Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 09, 2016 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | Cherry Hill Mortgage Investment Corp | |
Entity Central Index Key | 1,571,776 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 7,519,038 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||
RMBS, available-for-sale | $ 508,159 | $ 508,242 |
Investments in Servicing Related Assets at fair value | 92,604 | 97,803 |
Cash and cash equivalents | 10,649 | 10,603 |
Restricted cash | 12,906 | 9,942 |
Derivative assets | 73 | 422 |
Receivables and other assets | 10,801 | 9,328 |
Total Assets | 635,192 | 636,340 |
Liabilities | ||
Repurchase agreements | 398,374 | 385,560 |
Federal Home Loan Bank advances | 47,250 | 62,250 |
Derivative liabilities | 9,447 | 4,595 |
Notes payable | 23,836 | 24,313 |
Dividends payable | 3,684 | 3,684 |
Due to affiliates | 1,049 | 998 |
Accrued expenses and other liabilities | 2,595 | 2,603 |
Total Liabilities | 486,235 | 484,003 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of March 31, 2016 and December 31, 2015 | 0 | 0 |
Common stock, $0.01 par value, 500,000,000 shares authorized, 7,519,038 shares issued and outstanding as of March 31, 2016 and December 31, 2015 | 75 | 75 |
Additional paid-in capital | 148,370 | 148,332 |
Retained earnings (deficit) | (7,614) | 3,133 |
Accumulated other comprehensive income (loss) | 7,135 | (197) |
Total CHMI Stockholders' Equity | 147,966 | 151,343 |
Non-controlling interests in operating partnership | 991 | 994 |
Total Stockholders' Equity | 148,957 | 152,337 |
Total Liabilities and Stockholders' Equity | $ 635,192 | $ 636,340 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - $ / shares | Mar. 31, 2016 | Dec. 31, 2015 |
Stockholders' Equity | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares issued (in shares) | 0 | 0 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 7,519,038 | 7,519,038 |
Common stock, shares outstanding (in shares) | 7,519,038 | 7,519,038 |
Consolidated Statements of Inco
Consolidated Statements of Income (Loss) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Income | |||
Interest income | $ 5,188 | $ 5,827 | |
Interest expense | 1,657 | 1,235 | |
Net interest income | 3,531 | 4,592 | |
Servicing fee income | 1,495 | 0 | |
Servicing costs | 402 | 0 | |
Net servicing income (loss) | 1,093 | 0 | |
Other income (loss) | |||
Realized gain (loss) on RMBS, net | 320 | 307 | |
Realized gain (loss) on derivatives, net | (1,461) | (1,242) | |
Unrealized gain (loss) on derivatives, net | (5,198) | (2,542) | |
Unrealized gain (loss) on investments in Excess MSRs | (2,307) | (2,117) | |
Unrealized gain (loss) on investments in MSRs | (2,232) | 0 | |
Total Income (Loss) | (6,254) | (1,002) | |
Expenses | |||
General and administrative expense | 808 | 742 | |
Management fee to affiliate | 690 | 690 | |
Total Expenses | 1,498 | 1,432 | |
Income (Loss) Before Income Taxes | (7,752) | (2,434) | |
Provision for corporate business taxes | [1] | (590) | 0 |
Net Income (Loss) | (7,162) | (2,434) | |
Net (Income) loss allocated to noncontrolling interests | 99 | 22 | |
Net Income (Loss) Applicable to Common Stockholders | $ (7,063) | $ (2,412) | |
Net income (Loss) Per Share of Common Stock | |||
Basic (in dollars per share) | $ (0.94) | $ (0.32) | |
Diluted (in dollars per share) | $ (0.94) | $ (0.32) | |
Weighted Average Number of Shares of Common Stock Outstanding | |||
Basic (in shares) | 7,509,543 | 7,509,543 | |
Diluted (in shares) | 7,519,038 | 7,509,543 | |
[1] | The provision for income taxes is recorded at the TRS level. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract] | |||
Net income (loss) | $ (7,162) | $ (2,434) | |
Other comprehensive income (loss): | |||
Net unrealized gain (loss) on RMBS | 7,652 | 2,791 | |
Reclassification of net realized (gain) loss on RMBS in earnings | (320) | (307) | |
Other comprehensive income (loss) | 7,332 | 2,484 | |
Comprehensive income (loss) | 170 | 50 | |
Comprehensive income (loss) attributable to noncontrolling interests | 2 | 0 | [1] |
Comprehensive income (loss) attributable to common stockholders | $ 168 | $ 50 | |
[1] | de minimis ($458.00 rounds to $0.00). |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Common Stock [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Retained Earnings (Deficit) [Member] | Non-Controlling Interest in Operating Partnership [Member] | Total |
Beginning balance at Dec. 31, 2014 | $ 75 | $ 148,258 | $ 6,641 | $ 4,799 | $ 545 | $ 160,318 |
Beginning balance (in shares) at Dec. 31, 2014 | 7,509,543 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of common stock | $ 0 | 0 | 0 | 0 | 0 | 0 |
Issuance of common stock (in shares) | 0 | |||||
Net Income (Loss) | $ 0 | 0 | 0 | (2,412) | (22) | (2,434) |
Other Comprehensive Income | 0 | 0 | 2,484 | 0 | 0 | 2,484 |
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 102 | 102 |
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | (35) | (35) |
Common dividends declared | 0 | 0 | 0 | (3,830) | 0 | (3,830) |
Ending balance at Mar. 31, 2015 | $ 75 | 148,258 | 9,125 | (1,443) | 590 | 156,605 |
Ending balance (in shares) at Mar. 31, 2015 | 7,509,543 | |||||
Beginning balance at Dec. 31, 2015 | $ 75 | 148,332 | (197) | 3,133 | 994 | $ 152,337 |
Beginning balance (in shares) at Dec. 31, 2015 | 7,519,038 | 7,519,038 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of common stock | $ 0 | 38 | 0 | 0 | 0 | $ 38 |
Issuance of common stock (in shares) | 0 | |||||
Net Income (Loss) | $ 0 | 0 | 0 | (7,063) | (99) | (7,162) |
Other Comprehensive Income | 0 | 0 | 7,332 | 0 | 0 | 7,332 |
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 147 | 147 |
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | (51) | (51) |
Common dividends declared | 0 | 0 | 0 | (3,684) | 0 | (3,684) |
Ending balance at Mar. 31, 2016 | $ 75 | $ 148,370 | $ 7,135 | $ (7,614) | $ 991 | $ 148,957 |
Ending balance (in shares) at Mar. 31, 2016 | 7,519,038 | 7,519,038 |
Consolidated Statements of Cha7
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract] | ||
Distribution paid on LTIP-OP Units (in dollars per share) | $ 0.51 | |
Common dividends declared (in dollars per share) | $ 0.49 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash Flows From Operating Activities | ||
Net income (loss) | $ (7,162) | $ (2,434) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Realized (gain) loss on RMBS, net | (320) | (307) |
Accretion of premium and other amortization | 853 | 677 |
Change in fair value of investments in Servicing Related Assets | 4,539 | 2,117 |
Unrealized (gain) loss on derivatives, net | 5,198 | 2,542 |
Realized (gain) loss on derivatives, net | 1,461 | 1,242 |
LTIP-OP Unit awards | 147 | 102 |
Changes in: | ||
Receivables from unsettled trades | 0 | 309 |
Receivables and other assets | (1,474) | 21 |
Due to affiliate | 51 | (20) |
Accrued expenses and other liabilities | (8) | (195) |
Net cash provided by (used in) operating activities | 3,285 | 4,054 |
Cash Flows From Investing Activities | ||
Purchase of RMBS | (27,340) | (72,544) |
Principal paydown of RMBS | 10,755 | 8,906 |
Proceeds from sale of RMBS | 23,467 | 52,142 |
Acquisition of Excess MSRs | 0 | 0 |
Principal paydown of Excess MSRs | 4,912 | 4,644 |
Acquisition of MSRs | (4,252) | 0 |
Purchase of derivatives | (1,458) | (528) |
Net cash provided by (used in) investing activities | 6,084 | (7,380) |
Cash Flows From Financing Activities | ||
Changes in restricted cash | (2,964) | (3,326) |
Borrowings under repurchase agreements | 436,447 | 356,317 |
Repayments of repurchase agreements | (423,633) | (344,575) |
Proceeds from Federal Home Loan Bank advances | 7,000 | 0 |
Repayments of Federal Home Loan Bank advances | (22,000) | 0 |
Principal paydown of bank loans | (476) | 0 |
Dividends paid | (3,684) | (3,830) |
LTIP-OP Units distributions paid | (51) | (35) |
Issuance of common stock, net of offering costs | 38 | 0 |
Net cash provided by (used in) financing activities | (9,323) | 4,551 |
Net Increase (Decrease) in Cash and Cash Equivalents | 46 | 1,225 |
Cash and Cash Equivalents, Beginning of Period | 10,603 | 12,447 |
Cash and Cash Equivalents, End of Period | 10,649 | 13,672 |
Supplemental Disclosure of Cash Flow Information | ||
Cash paid during the period for interest expense | 1,494 | 517 |
Dividends declared but not paid | $ 3,684 | $ 3,830 |
Organization and Operations
Organization and Operations | 3 Months Ended |
Mar. 31, 2016 | |
Organization and Operations [Abstract] | |
Organization and Operations | Note 1 — Organization and Operations Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. The accompanying interim consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership LP, Cherry Hill QRS I, LLC, Cherry Hill QRS II, Cherry Hill QRS III, LLC, CHMI Insurance Company, LLC (“CHMI Insurance”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”). On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO and the concurrent private placement were used to invest in excess mortgage servicing rights on residential mortgage loans (“Excess MSRs”) and residential mortgage-backed securities (“RMBS” or “securities”), the payment of principal and interest on which is guaranteed by a U.S. government agency or a U.S. government sponsored enterprise (“Agency RMBS”). The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company and an affiliate of Freedom Mortgage Corporation (“Freedom Mortgage”). The Manager and Freedom Mortgage are controlled by Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a REIT, as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Note 2 — Basis of Presentation and Significant Accounting Policies Basis of Accounting The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein. Emerging Growth Company Status On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard. Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”), RMBS, derivatives and credit losses including the period of time during which the Company anticipates an increase in the fair values of securities sufficient to recover unrealized losses on those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the interim consolidated financial statements and the reported amounts of certain revenues and expenses during the reporting period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature. Actual results could differ from the Company’s estimates and differences may be material. Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to significant tax risks. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. Investments in RMBS Classification Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS sold in the three month periods ended March 31, 2016 and in the year ended December 31, 2015, were settled prior to their respective period ends. Revenue Recognition – Impairment – Investments in Excess MSRs Classification Revenue Recognition Investments in MSRs Classification Revenue Recognition Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and treasury futures are used for duration risk and basis risk management purposes. The decision of whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. The Company’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. Finally, the Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties. Classification Revenue Recognition Cash and Cash Equivalents and Restricted Cash The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s derivatives (approximately $9.7 million and $4.6 million at March 31, 2016 and December 31, 2015, respectively), borrowings under its repurchase agreements (approximately $2.1 million and $4.2 million at March 31, 2016 and December 31, 2015, respectively) as well as cash held that relates to the $23.8 million and $ 24.3 million of borrowings on a term loan (“Term Loan”) (approximately $1.1 million at March 31, 2016 and December 31, 2015, respectively). For further information on the restricted cash as it relates to the Term Loan, see Note 13. Due to Affiliate This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. Income Taxes The Company has elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income. Income Taxes Realized Gain (Loss) on RMBS and Derivatives, Net The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): Three Months Ended March 31, 2016 2015 Realized gain (loss) on RMBS, net Gain on RMBS $ 320 $ 307 Loss on RMBS - - Net realized gain (loss) on RMBS 320 307 Realized gain (loss) on derivatives, net (1,461 ) (1,242 ) Unrealized gain (loss) on derivatives, net (5,198 ) (2,542 ) Total $ (6,339 ) $ (3,477 ) The gain and loss on RMBS presented above represent the amounts reclassified from other comprehensive income (loss) in earnings. Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under uncommitted master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. Federal Home Loan Bank of Indianapolis Advances Advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) are secured by the pledge of Agency RMBS, have varying amortization structures and maturities and bear interest at rates set by FHLBI based on market conditions and a number of criteria, including the size of the transaction and the FHLBI’s cost of funds. Advances are treated as collateralized financing transactions and are carried at their contractual amounts. Interest is recorded at the contractual amount on an accrual basis. Dividends Payable Because the Company is organized and operated so as to qualify as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on the accounting date, which causes an offsetting reduction in retained earnings. Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. Business Combinations Business combinations are accounted for under the acquisition method of accounting in accordance with ASC Topic 805, Business Combinations Recent Accounting Pronouncements Business Combinations Simplifying the Accounting for Measurement-Period Adjustments, Business Combinations Revenue Recognition Revenue from Contracts with Customers Revenue Recognition Transfers and Servicing Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures Transfers and Servicing Stock Compensation Accounting for Share-Based Payments When the Terms of an Award Provide that a Performance Target Could be Achieved After the Requisite Service Period Compensation – Stock Compensation. Going Concern Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Segment Reporting | Note 3 — Segment Reporting The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other” which consists primarily of general and administrative expenses, including fees to the directors and management fees pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses. Summary financial data on the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands): Servicing Related Assets RMBS All Other Total Three Months Ended March 31, 2016 Interest income $ 1,444 $ 3,744 $ - $ 5,188 Interest expense 340 1,317 - 1,657 Net interest income 1,104 2,427 - 3,531 Servicing fee income 1,495 - - 1,495 Servicing costs 402 - - 402 Net servicing income 1,093 - - 1,093 Other income (4,539 ) (6,339 ) - (10,878 ) Other operating expenses - - 1,498 1,498 Provision for corporate business taxes - - (590 ) (590 ) Net income (loss) $ (2,342 ) $ (3,912 ) $ (908 ) $ (7,162 ) Three Months Ended March 31, 2015 Interest income $ 2,575 $ 3,252 $ - $ 5,827 Interest expense - 1,235 - 1,235 Net interest income 2,575 2,017 - 4,592 Servicing fee income - - - - Servicing costs - - - - Net servicing income - - - - Other income (2,117 ) (3,477 ) - (5,594 ) Other operating expenses - - 1,432 1,432 Provision for corporate business taxes - - - - Net income (loss) $ 458 $ (1,460 ) $ (1,432 ) $ (2,434 ) Balance Sheet March 31, 2016 Investments $ 92,604 $ 508,159 $ - $ 600,763 Other assets 3,665 17,718 13,046 34,429 Total assets 96,269 525,877 13,046 635,192 Debt 23,836 445,624 - 469,460 Other liabilities 2,007 9,734 5,034 16,775 Total liabilities 25,843 455,358 5,034 486,235 GAAP book value $ 70,426 $ 70,519 $ 8,012 $ 148,957 December 31, 2015 Investments $ 97,803 $ 508,242 $ - $ 606,045 Other assets 3,562 13,984 12,749 30,295 Total assets 101,365 522,226 12,749 636,340 Debt 24,313 447,810 - 472,123 Other liabilities 1,883 4,903 5,094 11,880 Total liabilities 26,196 452,713 5,094 484,003 GAAP book value $ 75,169 $ 69,513 $ 7,655 $ 152,337 |
Investments in RMBS
Investments in RMBS | 3 Months Ended |
Mar. 31, 2016 | |
Investments in RMBS [Abstract] | |
Investments in RMBS | Note 4 — Investments in RMBS All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI. There were no OTTI securities as of March 31, 2016 and December 31, 2015 (dollars in thousands): Summary of RMBS Assets As of March 31, 2016 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 342,288 $ 315,200 $ 4,888 $ (64 ) $ 320,024 46 (B) 3.77 % 3.59 % 23 Freddie Mac 190,523 178,119 2,620 - 180,739 23 (B) 3.62 % 3.35 % 25 CMOs 17,896 7,706 6 (316 ) 7,396 5 Unrated 4.35 % 6.96 % 10 Total/Weighted Average $ 550,707 $ 501,025 $ 7,514 $ (380 ) $ 508,159 74 3.72 % 3.56 % 24 As of December 31, 2015 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 329,767 $ 308,367 $ 1,961 $ (1,556 ) $ 308,772 44 (B) 3.77 % 3.59 % 24 Freddie Mac 208,154 193,567 821 (977 ) 193,411 24 (B) 3.61 % 3.48 % 24 CMOs 16,646 6,493 - (434 ) 6,059 4 Unrated 4.55 % 7.39 % 10 Total/Weighted Average $ 554,567 $ 508,427 $ 2,782 $ (2,967 ) $ 508,242 72 3.72 % 3.60 % 23 (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 Fannie Mae and Freddie Mac securities. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. Summary of RMBS Assets by Maturity As of March 31, 2016 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than 1 Year $ - $ - $ - $ - $ - - - - - 1-5 Years - - - - - - - - - 5-10 Years 5,500 5,553 - (159 ) 5,394 3 (B) 4.77 % 4.57 % 9 Over 10 Years 545,207 495,472 7,514 (221 ) 502,765 71 (B) 3.71 % 3.55 % 24 Total/Weighted Average $ 550,707 $ 501,025 $ 7,514 $ (380 ) $ 508,159 74 3.72 % 3.56 % 24 As of December 31, 2015 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than 1 Year $ - $ - $ - $ - $ - - - - - 1-5 Years - - - - - - - - - 5-10 Years 5,500 5,553 - (216 ) 5,337 3 (B) 4.76 % 4.96 % 9 Over 10 Years 549,067 502,874 2,782 (2,751 ) 502,905 69 (B) 3.71 % 3.59 % 24 Total/Weighted Average $ 554,567 $ 508,427 $ 2,782 $ (2,967 ) $ 508,242 72 3.72 % 3.60 % 23 (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 Fannie Mae and Freddie Mac securities. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. At March 31, 2016 and December 31, 2015, the Company pledged Agency RMBS investments with a carrying value of approximately $416.1 million and $399.8 million, respectively, as collateral for repurchase agreements. At March 31, 2016, and December 31, 2015, the Company pledged Agency RMBS investments with a carrying value of approximately $51.8 million and $83.2 million, respectively, as collateral for FHLBI advances. At March 31, 2016 and December 31, 2015, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing Unrealized losses that are considered other-than-temporary are recognized currently in earnings. During the three month periods ended March 31, 2016 and 2015, the Company did not record any OTTI charges. Based on management’s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads, or certain macroeconomic events, which did not directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. In connection with the above, the Company weighs the fact that all of its investments in Agency RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities. These factors include underlying loan default expectations and loss severities, which are analyzed in connection with a particular security’s credit support, as well as prepayment rates. The result of this evaluation is considered when determining management’s estimate of cash flows and in relation to the amount of the unrealized loss and the period elapsed since it was incurred. Significant judgment is required in this analysis. The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands): RMBS Unrealized Loss Positions As of March 31, 2016 Original Gross Number Weighted Average Asset Type Face Value Book Value Unrealized Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 33,101 $ 34,495 $ (187 ) $ 34,308 7 (B) 3.94 % 3.72 % 20 Twelve or More Months 28,577 17,577 (193 ) 17,384 4 (B) 3.15 % 4.15 % 15 Total/Weighted Average $ 61,678 $ 52,072 $ (380 ) $ 51,692 11 3.68 % 3.86 % 19 As of December 31, 2015 Original Gross Number Weighted Average Asset Type Face Book Unrealized Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 271,585 $ 274,996 $ (2,749 ) $ 272,247 39 (B) 3.65 % 3.48 % 24 Twelve or More Months 11,146 940 (218 ) 722 1 (B) 3.00 % 25.37 % 17 Total/Weighted Average $ 282,731 $ 275,936 $ (2,967 ) $ 272,969 40 3.65 % 3.55 % 24 (A) See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. (B) The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. |
Investments in Servicing Relate
Investments in Servicing Related Assets | 3 Months Ended |
Mar. 31, 2016 | |
Investments in Servicing Related Assets [Abstract] | |
Investments in Servicing Related Assets | Note 5 — Investments in Servicing Related Assets Excess MSRs In October 2013, the Company entered into an agreement (“MSR Agreement 1”) with Freedom Mortgage Corporation (“Freedom Mortgage”) to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on the related pool of residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an aggregate unpaid principal balance (“UPB”) of approximately $10.0 billion (“MSR Pool 1”). Freedom Mortgage is entitled to receive an initial weighted average total mortgage servicing amount of approximately 28 basis points (“bps”) on the performing UPB, as well as any ancillary income from MSR Pool 1. Pursuant to MSR Agreement 1, Freedom Mortgage performs all servicing functions and advancing functions related to MSR Pool 1 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 8 bps. The remainder, or “excess mortgage servicing amount,” is initially equal to a weighted average of 20 bps. The Company acquired the right to receive 85% of the excess mortgage servicing amount on MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the “MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in MSR Pool l (which loans then become part of MSR Pool 1) for approximately $60.6 million. Freedom Mortgage has co-invested, pari passu with the Company, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retains the ancillary income and the servicing obligations and liabilities. If Freedom Mortgage is terminated as the servicer, the Company’s right to receive its portion of the excess mortgage servicing amount is also terminated. To the extent that Freedom Mortgage is terminated as the servicer and receives a termination payment, the Company is entitled to a pro rata share, or 85%, of such termination payment. The value, and absolute amount, of recapture activity tends to vary inversely with the direction of interest rates. When interest rates are falling, recapture rates tend to be higher due to increased opportunities for borrowers to refinance. As interest rates increase, however, there is likely to be less recapture activity. In October 2013, the Company entered into an agreement (“MSR Agreement 2”) with Freedom Mortgage to invest with Freedom Mortgage in another pool of Excess MSRs. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of residential Ginnie Mae-eligible VA hybrid adjustable rate mortgage loans with an outstanding principal balance of approximately $10.7 billion (“MSR Pool 2”). Freedom Mortgage is entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing UPB, as well as any ancillary income from MSR Pool 2. Pursuant to MSR Agreement 2, Freedom Mortgage performs all servicing functions and advancing functions related to MSR Pool 2 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 10 bps. Therefore, the remainder, or “excess mortgage servicing amount” is initially equal to a weighted average of 34 bps. The Company acquired the right to receive 50% of the excess mortgage servicing amount on MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the “MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in MSR Pool 2 (which loans then become part of MSR Pool 2 ) Upon completion of the IPO and the concurrent private placement, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage. On February 28, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. On March 31, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. On June 30, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as “Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Pool 2014—Recapture Agreement.” MSRs On May 29, 2015, in conjunction with the acquisition of Aurora, we acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million. We have not entered into a recapture agreement covering the MSRs as of March 31, 2016. On June 10, 2015, the Company agreed to transfer the direct servicing of the MSR portfolio to Freedom Mortgage pursuant to a subservicing agreement with Freedom Mortgage. The transfer occurred in September 2015. Pending the transfer, the former servicing employees of Aurora, now employees of Freedom Mortgage, directly serviced the portfolio for Aurora. The servicing, which was provided at cost pursuant to the Management Agreement with the Manager and the Services Agreement between the Manager and Freedom Mortgage. The cost for such services during the third quarter of 2015 is included in servicing costs on the consolidated statements of income (loss). On October 30, 2015, Aurora acquired a portfolio of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate unpaid principal balance of approximately $1.4 billion. On January 29, 2016, Aurora acquired a portfolio of MSRs on mortgage loans owned or securitized by Fannie Mae with an aggregate unpaid principal balance of approximately $463 million. The following is a summary of the Company’s Servicing Related Assets (dollars in thousands): Servicing Related Assets Summary As of March 31, 2016 Unpaid Principal Balance Amortized Cost Basis (A) Carrying Value (B) Weighted Average Coupon Weighted Average Maturity (Years) (C) Changes in Fair Value Recorded in Other Income (Loss) (D) Pool 1 $ 7,142,753 $ 36,623 $ 37,528 3.51 % 25.8 $ (2,449 ) Pool 1 - Recapture Agreement - 2,025 1,566 1,105 Pool 2 6,999,638 21,533 29,467 2.82 % 26.8 (1,288 ) Pool 2 - Recapture Agreement - 1,632 945 377 Pool 2014 254,898 1,548 1,317 3.65 % 27.2 (52 ) Pool 2014 - Recapture Agreement - - - - MSRs (E) 2,405,863 24,013 21,781 3.78 % 22.6 (2,232 ) Total $ 16,803,152 $ 87,374 $ 92,604 3.26 % 25.8 $ (4,539 ) As of December 31, 2015 Unpaid Principal Balance Amortized Cost Basis (A) Carrying Value (B) Weighted Average Coupon Weighted Average Maturity (Years) (C) Changes in Fair Value Recorded in Other Income (Loss) (D) Pool 1 $ 7,416,465 $ 39,483 $ 42,837 3.51 % 26.0 $ (2,822 ) Pool 1 - Recapture Agreement - 2,209 645 - - 331 Pool 2 7,279,706 23,116 32,338 2.78 % 27.1 2,626 Pool 2 - Recapture Agreement - 1,780 716 - - (324 ) Pool 2014 265,890 1,685 1,506 3.65 % 27.4 170 Pool 2014 - Recapture Agreement - - - - - - MSRs (E) 2,016,351 20,884 19,761 3.76 % 22.7 (1,123 ) Total $ 16,978,412 $ 89,157 $ 97,803 3.23 % 26.1 $ (1,142 ) (A) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (B) Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). (C) The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. (D) The portion of the change in fair value of the recapture agreement relating to loans recaptured as of March 31, 2016 and December 31, 2015 is reflected in the respective pool. (E) MSR cost basis consists of the carrying value of the prior period, adjusted for any acquisitions made during the current period. The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets: Geographic Concentration of Servicing Related Assets As of March 31, 2016 Percentage of Total Outstanding California 12.0 % Texas 9.2 % Florida 6.5 % Virginia 5.9 % North Carolina 5.1 % New Jersey 5.1 % All other 56.2 % Total 100.0 % As of December 31, 2015 Percentage of Total Outstanding California 12.3 % Texas 9.4 % Florida 6.5 % Virginia 6.0 % North Carolina 5.2 % Washington 5.1 % Georgia 5.0 % All other 50.5 % Total 100.0 % Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets. |
Equity and Earnings per Share
Equity and Earnings per Share | 3 Months Ended |
Mar. 31, 2016 | |
Equity and Earnings per Share [Abstract] | |
Equity and Earnings per Share | Note 6 — Equity and Earnings per Share Equity Incentive Plan During 2013, the board of directors approved, and the Company’s sole stockholder at the time adopted, the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (“2013 Plan”). The 2013 Plan provides for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Company’s operating partnership, Cherry Hill Operating Partnership, LP (the “Operating Partnership”). The following tables present certain information about the Company’s 2013 Plan as of the dates indicated: Equity Incentive Plan Information As of March 31, 2016 Number of Securities Issued or to be Issued Upon Exercise Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Equity compensation Plans Approved By Shareholders 1,377,112 LTIP-OP Units 103,850 Shares of Common Stock 19,038 Equity Compensation Plans Not Approved By Shareholders - As of December 31, 2015 Number of Securities Issued or to be Issued Upon Exercise Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Equity compensation Plans Approved By Shareholders 1,377,112 LTIP-OP Units 103,850 Shares of Common Stock 19,038 Equity Compensation Plans Not Approved By Shareholders - LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Company’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption/exchange rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis. An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied in shares of common stock, cash, or a combination thereof, at the Company’s option, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Units holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased. The table below sets forth certain information regarding the LTIP-OP Units that have been granted by the board of directors (dollars in thousands, except per share data): LTIP-OP Unit Grant Information Grant Date Number of Grantees Stock Price on Grant Date Number of Units Granted Aggregate Fair Market Value September 9, 2015 12 $ 15.80 35,000 $ 553 June 10, 2014 10 $ 19.33 31,350 $ 606 October 9, 2013 11 $ 20.00 37,500 $ 750 Except for 7,500 LTIP-OP Units that were granted to the Company’s independent directors at the time of the IPO, which vested immediately, LTIP-OP Units vest ratably over the first three year anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the initial offering price of the Company’s common stock in the case of the grant to the independent directors and based on the closing price of the Company’s common stock on the applicable grant date in all other cases. As of March 31, 2016, 37,950 LTIP-OP Units have vested. The Company recognized approximately $147,000 and $102,000 in share-based compensation expense in the three month periods ended March 31, 2016 and 2015, respectively. There was approximately $781,000 of total unrecognized share-based compensation expense as of March 31, 2016, related to the 65,900 non-vested LTIP-OP Units. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated income statement. On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Plan 530 shares of common stock (for a total of 1,590 shares), which were fully vested on the date of grant, and 2,651 restricted shares of common stock (for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. They are no longer subject to forfeiture and are vested. On September 9, 2015, the Company granted each of the independent directors pursuant to the 2013 Plan 3,165 restricted shares of common stock (for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. As of March 31, 2016, 1,377,112 shares of common stock remain available for future issuance under the 2013 Plan. Non-Controlling Interests in Operating Partnership Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to LTIP-OP Units in the Operating Partnership held by parties other than the Company. As of March 31, 2016, the non-controlling interest holders in the Operating Partnership owned 103,850 LTIP-OP Units, or approximately 1.4% of the Operating Partnership. Pursuant to ASC 810, Consolidation Earnings per Share The Company is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Share Information Three Months Ended March 31, 2016 2015 Numerator: Net income attributable to common stockholders and participating securities $ (7,162 ) $ (2,434 ) Net income allocable to common stockholders $ (7,063 ) $ (2,412 ) Denominator: Weighted average common shares outstanding 7,509,543 7,509,543 Weighted average diluted shares outstanding 7,519,038 7,509,543 Basic and Dilutive: Basic earnings per share $ (0.94 ) $ (0.32 ) Diluted earnings per share $ (0.94 ) $ (0.32 ) There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented. |
Transactions with Affiliates an
Transactions with Affiliates and Affiliated Entities | 3 Months Ended |
Mar. 31, 2016 | |
Transactions with Affiliates and Affiliated Entities [Abstract] | |
Transactions with Affiliates and Affiliated Entities | Note 7 — Transactions with Affiliates and Affiliated Entities Manager The Company has entered into a management agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations (the “Management Agreement”). The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. The Management Agreement terminates on October 22, 2020, subject to automatic renewal for successive one-year terms and to certain termination rights. The Manager’s performance is reviewed prior to any renewal and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager a quarterly management fee equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement, calculated and payable quarterly in arrears. The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided. All of the Company’s executive officers and the officers of the Manager are also officers or employees of Freedom Mortgage. As a result, the Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. Both the Manager and Freedom Mortgage are controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. The Management Agreement provides that the Company will reimburse the Manager for various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate Three Months Ended March 31, 2016 2015 Management fees $ 560 $ 560 Expense reimbursement 130 130 Total $ 690 $ 690 Subservicing Agreement Freedom Mortgage is directly servicing the Company’s portfolio of Fannie Mae and Freddie Mac MSRs pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three (3) years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement. Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services. Other Affiliated Entities The Company, through one of its subsidiaries, has entered into an uncommitted master repurchase agreement with Freedom Mortgage pursuant to which the Company may, from time to time, purchase a newly issued Ginnie Mae RMBS, subject to Freedom Mortgage’s agreement to repurchase the security at a future date, generally no more than 120 days later. The Company simultaneously re-hypothecates the security to one of its counterparties with whom it has a repurchase agreement, for an identical term. Each transaction is done at market rates. For the three- month period ended March 31, 2016, the Company earned approximately $2,000 in income and had a corresponding expense of less than $1,000. See Note 5 for a discussion of the co-investments in Excess MSRs with Freedom Mortgage and the services provided by Freedom Mortgage during the period prior to transfer to Freedom Mortgage of the direct servicing obligations for the MSRs. See Note 10 for a discussion of the Acknowledgement Agreement among the Company, Freedom Mortgage and Ginnie Mae entered into in connection with the co-investments in Excess MSRs. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments [Abstract] | |
Derivative Instruments | Note 8 — Derivative Instruments Interest Rate Swap Agreements, Swaptions, TBAs and Treasury Futures In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements. These agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as hedging instruments for GAAP purposes. In order to help mitigate duration risk and basis risk management, the Company utilizes treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date. The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands): Non-hedge derivatives March 31, 2016 December 31, 2015 Notional amount of interest rate swaps $ 286,750 $ 300,300 Notional amount of swaptions 85,000 85,000 Notional amount of TBAs, net - - Notional amount of Treasury Futures 3,000 - Total notional amount $ 374,750 $ 385,300 The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands): Notional Amount Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity March 31, 2016 $ 286,750 1.63 % 0.62 % 3.9 December 31, 2015 $ 300,300 1.71 % 0.37 % 4.3 The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended March 31, Non-Hedge Derivatives Income Statement Location 2016 2015 Interest rate swaps Realized gain/(loss) on derivative assets $ (1,350 ) $ (788 ) Swaptions Realized gain/(loss) on derivative assets - - TBAs Realized gain/(loss) on derivative assets (82 ) (109 ) Treasury futures Realized gain/(loss) on derivative assets (29 ) (345 ) Total $ (1,461 ) $ (1,242 ) Offsetting Assets and Liabilities The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA. Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and treasury futures assets and liabilities on a gross basis in its consolidated balance sheets. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements subject to master netting arrangements on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of March 31, 2016 Gross Gross Amounts Net Amounts of Assets Presented in Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Offset in the Consolidated Balance Sheet the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ - $ - $ - $ - $ - $ - Swaptions 39 - 39 (39 ) - - TBAs 4 - 4 (4 ) - - Treasury futures 30 - 30 (30 ) (257 ) Total Assets $ 73 $ - $ 73 $ (73 ) $ (257 ) $ - Liabilities Repurchase agreements $ 398,374 $ - $ 398,374 $ (396,261 ) $ (2,113 ) $ - Interest rate swaps 9,447 - 9,447 - (9,447 ) - Swaptions - - - - - - TBAs - - - - - - Treasury futures - - - - - - Total Liabilities $ 407,821 $ - $ 407,821 $ (396,261 ) $ (11,560 ) $ - As of December 31, 2015 Gross Gross Amounts Net Amounts of Assets Presented in Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Offset in the Consolidated Balance Sheet the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 51 $ - $ 51 $ (51 ) $ - $ - Swaptions 371 - 371 (371 ) - - TBAs - - - - - - Treasury futures - - - - (84 ) Total Assets $ 422 $ - $ 422 $ (422 ) $ (84 ) $ - Liabilities Repurchase agreements $ 385,560 $ - $ 385,560 $ (381,386 ) $ (4,174 ) $ - Interest rate swaps 4,595 - 4,595 - (4,595 ) - Swaptions - - - - - - TBAs - - - - - - Treasury futures - - - - - - Total Liabilities $ 390,155 $ - $ 390,155 $ (381,386 ) $ (8,769 ) $ - |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value [Abstract] | |
Fair Value | Note 9 – Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: Level 1 Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. Level 2 Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. Level 3 Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. RMBS The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at March 31, 2016 and December 31, 2015. Excess MSRs The Company holds a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheets. Although Excess MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its Excess MSRs as Level 3 fair value assets at March 31, 2016 and December 31, 2015. MSRs The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at March 31, 2016. Derivative Instruments The Company enters into a variety of derivative financial instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its financial derivative instruments. The Company classified 100% of the derivative instruments as Level 2 fair value assets and liabilities at March 31, 2016 and December 31, 2015. Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. Recurring Fair Value Measurements The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands). Recurring Fair Value Measurements As of March 31, 2016 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 320,024 $ - $ 320,024 Freddie Mac - 180,739 - 180,739 CMOs - 7,396 - 7,396 RMBS total - 508,159 - 508,159 Derivative assets Interest rate swaps - - - - Interest rate swaptions - 39 - 39 TBAs - 4 - 4 Treasury Futures - 30 - 30 Derivative assets total - 73 - 73 Servicing related assets - - 92,604 92,604 Total Assets $ - $ 508,232 $ 92,604 $ 600,836 Liabilities Derivative liabilities Interest rate swaps - 9,447 - 9,447 TBAs - - - - Treasury Futures - - - - Derivative liabilities total - 9,447 - 9,447 Total Liabilities $ - $ 9,447 $ - $ 9,447 As of December 31, 2015 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 308,772 $ - $ 308,772 Freddie Mac - 193,411 - 193,411 CMOs - 6,059 - 6,059 RMBS total - 508,242 - 508,242 Derivative assets Interest rate swaps - 51 - 51 Interest rate swaptions - 371 - 371 TBAs - - - - Treasury Futures - - - - Derivative assets total - 422 - 422 Servicing related assets - - 97,803 97,803 Total Assets $ - $ 508,664 $ 97,803 $ 606,467 Liabilities Derivative liabilities Interest rate swaps - 4,595 - 4,595 TBAs - - - - Treasury Futures - - - - Derivative liabilities total - 4,595 - 4,595 Total Liabilities $ - $ 4,595 $ - $ 4,595 The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of March 31, 2016 and December 31, 2015, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. Level 3 Assets and Liabilities The valuation of Level 3 instruments requires significant judgment by the third-party pricing providers and management. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In connection with the above, the Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of March 31, 2016 and December 31, 2015 and do not take into consideration the effects of subsequent changes in market or other factors. The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Level 3 Fair Value Measurements As of March 31, 2016 Level 3 (A) Pool 1 Pool 2 Pool 2014 MSRs Total Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 Purchases and principal paydowns Purchases - - - 4,252 4,252 Proceeds from principal paydowns (3,044 ) (1,731 ) (137 ) - (4,912 ) Changes in fair value due to: Mark to market gain (loss) (1,344 ) (911 ) (52 ) (1,616 ) (3,923 ) Amortization of MSRs - - - (616 ) (616 ) Unrealized gain (loss) included in Net Income $ (1,344 ) $ (911 ) $ (52 ) $ (2,232 ) $ (4,539 ) Balance at March 31, 2016 $ 39,094 $ 30,412 $ 1,317 $ 21,781 $ 92,604 As of December 31, 2015 Level 3 (A) Pool 1 Pool 2 Pool 2014 MSRs Total Balance at December 31, 2014 $ 54,798 $ 34,938 $ 1,586 $ - $ 91,322 Purchases and principal paydowns Purchases - - - 20,884 20,884 Proceeds from principal paydowns (8,825 ) (4,186 ) (250 ) - (13,261 ) Changes in fair value due to: Mark to market gain (loss) (2,491 ) 2,302 170 (567 ) (586 ) Amortization of MSRs - - - (556 ) (556 ) Unrealized gain (loss) included in Net Income $ (2,491 ) $ 2,302 $ 170 $ (1,123 ) $ (1,142 ) Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 (A) Includes the recapture agreement for each respective pool. The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands except per loan figures): Fair Value Measurements As of March 31, 2016 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Pool 1 $ 39,094 Discounted cash flow Constant prepayment speed 4.2% - 23.0 % 12.7 % Uncollected Payments 2.5% - 7.0 % 6.1 % Discount rate 12.3 % Pool 2 $ 30,412 Discounted cash flow Constant prepayment speed 8.0% - 39.9 % 16.0 % Uncollected Payments 9.1% - 13.8 % 12.5 % Discount rate 16.6 % Pool 2014 $ 1,317 Discounted cash flow Constant prepayment speed 3.9% - 28.7 % 12.8 % Uncollected Payments 5.5% - 7.1 % 6.7 % Discount rate 11.9 % MSRs $ 21,781 Discounted cash flow Constant prepayment speed 0.1% - 19.3 % 12.4 % Uncollected payments 0.9% - 1.6 % 1.4 % Discount rate 9.3 % Annual cost to service, per loan $ 65 TOTAL $ 92,604 Discounted cash flow As of December 31, 2015 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Pool 1 $ 43,482 Discounted cash flow Constant prepayment speed 4.0% - 19.0 % 10.5 % Uncollected Payments 2.9% - 7.0 % 6.2 % Discount rate 12.3 % Pool 2 $ 33,054 Discounted cash flow Constant prepayment speed 8.3% - 42.3 % 14.9 % Uncollected Payments 10.4% - 13.9 % 13.0 % Discount rate 16.7 % Pool 2014 $ 1,506 Discounted cash flow Constant prepayment speed 3.9% - 22.3 % 11.2 % Uncollected Payments 5.9% - 7.1 % 6.8 % Discount rate 11.9 % MSRs $ 19,761 Discounted cash flow Constant prepayment speed 0.0% - 13.8 % 9.7 % Uncollected payments 1.2% - 3.4 % 1.6 % Discount rate 8.3 % Annual cost to service, per loan $ 73 TOTAL $ 97,803 Discounted cash flow (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. 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. Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. • RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote. • Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. • The carrying value of repurchase agreements that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies | Note 10 — Commitments and Contingencies The following represents commitments and contingencies of the Company as of March 31, 2016 and December 31, 2015: Management Agreement The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the Management Fee, see Note 7. Legal and Regulatory From time to time the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements, and, therefore, no accrual is required as of March 31, 2016 and December 31, 2015. Commitments to Purchase/Sell RMBS As of March 31, 2016 and December 31, 2015, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date. As of March 31, 2016, the Company was obligated to purchase approximately $4,000 of Fannie Mae securities and was not obligated to sell any securities. As of December 31, 2015, the Company was not obligated to buy any securities and was obligated to sell less than $1,000 of Fannie Mae securities. Acknowledgement Agreement In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that have been pooled into securities guaranteed by Ginnie Mae, the Company entered into an acknowledgment agreement with Ginnie Mae and Freedom Mortgage. Under that agreement, if Freedom Mortgage fails to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would be obligated to make that payment even though the payment may relate to loans for which the Company does not own any Excess MSRs. The Company’s failure to make that payment could result in liability to Ginnie Mae for any losses or claims that it suffers as a result. Management has determined, as of March 31, 2016, the risk of material loss to be remote and thus no liability has been accrued. |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2016 | |
Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 11 – Repurchase Agreements The Company had outstanding approximately $398.4 million and $385.6 million of repurchase agreements as of March 31, 2016 and December 31, 2015, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 45 days and 47 days as of March 31, 2016 and December 31, 2015, respectively. RMBS and cash have been pledged as collateral under these repurchase agreements (see Notes 4). The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreement Characteristics As of March 31, 2016 Repurchase Agreements Weighted Average Rate Less than one month $ 126,491 0.69 % One to three months 271,883 0.72 % Greater than three months - - Total/Weighted Average $ 398,374 0.71 % As of December 31, 2015 Repurchase Agreements Weighted Average Rate Less than one month $ 93,926 0.55 % One to three months 284,687 0.56 % Greater than three months 6,947 0.52 % Total/Weighted Average $ 385,560 0.56 % |
FHLBI Advances
FHLBI Advances | 3 Months Ended |
Mar. 31, 2016 | |
FHLBI Advances [Abstract] | |
FHLBI Advances | Note 12 – FHLBI Advances The Company had outstanding approximately $47.3 million and $62.3 million of Federal Home Loan Bank of Indianapolis (“FHLBI”) advances, with weighted average borrowing rates of 0.57% and 0.54% as of March 31, 2016 and December 31, 2015, respectively. The Company’s obligations under these advances had a weighted average remaining maturity of 26 and 94 days as of March 31, 2016 and December 31, 2015, respectively. Agency RMBS and FHLBI stock have been pledged as collateral for these advances (see Note 4). As a result of Federal Housing Finance Agency (“FHFA”) rulemaking relating to captive insurance companies and their ability to maintain membership in the Federal Home Loan Bank system, the Company’s captive insurance subsidiary is not able to obtain additional advances from the FHLBI as of the date of these financial statements. The outstanding FHLBI advances had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Federal Home Loan Bank Advance Characteristics As of March 31, 2016 Federal Home Loan Bank Advances Weighted Average Rate Less than one month $ 26,500 0.50 % One to three months 20,750 0.65 % Greater than three months - - Total/Weighted Average Federal Home Loan Bank Advances $ 47,250 0.57 % As of December 31, 2015 Federal Home Loan Bank Advances Weighted Average Rate Less than one month $ 15,000 0.44 % One to three months - - % Greater than three months 47,250 0.57 % Total/Weighted Average Federal Home Loan Bank Advances $ 62,250 0.54 % |
Notes Payable
Notes Payable | 3 Months Ended |
Mar. 31, 2016 | |
Notes Payable [Abstract] | |
Notes Payable | Note 13 – Notes Payable At March 31, 2016 and December 31, 2015 the Company had outstanding borrowings of $23.8 million and $24.3 million, respectively, on a $25.0 million Term Loan. The $25 million Term Loan was fully drawn as of March 31, 2016. The outstanding borrowings bear interest at a weighted average interest rate of 5.57% per annum and are secured by the pledge of the Company’s existing portfolio of Excess MSRs. The principal payments on the borrowings are due monthly, beginning in September 2015, based on a 10-year amortization schedule with a maturity date in April 2020. Prior to September 2015, only interest was payable monthly. |
Receivables and Other Assets
Receivables and Other Assets | 3 Months Ended |
Mar. 31, 2016 | |
Receivables and Other Assets [Abstract] | |
Receivables and Other Assets | Note 14 – Receivables and Other Assets The assets comprising “Receivables and other assets” as of March 31, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands): Receivables and Other Assets March 31, 2016 December 31, 2015 Excess servicing income receivable $ 2,128 $ 2,159 Servicing advances 612 787 Interest receivable 1,496 1,497 Federal Home Loan Bank stock 3,261 3,261 Deferred tax receivable 793 203 Other receivables 2,511 1,421 Total other assets $ 10,801 $ 9,328 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Taxes [Abstract] | |
Income Taxes | Note 15 – Income Taxes The Company has elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code. Effective January 1, 2014, CHMI Solutions has elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a taxable REIT subsidiary (“TRS”) of the Company, and all activities conducted through CHMI Solutions and its wholly owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora Financial Group Inc., its wholly owned subsidiary, and is fully taxed as a standalone U.S. C-Corporation. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes. The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands): Three Months Ended March 31, 2016 2015 Current federal income tax expense $ - $ - Current state income tax expense - - Deferred federal income tax expense (benefit) (499 ) - Deferred state income tax expense (benefit) (91 ) - Total Income Tax Expense $ (590 ) $ - The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Three Months Ended March 31, 2016 2015 Computed income tax (benefit) expense at federal rate $ (2,713 ) 35.0 % $ (852 ) 35.0 % State taxes, net of federal benefit, if applicable (59 ) 0.8 % (95 ) 3.9 % Permanent differences in taxable income from GAAP pre-tax income - (0.1 ) - - REIT income not subject to tax 2,182 (28.1 )% 947 (38.9 )% (Benefit from) Provision for Income Taxes/Effective Tax Rate (A) $ (590 ) 7.6 % $ - - (A) The provision for income taxes is recorded at the TRS level. The Company’s consolidated balance sheets, at March 31, 2016 and December 31, 2015, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands): Three Months Ended March 31, 2016 2015 Income taxes (payable) receivable Federal income taxes (payable) receivable $ - $ - State and local income taxes (payable) receivable - - Income taxes (payable) receivable, net $ - $ - March 31, 2016 December 31, 2015 Deferred tax assets (liabilities) Deferred tax asset - organizational expenses $ 72 $ 72 Deferred tax asset - mortgage servicing rights 508 (121 ) Deferred tax asset - net operating loss 213 252 Total net deferred tax assets (liabilities) $ 793 $ 203 CHMI Solutions’ federal and state net operating loss carryforwards at March 31, 2016 and December 31, 2015 were approximately $594,000 and $693,000, respectively, and are available to offset future taxable income and expire in 2036 and 2035, respectively. Management has determined that it is more likely than not that all of CHMI Solutions’ deferred tax assets will be realized in the future. Accordingly, no valuation allowance has been established at March 31, 2016 and December 31, 2015. The deferred tax asset is included in “Receivables and other assets” in the consolidated balance sheets. Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. The Company’s 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities. |
Business Combinations
Business Combinations | 3 Months Ended |
Mar. 31, 2016 | |
Business Combinations [Abstract] | |
Business Combinations | Note 16 – Business Combinations On May 29, 2015 (the acquisition date), CHMI Solutions acquired 100% of the outstanding voting stock of Aurora. The results of Aurora’s operations have been included in the consolidated financial statements since that date. Aurora is a licensed mortgage origination and servicing company. Aurora is a seller/servicer for Fannie Mae and Freddie Mac. Aurora’s pipeline of mortgage loans was not closed out as of the acquisition date. As a result, CHMI Solutions agreed to maintain Aurora’s existing warehouse facility pending funding and disposition of the mortgage loans in the pipeline which occurred prior to the end of the third quarter of 2015. All proceeds of the disposition of the mortgage loans, net of all costs and expenses related hereto, including the costs of the warehouse facility, were for the benefit of Aurora’s former owners. The warehouse facility expired on August 31, 2015. The acquisition-date fair value of the consideration transferred totaled approximately $3.9 million, which consisted of cash. Twenty percent (20%) of the consideration was deposited in an escrow account to provide a source of funds for the seller’s indemnification obligations. Transaction-related costs of approximately $95,400 were expensed as incurred, and are included in “General and administrative expenses” on the consolidated income statement. In the Aurora acquisition agreement, the parties agreed to fix the valuation of the MSR portfolio, as a percentage of par, based on third party appraisals obtained at the end of January 2015. The agreement also provided that the UPB of the portfolio would be fixed 90 days after the agreement was signed. Due to the increase in interest rates between January and the closing date at the end of May 2015, the value of the MSR portfolio increased. In addition, the UPB of the portfolio declined between the end of April and the closing date in May. Valuation adjustments for intangible assets and loan loss reserves also contributed to bargain purchase in the amount of approximately $734,000. The following table summarizes the final fair values of the assets acquired and liabilities assumed at the acquisition date (dollars in thousands): Preliminary Fair value of consideration transferred Cash $ 80 Mortgage receivables 2,772 Servicing escrow advances 410 Capital leases 46 Deposits held and prepaid items 28 License approvals 120 MSRs 7,069 Total identifiable assets acquired $ 10,525 Current liabilities 1,643 Settlement liability 260 Assumed debt 3,969 Total liabilities assumed $ 5,872 Net identifiable assets acquired 4,653 Cash consideration transferred (3,919 ) Gain on bargain purchase $ 734 Deferred tax liabiltiy - bargin purchase (285 ) Realized gain (loss) on acquired assets, net $ 449 |
CHMI Insurance Company
CHMI Insurance Company | 3 Months Ended |
Mar. 31, 2016 | |
CHMI Insurance Company [Abstract] | |
CHMI Insurance Company | Note 17 – CHMI Insurance Company The Company’s indirectly owned subsidiary, CHMI Insurance Company LLC, or CHMI Insurance, became a member of the FHLBI on June 26, 2015. As a member of the FHLBI, CHMI Insurance had access to a variety of products and services offered by the FHLBI, including secured advances. As of March 31, 2016 and December 31, 2015, CHMI Insurance had $47.3 million and $62.3 million, respectively, of outstanding advances. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value. A reduction in the value of pledged assets would require CHMI Insurance to provide additional collateral. In addition, as a condition to membership in the FHLBI, CHMI Insurance is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of advances from the FHLBI. At March 31, 2016, CHMI Insurance had stock in the FHLBI totaling approximately $3.3 million, which is included in Other Assets on the consolidated balance sheet. FHLBI stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLBI. Accordingly, when evaluating FHLBI stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of March 31, 2016, the Company had not recognized an impairment charge related to its FHLBI stock. In January 2016, the FHFA issued a final regulation that requires the FHLBs to terminate the memberships of their captive insurance company members within one year or five years after the rule becomes effective. Under the rule, the membership in the FHLBI of CHMI Insurance will be terminated in the one-year time frame. In addition, it is not able to obtain any additional advances and will not be permitted to roll over any advances once the rule is published in the Federal Register. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 18 – Subsequent Events Events subsequent to March 31, 2016, were evaluated and no additional events were identified requiring further disclosure in these interim consolidated financial statements. |
Basis of Presentation and Sig27
Basis of Presentation and Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Accounting | Basis of Accounting The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein. |
Emerging Growth Company Status | Emerging Growth Company Status On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”), RMBS, derivatives and credit losses including the period of time during which the Company anticipates an increase in the fair values of securities sufficient to recover unrealized losses on those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the interim consolidated financial statements and the reported amounts of certain revenues and expenses during the reporting period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature. Actual results could differ from the Company’s estimates and differences may be material. |
Risks and Uncertainties | Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to significant tax risks. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. |
Investments in RMBS | Investments in RMBS Classification Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS sold in the three month periods ended March 31, 2016 and in the year ended December 31, 2015, were settled prior to their respective period ends. Revenue Recognition – Impairment – |
Investments in Excess MSRs | Investments in Excess MSRs Classification Revenue Recognition |
Investments in MSRs | Investments in MSRs Classification Revenue Recognition |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and treasury futures are used for duration risk and basis risk management purposes. The decision of whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. The Company’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. Finally, the Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties. Classification Revenue Recognition |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s derivatives (approximately $9.7 million and $4.6 million at March 31, 2016 and December 31, 2015, respectively), borrowings under its repurchase agreements (approximately $2.1 million and $4.2 million at March 31, 2016 and December 31, 2015, respectively) as well as cash held that relates to the $23.8 million and $ 24.3 million of borrowings on a term loan (“Term Loan”) (approximately $1.1 million at March 31, 2016 and December 31, 2015, respectively). For further information on the restricted cash as it relates to the Term Loan, see Note 13. |
Due to Affiliate | Due to Affiliate This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income. The Company accounts for income taxes in accordance with ASC 740, Income Taxes |
Realized Gain (Loss) on RMBS and Derivatives, Net | Realized Gain (Loss) on RMBS and Derivatives, Net The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): Three Months Ended March 31, 2016 2015 Realized gain (loss) on RMBS, net Gain on RMBS $ 320 $ 307 Loss on RMBS - - Net realized gain (loss) on RMBS 320 307 Realized gain (loss) on derivatives, net (1,461 ) (1,242 ) Unrealized gain (loss) on derivatives, net (5,198 ) (2,542 ) Total $ (6,339 ) $ (3,477 ) The gain and loss on RMBS presented above represent the amounts reclassified from other comprehensive income (loss) in earnings. |
Repurchase Agreements and Interest Expense | Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under uncommitted master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. |
Federal Home Loan Bank of Indianapolis Advances | Federal Home Loan Bank of Indianapolis Advances Advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) are secured by the pledge of Agency RMBS, have varying amortization structures and maturities and bear interest at rates set by FHLBI based on market conditions and a number of criteria, including the size of the transaction and the FHLBI’s cost of funds. Advances are treated as collateralized financing transactions and are carried at their contractual amounts. Interest is recorded at the contractual amount on an accrual basis. |
Dividends Payable | Dividends Payable Because the Company is organized and operated so as to qualify as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on the accounting date, which causes an offsetting reduction in retained earnings. |
Comprehensive Income | Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. |
Business Combinations | Business Combinations Business combinations are accounted for under the acquisition method of accounting in accordance with ASC Topic 805, Business Combinations |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Business Combinations Simplifying the Accounting for Measurement-Period Adjustments, Business Combinations Revenue Recognition Revenue from Contracts with Customers Revenue Recognition Transfers and Servicing Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures Transfers and Servicing Stock Compensation Accounting for Share-Based Payments When the Terms of an Award Provide that a Performance Target Could be Achieved After the Requisite Service Period Compensation – Stock Compensation. Going Concern |
Changes in Presentation | Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Basis of Presentation and Sig28
Basis of Presentation and Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Summary of Gains and Losses on Sale of RMBS and Derivatives | The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): Three Months Ended March 31, 2016 2015 Realized gain (loss) on RMBS, net Gain on RMBS $ 320 $ 307 Loss on RMBS - - Net realized gain (loss) on RMBS 320 307 Realized gain (loss) on derivatives, net (1,461 ) (1,242 ) Unrealized gain (loss) on derivatives, net (5,198 ) (2,542 ) Total $ (6,339 ) $ (3,477 ) |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Summary of Financial Data on CHMI's Segments with Reconciliation | Summary financial data on the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands): Servicing Related Assets RMBS All Other Total Three Months Ended March 31, 2016 Interest income $ 1,444 $ 3,744 $ - $ 5,188 Interest expense 340 1,317 - 1,657 Net interest income 1,104 2,427 - 3,531 Servicing fee income 1,495 - - 1,495 Servicing costs 402 - - 402 Net servicing income 1,093 - - 1,093 Other income (4,539 ) (6,339 ) - (10,878 ) Other operating expenses - - 1,498 1,498 Provision for corporate business taxes - - (590 ) (590 ) Net income (loss) $ (2,342 ) $ (3,912 ) $ (908 ) $ (7,162 ) Three Months Ended March 31, 2015 Interest income $ 2,575 $ 3,252 $ - $ 5,827 Interest expense - 1,235 - 1,235 Net interest income 2,575 2,017 - 4,592 Servicing fee income - - - - Servicing costs - - - - Net servicing income - - - - Other income (2,117 ) (3,477 ) - (5,594 ) Other operating expenses - - 1,432 1,432 Provision for corporate business taxes - - - - Net income (loss) $ 458 $ (1,460 ) $ (1,432 ) $ (2,434 ) Balance Sheet March 31, 2016 Investments $ 92,604 $ 508,159 $ - $ 600,763 Other assets 3,665 17,718 13,046 34,429 Total assets 96,269 525,877 13,046 635,192 Debt 23,836 445,624 - 469,460 Other liabilities 2,007 9,734 5,034 16,775 Total liabilities 25,843 455,358 5,034 486,235 GAAP book value $ 70,426 $ 70,519 $ 8,012 $ 148,957 December 31, 2015 Investments $ 97,803 $ 508,242 $ - $ 606,045 Other assets 3,562 13,984 12,749 30,295 Total assets 101,365 522,226 12,749 636,340 Debt 24,313 447,810 - 472,123 Other liabilities 1,883 4,903 5,094 11,880 Total liabilities 26,196 452,713 5,094 484,003 GAAP book value $ 75,169 $ 69,513 $ 7,655 $ 152,337 |
Investments in RMBS (Tables)
Investments in RMBS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments in RMBS [Abstract] | |
Summary of RMBS Investments | There were no OTTI securities as of March 31, 2016 and December 31, 2015 (dollars in thousands): Summary of RMBS Assets As of March 31, 2016 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 342,288 $ 315,200 $ 4,888 $ (64 ) $ 320,024 46 (B) 3.77 % 3.59 % 23 Freddie Mac 190,523 178,119 2,620 - 180,739 23 (B) 3.62 % 3.35 % 25 CMOs 17,896 7,706 6 (316 ) 7,396 5 Unrated 4.35 % 6.96 % 10 Total/Weighted Average $ 550,707 $ 501,025 $ 7,514 $ (380 ) $ 508,159 74 3.72 % 3.56 % 24 As of December 31, 2015 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 329,767 $ 308,367 $ 1,961 $ (1,556 ) $ 308,772 44 (B) 3.77 % 3.59 % 24 Freddie Mac 208,154 193,567 821 (977 ) 193,411 24 (B) 3.61 % 3.48 % 24 CMOs 16,646 6,493 - (434 ) 6,059 4 Unrated 4.55 % 7.39 % 10 Total/Weighted Average $ 554,567 $ 508,427 $ 2,782 $ (2,967 ) $ 508,242 72 3.72 % 3.60 % 23 (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 Fannie Mae and Freddie Mac securities. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. |
Summary of RMBS Investments by Maturity | Summary of RMBS Assets by Maturity As of March 31, 2016 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than 1 Year $ - $ - $ - $ - $ - - - - - 1-5 Years - - - - - - - - - 5-10 Years 5,500 5,553 - (159 ) 5,394 3 (B) 4.77 % 4.57 % 9 Over 10 Years 545,207 495,472 7,514 (221 ) 502,765 71 (B) 3.71 % 3.55 % 24 Total/Weighted Average $ 550,707 $ 501,025 $ 7,514 $ (380 ) $ 508,159 74 3.72 % 3.56 % 24 As of December 31, 2015 Original Gross Unrealized Number Weighted Average Asset Type Face Book Gains Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than 1 Year $ - $ - $ - $ - $ - - - - - 1-5 Years - - - - - - - - - 5-10 Years 5,500 5,553 - (216 ) 5,337 3 (B) 4.76 % 4.96 % 9 Over 10 Years 549,067 502,874 2,782 (2,751 ) 502,905 69 (B) 3.71 % 3.59 % 24 Total/Weighted Average $ 554,567 $ 508,427 $ 2,782 $ (2,967 ) $ 508,242 72 3.72 % 3.60 % 23 (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 Fannie Mae and Freddie Mac securities. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. |
Summary of RMBS Securities in an Unrealized Loss Position | The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands): RMBS Unrealized Loss Positions As of March 31, 2016 Original Gross Number Weighted Average Asset Type Face Value Book Value Unrealized Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 33,101 $ 34,495 $ (187 ) $ 34,308 7 (B) 3.94 % 3.72 % 20 Twelve or More Months 28,577 17,577 (193 ) 17,384 4 (B) 3.15 % 4.15 % 15 Total/Weighted Average $ 61,678 $ 52,072 $ (380 ) $ 51,692 11 3.68 % 3.86 % 19 As of December 31, 2015 Original Gross Number Weighted Average Asset Type Face Book Unrealized Losses Carrying Value (A) of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 271,585 $ 274,996 $ (2,749 ) $ 272,247 39 (B) 3.65 % 3.48 % 24 Twelve or More Months 11,146 940 (218 ) 722 1 (B) 3.00 % 25.37 % 17 Total/Weighted Average $ 282,731 $ 275,936 $ (2,967 ) $ 272,969 40 3.65 % 3.55 % 24 (A) See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. (B) The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. (D) The weighted average stated maturity. The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. |
Investments in Servicing Rela31
Investments in Servicing Related Assets (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments in Servicing Related Assets [Abstract] | |
Summary of Servicing Related Assets | The following is a summary of the Company’s Servicing Related Assets (dollars in thousands): Servicing Related Assets Summary As of March 31, 2016 Unpaid Principal Balance Amortized Cost Basis (A) Carrying Value (B) Weighted Average Coupon Weighted Average Maturity (Years) (C) Changes in Fair Value Recorded in Other Income (Loss) (D) Pool 1 $ 7,142,753 $ 36,623 $ 37,528 3.51 % 25.8 $ (2,449 ) Pool 1 - Recapture Agreement - 2,025 1,566 1,105 Pool 2 6,999,638 21,533 29,467 2.82 % 26.8 (1,288 ) Pool 2 - Recapture Agreement - 1,632 945 377 Pool 2014 254,898 1,548 1,317 3.65 % 27.2 (52 ) Pool 2014 - Recapture Agreement - - - - MSRs (E) 2,405,863 24,013 21,781 3.78 % 22.6 (2,232 ) Total $ 16,803,152 $ 87,374 $ 92,604 3.26 % 25.8 $ (4,539 ) As of December 31, 2015 Unpaid Principal Balance Amortized Cost Basis (A) Carrying Value (B) Weighted Average Coupon Weighted Average Maturity (Years) (C) Changes in Fair Value Recorded in Other Income (Loss) (D) Pool 1 $ 7,416,465 $ 39,483 $ 42,837 3.51 % 26.0 $ (2,822 ) Pool 1 - Recapture Agreement - 2,209 645 - - 331 Pool 2 7,279,706 23,116 32,338 2.78 % 27.1 2,626 Pool 2 - Recapture Agreement - 1,780 716 - - (324 ) Pool 2014 265,890 1,685 1,506 3.65 % 27.4 170 Pool 2014 - Recapture Agreement - - - - - - MSRs (E) 2,016,351 20,884 19,761 3.76 % 22.7 (1,123 ) Total $ 16,978,412 $ 89,157 $ 97,803 3.23 % 26.1 $ (1,142 ) (A) The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. (B) Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). (C) The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. (D) The portion of the change in fair value of the recapture agreement relating to loans recaptured as of March 31, 2016 and December 31, 2015 is reflected in the respective pool. (E) MSR cost basis consists of the carrying value of the prior period, adjusted for any acquisitions made during the current period. |
Summary of Geographic Concentration of Servicing Related Assets | The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets: Geographic Concentration of Servicing Related Assets As of March 31, 2016 Percentage of Total Outstanding California 12.0 % Texas 9.2 % Florida 6.5 % Virginia 5.9 % North Carolina 5.1 % New Jersey 5.1 % All other 56.2 % Total 100.0 % As of December 31, 2015 Percentage of Total Outstanding California 12.3 % Texas 9.4 % Florida 6.5 % Virginia 6.0 % North Carolina 5.2 % Washington 5.1 % Georgia 5.0 % All other 50.5 % Total 100.0 % |
Equity and Earnings per Share (
Equity and Earnings per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity and Earnings per Share [Abstract] | |
Information about Company's 2013 Plan | The following tables present certain information about the Company’s 2013 Plan as of the dates indicated: Equity Incentive Plan Information As of March 31, 2016 Number of Securities Issued or to be Issued Upon Exercise Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Equity compensation Plans Approved By Shareholders 1,377,112 LTIP-OP Units 103,850 Shares of Common Stock 19,038 Equity Compensation Plans Not Approved By Shareholders - As of December 31, 2015 Number of Securities Issued or to be Issued Upon Exercise Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Equity compensation Plans Approved By Shareholders 1,377,112 LTIP-OP Units 103,850 Shares of Common Stock 19,038 Equity Compensation Plans Not Approved By Shareholders - |
Information regarding the LTIP-OP Units | The table below sets forth certain information regarding the LTIP-OP Units that have been granted by the board of directors (dollars in thousands, except per share data): LTIP-OP Unit Grant Information Grant Date Number of Grantees Stock Price on Grant Date Number of Units Granted Aggregate Fair Market Value September 9, 2015 12 $ 15.80 35,000 $ 553 June 10, 2014 10 $ 19.33 31,350 $ 606 October 9, 2013 11 $ 20.00 37,500 $ 750 |
Schedule of Basic Earnings per Share of Common Stock | The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Share Information Three Months Ended March 31, 2016 2015 Numerator: Net income attributable to common stockholders and participating securities $ (7,162 ) $ (2,434 ) Net income allocable to common stockholders $ (7,063 ) $ (2,412 ) Denominator: Weighted average common shares outstanding 7,509,543 7,509,543 Weighted average diluted shares outstanding 7,519,038 7,509,543 Basic and Dilutive: Basic earnings per share $ (0.94 ) $ (0.32 ) Diluted earnings per share $ (0.94 ) $ (0.32 ) |
Transactions with Affiliates 33
Transactions with Affiliates and Affiliated Entities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Transactions with Affiliates and Affiliated Entities [Abstract] | |
Management Fee to Affiliate | “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate Three Months Ended March 31, 2016 2015 Management fees $ 560 $ 560 Expense reimbursement 130 130 Total $ 690 $ 690 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments [Abstract] | |
Summary of Outstanding Notional Amounts of Derivative Instruments | The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands): Non-hedge derivatives March 31, 2016 December 31, 2015 Notional amount of interest rate swaps $ 286,750 $ 300,300 Notional amount of swaptions 85,000 85,000 Notional amount of TBAs, net - - Notional amount of Treasury Futures 3,000 - Total notional amount $ 374,750 $ 385,300 |
Summary of Information about Company's Interest Rate Swap Agreements | The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands): Notional Amount Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity March 31, 2016 $ 286,750 1.63 % 0.62 % 3.9 December 31, 2015 $ 300,300 1.71 % 0.37 % 4.3 |
Summary of Realized Gain (Loss) Related to Derivatives | The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended March 31, Non-Hedge Derivatives Income Statement Location 2016 2015 Interest rate swaps Realized gain/(loss) on derivative assets $ (1,350 ) $ (788 ) Swaptions Realized gain/(loss) on derivative assets - - TBAs Realized gain/(loss) on derivative assets (82 ) (109 ) Treasury futures Realized gain/(loss) on derivative assets (29 ) (345 ) Total $ (1,461 ) $ (1,242 ) |
Summary of Assets and Liabilities Subject to Master Netting Arrangements or Similar Agreements | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of March 31, 2016 Gross Gross Amounts Net Amounts of Assets Presented in Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Offset in the Consolidated Balance Sheet the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ - $ - $ - $ - $ - $ - Swaptions 39 - 39 (39 ) - - TBAs 4 - 4 (4 ) - - Treasury futures 30 - 30 (30 ) (257 ) Total Assets $ 73 $ - $ 73 $ (73 ) $ (257 ) $ - Liabilities Repurchase agreements $ 398,374 $ - $ 398,374 $ (396,261 ) $ (2,113 ) $ - Interest rate swaps 9,447 - 9,447 - (9,447 ) - Swaptions - - - - - - TBAs - - - - - - Treasury futures - - - - - - Total Liabilities $ 407,821 $ - $ 407,821 $ (396,261 ) $ (11,560 ) $ - As of December 31, 2015 Gross Gross Amounts Net Amounts of Assets Presented in Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Offset in the Consolidated Balance Sheet the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 51 $ - $ 51 $ (51 ) $ - $ - Swaptions 371 - 371 (371 ) - - TBAs - - - - - - Treasury futures - - - - (84 ) Total Assets $ 422 $ - $ 422 $ (422 ) $ (84 ) $ - Liabilities Repurchase agreements $ 385,560 $ - $ 385,560 $ (381,386 ) $ (4,174 ) $ - Interest rate swaps 4,595 - 4,595 - (4,595 ) - Swaptions - - - - - - TBAs - - - - - - Treasury futures - - - - - - Total Liabilities $ 390,155 $ - $ 390,155 $ (381,386 ) $ (8,769 ) $ - |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value [Abstract] | |
Company's Assets and Liabilities Measured at Fair Value on Recurring Basis | The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands). Recurring Fair Value Measurements As of March 31, 2016 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 320,024 $ - $ 320,024 Freddie Mac - 180,739 - 180,739 CMOs - 7,396 - 7,396 RMBS total - 508,159 - 508,159 Derivative assets Interest rate swaps - - - - Interest rate swaptions - 39 - 39 TBAs - 4 - 4 Treasury Futures - 30 - 30 Derivative assets total - 73 - 73 Servicing related assets - - 92,604 92,604 Total Assets $ - $ 508,232 $ 92,604 $ 600,836 Liabilities Derivative liabilities Interest rate swaps - 9,447 - 9,447 TBAs - - - - Treasury Futures - - - - Derivative liabilities total - 9,447 - 9,447 Total Liabilities $ - $ 9,447 $ - $ 9,447 As of December 31, 2015 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 308,772 $ - $ 308,772 Freddie Mac - 193,411 - 193,411 CMOs - 6,059 - 6,059 RMBS total - 508,242 - 508,242 Derivative assets Interest rate swaps - 51 - 51 Interest rate swaptions - 371 - 371 TBAs - - - - Treasury Futures - - - - Derivative assets total - 422 - 422 Servicing related assets - - 97,803 97,803 Total Assets $ - $ 508,664 $ 97,803 $ 606,467 Liabilities Derivative liabilities Interest rate swaps - 4,595 - 4,595 TBAs - - - - Treasury Futures - - - - Derivative liabilities total - 4,595 - 4,595 Total Liabilities $ - $ 4,595 $ - $ 4,595 |
Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis | The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Level 3 Fair Value Measurements As of March 31, 2016 Level 3 (A) Pool 1 Pool 2 Pool 2014 MSRs Total Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 Purchases and principal paydowns Purchases - - - 4,252 4,252 Proceeds from principal paydowns (3,044 ) (1,731 ) (137 ) - (4,912 ) Changes in fair value due to: Mark to market gain (loss) (1,344 ) (911 ) (52 ) (1,616 ) (3,923 ) Amortization of MSRs - - - (616 ) (616 ) Unrealized gain (loss) included in Net Income $ (1,344 ) $ (911 ) $ (52 ) $ (2,232 ) $ (4,539 ) Balance at March 31, 2016 $ 39,094 $ 30,412 $ 1,317 $ 21,781 $ 92,604 As of December 31, 2015 Level 3 (A) Pool 1 Pool 2 Pool 2014 MSRs Total Balance at December 31, 2014 $ 54,798 $ 34,938 $ 1,586 $ - $ 91,322 Purchases and principal paydowns Purchases - - - 20,884 20,884 Proceeds from principal paydowns (8,825 ) (4,186 ) (250 ) - (13,261 ) Changes in fair value due to: Mark to market gain (loss) (2,491 ) 2,302 170 (567 ) (586 ) Amortization of MSRs - - - (556 ) (556 ) Unrealized gain (loss) included in Net Income $ (2,491 ) $ 2,302 $ 170 $ (1,123 ) $ (1,142 ) Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 (A) Includes the recapture agreement for each respective pool. |
Significant Unobservable Inputs Used in Fair Value Measurement | The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands except per loan figures): Fair Value Measurements As of March 31, 2016 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Pool 1 $ 39,094 Discounted cash flow Constant prepayment speed 4.2% - 23.0 % 12.7 % Uncollected Payments 2.5% - 7.0 % 6.1 % Discount rate 12.3 % Pool 2 $ 30,412 Discounted cash flow Constant prepayment speed 8.0% - 39.9 % 16.0 % Uncollected Payments 9.1% - 13.8 % 12.5 % Discount rate 16.6 % Pool 2014 $ 1,317 Discounted cash flow Constant prepayment speed 3.9% - 28.7 % 12.8 % Uncollected Payments 5.5% - 7.1 % 6.7 % Discount rate 11.9 % MSRs $ 21,781 Discounted cash flow Constant prepayment speed 0.1% - 19.3 % 12.4 % Uncollected payments 0.9% - 1.6 % 1.4 % Discount rate 9.3 % Annual cost to service, per loan $ 65 TOTAL $ 92,604 Discounted cash flow As of December 31, 2015 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Pool 1 $ 43,482 Discounted cash flow Constant prepayment speed 4.0% - 19.0 % 10.5 % Uncollected Payments 2.9% - 7.0 % 6.2 % Discount rate 12.3 % Pool 2 $ 33,054 Discounted cash flow Constant prepayment speed 8.3% - 42.3 % 14.9 % Uncollected Payments 10.4% - 13.9 % 13.0 % Discount rate 16.7 % Pool 2014 $ 1,506 Discounted cash flow Constant prepayment speed 3.9% - 22.3 % 11.2 % Uncollected Payments 5.9% - 7.1 % 6.8 % Discount rate 11.9 % MSRs $ 19,761 Discounted cash flow Constant prepayment speed 0.0% - 13.8 % 9.7 % Uncollected payments 1.2% - 3.4 % 1.6 % Discount rate 8.3 % Annual cost to service, per loan $ 73 TOTAL $ 97,803 Discounted cash flow (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. 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. |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Repurchase Agreements [Abstract] | |
Repurchase Agreements Remaining Maturities and Weighted Average Rates | The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreement Characteristics As of March 31, 2016 Repurchase Agreements Weighted Average Rate Less than one month $ 126,491 0.69 % One to three months 271,883 0.72 % Greater than three months - - Total/Weighted Average $ 398,374 0.71 % As of December 31, 2015 Repurchase Agreements Weighted Average Rate Less than one month $ 93,926 0.55 % One to three months 284,687 0.56 % Greater than three months 6,947 0.52 % Total/Weighted Average $ 385,560 0.56 % |
FHLBI Advances (Tables)
FHLBI Advances (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
FHLBI Advances [Abstract] | |
FHLBI Advances Remaining Maturities and Weighted Average Rates | The outstanding FHLBI advances had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Federal Home Loan Bank Advance Characteristics As of March 31, 2016 Federal Home Loan Bank Advances Weighted Average Rate Less than one month $ 26,500 0.50 % One to three months 20,750 0.65 % Greater than three months - - Total/Weighted Average Federal Home Loan Bank Advances $ 47,250 0.57 % As of December 31, 2015 Federal Home Loan Bank Advances Weighted Average Rate Less than one month $ 15,000 0.44 % One to three months - - % Greater than three months 47,250 0.57 % Total/Weighted Average Federal Home Loan Bank Advances $ 62,250 0.54 % |
Receivables and Other Assets (T
Receivables and Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Receivables and Other Assets [Abstract] | |
Receivables and Other Assets | The assets comprising “Receivables and other assets” as of March 31, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands): Receivables and Other Assets March 31, 2016 December 31, 2015 Excess servicing income receivable $ 2,128 $ 2,159 Servicing advances 612 787 Interest receivable 1,496 1,497 Federal Home Loan Bank stock 3,261 3,261 Deferred tax receivable 793 203 Other receivables 2,511 1,421 Total other assets $ 10,801 $ 9,328 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Income Taxes [Abstract] | |
Components of Income Tax Expense (Benefit) | The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands): Three Months Ended March 31, 2016 2015 Current federal income tax expense $ - $ - Current state income tax expense - - Deferred federal income tax expense (benefit) (499 ) - Deferred state income tax expense (benefit) (91 ) - Total Income Tax Expense $ (590 ) $ - |
Reconciliation of Statutory Federal Rate to Effective Rate | The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Three Months Ended March 31, 2016 2015 Computed income tax (benefit) expense at federal rate $ (2,713 ) 35.0 % $ (852 ) 35.0 % State taxes, net of federal benefit, if applicable (59 ) 0.8 % (95 ) 3.9 % Permanent differences in taxable income from GAAP pre-tax income - (0.1 ) - - REIT income not subject to tax 2,182 (28.1 )% 947 (38.9 )% (Benefit from) Provision for Income Taxes/Effective Tax Rate (A) $ (590 ) 7.6 % $ - - (A) The provision for income taxes is recorded at the TRS level. |
Summary of Current and Deferred Tax Liabilities and Assets | The Company’s consolidated balance sheets, at March 31, 2016 and December 31, 2015, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands): Three Months Ended March 31, 2016 2015 Income taxes (payable) receivable Federal income taxes (payable) receivable $ - $ - State and local income taxes (payable) receivable - - Income taxes (payable) receivable, net $ - $ - March 31, 2016 December 31, 2015 Deferred tax assets (liabilities) Deferred tax asset - organizational expenses $ 72 $ 72 Deferred tax asset - mortgage servicing rights 508 (121 ) Deferred tax asset - net operating loss 213 252 Total net deferred tax assets (liabilities) $ 793 $ 203 |
Business Combinations (Tables)
Business Combinations (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Aurora Financial Group, Inc [Member] | |
Business Acquisition [Line Items] | |
Summary of Preliminary Estimated Fair Values of Assets Acquired and Liabilities Assumed | The following table summarizes the final fair values of the assets acquired and liabilities assumed at the acquisition date (dollars in thousands): Preliminary Fair value of consideration transferred Cash $ 80 Mortgage receivables 2,772 Servicing escrow advances 410 Capital leases 46 Deposits held and prepaid items 28 License approvals 120 MSRs 7,069 Total identifiable assets acquired $ 10,525 Current liabilities 1,643 Settlement liability 260 Assumed debt 3,969 Total liabilities assumed $ 5,872 Net identifiable assets acquired 4,653 Cash consideration transferred (3,919 ) Gain on bargain purchase $ 734 Deferred tax liabiltiy - bargin purchase (285 ) Realized gain (loss) on acquired assets, net $ 449 |
Organization and Operations (De
Organization and Operations (Details) | 3 Months Ended |
Mar. 31, 2016 | |
Organization and Basis of Presentation [Line Items] | |
Date of conducting IPO and concurrent private placement of common stock | Oct. 9, 2013 |
Basis of Presentation and Sig42
Basis of Presentation and Significant Accounting Policies (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||
Restricted cash | $ 12,906,000 | $ 9,942,000 | |
Realized Gain (Loss) on RMBS and Derivatives [Abstract] | |||
Gain on RMBS | 320,000 | $ 307,000 | |
Loss on RMBS | 0 | 0 | |
Net realized gain (loss) on RMBS | 320,000 | 307,000 | |
Realized gain (loss) on derivatives, net | (1,461,000) | (1,242,000) | |
Unrealized gain (loss) on derivatives, net | (5,198,000) | (2,542,000) | |
Total | (6,339,000) | $ (3,477,000) | |
Term Loan [Member] | |||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||
Line of credit, outstanding borrowings amount | 23,800,000 | 24,300,000 | |
Restricted cash | 1,100,000 | 1,100,000 | |
Derivatives [Member] | |||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||
Restricted cash | 9,700,000 | 4,600,000 | |
Repurchase Agreements [Member] | |||
Cash and Cash Equivalents and Restricted Cash [Abstract] | |||
Restricted cash | 2,100,000 | 4,200,000 | |
Receivables and Other Assets [Member] | RMBS [Member] | |||
Investment in RMBS [Abstract] | |||
Income receivable | 1,500,000 | 1,500,000 | |
Receivables and Other Assets [Member] | Excess Mortgage Service Right [Member] | |||
Investment in RMBS [Abstract] | |||
Income receivable | 2,100,000 | $ 2,200,000 | |
Receivables and Other Assets [Member] | Reimbursable Servicing Advances [Member] | |||
Investment in RMBS [Abstract] | |||
Income receivable | $ 612,000 |
Segment Reporting (Details)
Segment Reporting (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Segment Reporting Information [Line Items] | ||||
Interest income | $ 5,188 | $ 5,827 | ||
Interest expense | 1,657 | 1,235 | ||
Net interest income | 3,531 | 4,592 | ||
Servicing fee income | 1,495 | 0 | ||
Servicing costs | 402 | 0 | ||
Net servicing income | 1,093 | 0 | ||
Other income | (10,878) | (5,594) | ||
Other operating expenses | 1,498 | 1,432 | ||
Provision for corporate business taxes | [1] | (590) | 0 | |
Net Income (Loss) | (7,162) | (2,434) | ||
Investments | 600,763 | $ 606,045 | ||
Other assets | 34,429 | 30,295 | ||
Total Assets | 635,192 | 636,340 | ||
Debt | 469,460 | 472,123 | ||
Other liabilities | 16,775 | 11,880 | ||
Total Liabilities | 486,235 | 484,003 | ||
GAAP book value | 148,957 | 152,337 | ||
Servicing Related Assets [Member] | Operating Segments [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,444 | 2,575 | ||
Interest expense | 340 | 0 | ||
Net interest income | 1,104 | 2,575 | ||
Servicing fee income | 1,495 | 0 | ||
Servicing costs | 402 | 0 | ||
Net servicing income | 1,093 | 0 | ||
Other income | (4,539) | (2,117) | ||
Other operating expenses | 0 | 0 | ||
Provision for corporate business taxes | 0 | 0 | ||
Net Income (Loss) | (2,342) | 458 | ||
Investments | 92,604 | 97,803 | ||
Other assets | 3,665 | 3,562 | ||
Total Assets | 96,269 | 101,365 | ||
Debt | 23,836 | 24,313 | ||
Other liabilities | 2,007 | 1,883 | ||
Total Liabilities | 25,843 | 26,196 | ||
GAAP book value | 70,426 | 75,169 | ||
RMBS [Member] | Operating Segments [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 3,744 | 3,252 | ||
Interest expense | 1,317 | 1,235 | ||
Net interest income | 2,427 | 2,017 | ||
Servicing fee income | 0 | 0 | ||
Servicing costs | 0 | 0 | ||
Net servicing income | 0 | 0 | ||
Other income | (6,339) | (3,477) | ||
Other operating expenses | 0 | 0 | ||
Provision for corporate business taxes | 0 | 0 | ||
Net Income (Loss) | (3,912) | (1,460) | ||
Investments | 508,159 | 508,242 | ||
Other assets | 17,718 | 13,984 | ||
Total Assets | 525,877 | 522,226 | ||
Debt | 445,624 | 447,810 | ||
Other liabilities | 9,734 | 4,903 | ||
Total Liabilities | 455,358 | 452,713 | ||
GAAP book value | 70,519 | 69,513 | ||
All Other [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 0 | 0 | ||
Interest expense | 0 | 0 | ||
Net interest income | 0 | 0 | ||
Servicing fee income | 0 | 0 | ||
Servicing costs | 0 | 0 | ||
Net servicing income | 0 | 0 | ||
Other income | 0 | 0 | ||
Other operating expenses | 1,498 | 1,432 | ||
Provision for corporate business taxes | (590) | 0 | ||
Net Income (Loss) | (908) | $ (1,432) | ||
Investments | 0 | 0 | ||
Other assets | 13,046 | 12,749 | ||
Total Assets | 13,046 | 12,749 | ||
Debt | 0 | 0 | ||
Other liabilities | 5,034 | 5,094 | ||
Total Liabilities | 5,034 | 5,094 | ||
GAAP book value | $ 8,012 | $ 7,655 | ||
[1] | The provision for income taxes is recorded at the TRS level. |
Investments in RMBS (Details)
Investments in RMBS (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016USD ($)Security | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)Security | ||
Schedule of Available-for-sale Securities [Line Items] | ||||
Carrying value | $ 508,159 | $ 508,242 | ||
OTTI charges recognized in earnings | 0 | $ 0 | ||
RMBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
OTTI securities | 0 | 0 | ||
Original face value | 550,707 | 554,567 | ||
Book value | 501,025 | 508,427 | ||
Gross unrealized gains | 7,514 | 2,782 | ||
Gross unrealized losses | (380) | (2,967) | ||
Carrying value | [1] | $ 508,159 | $ 508,242 | |
Number of securities | Security | 74 | 72 | ||
Weighted average coupon | 3.72% | 3.72% | ||
Weighted average yield | [2] | 3.56% | 3.60% | |
Weighted average maturity | [3] | 24 years | 23 years | |
Carrying value of collateral for repurchase agreements | $ 416,100 | $ 399,800 | ||
Carrying value of collateral for FHLB | 51,800 | 83,200 | ||
RMBS [Member] | Fannie Mae [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Original face value | 342,288 | 329,767 | ||
Book value | 315,200 | 308,367 | ||
Gross unrealized gains | 4,888 | 1,961 | ||
Gross unrealized losses | (64) | (1,556) | ||
Carrying value | [1] | $ 320,024 | $ 308,772 | |
Number of securities | Security | 46 | 44 | ||
Weighted average rating | [4] | |||
Weighted average coupon | 3.77% | 3.77% | ||
Weighted average yield | [2] | 3.59% | 3.59% | |
Weighted average maturity | [3] | 23 years | 24 years | |
RMBS [Member] | Freddie Mac [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Original face value | $ 190,523 | $ 208,154 | ||
Book value | 178,119 | 193,567 | ||
Gross unrealized gains | 2,620 | 821 | ||
Gross unrealized losses | 0 | (977) | ||
Carrying value | [1] | $ 180,739 | $ 193,411 | |
Number of securities | Security | 23 | 24 | ||
Weighted average rating | [4] | |||
Weighted average coupon | 3.62% | 3.61% | ||
Weighted average yield | [2] | 3.35% | 3.48% | |
Weighted average maturity | [3] | 25 years | 24 years | |
RMBS [Member] | CMOs [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Original face value | $ 17,896 | $ 16,646 | ||
Book value | 7,706 | 6,493 | ||
Gross unrealized gains | 6 | 0 | ||
Gross unrealized losses | (316) | (434) | ||
Carrying value | [1] | $ 7,396 | $ 6,059 | |
Number of securities | Security | 5 | 4 | ||
Weighted average rating | Unrated | Unrated | ||
Weighted average coupon | 4.35% | 4.55% | ||
Weighted average yield | [2] | 6.96% | 7.39% | |
Weighted average maturity | [3] | 10 years | 10 years | |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. | |||
[2] | The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. | |||
[3] | The weighted average stated maturity. | |||
[4] | The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities. |
Investments in RMBS, Assets by
Investments in RMBS, Assets by Maturity (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | ||
Schedule of Available-for-sale Securities [Line Items] | |||
Carrying value | $ 508,159 | $ 508,242 | |
RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | 550,707 | 554,567 | |
Book value | 501,025 | 508,427 | |
Gross unrealized gains | 7,514 | 2,782 | |
Gross unrealized losses | (380) | (2,967) | |
Carrying value | [1] | $ 508,159 | $ 508,242 |
Number of securities | Security | 74 | 72 | |
Weighted average coupon | 3.72% | 3.72% | |
Weighted average yield | [2] | 3.56% | 3.60% |
Weighted average maturity | [3] | 24 years | 23 years |
RMBS [Member] | Less than 1 Year [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 0 | $ 0 | |
Book value | 0 | 0 | |
Gross unrealized gains | 0 | 0 | |
Gross unrealized losses | 0 | 0 | |
Carrying value | [1] | $ 0 | $ 0 |
Number of securities | Security | 0 | 0 | |
Weighted average coupon | 0.00% | 0.00% | |
Weighted average yield | [2] | 0.00% | 0.00% |
Weighted average maturity | [3] | 0 years | 0 years |
RMBS [Member] | 1-5 Years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 0 | $ 0 | |
Book value | 0 | 0 | |
Gross unrealized gains | 0 | 0 | |
Gross unrealized losses | 0 | 0 | |
Carrying value | [1] | $ 0 | $ 0 |
Number of securities | Security | 0 | 0 | |
Weighted average coupon | 0.00% | 0.00% | |
Weighted average yield | [2] | 0.00% | 0.00% |
Weighted average maturity | [3] | 0 years | 0 years |
RMBS [Member] | 5-10 Years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 5,500 | $ 5,500 | |
Book value | 5,553 | 5,553 | |
Gross unrealized gains | 0 | 0 | |
Gross unrealized losses | (159) | (216) | |
Carrying value | [1] | $ 5,394 | $ 5,337 |
Number of securities | Security | 3 | 3 | |
Weighted average rating | [4] | ||
Weighted average coupon | 4.77% | 4.76% | |
Weighted average yield | [2] | 4.57% | 4.96% |
Weighted average maturity | [3] | 9 years | 9 years |
RMBS [Member] | Over 10 Years [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 545,207 | $ 549,067 | |
Book value | 495,472 | 502,874 | |
Gross unrealized gains | 7,514 | 2,782 | |
Gross unrealized losses | (221) | (2,751) | |
Carrying value | [1] | $ 502,765 | $ 502,905 |
Number of securities | Security | 71 | 69 | |
Weighted average rating | [4] | ||
Weighted average coupon | 3.71% | 3.71% | |
Weighted average yield | [2] | 3.55% | 3.59% |
Weighted average maturity | [3] | 24 years | 24 years |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. | ||
[2] | The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. | ||
[3] | The weighted average stated maturity. | ||
[4] | The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities. |
Investments in RMBS, Unrealized
Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)Security | Dec. 31, 2015USD ($)Security | ||
Schedule of Available-for-sale Securities [Line Items] | |||
Carrying value | $ 508,159 | $ 508,242 | |
RMBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | 550,707 | 554,567 | |
Book value | 501,025 | 508,427 | |
Gross unrealized losses | (380) | (2,967) | |
Carrying value | [1] | $ 508,159 | $ 508,242 |
Number of securities | Security | 74 | 72 | |
Weighted average coupon | 3.72% | 3.72% | |
Weighted average yield | [2] | 3.56% | 3.60% |
Weighted average maturity | [3] | 24 years | 23 years |
RMBS [Member] | Unrealized Loss Positions [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 61,678 | $ 282,731 | |
Book value | 52,072 | 275,936 | |
Gross unrealized losses | (380) | (2,967) | |
Carrying value | [4] | $ 51,692 | $ 272,969 |
Number of securities | Security | 11 | 40 | |
Weighted average coupon | 3.68% | 3.65% | |
Weighted average yield | [2] | 3.86% | 3.55% |
Weighted average maturity | [5] | 19 years | 24 years |
RMBS [Member] | Unrealized Loss Positions [Member] | Less than Twelve Months [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 33,101 | $ 271,585 | |
Book value | 34,495 | 274,996 | |
Gross unrealized losses | (187) | (2,749) | |
Carrying value | [4] | $ 34,308 | $ 272,247 |
Number of securities | Security | 7 | 39 | |
Weighted average rating | [6] | ||
Weighted average coupon | 3.94% | 3.65% | |
Weighted average yield | [2] | 3.72% | 3.48% |
Weighted average maturity | [5] | 20 years | 24 years |
RMBS [Member] | Unrealized Loss Positions [Member] | Twelve or More Months [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Original face value | $ 28,577 | $ 11,146 | |
Book value | 17,577 | 940 | |
Gross unrealized losses | (193) | (218) | |
Carrying value | [4] | $ 17,384 | $ 722 |
Number of securities | Security | 4 | 1 | |
Weighted average rating | [6] | ||
Weighted average coupon | 3.15% | 3.00% | |
Weighted average yield | [2] | 4.15% | 25.37% |
Weighted average maturity | [5] | 15 years | 17 years |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. | ||
[2] | The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation. | ||
[3] | The weighted average stated maturity. | ||
[4] | See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. | ||
[5] | The weighted average stated maturity. The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. | ||
[6] | The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated. |
Investments in Servicing Rela47
Investments in Servicing Related Assets (Details) - USD ($) | Mar. 31, 2014 | Feb. 28, 2014 | Mar. 31, 2016 | Jun. 30, 2014 | Jan. 29, 2016 | Oct. 30, 2015 | May. 29, 2015 | Oct. 31, 2013 |
Aurora Financial Group, Inc [Member] | ||||||||
Investment [Line Items] | ||||||||
Mortgage loans with an outstanding principal balance | $ 1,400,000,000 | |||||||
Aggregate unpaid principal balance | $ 463,000,000 | $ 718,400,000 | ||||||
Excess MSR Pool 1 [Member] | ||||||||
Investment [Line Items] | ||||||||
Mortgage loans with an outstanding principal balance | $ 10,000,000,000 | |||||||
Weighted average mortgage servicing amount on unpaid balance | 0.28% | |||||||
Amount representing reasonable compensation for performing the servicing duties | 0.08% | |||||||
Excess mortgage servicing amount | 0.20% | |||||||
Excess MSR Pool 1 [Member] | Aurora Financial Group, Inc [Member] | ||||||||
Investment [Line Items] | ||||||||
Acquired servicing rights, excess mortgage servicing amount | 85.00% | |||||||
Refinancing of loans | $ 60,600,000 | |||||||
Percentage of co-investment in excess MSRs, pari passu | 15.00% | |||||||
Percentage of pro rata share of termination payment | 85.00% | |||||||
Excess MSR Pool 2 [Member] | ||||||||
Investment [Line Items] | ||||||||
Mortgage loans with an outstanding principal balance | $ 10,700,000,000 | |||||||
Weighted average mortgage servicing amount on unpaid balance | 0.44% | |||||||
Amount representing reasonable compensation for performing the servicing duties | 0.10% | |||||||
Excess mortgage servicing amount | 0.34% | |||||||
Excess MSR Pool 2 [Member] | Aurora Financial Group, Inc [Member] | ||||||||
Investment [Line Items] | ||||||||
Acquired servicing rights, excess mortgage servicing amount | 50.00% | |||||||
Refinancing of loans | $ 38,400,000 | |||||||
Percentage of co-investment in excess MSRs, pari passu | 50.00% | |||||||
Percentage of pro rata share of termination payment | 50.00% | |||||||
Freedom Mortgage Excess Service Right [Member] | ||||||||
Investment [Line Items] | ||||||||
Aggregate unpaid principal balance | $ 159,800,000 | $ 76,800,000 | $ 98,100,000 | |||||
Excess mortgage servicing acquired | 71.00% | 85.00% | 85.00% | |||||
Excess mortgage servicing acquired, amount | $ 946,000 | $ 567,000 | $ 661,000 |
Investments in Servicing Rela48
Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Investment [Line Items] | |||
Unpaid principal balance | $ 16,803,152 | $ 16,978,412 | |
Amortized cost basis | [1] | 87,374 | 89,157 |
Carrying value | [2] | $ 92,604 | $ 97,803 |
Weighted average coupon | 3.26% | 3.23% | |
Weighted average maturity | [3] | 25 years 9 months 18 days | 26 years 1 month 6 days |
Changes in fair value recorded in other income (loss) | [4] | $ (4,539) | $ (1,142) |
Pool 1 [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 7,142,753 | 7,416,465 | |
Amortized cost basis | [1] | 36,623 | 39,483 |
Carrying value | [2] | $ 37,528 | $ 42,837 |
Weighted average coupon | 3.51% | 3.51% | |
Weighted average maturity | [3] | 25 years 9 months 18 days | 26 years |
Changes in fair value recorded in other income (loss) | [4] | $ (2,449) | $ (2,822) |
Pool 1 - Recapture Agreement [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 0 | 0 | |
Amortized cost basis | [1] | 2,025 | 2,209 |
Carrying value | [2] | 1,566 | $ 645 |
Weighted average coupon | 0.00% | ||
Weighted average maturity | [3] | 0 years | |
Changes in fair value recorded in other income (loss) | [4] | 1,105 | $ 331 |
Pool 2 [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 6,999,638 | 7,279,706 | |
Amortized cost basis | [1] | 21,533 | 23,116 |
Carrying value | [2] | $ 29,467 | $ 32,338 |
Weighted average coupon | 2.82% | 2.78% | |
Weighted average maturity | [3] | 26 years 9 months 18 days | 27 years 1 month 6 days |
Changes in fair value recorded in other income (loss) | [4] | $ (1,288) | $ 2,626 |
Pool 2 - Recapture Agreement [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 0 | 0 | |
Amortized cost basis | [1] | 1,632 | 1,780 |
Carrying value | [2] | 945 | $ 716 |
Weighted average coupon | 0.00% | ||
Weighted average maturity | [3] | 0 years | |
Changes in fair value recorded in other income (loss) | [4] | 377 | $ (324) |
Pool 2014 [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 254,898 | 265,890 | |
Amortized cost basis | [1] | 1,548 | 1,685 |
Carrying value | [2] | $ 1,317 | $ 1,506 |
Weighted average coupon | 3.65% | 3.65% | |
Weighted average maturity | [3] | 27 years 2 months 12 days | 27 years 4 months 24 days |
Changes in fair value recorded in other income (loss) | [4] | $ (52) | $ 170 |
Pool 2014 - Recapture Agreement [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | 0 | 0 | |
Amortized cost basis | [1] | 0 | 0 |
Carrying value | [2] | 0 | $ 0 |
Weighted average coupon | 0.00% | ||
Weighted average maturity | [3] | 0 years | |
Changes in fair value recorded in other income (loss) | [4] | 0 | $ 0 |
Mortgage Servicing Rights (MSRs) [Member] | |||
Investment [Line Items] | |||
Unpaid principal balance | [5] | 2,405,863 | 2,016,351 |
Amortized cost basis | [1],[5] | 24,013 | 20,884 |
Carrying value | [2],[5] | $ 21,781 | $ 19,761 |
Weighted average coupon | [5] | 3.78% | 3.76% |
Weighted average maturity | [3],[5] | 22 years 7 months 6 days | 22 years 8 months 12 days |
Changes in fair value recorded in other income (loss) | [4],[5] | $ (2,232) | $ (1,123) |
[1] | The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. | ||
[2] | Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). | ||
[3] | The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. | ||
[4] | The portion of the change in fair value of the recapture agreement relating to loans recaptured as of March 31, 2016 and December 31, 2015 is reflected in the respective pool. | ||
[5] | MSR cost basis consists of the carrying value of the prior period, adjusted for any acquisitions made during the current period. |
Investments in Servicing Rela49
Investments in Servicing Related Assets, Geographic Concentration (Details) | Mar. 31, 2016 | Dec. 31, 2015 |
Investment [Line Items] | ||
Outstanding unpaid principal balance | 100.00% | 100.00% |
California [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 12.00% | 12.30% |
Texas [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 9.20% | 9.40% |
Florida [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 6.50% | 6.50% |
Virginia [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.90% | 6.00% |
North Carolina [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.10% | 5.20% |
New Jersey [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.10% | |
Washington [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.10% | |
Georgia [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.00% | |
All Other [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 56.20% | 50.50% |
Equity and Earnings per Share,
Equity and Earnings per Share, Equity (Details) | Sep. 09, 2015USD ($)Individual$ / sharesshares | Jun. 10, 2014USD ($)Individual$ / sharesshares | Jan. 27, 2014shares | Oct. 09, 2013USD ($)Individual$ / sharesshares | Mar. 31, 2016USD ($)shares | Mar. 31, 2015USD ($) | Dec. 31, 2015shares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of individuals granted units under the plan | Individual | 12 | 10 | 11 | ||||
Price of the Company's common stock on the grant date (in dollars per share) | $ / shares | $ 15.80 | $ 19.33 | $ 20 | ||||
Aggregate grant date fair value (in shares) | 35,000 | 31,350 | 37,500 | ||||
Aggregate grant date fair value LTIP-OP units | $ | $ 553 | $ 606 | $ 750 | ||||
Long Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
LTIP-OP unit vested (in shares) | 37,950 | ||||||
Share-based compensation expense recognized | $ | $ 147,000 | $ 102,000 | |||||
Share-based compensation expense related to non-vested (in shares) | 65,900 | ||||||
Unrecognized share-based compensation expense | $ | $ 781,000 | ||||||
Long Term Incentive Plan Units [Member] | Maximum [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Period of recognition of unrecognized share-based compensation expense | 3 years | ||||||
Long Term Incentive Plan Units [Member] | Directors [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Aggregate grant date fair value (in shares) | 7,500 | ||||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of securities remaining available for future issuance under equity compensation plans (in shares) | 1,377,112 | 1,377,112 | |||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | Long Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of securities issued or to be issued upon exercise (in shares) | 103,850 | 103,850 | |||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | Common Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of securities issued or to be issued upon exercise (in shares) | 19,038 | 19,038 | |||||
2013 Equity Compensation Plans Not Approved By Security Shareholders [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of securities remaining available for future issuance under equity compensation plans (in shares) | 0 | 0 | |||||
2013 Plan [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Number of share equivalent to unit awarded (in shares) | 1 | ||||||
2013 Plan [Member] | Common Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Aggregate grant date fair value (in shares) | 1,590 | ||||||
2013 Plan [Member] | Common Stock [Member] | Directors [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Aggregate grant date fair value (in shares) | 530 | ||||||
2013 Plan [Member] | Restricted Common Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Aggregate grant date fair value (in shares) | 9,495 | 7,953 | |||||
Forfeiture period of restricted shares | 3 years | 1 year | |||||
2013 Plan [Member] | Restricted Common Stock [Member] | Directors [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Aggregate grant date fair value (in shares) | 3,165 | 2,651 |
Equity and Earnings per Share51
Equity and Earnings per Share, Non-Controlling Interests (Details) - Long Term Incentive Plan Units [Member] | Mar. 31, 2016shares |
Noncontrolling Interest [Line Items] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) | 103,850 |
Percentage of operating partnership | 1.40% |
Equity and Earnings per Share52
Equity and Earnings per Share, Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Numerator [Abstract] | ||
Net income attributable to common stockholders and participating securities | $ (7,162) | $ (2,434) |
Net income allocable to common stockholders | $ (7,063) | $ (2,412) |
Denominator [Abstract] | ||
Weighted average common shares outstanding (in shares) | 7,509,543 | 7,509,543 |
Weighted average diluted shares outstanding (in shares) | 7,519,038 | 7,509,543 |
Basic and Dilutive [Abstract] | ||
Basic earnings per share (in dollars per share) | $ (0.94) | $ (0.32) |
Diluted earnings per share (in dollars per share) | $ (0.94) | $ (0.32) |
Anti-dilutive securities (in shares) | 0 | 0 |
Transactions with Affiliates 53
Transactions with Affiliates and Affiliated Entities (Details) - USD ($) | Jun. 10, 2015 | Mar. 31, 2016 | Mar. 31, 2015 |
Transactions with Affiliates and Affiliated Entities [Abstract] | |||
Renew of management agreement subject to termination | 1 year | ||
Percentage of annual management fee paid equal to gross equity | 1.50% | ||
Subservicing agreement initial term | 3 years | ||
Subservicing agreement additional term | 3 years | ||
Maximum number of days to repurchase security | 120 years | ||
Other affiliated entities, income | $ 2,000 | ||
Related Party Transaction [Line Items] | |||
Management fees | 560,000 | $ 560,000 | |
Expense reimbursement | 130,000 | 130,000 | |
Total | 690,000 | $ 690,000 | |
Maximum [Member] | |||
Related Party Transaction [Line Items] | |||
Other affiliated entities, expense | $ 1,000 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Notional Amount of Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 286,750 | $ 300,300 |
Weighted Average Pay Rate | 1.63% | 1.71% |
Weighted Average Receive Rate | 0.62% | 0.37% |
Weighted Average Years to Maturity | 3 years 10 months 24 days | 4 years 3 months 18 days |
Not Designated as Hedging Instrument [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 374,750 | $ 385,300 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 286,750 | 300,300 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 85,000 | 85,000 |
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 0 | 0 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 3,000 | $ 0 |
Derivative Instruments - Summ55
Derivative Instruments - Summary of Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | $ (1,461) | $ (1,242) |
Not Designated as Hedging Instrument [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | (1,461) | (1,242) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivative Assets [Member] | Interest Rate Swaps [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | (1,350) | (788) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivative Assets [Member] | Swaptions [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | 0 | 0 |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivative Assets [Member] | TBAs [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | (82) | (109) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivative Assets [Member] | Treasury Futures [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | $ (29) | $ (345) |
Derivative Instruments - Summ56
Derivative Instruments - Summary of Assets and Liabilities Subject to Master Netting Arrangements or Similar Agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting Derivative Assets [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | $ 73 | $ 422 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 73 | 422 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (73) | (422) |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | (257) | (84) |
Net Amount | 0 | 0 |
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 407,821 | 390,155 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 407,821 | 390,155 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (396,261) | (381,386) |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | (11,560) | (8,769) |
Net Amount | 0 | 0 |
Repurchase Agreements [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 398,374 | 385,560 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 398,374 | 385,560 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (396,261) | (381,386) |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | (2,113) | (4,174) |
Net Amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 0 | 51 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 51 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | 0 | (51) |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 9,447 | 4,595 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 9,447 | 4,595 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | (9,447) | (4,595) |
Net Amount | 0 | 0 |
Swaptions [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 39 | 371 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 39 | 371 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (39) | (371) |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | 0 | 0 |
TBAs [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 4 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 4 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (4) | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | 0 | 0 |
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | 0 | 0 |
Treasury Futures [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 30 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 30 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | (30) | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | (257) | (84) |
Offsetting Derivative Liabilities [Abstract] | ||
Gross Amounts of Recognized Assets or Liabilities | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Fair Value - Company's Assets a
Fair Value - Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets [Abstract] | ||
Derivative assets total | $ 73 | $ 422 |
Liabilities [Abstract] | ||
Derivative liabilities total | 9,447 | 4,595 |
Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 51 |
Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 39 | 371 |
TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 4 | 0 |
Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | $ 30 | $ 0 |
Level 2 [Member] | RMBS [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Level 3 [Member] | Excess MSRs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Level 3 [Member] | MSRs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | $ 0 | $ 0 |
Servicing related assets | 0 | 0 |
Total Assets | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 73 | 422 |
Servicing related assets | 0 | 0 |
Total Assets | 508,232 | 508,664 |
Liabilities [Abstract] | ||
Derivative liabilities total | 9,447 | 4,595 |
Total Liabilities | 9,447 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 508,159 | 508,242 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 320,024 | 308,772 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 180,739 | 193,411 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 7,396 | 6,059 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 51 |
Liabilities [Abstract] | ||
Derivative liabilities total | 9,447 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 39 | 371 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 4 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 30 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Servicing related assets | 92,604 | 97,803 |
Total Assets | 92,604 | 97,803 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 73 | 422 |
Servicing related assets | 92,604 | 97,803 |
Total Assets | 600,836 | 606,467 |
Liabilities [Abstract] | ||
Derivative liabilities total | 9,447 | 4,595 |
Total Liabilities | 9,447 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 508,159 | 508,242 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 320,024 | 308,772 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 180,739 | 193,411 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 7,396 | 6,059 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 51 |
Liabilities [Abstract] | ||
Derivative liabilities total | 9,447 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 39 | 371 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 4 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 30 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | $ 0 | $ 0 |
Derivative Instruments [Member] | Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Fair Value - Company's Level 3
Fair Value - Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Purchases and principal paydowns [Abstract] | ||||
Purchases | $ 0 | $ 0 | ||
Changes in fair value due to [Abstract] | ||||
Unrealized gain (loss) included in Net Income | (4,539) | (2,117) | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | [1] | 97,803 | 91,322 | $ 91,322 |
Purchases and principal paydowns [Abstract] | ||||
Purchases | [1] | 4,252 | 20,884 | |
Proceeds from principal paydowns | [1] | (4,912) | (13,261) | |
Changes in fair value due to [Abstract] | ||||
Mark to market gain (loss) | [1] | (3,923) | (586) | |
Amortization of MSRs | [1] | (616) | (556) | |
Unrealized gain (loss) included in Net Income | [1] | (4,539) | (1,142) | |
Ending balance | [1] | 92,604 | 97,803 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 1 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | [1] | 43,482 | 54,798 | 54,798 |
Purchases and principal paydowns [Abstract] | ||||
Purchases | [1] | 0 | 0 | |
Proceeds from principal paydowns | [1] | (3,044) | (8,825) | |
Changes in fair value due to [Abstract] | ||||
Mark to market gain (loss) | [1] | (1,344) | (2,491) | |
Amortization of MSRs | [1] | 0 | 0 | |
Unrealized gain (loss) included in Net Income | [1] | (1,344) | (2,491) | |
Ending balance | [1] | 39,094 | 43,482 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | [1] | 33,054 | 34,938 | 34,938 |
Purchases and principal paydowns [Abstract] | ||||
Purchases | [1] | 0 | 0 | |
Proceeds from principal paydowns | [1] | (1,731) | (4,186) | |
Changes in fair value due to [Abstract] | ||||
Mark to market gain (loss) | [1] | (911) | 2,302 | |
Amortization of MSRs | [1] | 0 | 0 | |
Unrealized gain (loss) included in Net Income | [1] | (911) | 2,302 | |
Ending balance | [1] | 30,412 | 33,054 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2014 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | [1] | 1,506 | 1,586 | 1,586 |
Purchases and principal paydowns [Abstract] | ||||
Purchases | [1] | 0 | 0 | |
Proceeds from principal paydowns | [1] | (137) | (250) | |
Changes in fair value due to [Abstract] | ||||
Mark to market gain (loss) | [1] | (52) | 170 | |
Amortization of MSRs | [1] | 0 | 0 | |
Unrealized gain (loss) included in Net Income | [1] | (52) | 170 | |
Ending balance | [1] | 1,317 | 1,506 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | MSRs [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | [1] | 19,761 | $ 0 | 0 |
Purchases and principal paydowns [Abstract] | ||||
Purchases | [1] | 4,252 | 20,884 | |
Proceeds from principal paydowns | [1] | 0 | 0 | |
Changes in fair value due to [Abstract] | ||||
Mark to market gain (loss) | [1] | (1,616) | (567) | |
Amortization of MSRs | [1] | (616) | (556) | |
Unrealized gain (loss) included in Net Income | [1] | (2,232) | (1,123) | |
Ending balance | [1] | $ 21,781 | $ 19,761 | |
[1] | Includes the recapture agreement for each respective pool. |
Fair Value - Significant Unobse
Fair Value - Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 92,604 | $ 97,803 | |
Pool 1 [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 39,094 | $ 43,482 | |
Pool 1 [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 4.20% | 4.00% |
Uncollected Payments | [1] | 2.50% | 2.90% |
Pool 1 [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 23.00% | 19.00% |
Uncollected Payments | [1] | 7.00% | 7.00% |
Pool 1 [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 12.70% | 10.50% |
Uncollected Payments | [1] | 6.10% | 6.20% |
Discount rate | [1] | 12.30% | 12.30% |
Pool 2 [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 30,412 | $ 33,054 | |
Pool 2 [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 8.00% | 8.30% |
Uncollected Payments | [1] | 9.10% | 10.40% |
Pool 2 [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 39.90% | 42.30% |
Uncollected Payments | [1] | 13.80% | 13.90% |
Pool 2 [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 16.00% | 14.90% |
Uncollected Payments | [1] | 12.50% | 13.00% |
Discount rate | [1] | 16.60% | 16.70% |
Pool 2014 [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 1,317 | $ 1,506 | |
Pool 2014 [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 3.90% | 3.90% |
Uncollected Payments | [1] | 5.50% | 5.90% |
Pool 2014 [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 28.70% | 22.30% |
Uncollected Payments | [1] | 7.10% | 7.10% |
Pool 2014 [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 12.80% | 11.20% |
Uncollected Payments | [1] | 6.70% | 6.80% |
Discount rate | [1] | 11.90% | 11.90% |
MSRs [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 21,781 | $ 19,761 | |
Annual cost to service, per loan | [1] | $ 65 | $ 73 |
MSRs [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 0.10% | 0.00% |
Uncollected Payments | [1] | 0.90% | 1.20% |
MSRs [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 19.30% | 13.80% |
Uncollected Payments | [1] | 1.60% | 3.40% |
MSRs [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Constant prepayment speed | [1] | 12.40% | 9.70% |
Uncollected Payments | [1] | 1.40% | 1.60% |
Discount rate | [1] | 9.30% | 8.30% |
[1] | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. 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. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Net Investment Income [Line Items] | ||
Percentage of annual management fee paid equal to gross equity | 1.50% | |
Accruals of legal and regulatory claims | $ 0 | $ 0 |
Fannie Mae [Member] | ||
Net Investment Income [Line Items] | ||
Securities obligated to purchase | 4,000 | 0 |
Securities obligated to sell | $ 0 | |
Fannie Mae [Member] | Maximum [Member] | ||
Net Investment Income [Line Items] | ||
Securities obligated to sell | $ 1,000 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Repurchase Agreements [Abstract] | ||
Weighted average of remaining maturities days | 45 days | 47 days |
Repurchase Agreement Characteristics Remaining Maturities [Abstract] | ||
Less than one month, repurchase agreements | $ 126,491 | $ 93,926 |
One to three months, repurchase agreements | 271,883 | 284,687 |
Greater than three months, repurchase agreements | 0 | 6,947 |
Total repurchase agreements | $ 398,374 | $ 385,560 |
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.69% | 0.55% |
One to three months, weighted average rate | 0.72% | 0.56% |
Greater than three months, weighted average rate | 0.00% | 0.52% |
Weighted average rate | 0.71% | 0.56% |
FHLBI Advances (Details)
FHLBI Advances (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
FHLBI Advances [Abstract] | ||
Weighted average borrowing rate | 0.57% | 0.54% |
Weighted average of remaining maturities days | 26 days | 94 days |
Federal Home Loan Bank, Advances, Remaining Maturities [Abstract] | ||
Less than one month, Federal Home Loan Bank advances | $ 26,500 | $ 15,000 |
One to three months, Federal Home Loan Bank advances | 20,750 | 0 |
Greater than three months, Federal Home Loan Bank advances | 0 | 47,250 |
Total Federal Home Loan Bank advances | $ 47,250 | $ 62,250 |
Federal Home Loan Bank Advances, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.50% | 0.44% |
One to three months, weighted average rate | 0.65% | 0.00% |
Greater than three months, weighted average rate | 0.00% | 0.57% |
Weighted average rate | 0.57% | 0.54% |
Notes Payable (Details)
Notes Payable (Details) - Term Loan [Member] - Secured Notes Payable [Member] - 5.57% Notes Payable Due in April 2020 [Member] - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | ||
Line of credit, outstanding borrowings amount | $ 23.8 | $ 24.3 |
Maximum borrowing amount | $ 25 | |
Interest rate on loans payable | 5.57% | |
Debt instrument, amortization period | 10 years | |
Debt instrument maturity date | Apr. 30, 2020 |
Receivables and Other Assets (D
Receivables and Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Receivables and Other Assets [Abstract] | ||
Excess servicing income receivable | $ 2,128 | $ 2,159 |
Servicing advances | 612 | 787 |
Interest receivable | 1,496 | 1,497 |
Federal Home Loan Bank stock | 3,261 | 3,261 |
Deferred tax receivable | 793 | 203 |
Other receivables | 2,511 | 1,421 |
Total other assets | $ 10,801 | $ 9,328 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Components of Income Tax Expense (Benefit) [Abstract] | ||||
Current federal income tax expense | $ 0 | $ 0 | ||
Current state income tax expense | 0 | 0 | ||
Deferred federal income tax expense (benefit) | (499,000) | 0 | ||
Deferred state income tax expense (benefit) | (91,000) | 0 | ||
Total Income Tax Expense | [1] | (590,000) | 0 | |
Effective Income Tax Rate Reconciliation, Amount [Abstract] | ||||
Computed income tax (benefit) expense at federal rate | (2,713,000) | (852,000) | ||
State taxes, net of federal benefit, if applicable | (59,000) | (95,000) | ||
Permanent differences in taxable income from GAAP pre-tax income | 0 | 0 | ||
REIT income not subject to tax | 2,182,000 | 947,000 | ||
Total Income Tax Expense | [1] | $ (590,000) | $ 0 | |
Effective Income Tax Rate Reconciliation, Percent [Abstract] | ||||
Computed income tax (benefit) expense at federal rate | 35.00% | 35.00% | ||
State taxes, net of federal benefit, if applicable | 0.80% | 3.90% | ||
Permanent differences in taxable income from GAAP pre-tax income | (0.10%) | 0.00% | ||
REIT income not subject to tax | (28.10%) | (38.90%) | ||
(Benefit from) Provision for Income Taxes/Effective Tax Rate | [1] | 7.60% | 0.00% | |
Income taxes (payable) receivable [Abstract] | ||||
Federal income taxes (payable) receivable | $ 0 | $ 0 | ||
State and local income taxes (payable) receivable | 0 | 0 | ||
Income taxes (payable) receivable, net | 0 | $ 0 | ||
Deferred tax assets (liabilities) [Abstract] | ||||
Deferred tax asset - organizational expenses | 72,000 | $ 72,000 | ||
Deferred tax asset - mortgage servicing rights | 508,000 | (121,000) | ||
Deferred tax asset - net operating loss | 213,000 | 252,000 | ||
Total net deferred tax assets (liabilities) | 793,000 | 203,000 | ||
Income Taxes [Line Items] | ||||
Deferred tax asset, state net operating loss carryforwards | 594,000 | 693,000 | ||
Valuation allowance | 0 | 0 | ||
Accrued penalties or Interest | $ 0 | $ 0 | ||
Federal [Member] | ||||
Income Taxes [Line Items] | ||||
Net operating loss carryforwards, expiration year | 2,036 | |||
State [Member] | ||||
Income Taxes [Line Items] | ||||
Net operating loss carryforwards, expiration year | 2,035 | |||
[1] | The provision for income taxes is recorded at the TRS level. |
Business Combinations (Details)
Business Combinations (Details) - Aurora Financial Group, Inc [Member] - USD ($) | May. 29, 2015 | Mar. 31, 2016 |
Business Acquisition [Line Items] | ||
Business acquisition, percentage of voting interest | 100.00% | |
Fair value of consideration transferred | $ 3,900,000 | |
Percentage of consideration deposited in escrow account | 20.00% | |
Unpaid Principal Balance Portfolio fixed period | 90 days | |
Business Combination, Assets Acquired and Liabilities Assumed [Abstract] | ||
Cash | $ 80,000 | |
Mortgage receivables | 2,772,000 | |
Servicing escrow advances | 410,000 | |
Capital leases | 46,000 | |
Deposits held and prepaid items | 28,000 | |
License approvals | 120,000 | |
MSRs | 7,069,000 | |
Total identifiable assets acquired | 10,525,000 | |
Current liabilities | 1,643,000 | |
Settlement liability | 260,000 | |
Assumed debt | 3,969,000 | |
Total liabilities assumed | 5,872,000 | |
Net identifiable assets acquired | 4,653,000 | |
Cash consideration transferred | (3,919,000) | |
Gain on bargain purchase | 734,000 | |
Deferred tax liability - bargain purchase | (285,000) | |
Realized gain (loss) on acquired assets, net | $ 449,000 | |
General and Administrative Expenses [Member] | ||
Business Acquisition [Line Items] | ||
Transaction-Related costs | $ 95,400 |
CHMI Insurance Company (Details
CHMI Insurance Company (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances [Line Items] | ||
Amount of FHLBI stock | $ 3,261 | $ 3,261 |
CHMI Insurance Company LLC [Member] | Federal Home Loan Bank of Indianapolis [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Outstanding advances | 47,300 | $ 62,300 |
Amount of FHLBI stock | $ 3,300 |