | (8,059 | ) | 33,321 | (5,467 | ) | 75,390 | (9,978 | ) | |||||||||||||||
Unrealized gain on investments in Servicing Related Assets | 21,731 | 22,464 | ||||||||||||||||||||||
Total Income | 36,141 | 28,269 | ||||||||||||||||||||||
Unrealized gain (loss) on investments in Servicing Related Assets | 2,293 | (7,914 | ) | 30,174 | (5,951 | ) | ||||||||||||||||||
Total Income (Loss) | 46,121 | (110 | ) | 71,334 | 18,548 | |||||||||||||||||||
Expenses | ||||||||||||||||||||||||
General and administrative expense | 1,744 | 1,617 | 1,475 | 1,936 | 4,718 | 5,436 | ||||||||||||||||||
Management fee to affiliate | 1,793 | 1,961 | 1,625 | 1,959 | �� | 5,032 | 5,869 | |||||||||||||||||
Total Expenses | 3,537 | 3,578 | 3,100 | 3,895 | 9,750 | 11,305 | ||||||||||||||||||
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 | ) | ||||||||||||||||||||
Income (Loss) Before Income Taxes | 43,021 | (4,005 | ) | 61,584 | 7,243 | |||||||||||||||||||
Provision for (Benefit from) corporate business taxes | 1,344 | (215 | ) | 6,642 | 1,418 | |||||||||||||||||||
Net Income (Loss) | 41,677 | (3,790 | ) | 54,942 | 5,825 | |||||||||||||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | (866 | ) | 77 | (1,152 | ) | (117 | ) | |||||||||||||||||
Dividends on preferred stock | 2,463 | 2,463 | 2,462 | 2,462 | 7,390 | 7,390 | ||||||||||||||||||
Net Income Applicable to Common Stockholders | $ | 25,633 | $ | 18,331 | ||||||||||||||||||||
Net Income Per Share of Common Stock | ||||||||||||||||||||||||
Net Income (Loss) Applicable to Common Stockholders | $ | 38,349 | $ | (6,175 | ) | $ | 46,400 | $ | (1,682 | ) | ||||||||||||||
Net Income (Loss) Per Share of Common Stock | ||||||||||||||||||||||||
Basic | $ | 1.40 | $ | 1.07 | $ | 1.91 | $ | (0.36 | ) | $ | 2.42 | $ | (0.10 | ) | ||||||||||
Diluted | $ | 1.40 | $ | 1.07 | $ | 1.90 | $ | (0.36 | ) | $ | 2.42 | $ | (0.10 | ) | ||||||||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||||||||||||||||||||
Basic | 18,252,523 | 17,065,735 | 20,123,165 | 17,185,872 | 19,134,545 | 17,108,956 | ||||||||||||||||||
Diluted | 18,272,737 | 17,087,959 | 20,156,606 | 17,206,086 | 19,159,846 | 17,130,489 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net income (loss) | $ | 41,677 | $ | (3,790 | ) | $ | 54,942 | $ | 5,825 | |||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gain (loss) on RMBS, available-for-sale, net | (46,592 | ) | 1,562 | (78,286 | ) | (19,791 | ) | |||||||||
Net other comprehensive income (loss) | (46,592 | ) | 1,562 | (78,286 | ) | (19,791 | ) | |||||||||
Comprehensive loss | $ | (4,915 | ) | $ | (2,228 | ) | $ | (23,344 | ) | $ | (13,966 | ) | ||||
Comprehensive loss attributable to noncontrolling interests in Operating Partnership | (92 | ) | (42 | ) | (490 | ) | (279 | ) | ||||||||
Dividends on preferred stock | 2,462 | 2,462 | 7,390 | 7,390 | ||||||||||||
Comprehensive loss attributable to common stockholders | $ | (7,285 | ) | $ | (4,648 | ) | $ | (30,244 | ) | $ | (21,077 | ) |
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 | 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 | - | - | - | 200 | - | - | - | 200 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Conversion of OP units | - | 0 | - | 0 | 0 | 0 | 0 | (147 | ) | (147 | ) | - | - | - | - | - | - | - | (147 | ) | (147 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | 20,794 | 434 | 21,228 | - | - | - | - | - | - | 20,794 | 434 | 21,228 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (19,349 | ) | 0 | 0 | (19,349 | ) | - | - | - | - | - | (19,349 | ) | - | - | (19,349 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 241 | 241 | - | - | - | - | - | - | - | 241 | 241 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (85 | ) | (85 | ) | - | - | - | - | - | - | - | (85 | ) | (85 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (4,611 | ) | 0 | (4,611 | ) | - | - | - | - | - | - | (4,611 | ) | - | (4,611 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,432 | ) | 0 | (1,432 | ) | - | - | - | - | - | - | (1,432 | ) | - | (1,432 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | - | - | - | - | - | - | (1,031 | ) | - | (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 | ||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 20,214 | - | - | - | 52 | - | - | - | 52 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of OP units for cash | - | - | - | - | - | - | - | (69 | ) | (69 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | - | - | - | - | - | (11,373 | ) | (240 | ) | (11,613 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | - | - | - | - | (2,004 | ) | - | - | (2,004 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | - | - | - | - | - | - | 281 | 281 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | - | - | - | - | - | - | (93 | ) | (93 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | - | - | - | - | - | (4,621 | ) | - | (4,621 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | - | - | - | - | - | (1,434 | ) | - | (1,434 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | - | - | - | - | - | (1,031 | ) | - | (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 | - | - | 4,873 | - | - | - | 4,879 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of OP units for cash | - | - | - | - | - | - | - | (20 | ) | (20 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | - | - | - | - | - | (3,713 | ) | (77 | ) | (3,790 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Income | - | - | - | - | - | 1,562 | - | - | 1,562 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | - | - | - | - | - | - | 158 | 158 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | - | - | - | - | - | - | (92 | ) | (92 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | - | - | - | - | - | (4,774 | ) | - | (4,774 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | - | - | - | - | - | (1,434 | ) | - | (1,434 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | - | - | - | - | - | (1,031 | ) | - | (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, December 31, 2021 | 18,261,848 | $ | 187 | 4,781,635 | $ | 115,379 | $ | 311,255 | $ | 7,527 | $ | (158,483 | ) | $ | 2,951 | $ | 278,816 | 18,261,848 | $ | 187 | 4,781,635 | $ | 115,379 | $ | 311,255 | $ | 7,527 | $ | (158,483 | ) | $ | 2,951 | $ | 278,816 | ||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 505,000 | 5 | 0 | 0 | 4,099 | 0 | 0 | 0 | 4,104 | 505,000 | 5 | - | - | 4,099 | - | - | - | 4,104 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income before dividends on preferred stock | - | 0 | - | 0 | 0 | 0 | 28,096 | 633 | 28,729 | - | - | - | - | - | - | 28,096 | 633 | 28,729 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | 0 | - | 0 | 0 | (44,535 | ) | 0 | 0 | (44,535 | ) | - | - | - | - | - | (44,535 | ) | - | - | (44,535 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | 0 | - | 0 | 0 | 0 | 0 | 173 | 173 | - | - | - | - | - | - | - | 173 | 173 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | 0 | - | 0 | 0 | 0 | 0 | (91 | ) | (91 | ) | - | - | - | - | - | - | - | (91 | ) | (91 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | 0 | - | 0 | 0 | 0 | (5,082 | ) | 0 | (5,082 | ) | - | - | - | - | - | - | (5,082 | ) | - | (5,082 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | 0 | - | 0 | 0 | 0 | (1,432 | ) | 0 | (1,432 | ) | - | - | - | - | - | - | (1,432 | ) | - | (1,432 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | 0 | - | 0 | 0 | 0 | (1,031 | ) | 0 | (1,031 | ) | - | - | - | - | - | - | (1,031 | ) | - | (1,031 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | 18,766,848 | $ | 192 | 4,781,635 | $ | 115,379 | $ | 315,354 | $ | (37,008 | ) | $ | (137,932 | ) | $ | 3,666 | $ | 259,651 | 18,766,848 | $ | 192 | 4,781,635 | $ | 115,379 | $ | 315,354 | $ | (37,008 | ) | $ | (137,932 | ) | $ | 3,666 | $ | 259,651 | ||||||||||||||||||||||||||||||||||||
Issuance of common stock | 881,097 | 9 | - | - | 5,804 | - | - | - | 5,813 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss before dividends on preferred stock | - | - | - | - | - | - | (15,117 | ) | (347 | ) | (15,464 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Income | - | - | - | - | - | 12,841 | - | - | 12,841 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | - | - | - | - | - | - | 105 | 105 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | - | - | - | - | - | - | (109 | ) | (109 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | - | - | - | - | - | (5,290 | ) | - | (5,290 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | - | - | - | - | - | (1,432 | ) | - | (1,432 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | - | - | - | - | - | (1,031 | ) | - | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2022 | 19,647,945 | $ | 201 | 4,781,635 | $ | 115,379 | $ | 321,158 | $ | (24,167 | ) | $ | (160,802 | ) | $ | 3,315 | $ | 255,084 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 1,341,085 | 13 | - | - | 8,752 | - | - | - | 8,765 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income before dividends on preferred stock | - | - | - | - | - | - | 40,811 | 866 | 41,677 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Comprehensive Loss | - | - | - | - | - | (46,592 | ) | - | - | (46,592 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LTIP-OP Unit awards | - | - | - | - | - | - | - | 109 | 109 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units | - | - | - | - | - | - | - | (108 | ) | (108 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common dividends declared, $0.27 per share | - | - | - | - | - | - | (5,671 | ) | - | (5,671 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share | - | - | - | - | - | - | (1,432 | ) | - | (1,432 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share | - | - | - | - | - | - | (1,031 | ) | - | (1,031 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2022 | 20,989,030 | $ | 214 | 4,781,635 | $ | 115,379 | $ | 329,910 | $ | (70,759 | ) | $ | (128,125 | ) | $ | 4,182 | $ | 250,801 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Cash Flows From Operating Activities | ||||||||||||||||
Net income | $ | 28,729 | $ | 21,228 | $ | 54,942 | $ | 5,825 | ||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||||
Realized (gain) loss on RMBS, available-for-sale, net | 13,222 | (2,094 | ) | 68,993 | (2,027 | ) | ||||||||||
Unrealized gain on investments in Servicing Related Assets | (21,731 | ) | (22,464 | ) | ||||||||||||
Unrealized (gain) loss on investments in Servicing Related Assets | (30,174 | ) | 5,951 | |||||||||||||
Realized gain on acquired assets, net | (12 | ) | (5 | ) | (12 | ) | (15 | ) | ||||||||
Realized loss on derivatives, net | 10,638 | 540 | 7,158 | 4,651 | ||||||||||||
Unrealized (gain) loss on derivatives, net | (24,456 | ) | 8,059 | (75,390 | ) | 9,978 | ||||||||||
Amortization of premiums on RMBS, available-for-sale | 1,209 | 4,995 | 942 | 11,434 | ||||||||||||
Amortization of deferred financing costs | 0 | 50 | 80 | 121 | ||||||||||||
LTIP-OP Unit awards | 173 | 241 | 387 | 680 | ||||||||||||
Changes in: | ||||||||||||||||
Receivables and other assets, net | 4,882 | 1,180 | 13,436 | 4,290 | ||||||||||||
Due to affiliates | 1,742 | 903 | 424 | 1,241 | ||||||||||||
Accrued expenses and other liabilities, net | (633 | ) | 49 | 3,935 | (810 | ) | ||||||||||
Net cash provided by operating activities | $ | 13,763 | $ | 12,682 | $ | 44,721 | $ | 41,319 | ||||||||
Cash Flows From Investing Activities | ||||||||||||||||
Purchase of RMBS | (211,463 | ) | (22,045 | ) | (867,327 | ) | (382,298 | ) | ||||||||
Principal paydown of RMBS | 35,054 | 81,483 | 78,348 | 205,408 | ||||||||||||
Proceeds from sale of RMBS | 250,026 | 144,863 | 689,337 | 510,038 | ||||||||||||
Acquisition of MSRs | (5,645 | ) | (20,295 | ) | (30,119 | ) | (42,356 | ) | ||||||||
Payments for settlement of derivatives | (10,362 | ) | (1,700 | ) | (7,301 | ) | (6,577 | ) | ||||||||
Net cash provided by investing activities | $ | 57,610 | $ | 182,306 | ||||||||||||
Net cash provided by (used in) investing activities | $ | (137,062 | ) | $ | 284,215 | |||||||||||
Cash Flows From Financing Activities | ||||||||||||||||
Borrowings under repurchase agreements | 1,496,531 | 1,502,670 | 4,424,317 | 4,198,211 | ||||||||||||
Repayments of repurchase agreements | (1,597,140 | ) | (1,718,647 | ) | (4,424,397 | ) | (4,570,773 | ) | ||||||||
Proceeds from derivative financing | 21,390 | (2,974 | ) | 53,697 | (10,929 | ) | ||||||||||
Proceeds from bank loans | 13,800 | 5,500 | 33,000 | 23,500 | ||||||||||||
Principal paydown of bank loans | (1,000 | ) | - | |||||||||||||
Dividends paid | (7,391 | ) | (7,063 | ) | (22,684 | ) | (21,224 | ) | ||||||||
LTIP-OP Units distributions paid | (91 | ) | (85 | ) | (308 | ) | (270 | ) | ||||||||
Conversion of OP units | 0 | (147 | ) | - | (147 | ) | ||||||||||
Redemption of OP units for cash | - | (89 | ) | |||||||||||||
Issuance of common stock, net of offering costs | 4,104 | 200 | 18,682 | 5,131 | ||||||||||||
Net cash used in financing activities | $ | (68,797 | ) | $ | (220,546 | ) | ||||||||||
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | $ | 2,576 | $ | (25,558 | ) | |||||||||||
Net cash provided by (used in) financing activities | $ | 81,307 | $ | (376,590 | ) | |||||||||||
Net Decrease in Cash, Cash Equivalents and Restricted Cash | $ | (11,034 | ) | $ | (51,056 | ) | ||||||||||
Cash, Cash Equivalents and Restricted Cash, Beginning of Period | 76,777 | 130,218 | 76,777 | 130,218 | ||||||||||||
Cash, Cash Equivalents and Restricted Cash, End of Period | $ | 79,353 | $ | 104,660 | $ | 65,743 | $ | 79,162 | ||||||||
Supplemental Disclosure of Cash Flow Information | ||||||||||||||||
Cash paid during the period for interest expense | $ | 918 | $ | 172 | $ | 5,766 | $ | 1,420 | ||||||||
Cash paid during the period for income taxes | 2 | 6 | $ | 57 | $ | 47 | ||||||||||
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||||||||||||||||
Dividends declared but not paid | $ | 7,210 | $ | 6,736 | $ | 7,804 | $ | 6,900 | ||||||||
Sale of RMBS, settled after period end | (46,801 | ) | (16,702 | ) | $ | (63,582 | ) | $ | - | |||||||
Purchase of RMBS, settled after period end | 0 | 29,250 | $ | 26,565 | $ | - |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Realized gain (loss) on RMBS, net | ||||||||||||||||||||||||
Gain on RMBS | $ | 50 | $ | 2,664 | $ | - | $ | 169 | $ | 50 | $ | 5,653 | ||||||||||||
Loss on RMBS | (13,272 | ) | (570 | ) | (9,735 | ) | (1,219 | ) | (69,043 | ) | (3,626 | ) | ||||||||||||
Net realized gain (loss) on RMBS (A) | $ | (13,222 | ) | $ | 2,094 | $ | (9,735 | ) | $ | (1,050 | ) | $ | (68,993 | ) | $ | 2,027 |
(A) | Reclassified from accumulated other comprehensive income into earnings. |
Servicing Related Assets | RMBS | All Other | Total | Servicing Related Assets | RMBS | All Other | Total | |||||||||||||||||||||||||
Income Statement | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Interest income | $ | 0 | $ | 5,519 | $ | 0 | $ | 5,519 | $ | - | $ | 8,213 | $ | - | $ | 8,213 | ||||||||||||||||
Interest expense | 1,253 | 387 | 0 | 1,640 | 635 | 4,247 | - | 4,882 | ||||||||||||||||||||||||
Net interest income (expense) | (1,253 | ) | 5,132 | 0 | 3,879 | (635 | ) | 3,966 | - | 3,331 | ||||||||||||||||||||||
Servicing fee income | 13,116 | 0 | 0 | 13,116 | 13,426 | - | - | 13,426 | ||||||||||||||||||||||||
Servicing costs | 3,193 | 0 | 0 | 3,193 | 2,725 | - | - | 2,725 | ||||||||||||||||||||||||
Net servicing income | 9,923 | 0 | 0 | 9,923 | 10,701 | - | - | 10,701 | ||||||||||||||||||||||||
Other income (expense) | (3,366 | ) | 25,705 | 0 | 22,339 | (12,087 | ) | 44,176 | - | 32,089 | ||||||||||||||||||||||
Other operating expenses | 522 | 228 | 2,787 | 3,537 | 537 | 163 | 2,400 | 3,100 | ||||||||||||||||||||||||
Provision for corporate business taxes | 3,875 | 0 | 0 | 3,875 | 1,344 | - | - | 1,344 | ||||||||||||||||||||||||
Net Income (Loss) | $ | 907 | $ | 30,609 | $ | (2,787 | ) | $ | 28,729 | $ | (3,902 | ) | $ | 47,979 | $ | (2,400 | ) | $ | 41,677 | |||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Interest income | $ | 120 | $ | 3,480 | $ | - | $ | 3,600 | ||||||||||||||||||||||||
Interest expense | 1,207 | 232 | - | 1,439 | ||||||||||||||||||||||||||||
Net interest income (expense) | (1,087 | ) | 3,248 | - | 2,161 | |||||||||||||||||||||||||||
Servicing fee income | 13,839 | - | - | 13,839 | ||||||||||||||||||||||||||||
Servicing costs | 3,080 | - | - | 3,080 | ||||||||||||||||||||||||||||
Net servicing income | 10,759 | - | - | 10,759 | ||||||||||||||||||||||||||||
Other expense | (12,196 | ) | (834 | ) | - | (13,030 | ) | |||||||||||||||||||||||||
Other operating expenses | 1,031 | 206 | 2,658 | 3,895 | ||||||||||||||||||||||||||||
Benefit from corporate business taxes | (215 | ) | - | - | (215 | ) | ||||||||||||||||||||||||||
Net Income (Loss) | $ | (3,340 | ) | $ | 2,208 | $ | (2,658 | ) | $ | (3,790 | ) | |||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Interest income | $ | - | $ | 19,736 | $ | - | $ | 19,736 | ||||||||||||||||||||||||
Interest expense | 3,019 | 6,005 | - | 9,024 | ||||||||||||||||||||||||||||
Net interest income (expense) | (3,019 | ) | 13,731 | - | 10,712 | |||||||||||||||||||||||||||
Servicing fee income | 39,730 | - | - | 39,730 | ||||||||||||||||||||||||||||
Servicing costs | 8,533 | - | - | 8,533 | ||||||||||||||||||||||||||||
Net servicing income | 31,197 | - | - | 31,197 | ||||||||||||||||||||||||||||
Other income (expense) | (20,983 | ) | 50,408 | - | 29,425 | |||||||||||||||||||||||||||
Other operating expenses | 1,569 | 542 | 7,639 | 9,750 | ||||||||||||||||||||||||||||
Provision for corporate business taxes | 6,642 | - | - | 6,642 | ||||||||||||||||||||||||||||
Net Income (Loss) | $ | (1,016 | ) | $ | 63,597 | $ | (7,639 | ) | $ | 54,942 | ||||||||||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||
Interest income | $ | 346 | $ | 10,081 | $ | - | $ | 10,427 | ||||||||||||||||||||||||
Interest expense | 3,213 | 1,021 | - | 4,234 | ||||||||||||||||||||||||||||
Net interest income (expense) | (2,867 | ) | 9,060 | - | 6,193 | |||||||||||||||||||||||||||
Servicing fee income | 41,127 | - | - | 41,127 | ||||||||||||||||||||||||||||
Servicing costs | 10,234 | - | - | 10,234 | ||||||||||||||||||||||||||||
Net servicing income | 30,893 | - | - | 30,893 | ||||||||||||||||||||||||||||
Other income (expense) | (28,105 | ) | 9,567 | - | (18,538 | ) | ||||||||||||||||||||||||||
Other operating expenses | 2,443 | 535 | 8,327 | 11,305 | ||||||||||||||||||||||||||||
Provision for corporate business taxes | 1,418 | - | - | 1,418 | ||||||||||||||||||||||||||||
Net Income (Loss) | $ | (3,940 | ) | $ | 18,092 | $ | (8,327 | ) | $ | 5,825 |
Three Months Ended March 31, 2021 | ||||||||||||||||
Interest income | $ | 120 | $ | 3,181 | $ | 0 | $ | 3,301 | ||||||||
Interest expense | 932 | 522 | 0 | 1,454 | ||||||||||||
Net interest income (expense) | (812 | ) | 2,659 | 0 | 1,847 | |||||||||||
Servicing fee income | 13,540 | 0 | 0 | 13,540 | ||||||||||||
Servicing costs | 3,082 | 0 | 0 | 3,082 | ||||||||||||
Net servicing income | 10,458 | 0 | 0 | 10,458 | ||||||||||||
Other income (expense) | (4,762 | ) | 20,726 | 0 | 15,964 | |||||||||||
Other operating expenses | 566 | 171 | 2,841 | 3,578 | ||||||||||||
Provision for corporate business taxes | 3,463 | 0 | 0 | 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 | $ | 0 | $ | 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 | 0 | 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 | $ | 0 | $ | 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 | 0 | 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, 2022 | ||||||||||||||||
Investments | $ | 279,020 | $ | 868,035 | $ | - | $ | 1,147,055 | ||||||||
Other assets | 26,719 | 149,194 | 42,803 | 218,716 | ||||||||||||
Total assets | 305,739 | 1,017,229 | 42,803 | 1,365,771 | ||||||||||||
Debt | 177,348 | 865,414 | - | 1,042,762 | ||||||||||||
Other liabilities | 32,311 | 28,530 | 11,367 | 72,208 | ||||||||||||
Total liabilities | 209,659 | 893,944 | 11,367 | 1,114,970 | ||||||||||||
Net assets | $ | 96,080 | $ | 123,285 | $ | 31,436 | $ | 250,801 |
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 |
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 | $ | 678,445 | $ | 476,781 | $ | 669 | $ | (22,459 | ) | $ | 454,991 | 68 | (B) | 3.10 | % | 2.99 | % | 27 | $ | 589,010 | $ | 474,841 | $ | 72 | $ | (35,210 | ) | $ | 439,703 | 54 | (B) | 3.96 | % | 3.95 | % | 28 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 422,127 | 334,222 | 383 | (15,483 | ) | 319,122 | 42 | (B) | 3.08 | % | 2.97 | % | 28 | 545,993 | 463,835 | 77 | (35,580 | ) | 428,332 | 44 | (B) | 3.84 | % | 3.85 | % | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 | $ | 1,135,003 | $ | 938,676 | $ | 149 | $ | (70,790 | ) | $ | 868,035 | 98 | 3.90 | % | 3.90 | % | 28 |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||
Asset Type | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | |||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 772,607 | $ | 554,151 | $ | 9,276 | $ | (3,650 | ) | $ | 559,777 | 76 | (B) | 3.09 | % | 2.96 | % | 27 | |||||||||||||||||||
Freddie Mac | 484,479 | 391,700 | 5,260 | (3,241 | ) | 393,719 | 45 | (B) | 3.02 | % | 2.89 | % | 28 | ||||||||||||||||||||||||
Total/Weighted Average | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 |
(A) | See 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 | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | (B) | 3.09 | % | 2.98 | % | 28 | $ | 1,135,003 | $ | 938,676 | $ | 149 | $ | (70,790 | ) | $ | 868,035 | 98 | (B) | 3.90 | % | 3.90 | % | 28 | ||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 | $ | 1,135,003 | $ | 938,676 | $ | 149 | $ | (70,790 | ) | $ | 868,035 | 98 | 3.90 | % | 3.90 | % | 28 |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||
Years to Maturity | Original Face Value | Book Value | Gains | Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | |||||||||||||||||||||||||||
Over 10 Years | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | (B) | 3.06 | % | 2.93 | % | 28 | |||||||||||||||||||
Total/Weighted Average | $ | 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 | $ | 833,308 | $ | 704,077 | $ | (37,942 | ) | $ | 666,135 | 78 | (B) | 2.97 | % | 2.85 | % | 28 | $ | 1,087,042 | $ | 891,992 | $ | (70,790 | ) | $ | 821,202 | 95 | (B) | 3.84 | % | 3.83 | % | 28 | ||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 833,308 | $ | 704,077 | $ | (37,942 | ) | $ | 666,135 | 78 | 2.97 | % | 2.85 | % | 28 | $ | 1,087,042 | $ | 891,992 | $ | (70,790 | ) | $ | 821,202 | 95 | 3.84 | % | 3.83 | % | 28 |
Weighted Average | |||||||||||||||||||||||||||||||||
Duration in Loss Position | Original Face Value | Book Value | Gross Unrealized Losses | Carrying Value(A) | Number of Securities | Rating | Coupon | Yield(C) | Maturity (Years) | ||||||||||||||||||||||||
Less than Twelve Months | $ | 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 | $ | 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 | $ | 20,441,178 | $ | 246,103 | 3.48 | % | 26.2 | $ | 21,731 | $ | 21,357,745 | $ | 279,020 | 3.48 | % | 26.0 | $ | 30,174 | ||||||||||||||||||||||
MSR Total/Weighted Average | $ | 20,441,178 | $ | 246,103 | 3.48 | % | 26.2 | $ | 21,731 | $ | 21,357,745 | $ | 279,020 | 3.48 | % | 26.0 | $ | 30,174 |
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 | $ | 20,773,278 | $ | 218,727 | 3.51 | % | 26.3 | $ | (11,062 | ) | $ | 20,773,278 | $ | 218,727 | 3.51 | % | 26.3 | $ | (11,062 | ) | ||||||||||||||||||||
MSR Total/Weighted Average | $ | 20,773,278 | $ | 218,727 | 3.51 | % | 26.3 | $ | (11,062 | ) | $ | 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 | % | |||
Florida | 5.6 | % | ||
North Carolina | % | |||
All other | % | |||
Total | 100.0 | % |
Percentage of Total Outstanding Unpaid Principal Balance | ||||
California | 13.8 | % | ||
Virginia | 9.3 | % | ||
New York | 8.8 | % | ||
Maryland | 6.9 | % | ||
Texas | 6.2 | % | ||
North Carolina | 5.6 | % | ||
All other | 49.4 | % | ||
Total | 100.0 | % |
LTIP-OP Units | Shares of Common Stock | Number of Securities Remaining Available For Future Issuance Under Equity | Weighted Average Issuance | LTIP-OP Units | Shares of Common Stock | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issued | Forfeited | Converted | Redeemed | Issued | Forfeited | Compensation Plans | Price | Issued | Forfeited | Converted | Redeemed | Issued | Forfeited | Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans | Weighted Average Issuance Price | ||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | (341,847 | ) | 916 | 28,417 | 0 | (108,388 | ) | 3,155 | 1,082,253 | (341,847 | ) | 916 | 28,417 | - | (108,388 | ) | 3,155 | 1,082,253 | |||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | (49,800 | ) | (A) | 0 | 0 | 0 | 0 | 0 | (49,800 | ) | $ | 8.81 | (49,800 | ) (A) | - | - | - | - | - | (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 | - | - | 16,378 | - | (16,378 | ) | - | - | $ | 9.00 | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | (391,647 | ) | 916 | 44,795 | 0 | (124,766 | ) | 3,155 | 1,032,453 | (391,647 | ) | 916 | 44,795 | - | (124,766 | ) | 3,155 | 1,032,453 | |||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | - | - | - | 3,500 | - | - | - | $ | 9.53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | - | - | - | 3,354 | - | - | - | $ | 10.48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | - | - | - | (20,214 | ) | - | (20,214 | ) | $ | 10.39 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2021 | (391,647 | ) | 916 | 44,795 | 6,854 | (144,980 | ) | 3,155 | 1,012,239 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | - | - | - | 1,200 | - | - | - | $ | 9.21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities redeemed | 1,000 | - | $ | 9.36 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | (391,647 | ) | 916 | 44,795 | 9,054 | (144,980 | ) | 3,155 | 1,012,239 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | (391,647 | ) | 916 | 44,795 | 9,054 | (144,980 | ) | 3,155 | 1,012,239 | (391,647 | ) | 916 | 44,795 | 9,054 | (144,980 | ) | 3,155 | 1,012,239 | |||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | (68,250 | ) | (B) | 0 | 0 | 0 | 0 | (68,250 | ) | $ | 8.40 | (68,250 | ) (B) | - | - | - | - | - | (68,250 | ) | $ | 8.40 | |||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | (459,897 | ) | 916 | 44,795 | (144,980 | ) | 3,155 | 943,989 | (459,897 | ) | 916 | 44,795 | - | (144,980 | ) | 3,155 | 943,989 | ||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities forfeited | 4,916 | 4,916 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | - | - | - | (33,441 | ) (C) | - | (33,441 | ) | $ | 6.28 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | (459,897 | ) | 5,832 | 44,795 | (178,421 | ) | 3,155 | 915,464 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of securities issued or to be issued upon exercise | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2022 | (459,897 | ) | 5,832 | 44,795 | (178,421 | ) | 3,155 | 915,464 |
(A) | Subject to forfeiture in certain circumstances prior to January 4, 2024. |
(B) | Subject to forfeiture in certain circumstances prior to January 3, 2025. |
(C) | Subject to forfeiture in certain circumstances prior to June 17, 2023. |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Numerator: | ||||||||||||||||||||||||
Net income | $ | 28,729 | $ | 21,228 | ||||||||||||||||||||
Net income allocated to noncontrolling interests in Operating Partnership | (633 | ) | (434 | ) | ||||||||||||||||||||
Net income (loss) | $ | 41,677 | $ | (3,790 | ) | $ | 54,942 | $ | 5,825 | |||||||||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | (866 | ) | 77 | (1,152 | ) | (117 | ) | |||||||||||||||||
Dividends on preferred stock | 2,463 | 2,463 | 2,462 | 2,462 | 7,390 | 7,390 | ||||||||||||||||||
Net income applicable to common stockholders | $ | 25,633 | $ | 18,331 | ||||||||||||||||||||
Net income (loss) applicable to common stockholders | $ | 38,349 | $ | (6,175 | ) | $ | 46,400 | $ | (1,682 | ) | ||||||||||||||
Denominator: | ||||||||||||||||||||||||
Weighted average common shares outstanding | 18,252,523 | 17,065,735 | 20,123,165 | 17,185,872 | 19,134,545 | 17,108,956 | ||||||||||||||||||
Weighted average diluted shares outstanding | 18,272,737 | 17,087,959 | 20,156,606 | 17,206,086 | 19,159,846 | 17,130,489 | ||||||||||||||||||
Basic and Diluted EPS: | ||||||||||||||||||||||||
Basic | $ | 1.40 | $ | 1.07 | $ | 1.91 | $ | (0.36 | ) | $ | 2.42 | $ | (0.10 | ) | ||||||||||
Diluted | $ | 1.40 | $ | 1.07 | $ | 1.90 | $ | (0.36 | ) | $ | 2.42 | $ | (0.10 | ) |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Management fees | $ | 1,678 | $ | 1,711 | $ | 1,485 | $ | 1,709 | $ | 4,662 | $ | 5,119 | ||||||||||||
Compensation reimbursement | 115 | 250 | 140 | 250 | 370 | 750 | ||||||||||||||||||
Total | $ | 1,793 | $ | 1,961 | $ | 1,625 | $ | 1,959 | $ | 5,032 | $ | 5,869 |
Derivatives | March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | ||||||||||||
Notional amount of interest rate swaps | $ | 1,395,000 | $ | 1,448,000 | $ | 1,305,000 | $ | 1,448,000 | ||||||||
Notional amount of swaptions | 40,000 | 40,000 | - | 40,000 | ||||||||||||
Notional amount of TBAs, net | 166,600 | 439,000 | (132,300 | ) | 439,000 | |||||||||||
Notional amount of U.S. treasury futures | (271,300 | ) | (80,600 | ) | (173,600 | ) | (80,600 | ) | ||||||||
Notional amount of options on U.S. treasury futures | 70,000 | 0 | ||||||||||||||
Notional amount of options on treasury futures | 20,000 | - | ||||||||||||||
Total notional amount | $ | 1,400,300 | $ | 1,846,400 | $ | 1,019,100 | $ | 1,846,400 |
Notional Amount | Fair Value | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | 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 | |||||||||||||||||||||||||||||||
September 30, 2022 | $ | 1,305,000 | $ | 18,979 | 1.24 | % | 2.82 | % | 5.3 | |||||||||||||||||||||||||||||||
December 31, 2021 | $ | 1,448,000 | $ | 9,883 | 0.50 | % | 0.73 | % | 6.1 | $ | 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 | ||||||||||||||||
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 |
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 | ||||||||||||||||
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 | $ | 1,075,500 | $ | 1,069,521 | $ | 1,053,940 | $ | (15,581 | ) | $ | 776,900 | $ | 754,169 | $ | 736,141 | $ | (18,028 | ) | ||||||||||||||
Sale contracts | (908,900 | ) | (895,704 | ) | (887,491 | ) | 8,213 | (909,200 | ) | (869,576 | ) | (844,930 | ) | 24,646 | ||||||||||||||||||
Net TBA derivatives | $ | 166,600 | $ | 173,817 | $ | 166,449 | $ | (7,368 | ) | $ | (132,300 | ) | $ | (115,407 | ) | $ | (108,789 | ) | $ | 6,618 |
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 | $ | 970,500 | $ | 988,173 | $ | 987,146 | $ | (1,026 | ) | $ | 970,500 | $ | 988,173 | $ | 987,146 | $ | (1,026 | ) | ||||||||||||||
Sale contracts | (531,500 | ) | (544,346 | ) | (544,327 | ) | 19 | (531,500 | ) | (544,346 | ) | (544,327 | ) | 19 | ||||||||||||||||||
Net TBA derivatives | $ | 439,000 | $ | 443,827 | $ | 442,819 | $ | (1,007 | ) | $ | 439,000 | $ | 443,827 | $ | 442,819 | $ | (1,007 | ) |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | |||||||||
5 years | $ | - | $ | (32,000 | ) | $ | 399 | |||||
10 years (A) | - | (141,600 | ) | 5,720 | ||||||||
Total | $ | - | $ | (173,600 | ) | $ | 6,119 |
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 | $ | - | $ | (85,000 | ) | $ | 63 | ||||||||||
5 years | 0 | (15,000 | ) | (53 | ) | - | (15,000 | ) | (53 | ) | ||||||||||||||
10 years | 19,400 | 0 | (63 | ) | 19,400 | - | (63 | ) | ||||||||||||||||
Total | $ | 19,400 | $ | (100,000 | ) | $ | (53 | ) | $ | 19,400 | $ | (100,000 | ) | $ | (53 | ) |
(A) | Includes 10-year U.S. treasury futures and 10-year Ultra futures contracts. |
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 | |||||||||
10 years | $ | 40,000 | $ | (20,000 | ) | $ | 22 | |||||
Total | $ | 40,000 | $ | (20,000 | ) | $ | 22 |
Maturity | Notional Amount - Long | Notional Amount - Short | Fair Value | |||||||||
10 years | $ | 60,000 | $ | (60,000 | ) | $ | 234 | |||||
Total | $ | 60,000 | $ | (60,000 | ) | $ | 234 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
Derivatives | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||
Interest rate swaps(A) | $ | (1,191 | ) | $ | 57 | $ | 1,319 | $ | (852 | ) | $ | (4,793 | ) | $ | (884 | ) | ||||||||
Swaptions | 0 | (273 | ) | - | (210 | ) | (585 | ) | (804 | ) | ||||||||||||||
TBAs | (15,443 | ) | (582 | ) | 1,002 | 3,775 | (26,164 | ) | (721 | ) | ||||||||||||||
U.S. Treasury futures | 5,270 | (1,084 | ) | 439 | (2,087 | ) | 18,910 | (5,270 | ) | |||||||||||||||
U.S. Treasury futures options | (190 | ) | 0 | |||||||||||||||||||||
U.S. treasury futures options | 203 | - | (47 | ) | - | |||||||||||||||||||
Total | $ | (11,554 | ) | $ | (1,882 | ) | $ | 2,963 | $ | 626 | $ | (12,679 | ) | $ | (7,679 | ) |
(A) | Excludes interest rate swap periodic interest income of |
Net Amounts of Assets and | Gross Amounts Not Offset in the Consolidated Balance Sheet | Net Amounts of Assets and Liabilities Presented in The Consolidated Balance Sheet | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||||||||||||||||||||||||||||
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 | Gross Amounts of Recognized Assets or Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Received (Pledged)(A) | Net Amount | ||||||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | 19,796 | $ | 0 | $ | 19,796 | $ | (19,796 | ) | $ | 0 | $ | 0 | $ | 46,715 | $ | - | $ | 46,715 | $ | (46,715 | ) | $ | - | $ | - | ||||||||||||||||||||||
Interest rate swaptions | 1,417 | 0 | 1,417 | (1,417 | ) | 0 | 0 | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
TBAs | 9,082 | (9,082 | ) | 0 | 0 | 0 | 0 | 24,763 | (18,145 | ) | 6,618 | (6,618 | ) | - | - | |||||||||||||||||||||||||||||||||
U.S. treasury futures | 5,919 | 0 | 5,919 | (5,919 | ) | 0 | 0 | 6,119 | - | 6,119 | (6,119 | ) | - | - | ||||||||||||||||||||||||||||||||||
U.S. treasury futures options | 47 | 0 | 47 | (47 | ) | 0 | 0 | 22 | - | 22 | (22 | ) | - | - | ||||||||||||||||||||||||||||||||||
Total Assets | $ | 36,261 | $ | (9,082 | ) | $ | 27,179 | $ | (27,179 | ) | $ | 0 | $ | 0 | $ | 77,619 | $ | (18,145 | ) | $ | 59,474 | $ | (59,474 | ) | $ | - | $ | - |
Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 764,885 | $ | 0 | $ | 764,885 | $ | (737,911 | ) | $ | (26,974 | ) | $ | 0 | $ | 865,414 | $ | - | $ | 865,414 | $ | (842,409 | ) | $ | (23,005 | ) | $ | - | ||||||||||||||||||||
Interest rate swaps | 5,914 | 0 | 5,914 | (5,914 | ) | 0 | 0 | 27,736 | - | 27,736 | (27,736 | ) | - | - | ||||||||||||||||||||||||||||||||||
TBAs | 16,450 | (9,082 | ) | 7,368 | (7,368 | ) | 0 | 0 | 18,145 | (18,145 | ) | - | - | - | - | |||||||||||||||||||||||||||||||||
U.S. treasury futures | 1,865 | 0 | 1,865 | (1,865 | ) | 0 | 0 | 660 | - | 660 | (660 | ) | - | - | ||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 789,114 | $ | (9,082 | ) | $ | 780,032 | $ | (753,058 | ) | $ | (26,974 | ) | $ | 0 | $ | 911,955 | $ | (18,145 | ) | $ | 893,810 | $ | (870,805 | ) | $ | (23,005 | ) | $ | - |
Net Amounts of Assets and Liabilities Presented in The Consolidated Balance Sheet | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||||||
Gross Amounts of Recognized Assets or Liabilities | Gross Amounts Offset in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Received (Pledged)(A) | Net Amount | ||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Interest rate swaps | $ | 10,101 | $ | - | $ | 10,101 | $ | (10,101 | ) | $ | - | $ | - | |||||||||||
Interest rate swaptions | 183 | - | 183 | (183 | ) | - | - | |||||||||||||||||
TBAs | 338 | (338 | ) | - | - | - | - | |||||||||||||||||
U.S. treasury futures options | 234 | - | 234 | 430 | (664 | ) | - | |||||||||||||||||
Total Assets | $ | 10,856 | $ | (338 | ) | $ | 10,518 | $ | (9,854 | ) | $ | (664 | ) | $ | - |
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | 865,494 | $ | - | $ | 865,494 | $ | (853,297 | ) | $ | (12,197 | ) | $ | - | ||||||||||
Interest rate swaps | 218 | - | 218 | (218 | ) | - | - | |||||||||||||||||
TBAs | 1,345 | (338 | ) | 1,007 | (1,007 | ) | - | - | ||||||||||||||||
U.S. treasury futures | 53 | - | 53 | (53 | ) | - | - | |||||||||||||||||
Total Liabilities | $ | 867,110 | $ | (338 | ) | $ | 866,772 | $ | (854,575 | ) | $ | (12,197 | ) | $ | - |
(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. |
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 |
Level 1 | Level 2 | Level 3 | Carrying Value | Level 1 | Level 2 | Level 3 | Carrying Value | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 0 | $ | 454,991 | $ | 0 | $ | 454,991 | $ | - | $ | 439,703 | $ | - | $ | 439,703 | ||||||||||||||||
Freddie Mac | 0 | 319,122 | 0 | 319,122 | - | 428,332 | - | 428,332 | ||||||||||||||||||||||||
CMOs | - | - | - | - | ||||||||||||||||||||||||||||
Private Label MBS | - | - | - | - | ||||||||||||||||||||||||||||
RMBS total | 0 | 774,113 | 0 | 774,113 | - | 868,035 | - | 868,035 | ||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 19,796 | 0 | 19,796 | - | 46,715 | - | 46,715 | ||||||||||||||||||||||||
Interest rate swaptions | 0 | 1,417 | 0 | 1,417 | - | - | - | - | ||||||||||||||||||||||||
TBAs, net | - | 6,618 | - | 6,618 | ||||||||||||||||||||||||||||
U.S. treasury futures | 0 | 5,919 | 0 | 5,919 | 6,119 | 6,119 | ||||||||||||||||||||||||||
U.S. treasury futures options | 0 | 47 | 0 | 47 | - | 22 | - | 22 | ||||||||||||||||||||||||
Derivative assets total | 0 | 27,179 | 0 | 27,179 | - | 59,474 | - | 59,474 | ||||||||||||||||||||||||
Servicing related assets | 0 | 0 | 246,103 | 246,103 | - | - | 279,020 | 279,020 | ||||||||||||||||||||||||
Total Assets | $ | 0 | $ | 801,292 | $ | 246,103 | $ | 1,047,395 | $ | - | $ | 927,509 | $ | 279,020 | $ | 1,206,529 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 5,914 | 0 | 5,914 | - | 27,736 | - | 27,736 | ||||||||||||||||||||||||
TBAs, net | 0 | 7,368 | 0 | 7,368 | ||||||||||||||||||||||||||||
U.S. treasury futures | 0 | 1,865 | 0 | 1,865 | - | 660 | - | 660 | ||||||||||||||||||||||||
Derivative liabilities total | 0 | 15,147 | 0 | 15,147 | - | 28,396 | - | 28,396 | ||||||||||||||||||||||||
Total Liabilities | $ | 0 | $ | 15,147 | $ | 0 | $ | 15,147 | $ | - | $ | 28,396 | $ | - | $ | 28,396 |
Level 1 | Level 2 | Level 3 | Carrying Value | Level 1 | Level 2 | Level 3 | Carrying Value | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 0 | $ | 559,777 | $ | 0 | $ | 559,777 | $ | - | $ | 559,777 | $ | - | $ | 559,777 | ||||||||||||||||
Freddie Mac | 0 | 393,719 | 0 | 393,719 | - | 393,719 | - | 393,719 | ||||||||||||||||||||||||
RMBS total | 0 | 953,496 | 0 | 953,496 | - | 953,496 | - | 953,496 | ||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 10,101 | 0 | 10,101 | - | 10,101 | - | 10,101 | ||||||||||||||||||||||||
Interest rate swaptions | 0 | 183 | 0 | 183 | - | 183 | - | 183 | ||||||||||||||||||||||||
U.S. treasury futures options | 0 | 234 | 0 | 234 | - | 234 | - | 234 | ||||||||||||||||||||||||
Derivative assets total | 0 | 10,518 | 0 | 10,518 | - | 10,518 | - | 10,518 | ||||||||||||||||||||||||
Servicing related assets | 0 | 0 | 218,727 | 218,727 | - | - | 218,727 | 218,727 | ||||||||||||||||||||||||
Total Assets | $ | 0 | $ | 964,014 | $ | 218,727 | $ | 1,182,741 | $ | - | $ | 964,014 | $ | 218,727 | $ | 1,182,741 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | 0 | 218 | 0 | 218 | - | 218 | - | 218 | ||||||||||||||||||||||||
TBAs, net | 0 | 1,007 | 0 | 1,007 | - | 1,007 | - | 1,007 | ||||||||||||||||||||||||
U.S. treasury futures | 0 | 53 | 0 | 53 | - | 53 | - | 53 | ||||||||||||||||||||||||
Derivative liabilities total | 0 | 1,278 | 0 | 1,278 | - | 1,278 | - | 1,278 | ||||||||||||||||||||||||
Total Liabilities | $ | 0 | $ | 1,278 | $ | 0 | $ | 1,278 | $ | - | $ | 1,278 | $ | - | $ | 1,278 |
Level 3 | Level 3 | |||||||
MSRs | MSRs | |||||||
Balance at December 31, 2021 | $ | 218,727 | $ | 218,727 | ||||
Purchases and sales: | ||||||||
Purchases | 5,821 | 30,497 | ||||||
Other changes (A) | (176 | ) | (378 | ) | ||||
Purchases and sales: | $ | 5,645 | ||||||
Purchases and sales | $ | 30,119 | ||||||
Changes in Fair Value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model | 30,214 | 50,935 | ||||||
Other changes in fair value (B) | (8,483 | ) | (20,761 | ) | ||||
Unrealized gain (loss) included in Net Income | $ | 21,731 | $ | 30,174 | ||||
Balance at March 31, 2022 | $ | 246,103 | ||||||
Balance at September 30, 2022 | $ | 279,020 |
Level 3 | Level 3 | |||||||
MSRs | MSRs | |||||||
Balance at December 31, 2020 | $ | 174,414 | $ | 174,414 | ||||
Purchases and sales: | ||||||||
Purchases | 56,638 | 56,638 | ||||||
Other changes (A) | (1,263 | ) | (1,263 | ) | ||||
Purchases and sales: | $ | 55,375 | ||||||
Purchases and sales | $ | 55,375 | ||||||
Changes in Fair Value due to: | ||||||||
Changes in valuation inputs or assumptions used in valuation model | 61,881 | 61,881 | ||||||
Other changes in fair value (B) | (72,943 | ) | (72,943 | ) | ||||
Unrealized gain (loss) included in Net Income | $ | (11,062 | ) | $ | (11,062 | ) | ||
Balance at December 31, 2021 | $ | 218,727 | $ | 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 | $ | 246,103 | Discounted cash flow | Constant prepayment speed | 5.0% - 18.1 | % | 8.9 | % | $ | 279,020 | Discounted cash flow | Constant prepayment speed | 4.9% - 18.4 | % | 7.8 | % | ||||||||||
Uncollected payments | 0.4% - 2.5 | % | 0.7 | % | Uncollected payments | 0.6% - 3.5 | % | 0.9 | % | |||||||||||||||||
Discount rate | 8.1 | % | Discount rate | 9.5 | % | |||||||||||||||||||||
Annual cost to service, per loan | $ | 78 | Annual cost to service, per loan | $ | 80 | |||||||||||||||||||||
TOTAL | $ | 246,103 | $ | 279,020 |
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted Average (B) | |||||||||
MSRs | $ | 218,727 | Discounted cash flow | Constant prepayment speed | 5.0% -19.1 | % | 11.5 | % | |||||
Uncollected payments | 0.4% - 2.5 | % | 0.6 | % | |||||||||
Discount rate | 7.2 | % | |||||||||||
Annual cost to service, per loan | $ | 76 | |||||||||||
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 | $ | 396,958 | 0.33 | % | $ | 489,959 | 3.00 | % | ||||||||
One to three months | 367,927 | 0.46 | % | 375,455 | 3.10 | % | ||||||||||
Total/Weighted Average | $ | 764,885 | 0.39 | % | $ | 865,414 | 3.04 | % |
Repurchase Agreements | Weighted Average Rate | |||||||
Less than one month | $ | 291,007 | 0.13 | % | ||||
One to three months | 574,487 | 0.14 | % | |||||
Total/Weighted Average | $ | 865,494 | 0.14 | % |
2022 | 2023 | 2024 | 2025 | 2026 | Total | 2022 | 2023 | 2024 | 2025 | 2026 | Total | |||||||||||||||||||||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 65,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 65,000 | $ | - | $ | 66,000 | $ | - | $ | - | $ | - | $ | 66,000 | ||||||||||||||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | 0 | 615 | 7,581 | 7,957 | 78,647 | 94,800 | - | 628 | 7,856 | 8,468 | 95,049 | 112,001 | ||||||||||||||||||||||||||||||||||||
Total | $ | 65,000 | $ | 615 | $ | 7,581 | $ | 7,957 | $ | 78,647 | $ | 159,800 | $ | - | $ | 66,628 | $ | 7,856 | $ | 8,468 | $ | 95,049 | $ | 178,001 |
2022 | 2023 | 2024 | 2025 | 2026 | Total | 2022 | 2023 | 2024 | 2025 | 2026 | Total | |||||||||||||||||||||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 63,000 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 63,000 | $ | 63,000 | $ | - | $ | - | $ | - | $ | - | $ | 63,000 | ||||||||||||||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | 0 | 571 | 6,994 | 7,261 | 68,174 | 83,000 | - | 571 | 6,994 | 7,261 | 68,174 | 83,000 | ||||||||||||||||||||||||||||||||||||
Total | $ | 63,000 | $ | 571 | $ | 6,994 | $ | 7,261 | $ | 68,174 | $ | 146,000 | $ | 63,000 | $ | 571 | $ | 6,994 | $ | 7,261 | $ | 68,174 | $ | 146,000 |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Servicing advances | $ | 13,192 | $ | 17,609 | $ | 8,761 | $ | 17,609 | ||||||||
Interest receivable | 2,242 | 2,393 | 4,017 | 2,393 | ||||||||||||
Deferred tax asset | 16,740 | 20,614 | 13,973 | 20,614 | ||||||||||||
Other receivables | 6,297 | 2,728 | 3,166 | 2,728 | ||||||||||||
Total other assets | $ | 38,471 | $ | 43,344 | $ | 29,917 | $ | 43,344 |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Accrued interest payable | $ | 1,041 | $ | 996 | ||||||||||||
Accrued interest on repurchase agreements | $ | 1,171 | $ | 132 | ||||||||||||
Accrued interest on notes payable | 1,259 | 864 | ||||||||||||||
Accrued expenses | 1,387 | 2,065 | 4,700 | 2,065 | ||||||||||||
Total accrued expenses and other liabilities | $ | 2,428 | $ | 3,061 | $ | 7,130 | $ | 3,061 |
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 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Current federal income tax benefit | $ | - | $ | - | $ | - | $ | (128 | ) | |||||||
Deferred federal income tax expense (benefit) | 1,143 | (193 | ) | 5,647 | 1,402 | |||||||||||
Deferred state income tax expense (benefit) | 201 | (22 | ) | 995 | 144 | |||||||||||
Provision for (benefit from) Corporate Business Taxes | $ | 1,344 | $ | (215 | ) | $ | 6,642 | $ | 1,418 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||
Computed income tax expense (benefit) at federal rate | $ | 9,035 | 21.0 | % | $ | (840 | ) | 21.0 | % | $ | 12,933 | 21.0 | % | $ | 1,521 | 21.0 | % | |||||||||||||||
State tax expense (benefit), net of federal tax, if applicable | 160 | 0.4 | % | (32 | ) | 0.8 | % | 787 | 1.3 | % | 127 | 1.8 | % | |||||||||||||||||||
Permanent differences in taxable income from GAAP pre-tax income | - | - | % | 109 | (2.7 | )% | - | - | % | 175 | 2.4 | % | ||||||||||||||||||||
Provision to return adjustment | (8 | ) | 0.0 | % | (6 | ) | 0.1 | %% | (8 | ) | 0.0 | % | (6 | ) | (0.1 | )% | ||||||||||||||||
REIT income not subject to tax expense (benefit) | (7,843 | ) | (18.2 | )% | 554 | (13.8 | )% | (7,070 | ) | (11.5 | )% | (399 | ) | (5.5 | )% | |||||||||||||||||
Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate(A) | $ | 1,344 | 3.2 | % | $ | (215 | ) | 5.4 | % | $ | 6,642 | 10.8 | % | $ | 1,418 | 19.6 | % |
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. |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Income taxes recoverable | ||||||||||||||||
Federal income taxes recoverable | $ | 128 | $ | 128 | $ | 128 | $ | 128 | ||||||||
Income taxes recoverable | $ | 128 | $ | 128 | $ | 128 | $ | 128 |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Deferred tax assets | ||||||||||||||||
Deferred tax - mortgage servicing rights | $ | 5,605 | $ | 10,539 | $ | 866 | $ | 10,539 | ||||||||
Deferred tax - net operating loss | 11,135 | 10,075 | 13,107 | 10,075 | ||||||||||||
Total net deferred tax assets | $ | 16,740 | $ | 20,614 | $ | 13,973 | $ | 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 | ||||||||||||||||||
September 30, 2022 | 3.90 | % | 0.77 | % | 3.13 | % | ||||||||||||||||||
June 30, 2022 | 3.56 | % | 0.32 | % | 3.25 | % | ||||||||||||||||||
March 31, 2022 | 2.98 | % | 0.49 | % | 2.49 | % | 2.98 | % | 0.49 | % | 2.49 | % | ||||||||||||
December 31, 2021 | 2.93 | % | 0.62 | % | 2.31 | % | 2.93 | % | 0.62 | % | 2.31 | % | ||||||||||||
September 30, 2021 | 2.94 | % | 0.63 | % | 2.31 | % | ||||||||||||||||||
June 30, 2021 | 2.94 | % | 0.62 | % | 2.32 | % |
Three Months Ended | Three Months Ended | Nine Months Ended | ||||||||||||||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 | September 30, 2022 | June 30, 2022 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Interest income | $ | 5,519 | $ | 4,529 | $ | 3,301 | $ | 8,213 | $ | 6,004 | $ | 19,736 | $ | 10,427 | ||||||||||||||
Interest expense | 1,640 | 1,534 | 1,454 | 4,882 | 2,502 | 9,024 | 4,234 | |||||||||||||||||||||
Net interest income | 3,879 | 2,995 | 1,847 | 3,331 | 3,502 | 10,712 | 6,193 | |||||||||||||||||||||
Servicing fee income | 13,116 | 13,030 | 13,540 | 13,426 | 13,188 | 39,730 | 41,127 | |||||||||||||||||||||
Servicing costs | 3,193 | 3,390 | 3,082 | 2,725 | 2,615 | 8,533 | 10,234 | |||||||||||||||||||||
Net servicing income | 9,923 | 9,640 | 10,458 | 10,701 | 10,573 | 31,197 | 30,893 | |||||||||||||||||||||
Other income (loss) | ||||||||||||||||||||||||||||
Realized gain (loss) on RMBS, available-for-sale, net | (13,222 | ) | (1,479 | ) | 2,094 | (9,735 | ) | (46,036 | ) | (68,993 | ) | 2,027 | ||||||||||||||||
Realized loss on derivatives, net | (10,638 | ) | (4,688 | ) | (540 | ) | ||||||||||||||||||||||
Realized gain (loss) on derivatives, net | 6,210 | (2,730 | ) | (7,158 | ) | (4,651 | ) | |||||||||||||||||||||
Realized gain on acquired assets, net | 12 | - | 5 | - | - | 12 | 15 | |||||||||||||||||||||
Unrealized gain (loss) on derivatives, net | 24,456 | 8,233 | (8,059 | ) | 33,321 | 17,613 | 75,390 | (9,978 | ) | |||||||||||||||||||
Unrealized gain (loss) on investments in Servicing Related Assets | 21,731 | (5,111 | ) | 22,464 | 2,293 | 6,150 | 30,174 | (5,951 | ) | |||||||||||||||||||
Total Income | 36,141 | 9,590 | 28,269 | |||||||||||||||||||||||||
Total Income (Loss) | 46,121 | (10,928 | ) | 71,334 | 18,548 | |||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||
General and administrative expense | 1,744 | 1,547 | 1,617 | 1,475 | 1,499 | 4,718 | 5,436 | |||||||||||||||||||||
Management fee to affiliate | 1,793 | 1,975 | 1,961 | 1,625 | 1,614 | 5,032 | 5,869 | |||||||||||||||||||||
Total Expenses | 3,537 | 3,522 | 3,578 | 3,100 | 3,113 | 9,750 | 11,305 | |||||||||||||||||||||
Income Before Income Taxes | 32,604 | 6,068 | 24,691 | |||||||||||||||||||||||||
Provision for (Benefit from) corporate business taxes | 3,875 | (637 | ) | 3,463 | ||||||||||||||||||||||||
Net Income | 28,729 | 6,705 | 21,228 | |||||||||||||||||||||||||
Net income allocated to noncontrolling interests in Operating Partnership | (633 | ) | (130 | ) | (434 | ) | ||||||||||||||||||||||
Income (Loss) Before Income Taxes | 43,021 | (14,041 | ) | 61,584 | 7,243 | |||||||||||||||||||||||
Provision for corporate business taxes | 1,344 | 1,423 | 6,642 | 1,418 | ||||||||||||||||||||||||
Net Income (Loss) | 41,677 | (15,464 | ) | 54,942 | 5,825 | |||||||||||||||||||||||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | (866 | ) | 347 | (1,152 | ) | (117 | ) | |||||||||||||||||||||
Dividends on preferred stock | 2,463 | 2,463 | 2,463 | 2,462 | 2,465 | 7,390 | 7,390 | |||||||||||||||||||||
Net Income Applicable to Common Stockholders | $ | 25,633 | $ | 4,112 | $ | 18,331 | ||||||||||||||||||||||
Net Income (Loss) Applicable to Common Stockholders | $ | 38,349 | $ | (17,582 | ) | $ | 46,400 | $ | (1,682 | ) |
Servicing Related Assets | RMBS | All Other | Total | Servicing Related Assets | RMBS | All Other | Total | |||||||||||||||||||||||||
Income Statement | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Interest income | $ | - | $ | 5,519 | $ | - | $ | 5,519 | $ | - | $ | 8,213 | $ | - | $ | 8,213 | ||||||||||||||||
Interest expense | 1,253 | 387 | - | 1,640 | 635 | 4,247 | - | 4,882 | ||||||||||||||||||||||||
Net interest income (expense) | (1,253 | ) | 5,132 | - | 3,879 | (635 | ) | 3,966 | - | 3,331 | ||||||||||||||||||||||
Servicing fee income | 13,116 | - | - | 13,116 | 13,426 | - | - | 13,426 | ||||||||||||||||||||||||
Servicing costs | 3,193 | - | - | 3,193 | 2,725 | - | - | 2,725 | ||||||||||||||||||||||||
Net servicing income | 9,923 | - | - | 9,923 | 10,701 | - | - | 10,701 | ||||||||||||||||||||||||
Other income (expense) | (3,366 | ) | 25,705 | - | 22,339 | (12,087 | ) | 44,176 | - | 32,089 | ||||||||||||||||||||||
Other operating expenses | 522 | 228 | 2,787 | 3,537 | 537 | 163 | 2,400 | 3,100 | ||||||||||||||||||||||||
Provision for corporate business taxes | 3,875 | - | - | 3,875 | 1,344 | - | - | 1,344 | ||||||||||||||||||||||||
Net Income (Loss) | $ | 907 | $ | 30,609 | $ | (2,787 | ) | $ | 28,729 | $ | (3,902 | ) | $ | 47,979 | $ | (2,400 | ) | $ | 41,677 |
Three Months Ended June 30, 2022 | ||||||||||||||||
Interest income | $ | - | $ | 6,004 | $ | - | $ | 6,004 | ||||||||
Interest expense | 1,131 | 1,371 | - | 2,502 | ||||||||||||
Net interest income (expense) | (1,131 | ) | 4,633 | - | 3,502 | |||||||||||
Servicing fee income | 13,188 | - | - | 13,188 | ||||||||||||
Servicing costs | 2,615 | - | - | 2,615 | ||||||||||||
Net servicing income | 10,573 | - | - | 10,573 | ||||||||||||
Other expense | (5,530 | ) | (19,473 | ) | - | (25,003 | ) | |||||||||
Other operating expenses | 510 | 151 | 2,452 | 3,113 | ||||||||||||
Provision for corporate business taxes | 1,423 | - | - | 1,423 | ||||||||||||
Net Income (Loss) | $ | 1,979 | $ | (14,991 | ) | $ | (2,452 | ) | $ | (15,464 | ) |
Nine Months Ended September 30, 2022 | ||||||||||||||||
Interest income | $ | - | $ | 19,736 | $ | - | $ | 19,736 | ||||||||
Interest expense | 3,019 | 6,005 | - | 9,024 | ||||||||||||
Net interest income (expense) | (3,019 | ) | 13,731 | - | 10,712 | |||||||||||
Servicing fee income | 39,730 | - | - | 39,730 | ||||||||||||
Servicing costs | 8,533 | - | - | 8,533 | ||||||||||||
Net servicing income | 31,197 | - | - | 31,197 | ||||||||||||
Other income (expense) | (20,983 | ) | 50,408 | - | 29,425 | |||||||||||
Other operating expenses | 1,569 | 542 | 7,639 | 9,750 | ||||||||||||
Provision for corporate business taxes | 6,642 | - | - | 6,642 | ||||||||||||
Net Income (Loss) | $ | (1,016 | ) | $ | 63,597 | $ | (7,639 | ) | $ | 54,942 | ||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||
Interest income | $ | 346 | $ | 10,081 | $ | - | $ | 10,427 | ||||||||
Interest expense | 3,213 | 1,021 | - | 4,234 | ||||||||||||
Net interest income (expense) | (2,867 | ) | 9,060 | - | 6,193 | |||||||||||
Servicing fee income | 41,127 | - | - | 41,127 | ||||||||||||
Servicing costs | 10,234 | - | - | 10,234 | ||||||||||||
Net servicing income | 30,893 | - | - | 30,893 | ||||||||||||
Other income (expense) | (28,105 | ) | 9,567 | - | (18,538 | ) | ||||||||||
Other operating expenses | 2,443 | 535 | 8,327 | 11,305 | ||||||||||||
Provision for corporate business taxes | 1,418 | - | - | 1,418 | ||||||||||||
Net Income (Loss) | $ | (3,940 | ) | $ | 18,092 | $ | (8,327 | ) | $ | 5,825 |
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, 2022 | ||||||||||||||||
Investments | $ | 279,020 | $ | 868,035 | $ | - | $ | 1,147,055 | ||||||||
Other assets | 26,719 | 149,194 | 42,803 | 218,716 | ||||||||||||
Total assets | 305,739 | 1,017,229 | 42,803 | 1,365,771 | ||||||||||||
Debt | 177,348 | 865,414 | - | 1,042,762 | ||||||||||||
Other liabilities | 32,311 | 28,530 | 11,367 | 72,208 | ||||||||||||
Total liabilities | 209,659 | 893,944 | 11,367 | 1,114,970 | ||||||||||||
Net assets | $ | 96,080 | $ | 123,285 | $ | 31,436 | $ | 250,801 |
December 31, 2021 | ||||||||||||||||
Investments | $ | 218,727 | $ | 953,496 | $ | - | $ | 1,172,223 | ||||||||
Other assets | 44,506 | 21,611 | 64,522 | 130,639 | ||||||||||||
Total assets | 263,233 | 975,107 | 64,522 | 1,302,862 | ||||||||||||
Debt | 145,268 | 865,494 | - | 1,010,762 | ||||||||||||
Other liabilities | 1,847 | 1,411 | 10,026 | 13,284 | ||||||||||||
Total liabilities | 147,115 | 866,905 | 10,026 | 1,024,046 | ||||||||||||
Net assets | $ | 116,118 | $ | 108,202 | $ | 54,496 | $ | 278,816 |
Three Months Ended March 31, 2022 | ||||
Accumulated other comprehensive gain (loss), December 31, 2021 | $ | 7,527 | ||
Other comprehensive loss | (44,535 | ) | ||
Accumulated other comprehensive gain (loss), March 31, 2022 | $ | (37,008 | ) |
Three Months Ended September 30, 2022 | ||||
Accumulated other comprehensive gain (loss), June 30, 2022 | $ | (24,167 | ) | |
Other comprehensive income (loss) | (46,592 | ) | ||
Accumulated other comprehensive gain (loss), September 30, 2022 | $ | (70,759 | ) | |
Three Months Ended June 30, 2022 | ||||
Accumulated other comprehensive gain (loss), March 31, 2022 | $ | (37,008 | ) | |
Other comprehensive income (loss) | 12,841 | |||
Accumulated other comprehensive gain (loss), June 30, 2022 | $ | (24,167 | ) |
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 |
Nine Months Ended September 30, 2022 | ||||
Accumulated other comprehensive gain (loss), December 31, 2021 | $ | 7,527 | ||
Other comprehensive income (loss) | (78,286 | ) | ||
Accumulated other comprehensive gain (loss), September 30, 2021 | $ | (70,759 | ) | |
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 | Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2021 (B) | September 30, 2022 | June 30, 2022 | September 30, 2022 | September 30, 2021 (B) | |||||||||||||||||||||||
Net Income | $ | 28,729 | $ | 6,705 | $ | 21,228 | |||||||||||||||||||||||
Net Income (Loss) | $ | 41,677 | $ | (15,464 | ) | $ | 54,942 | $ | 5,825 | ||||||||||||||||||||
Realized loss (gain) on RMBS, net | 13,222 | 1,479 | (2,094 | ) | 9,735 | 46,036 | 68,993 | (2,027 | ) | ||||||||||||||||||||
Realized loss on derivatives, net (A) | 14,422 | 8,860 | 4,741 | ||||||||||||||||||||||||||
Realized loss (gain) on derivatives, net (A) | (2,143 | ) | 5,952 | 18,231 | 17,903 | ||||||||||||||||||||||||
Realized gain on acquired assets, net | (12 | ) | - | (5 | ) | - | - | (12 | ) | (15 | ) | ||||||||||||||||||
Unrealized loss (gain) on derivatives, net | (24,456 | ) | (8,233 | ) | 8,059 | (33,321 | ) | (17,613 | ) | (75,390 | ) | 9,978 | |||||||||||||||||
Unrealized gain on investments in MSRs, net of estimated MSR amortization | (28,011 | ) | (947 | ) | (30,059 | ) | (10,590 | ) | (13,375 | ) | (51,976 | ) | (15,411 | ) | |||||||||||||||
Tax expense on realized and unrealized gain on MSRs | 4,937 | 594 | 4,229 | 2,404 | 2,336 | 9,677 | 4,045 | ||||||||||||||||||||||
Total EAD: | $ | 8,831 | $ | 8,458 | $ | 6,099 | $ | 7,762 | $ | 7,872 | $ | 24,465 | $ | 20,298 | |||||||||||||||
EAD attributable to noncontrolling interests in Operating Partnership | (195 | ) | (160 | ) | (125 | ) | (153 | ) | (166 | ) | (513 | ) | (406 | ) | |||||||||||||||
Dividends on preferred stock | 2,463 | 2,463 | 2,463 | 2,462 | 2,465 | 7,390 | 7,390 | ||||||||||||||||||||||
EAD Attributable to Common Stockholders | $ | 6,173 | $ | 5,835 | $ | 3,511 | $ | 5,147 | $ | 5,241 | $ | 16,562 | $ | 12,502 | |||||||||||||||
EAD Attributable to Common Stockholders, per Diluted Share | $ | 0.34 | $ | 0.32 | $ | 0.21 | $ | 0.26 | $ | 0.28 | $ | 0.86 | $ | 0.73 | |||||||||||||||
GAAP Net Income Per Share of Common Stock, per Diluted Share | $ | 1.40 | $ | 0.23 | $ | 1.07 | |||||||||||||||||||||||
GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share | $ | 1.90 | $ | (0.92 | ) | $ | 2.42 | $ | (0.10 | ) |
(A) | Excludes drop income on TBA dollar rolls of |
(B) | Commencing with the three-month period ended December 31, 2021, the Company has enhanced the calculation of unrealized |
Collateral Characteristics | Collateral Characteristics | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Carrying Amount | Current Principal Balance | WA Coupon(A) | WA Servicing Fee(A) | WA Maturity (months)(A) | WA Loan Age (months)(A) | ARMs %(B) | Current Carrying Amount | Current Principal Balance | WA Coupon(A) | WA Servicing Fee(A) | WA Maturity (months)(A) | WA Loan Age (months)(A) | ARMs %(B) | |||||||||||||||||||||||||||||||||||||||||||
MSRs | $ | 246,103 | $ | 20,441,178 | 3.48 | % | 0.25 | % | 315 | 26 | 0.1 | % | $ | 279,020 | $ | 21,357,745 | 3.48 | % | 0.25 | % | 312 | 29 | 0.1 | % | ||||||||||||||||||||||||||||||||
MSR Total/Weighted Average | $ | 246,103 | $ | 20,441,178 | 3.48 | % | 0.25 | % | 315 | 26 | 0.1 | % | $ | 279,020 | $ | 21,357,745 | 3.48 | % | 0.25 | % | 312 | 29 | 0.1 | % |
Collateral Characteristics | Collateral Characteristics | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Carrying Amount | Current Principal Balance | WA Coupon(A) | WA Servicing Fee(A) | WA Maturity (months)(A) | WA Loan Age (months)(A) | ARMs %(B) | Current Carrying Amount | Current Principal Balance | WA Coupon(A) | WA Servicing Fee(A) | WA Maturity (months)(A) | WA Loan Age (months)(A) | ARMs %(B) | |||||||||||||||||||||||||||||||||||||||||||
MSRs | $ | 218,727 | $ | 20,773,278 | 3.51 | % | 0.25 | % | 316 | 25 | 0.1 | % | $ | 218,727 | $ | 20,773,278 | 3.51 | % | 0.25 | % | 316 | 25 | 0.1 | % | ||||||||||||||||||||||||||||||||
MSR Total/Weighted Average | $ | 218,727 | $ | 20,773,278 | 3.51 | % | 0.25 | % | 316 | 25 | 0.1 | % | $ | 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 | 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 | $ | 678,445 | $ | 476,781 | $ | 669 | $ | (22,459 | ) | $ | 454,991 | 68 | (B) | 3.10 | % | 2.99 | % | 27 | $ | 589,010 | $ | 474,841 | $ | 72 | $ | (35,210 | ) | $ | 439,703 | 54 | (B) | 3.96 | % | 3.95 | % | 28 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 422,127 | 334,222 | 383 | (15,483 | ) | 319,122 | 42 | (B) | 3.08 | % | 2.97 | % | 28 | 545,993 | 463,835 | 77 | (35,580 | ) | 428,332 | 44 | (B) | 3.84 | % | 3.85 | % | 29 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,100,572 | $ | 811,003 | $ | 1,052 | $ | (37,942 | ) | $ | 774,113 | 110 | 3.09 | % | 2.98 | % | 28 | $ | 1,135,003 | $ | 938,676 | $ | 149 | $ | (70,790 | ) | $ | 868,035 | 98 | 3.90 | % | 3.90 | % | 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 | $ | 772,607 | $ | 554,151 | $ | 9,276 | $ | (3,650 | ) | $ | 559,777 | 76 | (B) | 3.09 | % | 2.96 | % | 27 | $ | 772,607 | $ | 554,151 | $ | 9,276 | $ | (3,650 | ) | $ | 559,777 | 76 | (B) | 3.09 | % | 2.96 | % | 27 | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | 484,479 | 391,700 | 5,260 | (3,241 | ) | 393,719 | 45 | (B) | 3.02 | % | 2.89 | % | 28 | 484,479 | 391,700 | 5,260 | (3,241 | ) | 393,719 | 45 | (B) | 3.02 | % | 2.89 | % | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 | $ | 1,257,086 | $ | 945,851 | $ | 14,536 | $ | (6,891 | ) | $ | 953,496 | 121 | 3.06 | % | 2.93 | % | 28 |
(A) | See “Part I, Item 1. Notes to Consolidated Financial Statements—Note 9. Fair Value” regarding the estimation of fair value, which approximates carrying value for all securities. |
(B) | The Company used an implied AAA rating for the Agency RMBS. |
(C) | The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Weighted Average Asset Yield | 3.77 | % | 3.19 | % | 3.99 | % | 3.19 | % | ||||||||
Weighted Average Interest Expense | 0.71 | % | 0.73 | % | 0.50 | % | 0.73 | % | ||||||||
Net Interest Spread | 3.06 | % | 2.46 | % | 3.49 | % | 2.46 | % |
Quarter Ended | Average Monthly Amount | Maximum Month-End Amount | Quarter Ending Amount | Average Monthly Amount | Maximum Month-End Amount | Quarter Ending Amount | ||||||||||||||||||
September 30, 2022 | $ | 776,544 | $ | 865,414 | $ | 865,414 | ||||||||||||||||||
June 30, 2022 | $ | 679,702 | $ | 702,130 | $ | 683,173 | ||||||||||||||||||
March 31, 2022 | $ | 820,270 | $ | 859,726 | $ | 764,885 | $ | 820,270 | $ | 859,726 | $ | 764,885 | ||||||||||||
December 31, 2021 | $ | 830,099 | $ | 865,494 | $ | 865,494 | $ | 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 | ||||||||||||||||||
June 30, 2020 | $ | 1,286,998 | $ | 1,395,317 | $ | 1,395,317 |
RMBS Market Value | Repurchase Agreements | Weighted Average Rate | RMBS Market Value | Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||
Less than one month | $ | 401,150 | $ | 396,958 | 0.33 | % | $ | 490,771 | $ | 489,959 | 3.00 | % | ||||||||||||
One to three months | 377,070 | 367,927 | 0.46 | % | 374,934 | 375,455 | 3.10 | % | ||||||||||||||||
Total/Weighted Average | $ | 778,220 | $ | 764,885 | 0.39 | % | $ | 865,705 | $ | 865,414 | 3.04 | % |
RMBS Market Value | Repurchase Agreements | Weighted Average Rate | RMBS Market Value | Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||
Less than one month | $ | 297,720 | $ | 291,007 | 0.13 | % | $ | 297,720 | $ | 291,007 | 0.13 | % | ||||||||||||
One to three months | 595,168 | 574,487 | 0.14 | % | 595,168 | 574,487 | 0.14 | % | ||||||||||||||||
Total/Weighted Average | $ | 892,888 | $ | 865,494 | 0.14 | % | $ | 892,888 | $ | 865,494 | 0.14 | % |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | 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 | $ | 865,414 | $ | - | $ | - | $ | - | $ | 865,414 | ||||||||||||||||||||
Interest on repurchase agreement borrowings(A) | $ | 137 | $ | - | $ | - | $ | - | $ | 137 | $ | 1,171 | $ | - | $ | - | $ | - | $ | 1,171 | ||||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 65,000 | $ | - | $ | - | $ | - | $ | 65,000 | $ | 66,000 | $ | - | $ | - | $ | - | $ | 66,000 | ||||||||||||||||||||
Interest on Freddie Mac MSR Revolver borrowings | $ | 1,390 | $ | - | $ | - | $ | - | $ | 1,390 | $ | 757 | $ | - | $ | - | $ | - | $ | 757 | ||||||||||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | $ | - | $ | 10,150 | $ | 84,650 | $ | - | $ | 94,800 | $ | - | $ | 14,775 | $ | 97,225 | $ | - | $ | 112,000 | ||||||||||||||||||||
Interest on Fannie Mae MSR Revolving Facility | $ | 3,604 | $ | 8,247 | $ | 6,328 | $ | - | $ | 18,179 | $ | 502 | $ | - | $ | - | $ | - | $ | 502 |
Less than 1 year | 1 to 3 years | 3 to 5 years | More than 5 years | Total | 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 | $ | 865,494 | $ | - | $ | - | $ | - | $ | 865,494 | ||||||||||||||||||||
Interest on repurchase agreement borrowings(A) | $ | 135 | $ | - | $ | - | $ | - | $ | 135 | $ | 135 | $ | - | $ | - | $ | - | $ | 135 | ||||||||||||||||||||
Freddie Mac MSR Revolver | ||||||||||||||||||||||||||||||||||||||||
Borrowings under Freddie Mac MSR Revolver | $ | 63,000 | $ | - | $ | - | $ | - | $ | 63,000 | $ | 63,000 | $ | - | $ | - | $ | - | $ | 63,000 | ||||||||||||||||||||
Interest on Freddie Mac MSR Revolver borrowings | $ | 1,954 | $ | - | $ | - | $ | - | $ | 1,954 | $ | 578 | $ | - | $ | - | $ | - | $ | 578 | ||||||||||||||||||||
Fannie Mae MSR Revolving Facility | ||||||||||||||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Revolving Facility | $ | - | $ | 7,566 | $ | 75,434 | $ | - | $ | 83,000 | $ | - | $ | 7,566 | $ | 75,434 | $ | - | $ | 83,000 | ||||||||||||||||||||
Interest on Fannie Mae MSR Revolving Facility | $ | 3,156 | $ | 6,127 | $ | 4,941 | $ | - | $ | 14,224 | $ | 215 | $ | - | $ | - | $ | - | $ | 215 |
(A) | Interest expense is calculated based on the interest rate in effect at |
(20)% | (10)% | -% | 10 | 20% | (20)% | (10)% | -% | 10% | 20% | |||||||||||||||||||||||||||||||
Discount Rate Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 266,226 | $ | 255,794 | $ | 246,103 | $ | 237,080 | $ | 228,665 | $ | 305,029 | $ | 291,485 | $ | 279,020 | $ | 267,520 | $ | 256,882 | ||||||||||||||||||||
Change in FV | $ | 20,124 | $ | 9,692 | $ | - | $ | (9,022 | ) | $ | (17,438 | ) | $ | 26,009 | $ | 12,465 | $ | - | $ | (11,501 | ) | $ | (22,139 | ) | ||||||||||||||||
% Change in FV | 8 | % | 4 | % | - | (4 | )% | (7 | )% | 9 | % | 4 | % | - | (4 | )% | (8 | )% | ||||||||||||||||||||||
Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | Voluntary Prepayment Rate Shift in % | ||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 267,481 | $ | 256,627 | $ | 246,103 | $ | 236,163 | $ | 226,796 | $ | 297,641 | $ | 288,284 | $ | 279,020 | $ | 270,159 | $ | 261,714 | ||||||||||||||||||||
Change in FV | $ | 21,379 | $ | 10,525 | $ | - | $ | (9,940 | ) | $ | (19,306 | ) | $ | 18,620 | $ | 9,264 | $ | - | $ | (8,862 | ) | $ | (17,307 | ) | ||||||||||||||||
% Change in FV | 9 | % | 4 | % | - | (4 | )% | (8 | )% | 7 | % | 3 | % | - | (3 | )% | (6 | )% | ||||||||||||||||||||||
Servicing Cost Shift in % | ||||||||||||||||||||||||||||||||||||||||
Estimated FV | $ | 253,441 | $ | 249,772 | $ | 246,103 | $ | 242,433 | $ | 238,764 | $ | 287,080 | $ | 283,050 | $ | 279,020 | $ | 274,991 | $ | 270,961 | ||||||||||||||||||||
Change in FV | $ | 7,339 | $ | 3,669 | $ | - | $ | (3,669 | ) | $ | (7,339 | ) | $ | 8,059 | $ | 4,030 | $ | - | $ | (4,030 | ) | $ | (8,059 | ) | ||||||||||||||||
% Change in FV | 3 | % | 1 | % | - | (1 | )% | (3 | )% | 3 | % | 1 | % | - | (1 | )% | (3 | )% |
(20)% | (10)% | -% | 10% | 20% | ||||||||||||||||
Discount Rate Shift in % | ||||||||||||||||||||
Estimated FV | $ | 233,342 | $ | 225,813 | $ | 218,727 | $ | 212,050 | $ | 205,749 | ||||||||||
Change in FV | $ | 14,614 | $ | 7,085 | $ | - | $ | (6,677 | ) | $ | (12,979 | ) | ||||||||
% Change in FV | 7 | % | 3 | % | - | (3 | )% | (6 | )% | |||||||||||
Voluntary Prepayment Rate Shift in % | ||||||||||||||||||||
Estimated FV | $ | 244,460 | $ | 231,026 | $ | 218,727 | $ | 207,458 | $ | 197,103 | ||||||||||
Change in FV | $ | 25,732 | $ | 12,298 | $ | - | $ | (11,270 | ) | $ | (21,624 | ) | ||||||||
% Change in FV | 12 | % | 6 | % | - | (5 | )% | (10 | )% | |||||||||||
Servicing Cost Shift in % | ||||||||||||||||||||
Estimated FV | $ | 225,480 | $ | 222,104 | $ | 218,727 | $ | 215,351 | $ | 211,975 | ||||||||||
Change in FV | $ | 6,752 | $ | 3,376 | $ | - | $ | (3,376 | ) | $ | (6,752 | ) | ||||||||
% Change in FV | 3 | % | 2 | % | - | (2 | )% | (3 | )% |
Fair Value Change | Fair Value Change | |||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | September 30, 2022 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | |||||||||||||||||||||||||||||||||||||
RMBS Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps | $ | 1,023,612 | $ | 905,000 | ||||||||||||||||||||||||||||||||||||||||||||
RMBS Total Return (%) | (0.17 | )% | (0.41 | )% | (0.71 | )% | (1.06 | )% | (1.89 | )% | (0.03 | )% | (0.12 | )% | (0.24 | )% | (0.39 | )% | (0.79 | )% | ||||||||||||||||||||||||||||
RMBS Dollar Return | $ | (1,761 | ) | $ | (4,229 | ) | $ | (7,289 | ) | $ | (10,857 | ) | $ | (19,396 | ) | $ | (270 | ) | $ | (1,049 | ) | $ | (2,127 | ) | $ | (3,521 | ) | $ | (7,137 | ) |
Fair Value Change | ||||||||||||||||||||||||
December 31, 2021 | +25 Bps | +50 Bps | +75 Bps | +100 Bps | +150 Bps | |||||||||||||||||||
RMBS Portfolio | ||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps | $ | 1,429,335 | ||||||||||||||||||||||
RMBS Total Return (%) | (0.18 | )% | (0.49 | )% | (0.92 | )% | (1.44 | )% | (2.74 | )% | ||||||||||||||
RMBS Dollar Return | $ | (2,584 | ) | $ | (7,016 | ) | $ | (13,110 | ) | $ | (20,635 | ) | $ | (39,125 | ) |
Item 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 | ||
By: | /s/ Jeffrey Lown II | |
Jeffrey Lown II | ||
President and Chief Executive Officer (Principal Executive Officer) | ||
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 |