Cherry Hill Mortgage Investment (CHMI) 10-Q 8 Aug 17 2017 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2017	Aug. 08, 2017
Document And Entity Information [Abstract]
Entity Registrant Name	Cherry Hill Mortgage Investment Corporation
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		12,708,547
Document Fiscal Year Focus	2,017
Document Fiscal Period Focus	Q2
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Jun. 30, 2017

Consolidated Balance Sheets (Un

Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Assets
RMBS, available-for-sale (including pledged assets of $1,251,770 and $608,560, respectively)	$ 1,378,434	$ 671,904
Investments in Servicing Related Assets at fair value (including pledged assets of $74,455 and $61,263, respectively)	74,455	61,263
Cash and cash equivalents	30,520	15,824
Restricted cash	19,282	22,469
Derivative assets	7,106	9,121
Receivables and other assets	12,830	12,297
Total Assets	1,522,627	792,878
Liabilities
Repurchase agreements	1,197,440	594,615
Derivative liabilities	3,265	694
Notes payable	35,500	22,886
Dividends payable	6,228	4,816
Due to affiliates	2,533	1,894
Payables for unsettled trades	14,872	6,202
Accrued expenses and other liabilities	7,162	5,762
Total Liabilities	1,267,000	636,869
Stockholders' Equity
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of June 30, 2017 and December, 31, 2016	0	0
Common stock, $0.01 par value, 500,000,000 shares authorized and 12,708,547 shares issued and outstanding as of June 30, 2017 and 500,000,000 shares authorized and 7,525,348 shares issued and outstanding as of December, 31, 2016	127	75
Additional paid-in capital	229,345	148,457
Retained earnings	22,807	12,093
Accumulated other comprehensive income (loss)	1,166	(6,393)
Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity	253,445	154,232
Non-controlling interests in Operating Partnership	2,182	1,777
Total Stockholders' Equity	255,627	156,009
Total Liabilities and Stockholders' Equity	$ 1,522,627	$ 792,878

Consolidated Balance Sheets (U3

Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Assets
RMBS, pledged assets available-for-sale	$ 1,251,770	$ 608,560
Investments in Servicing Related pledged assets at fair value	$ 74,455	$ 61,263
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)	12,708,547	7,525,348
Common stock, shares outstanding (in shares)	12,708,547	7,525,348

Consolidated Statements of Inco

Consolidated Statements of Income (Loss) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017		Jun. 30, 2016
Income
Interest income	$ 10,002	$ 7,135	$ 16,080		$ 12,323
Interest expense	4,292	1,885	6,723		3,542
Net interest income	5,710	5,250	9,357		8,781
Servicing fee income	5,493	1,574	10,067		3,069
Servicing costs	991	501	2,218		903
Net servicing income (loss)	4,502	1,073	7,849		2,166
Other income (loss)
Realized gain (loss) on RMBS, net	(77)	235	(333)		555
Realized gain (loss) on investments in Excess MSRs, net	0	0	6,678		0
Realized gain (loss) on derivatives, net	(1,797)	(299)	(2,814)		(1,760)
Unrealized gain (loss) on derivatives, net	(4,633)	(1,228)	(3,551)		(6,426)
Unrealized gain (loss) on investments in Excess MSRs	0	(149)	0		(2,456)
Unrealized gain (loss) on investments in MSRs	(4,507)	(3,076)	7,805		(5,308)
Total Income (Loss)	(802)	1,806	24,991		(4,448)
Expenses
General and administrative expense	1,045	822	2,020		1,630
Management fee to affiliate	1,162	690	2,054		1,380
Total Expenses	2,207	1,512	4,074		3,010
Income (Loss) Before Income Taxes	(3,009)	294	20,917		(7,458)
(Benefit from) provision for corporate business taxes	(1,344)	10	(5)	[1]	(580)	[1]
Net Income (Loss)	(1,665)	284	20,922		(6,878)
Net (income) loss allocated to noncontrolling interests in Operating Partnership	119	(1)	(293)		98
Net Income (Loss) Applicable to Common Stockholders	$ (1,546)	$ 283	$ 20,629		$ (6,780)
Net income (Loss) Per Share of Common Stock
Basic (in dollars per share)	$ (0.12)	$ 0.04	$ 2.03		$ (0.90)
Diluted (in dollars per share)	$ (0.12)	$ 0.04	$ 2.03		$ (0.90)
Weighted Average Number of Shares of Common Stock Outstanding
Basic (in shares)	12,695,090	7,509,543	10,164,564		7,509,543
Diluted (in shares)	12,701,715	7,520,616	10,171,031		7,519,827
[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		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract]
Net income (loss)	$ (1,665)	$ 284	$ 20,922	$ (6,878)
Other comprehensive income (loss):
Net unrealized gain (loss) on RMBS	5,810	4,730	7,226	12,382
Reclassification of net realized (gain) loss on RMBS included in earnings	77	(235)	333	(555)
Other comprehensive income (loss)	5,887	4,495	7,559	11,827
Comprehensive income (loss)	4,222	4,779	28,481	4,949
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership	(43)	68	399	70
Comprehensive income (loss) attributable to common stockholders	$ 4,265	$ 4,711	$ 28,082	$ 4,879

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, 2015	$ 75		$ 148,332	$ (197)	$ 3,133	$ 994	$ 152,337
Beginning balance (in shares) at Dec. 31, 2015	7,519,038
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 0	[1]	75	0	0	0	75
Issuance of common stock (in shares)	9,465
Net income	$ 0		0	0	(6,780)	(98)	(6,878)
Other comprehensive income	0		0	11,827	0	0	11,827
LTIP-OP Unit awards	0		0	0	0	282	282
Distribution paid on LTIP-OP Units	0		0	0	0	(102)	(102)
Common dividends declared	0		0	0	(7,369)	0	(7,369)
Ending balance at Jun. 30, 2016	$ 75		148,407	11,630	(11,016)	1,076	150,172
Ending balance (in shares) at Jun. 30, 2016	7,528,503
Beginning balance at Dec. 31, 2016	$ 75		148,457	(6,393)	12,093	1,777	$ 156,009
Beginning balance (in shares) at Dec. 31, 2016	7,525,348						7,525,348
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 52		80,888	0	0	0	$ 80,940
Issuance of common stock (in shares)	5,183,199
Net income	$ 0		0	0	20,629	293	20,922
Other comprehensive income	0		0	7,559	0	0	7,559
LTIP-OP Unit awards	0		0	0	0	281	281
Distribution paid on LTIP-OP Units	0		0	0	0	(169)	(169)
Common dividends declared	0		0	0	(9,915)	0	(9,915)
Ending balance at Jun. 30, 2017	$ 127		$ 229,345	$ 1,166	$ 22,807	$ 2,182	$ 255,627
Ending balance (in shares) at Jun. 30, 2017	12,708,547						12,708,547
[1]	de minimis ($95.00 rounds to $0.00).

Consolidated Statements of Cha7

Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares	6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract]
Common dividends declared (in dollars per share)	$ 0.98	$ 0.98

Consolidated Statements of Cash

Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016
Cash Flows From Operating Activities
Net income (loss)	$ 20,922	$ (6,878)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Realized (gain) loss on RMBS, net	333	(555)
Realized gain (loss) on investments in Excess MSRs, net	(6,678)	0
Amortization of premiums on investment securities	3,268	1,851
Change in fair value of investments in Servicing Related Assets	(7,805)	7,764
Unrealized (gain) loss on derivatives, net	3,551	6,426
Realized (gain) loss on derivatives, net	2,814	1,760
LTIP-OP Unit awards	281	282
Changes in:
Receivables and other assets	(368)	(596)
Due to affiliate	639	134
Payables for unsettled trades	8,670	4,421
Accrued expenses and other liabilities	2,812	3,795
Net cash provided by (used in) operating activities	28,439	18,404
Cash Flows From Investing Activities
Purchase of RMBS	(749,246)	(73,393)
Principal paydown of RMBS	39,064	24,514
Proceeds from sale of RMBS	7,610	45,501
Principal paydown of Excess MSRs	0	7,994
Proceeds from sale of Excess MSRs	35,905	0
Acquisition of MSRs	(34,779)	(15,297)
Purchase of derivatives	(1,779)	(2,006)
Net cash provided by (used in) investing activities	(703,225)	(12,687)
Cash Flows From Financing Activities
Changes in restricted cash	3,187	(5,909)
Borrowings under repurchase agreements	1,697,683	1,049,585
Repayments of repurchase agreements	(1,094,858)	(979,070)
Proceeds from Federal Home Loan Bank advances	0	7,000
Repayments of Federal Home Loan Bank advances	0	(69,250)
Proceeds from bank loans	22,000	0
Principal paydown of bank loans	(9,386)	(1,460)
Dividends paid	(9,915)	(7,369)
LTIP-OP Units distributions paid	(169)	(102)
Issuance of common stock, net of offering costs	80,940	75
Net cash provided by (used in) financing activities	689,482	(6,500)
Net Increase (Decrease) in Cash and Cash Equivalents	14,696	(783)
Cash and Cash Equivalents, Beginning of Period	15,824	10,603
Cash and Cash Equivalents, End of Period	30,520	9,820
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense	3,550	3,653
Dividends declared but not paid	$ 6,228	$ 3,689

Organization and Operations

Organization and Operations	6 Months Ended
	Jun. 30, 2017
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. Under the Company’s charter, as of December 31, 2012, the Company was authorized to issue 1,000 shares of common stock. On June 6, 2013, the Company amended and restated its charter and increased its authorized capitalization. Accordingly, at December 31, 2013, the Company was authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share. The accompanying interim consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership LP (“Operating Partnership”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), 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”). On March 29, 2017, the Company issued and sold 5,175,000 shares of its common stock, par value $0.01 per share, raising approximately $81.1 million after underwriting discounts and commissions but before expenses of approximately $229,000. All of the net proceeds were used to invest on a temporary basis in RMBS pending re-deployment of a substantial portion of those proceeds into the acquisition of MSRs. The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”) which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a real estate investment trust (“REIT”), as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes.

Basis of Presentation and Signi

Basis of Presentation and Significant Accounting Policies	6 Months Ended
	Jun. 30, 2017
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 interim 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 interim 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: the fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates 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 the differences may be material. Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (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 Accounting Standards Codification (“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. Approximately $14.9 Revenue Recognition – $4.3 Impairment – $77,000 Investments in Excess MSRs As a result of the Company’s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017. Classification Revenue Recognition $1.3 In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company’s sale of its Excess MSRs, see Note 7. Investments in MSRs Classification Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. 2.4 Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales. 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 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 exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments. Classification 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 (i) as collateral against the Company’s derivatives (approximately $ 13.5 5.8 0.0 Due to Affiliates 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 elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. 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”), CHMI 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 Investments, Net The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Realized gain (loss) on RMBS, net Gain on RMBS $ - $ 235 $ - $ 555 Loss on RMBS (77 ) - (333 ) - Net realized gain (loss) on RMBS (77 ) 235 (333 ) 555 Realized gain (loss) on derivatives, net (1,797 ) (299 ) (2,814 ) (1,760 ) Unrealized gain (loss) on derivatives, net (4,633 ) (1,228 ) (3,551 ) (6,426 ) Realized gain (loss) on Excess MSRs, net - - 6,678 - Unrealized gain (loss) on Excess MSRs, net - (149 ) - (2,456 ) Unrealized gain (loss) on MSRs, net (4,507 ) (3,076 ) 7,805 (5,308 ) Realized gain (loss) on acquired assets, net - - - - Total $ (11,014 ) $ (4,517 ) $ 7,785 $ (15,395 ) Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under 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 and are generally uncommitted. 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. Dividends Payable Because the Company is organized and operated 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 and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date. 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. Recent Accounting Pronouncements Revenue Recognition Revenue from Contracts with Customers Revenue Recognition Credit Losses Financial Instruments—Credit Losses Statement of Cash Flows Classification of Certain Cash Receipts and Cash Payments Income Taxes Income Taxes Restricted Cash Statement of Cash Flows Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation.

Segment Reporting

Segment Reporting	6 Months Ended
	Jun. 30, 2017
Segment Reporting [Abstract]
Segment Reporting	Note 3 — Segment Reporting The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses. Summary financial data with respect to the Company’s segments is given below, together with 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 June 30, 2017 Interest income $ - $ 10,002 $ - $ 10,002 Interest expense 123 4,169 - 4,292 Net interest income (123 ) 5,833 - 5,710 Servicing fee income 5,493 - - 5,493 Servicing costs 991 - - 991 Net servicing income 4,502 - - 4,502 Other income (4,507 ) (6,507 ) - (11,014 ) Other operating expenses - - 2,207 2,207 (Benefit from) provision for corporate business taxes (1,344 ) - - (1,344 ) Net income (loss) $ 1,216 $ (674 ) $ (2,207 ) $ (1,665 ) Three Months Ended June 30, 2016 Interest income $ 3,085 $ 4,050 $ - $ 7,135 Interest expense 333 1,552 - 1,885 Net interest income 2,752 2,498 - 5,250 Servicing fee income 1,574 - - 1,574 Servicing costs 501 - - 501 Net servicing income 1,073 - - 1,073 Other income (3,225 ) (1,292 ) - (4,517 ) Other operating expenses - - 1,512 1,512 (Benefit from) provision for corporate business taxes 10 - - 10 Net income (loss) $ 590 $ 1,206 $ (1,512 ) $ 284 Six Months Ended June 30, 2017 Interest income $ 523 $ 15,557 $ - $ 16,080 Interest expense 237 6,486 - 6,723 Net interest income 286 9,071 - 9,357 Servicing fee income 10,067 - - 10,067 Servicing costs 2,218 - - 2,218 Net servicing income 7,849 - - 7,849 Other income 14,483 (6,698 ) - 7,785 Other operating expenses - - 4,074 4,074 (Benefit from) provision for corporate business taxes (5 ) - - (5 ) Net income (loss) $ 22,623 $ 2,373 $ (4,074 ) $ 20,922 Six Months Ended June 30, 2016 Interest income $ 4,529 $ 7,794 $ - $ 12,323 Interest expense 673 2,869 - 3,542 Net interest income 3,856 4,925 - 8,781 Servicing fee income 3,069 - - 3,069 Servicing costs 903 - - 903 Net servicing income 2,166 - - 2,166 Other income (7,764 ) (7,631 ) - (15,395 ) Other operating expenses - - 3,010 3,010 (Benefit from) provision for corporate business taxes (580 ) - - (580 ) Net income (loss) $ (1,162 ) $ (2,706 ) $ (3,010 ) $ (6,878 ) Balance Sheet June 30, 2017 Investments $ 74,455 $ 1,378,434 $ - $ 1,452,889 Other assets 5,768 30,523 33,447 69,738 Total assets 80,223 1,408,957 33,447 1,522,627 Debt 35,500 1,197,440 - 1,232,940 Other liabilities 2,662 20,942 10,456 34,060 Total liabilities 38,162 1,218,382 10,456 1,267,000 Book value $ 42,061 $ 190,575 $ 22,991 $ 255,627 December 31, 2016 Investments $ 61,263 $ 671,904 $ - $ 733,167 Other assets 8,826 32,495 18,390 59,711 Total assets 70,089 704,399 18,390 792,878 Debt 22,886 594,615 - 617,501 Other liabilities 2,481 9,490 7,397 19,368 Total liabilities 25,367 604,105 7,397 636,869 Book value $ 44,722 $ 100,294 $ 10,993 $ 156,009

Investments in RMBS

Investments in RMBS	6 Months Ended
	Jun. 30, 2017
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 (dollars in thousands): Summary of RMBS Assets As of June 30, 2017 Original Face Value Gross Unrealized Number of Securities Weighted Average Asset Type Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 933,876 $ 887,558 $ 2,951 $ (5,308 ) $ 885,201 123 (B) 3.80 % 3.60 % 26 Freddie Mac 450,161 426,039 1,418 (2,201 ) 425,256 52 (B) 3.79 % 3.60 % 26 CMOs 74,225 63,649 4,328 - 67,977 15 Unrated 5.04 % 5.33 % 12 Total/Weighted Average $ 1,458,262 $ 1,377,246 $ 8,697 $ (7,509 ) $ 1,378,434 190 3.85 % 3.68 % 25 As of December 31, 2016 Original Face Gross Unrealized Number of Securities Weighted Average Asset Type Book Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 493,645 $ 454,012 $ 1,517 $ (6,592 ) $ 448,937 68 (B) 3.74 % 3.52 % 24 Freddie Mac 222,469 200,207 587 (2,691 ) 198,103 27 (B) 3.62 % 3.44 % 26 CMOs 34,596 24,086 857 (79 ) 24,864 9 Unrated 4.78 % 4.24 % 12 Total/Weighted Average $ 750,710 $ 678,305 $ 2,961 $ (9,362 ) $ 671,904 104 3.74 % 3.53 % 24 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (D) The weighted average stated maturity. Summary of RMBS Assets by Maturity As of June 30, 2017 Original Face Value Gross Unrealized Number of Securities Weighted Average Years to Maturity Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) 5-10 Years $ 16,069 $ 16,696 $ 283 $ (262 ) $ 16,717 3 (B) 4.27 % 4.09 % 8 Over 10 Years 1,442,193 1,360,550 8,414 (7,247 ) 1,361,717 187 (B) 3.85 % 3.67 % 26 Total/Weighted Average $ 1,458,262 $ 1,377,246 $ 8,697 $ (7,509 ) $ 1,378,434 190 3.85 % 3.68 % 25 As of December 31, 2016 Original Face Value Gross Unrealized Number of Securities Weighted Average Years to Maturity Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) 5-10 Years $ 16,069 $ 17,110 $ 185 $ (454 ) $ 16,841 3 (B) 4.18 % 3.94 % 8 Over 10 Years 734,641 661,195 2,776 (8,908 ) 655,063 101 (B) 3.73 % 3.52 % 24 Total/Weighted Average $ 750,710 $ 678,305 $ 2,961 $ (9,362 ) $ 671,904 104 3.74 % 3.53 % 24 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (D) The weighted average stated maturity. At June 30, 2017 and December 31, 2016, the Company pledged Agency RMBS investments with a carrying value of approximately $ 1,251.8 Transfers and Servicing Unrealized losses that are considered OTTI are recognized currently in earnings. 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, and such losses were considered temporary. 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 and certain macroeconomic events, the events of which will 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. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that all of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities. The Company recorded approximately $ 77,000 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 June 30, 2017 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 583,304 $ 562,462 $ (7,187 ) $ 555,275 77 (B) 3.69 % 3.48 % 25 Twelve or More Months 9,825 9,921 (323 ) 9,598 1 (B) 3.50 % 3.29 % 29 Total/Weighted Average $ 593,129 $ 572,383 $ (7,510 ) $ 564,873 78 3.69 % 3.48 % 25 As of December 31, 2016 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 494,847 $ 476,129 $ (9,362 ) $ 466,767 68 (B) 3.65 % 3.40 % 25 Twelve or More Months - - - - - - % - % - Total/Weighted Average $ 494,847 $ 476,129 $ (9,362 ) $ 466,767 68 3.65 % 3.40 % 25 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (D) The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, 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	6 Months Ended
	Jun. 30, 2017
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 (“Excess MSR Agreement 1”) with 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 UPB of approximately $10.0 billion (“Excess MSR Pool 1”). Freedom Mortgage was 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 Excess MSR Pool 1. Pursuant to Excess MSR Agreement 1, Freedom Mortgage performed all servicing functions and advancing functions related to Excess 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,” was initially equal to a weighted average of 20 bps. Pursuant to Excess MSR Agreement 1, the Company acquired the right to receive 85% of the excess mortgage servicing amount on Excess MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool l (which loans then become part of Excess MSR Pool 1) for approximately $60.6 million. Freedom Mortgage co-invested, pari passu with the Company, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities. In October 2013, the Company entered into an agreement (“Excess 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 aggregate principal balance of approximately $10.7 billion (“Excess MSR Pool 2”). Freedom Mortgage was 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 Excess MSR Pool 2. Pursuant to Excess MSR Agreement 2, Freedom Mortgage performed all servicing functions and advancing functions related to Excess 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” was initially equal to a weighted average of 34 bps. Pursuant to Excess MSR Agreement 2, the Company acquired the right to receive 50% of the excess mortgage servicing amount on Excess MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool 2 (which loans then become part of Excess MSR Pool 2 ) In October 2013, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage (the “Flow and Bulk Excess MSR Purchase Agreement”). 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 included recapture provisions that were 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 included recapture provisions that were 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 included recapture provisions that were 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 “Excess MSR Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Excess MSR Pool 2014—Recapture Agreement.” On November 15, 2016, the Company agreed to sell all of its Excess MSRs back to Freedom Mortgage. Excess MSR Pool 1 and Excess MSR Pool 2014 were sold on November 15, 2016, and Excess MSR Pool 2 was sold on February 1, 2017. Each of the Excess MSR purchase agreements was terminated at the time the related pool(s) of Excess MSRs were sold. See Note 7. MSRs On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million. 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 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 was included in servicing costs on the consolidated statements of income (loss). Aurora subsequently acquired from third parties four portfolios of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate UPB of approximately $3.4 billion as of their respective closing dates. In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. See Note 7. See Note 7 for a description of the Company’s acquisition of MSRs from Freedom Mortgage in connection with the sale by the Company of its Excess MSRs. The following is a summary of the Company’s Servicing Related Assets (dollars in thousands): Servicing Related Assets Summary As of June 30, 2017 Unpaid Principal Balance Cost Basis Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Changes in Fair Value Recorded in Other Income (Loss) MSRs Conventional $ 3,317,157 $ 34,155 (C) $ 31,491 3.83 % 23.4 (2,664 ) Government 4,290,023 32,495 (C) 42,964 3.36 % 28.3 10,469 Total $ 7,607,180 $ 66,650 $ 74,455 3.56 % 26.1 $ 7,805 As of December 31, 2016 Unpaid Principal Balance Cost Basis Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Changes in Fair Value Recorded in Other Income (Loss) (D) Excess MSR Pool 2 6,053,142 19,754 (E) 28,526 2.96 % 26.3 (493 ) Excess MSR Pool 2 - Recapture Agreement - 1,187 (E) 866 - 742 Conventional MSRs 3,262,181 35,156 (C) 31,871 3.81 % 23.7 (3,285 ) Total $ 9,315,323 $ 56,097 $ 61,263 3.26 % 25.4 $ (3,036 ) (A) Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). (B) The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. (C) MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns. (D) The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool. (E) 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. 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 June 30, 2017 Percentage of Total Outstanding Unpaid Principal Balance California 12.0 % New Jersey 7.9 % Florida 6.2 % Texas 5.4 % Utah 5.3 % All other 63.2 % Total 100.0 % As of December 31, 2016 Percentage of Total Outstanding Unpaid Principal Balance Texas 10.0 % California 8.9 % Florida 6.7 % Virginia 5.9 % North Carolina 5.8 % Georgia 5.8 % New Jersey 5.6 % Washington 5.5 % Colorado 5.2 % All other 40.6 % 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	6 Months Ended
	Jun. 30, 2017
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 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 Operating Partnership. The following tables present certain information about the 2013 Plan as of the dates indicated: Equity Incentive Plan Information LTIP-OP Units Shares of Common Stock Number of Securities Remaining Available For Future Issuance Under Equity Issuance Issued Forfeited Issued Forfeited Compensation Plans Price December 31, 2016 (140,350 ) 916 (28,503 ) 3,155 1,335,218 Number of securities issued or to be issued upon exercise - - - - - March 31, 2017 (140,350 ) 916 (28,503 ) 3,155 1,335,218 Number of securities issued or to be issued upon exercise (38,150 ) - (8,199 ) - (46,349 ) $ 18.30 June 30, 2017 (178,500 ) 916 (36,702 ) 3,155 1,288,869 LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the Company’s common stock under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis. An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied, in cash, or at the Company’s option, the Company may purchase the OP Units for common stock, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased. LTIP-OP Units vest ratably over the first three annual anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the applicable grant date in all other cases. On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Plan $10,000 (based on the closing price on the grant date) of common stock (530 shares each for a total of 1,590 shares), which were fully vested on the date of grant, and $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,651 shares each for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The restricted shares 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 $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,165 each for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The shares are no longer subject to forfeiture and are vested. On June 15, 2016, pursuant to the 2013 Plan, the Company granted each of the independent directors $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,155 shares each for a total of 9,465 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 vesting period. The 3,155 shares granted to Mr. Kislak were forfeited when he resigned as a director of the Company on September 19, 2016. The forfeited shares have been returned to the shares available for future issuance under the 2013 Plan. On June 14, 2017, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,733 each for a total of 8,199 shares). These shares are subject to forfeiture in certain circumstances prior to the one-year anniversary of the grant date. As of June 30, 2017, a total of 98,934 146,000 281,000 1.3 As of June 30, 2017, 1,288,869 Non-Controlling Interests in Operating Partnership Non-controlling interests in the Operating Partnership in the accompanying consolidated interim financial statements relate to LTIP-OP Units in the Operating Partnership and common units of limited partnership interest in the Operating Partnership issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company. As of June 30, 2017, the non-controlling interest holders in the Operating Partnership owned 177,584 1.4 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 June 30, Six Months Ended June 30, 2017 2016 2017 2016 Numerator: Net income allocable to common stockholders and participating securities $ (1,665 ) $ 284 $ 20,922 $ (6,878 ) Net income allocable to common stockholders $ (1,546 ) $ 283 $ 20,629 $ (6,780 ) Denominator: Weighted average common shares outstanding 12,695,090 7,509,543 10,164,564 7,509,543 Weighted average diluted shares outstanding 12,701,715 7,520,616 10,171,031 7,519,827 Basic and Dilutive: Basic earnings per share $ (0.12 ) $ 0.04 $ 2.03 $ (0.90 ) Diluted earnings per share $ (0.12 ) $ 0.04 $ 2.03 $ (0.90 ) 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	6 Months Ended
	Jun. 30, 2017
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 the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. 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 the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the stockholders’ equity (as defined in the Management Agreement). 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. The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. Ownership of the Manager has been transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman. The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Management fees $ 971 $ 560 $ 1,672 $ 1,120 Compensation reimbursement 191 130 382 260 Total $ 1,162 $ 690 $ 2,054 $ 1,380 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. Joint Marketing Recapture Agreement In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement has an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. During the three month period ended June 30, 2017, MSRs on 35 6.8 75 17.0 29,800 Sale of Excess MSRs On November 15, 2016, the Company completed the sale of the Excess MSRs in Excess MSR Pool 1 and the Excess MSRs in Excess MSR Pool 2014 to Freedom Mortgage. At the closing, the Company received cash proceeds of approximately $38.0 million, repaid $12.0 million of outstanding borrowings drawn on the Company’s $25 million term loan facility with NexBank SSB (the “NexBank term loan”), with a portion of the cash proceeds and released the Company’s security interests arising under Excess MSR Agreement 1 and the Flow and Bulk Excess MSR Purchase Agreement. The Company invested the remaining cash proceeds in Agency RMBS and expects to redeploy those proceeds into future MSR acquisitions. The Company completed the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage on February 1, 2017. In connection with the sale of those Excess MSRs, Freedom Mortgage transferred to Aurora Ginnie Mae MSRs with a weighted average servicing fee of approximately 30 basis points. The Ginnie Mae MSRs relate to a pool consisting primarily of newly originated Ginnie Mae conforming mortgage loans that had an aggregate UPB of approximately $4.5 billion as of January 31, 2017. At the closing of the sale of the Excess MSRs in Excess MSR Pool 2, the Company repaid the remaining outstanding borrowings drawn on the NexBank term loan with cash on hand. In addition, the acknowledgment agreement that the Company and Freedom Mortgage entered into with Ginnie Mae at the time of the IPO was terminated. In connection with the sale transactions, Freedom Mortgage agreed to make 12 monthly yield maintenance payments to the Company beginning in December 2016 aggregating $3.0 million. See Note 5 for a discussion of the now terminated co-investments in Excess MSRs with Freedom Mortgage. See Note 10 for a discussion of the now terminated acknowledgment agreement among the Company, Freedom Mortgage and Ginnie Mae. Other Transactions with Affiliated Entities In March 2017, the Company waived the forfeiture provisions of LTIP-OPs previously granted to Mr. Middleman that otherwise would have been triggered once he no longer was a member of the Board of Directors.

Derivative Instruments

Derivative Instruments	6 Months Ended
	Jun. 30, 2017
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 and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes. In order to help mitigate duration risk and 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 June 30, 2017 December 31, 2016 Notional amount of interest rate swaps $ 781,650 $ 415,850 Notional amount of swaptions 100,000 70,000 Notional amount of TBAs, net (17,000 ) (6,000 ) Notional amount of Treasury futures - 50,000 Notional amount of options on Treasury futures - 20,000 Total notional amount $ 864,650 $ 549,850 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 June 30, 2017 $ 781,650 1.78 % 1.18 % 5.3 December 31, 2016 $ 415,850 1.46 % 0.90 % 4.8 The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands): Notional Amount Weighted Average Pay Rate Weighted Average Receive Rate (A) Weighted Average Years to Maturity June 30, 2017 $ 100,000 2.79 % LIBOR-BBA % 10.7 December 31, 2016 $ 70,000 2.74 % LIBOR-BBA % 10.9 (A) Floats in accordance with LIBOR. The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended June 30, Six Months Ended June 30, Non-Hedge Derivatives Consolidated Statements of Income (Loss) Location 2017 2016 2017 2016 Interest rate swaps Realized gain (loss) on derivatives, net $ (436 ) $ (398 ) $ (595 ) $ (1,748 ) Swaptions Realized gain (loss) on derivatives, net - (140 ) (69 ) (140 ) TBAs Realized gain (loss) on derivatives, net (402 ) 56 (514 ) (26 ) Treasury futures Realized gain (loss) on derivatives, net (959 ) 183 (1,636 ) 154 Total $ (1,797 ) $ (299 ) $ (2,814 ) $ (1,760 ) 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 (“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 in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of June 30, 2017 Gross Gross Net Amounts of Assets Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Amounts Offset in the Consolidated Balance Sheet Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 6,303 $ - $ 6,303 $ (6,303 ) $ - $ - Swaptions 727 - 727 (727 ) - - TBAs 76 - 76 (76 ) - - Treasury futures - - - - (144 ) (144 ) Total Assets $ 7,106 $ - $ 7,106 $ (7,106 ) $ (144 ) $ (144 ) Liabilities Repurchase agreements $ 1,197,440 $ - $ 1,197,440 $ (1,191,663 ) $ (5,777 ) $ - Interest rate swaps 3,265 - 3,265 10,096 (13,361 ) - Total Liabilities $ 1,200,705 $ - $ 1,200,705 $ (1,181,567 ) $ (19,138 ) $ - As of December 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 $ 7,639 $ - $ 7,639 $ (7,639 ) $ - $ - Swaptions 1,482 - 1,482 (1,482 ) - - Total Assets $ 9,121 $ - $ 9,121 $ (9,121 ) $ - $ - Liabilities Repurchase agreements $ 594,615 $ - $ 594,615 $ (574,181 ) $ (20,434 ) $ - Interest rate swaps 339 - 339 - (339 ) - TBAs 75 - 75 (75 ) - - Treasury futures 280 - 280 526 (806 ) - Total Liabilities $ 595,309 $ - $ 595,309 $ (573,730 ) $ (21,579 ) $ -

Fair Value

Fair Value	6 Months Ended
	Jun. 30, 2017
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 Level 2 Level 3 Recurring Fair Value Measurements The following is a description of the methods used to estimate the fair values of the Company’s assets and liabilities measured at fair value on a recurring basis, as well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company’s valuations consider assumptions that it believes a market participant would consider in valuing the assets and liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected relevant market conditions. RMBS The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers 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 June 30, 2017 and December 31, 2016. Excess MSRs The Company held a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheet at December 31, 2016. The Company used a discounted cash flow model to estimate the fair value of these assets. 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 December 31, 2016. The Company did not hold any Excess MSRs at June 30, 2017. MSRs The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at June 30, 2017 and December 31, 2016. Derivative Instruments The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at June 30, 2017 and December 31, 2016. 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. 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 June 30, 2017 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 885,201 $ - $ 885,201 Freddie Mac - 425,256 - 425,256 CMOs - 67,977 - 67,977 RMBS total - 1,378,434 - 1,378,434 Derivative assets Interest rate swaps - 6,303 - 6,303 Interest rate swaptions - 727 - 727 TBAs - 76 - 76 Derivative assets total - 7,106 - 7,106 Servicing related assets - - 74,455 74,455 Total Assets $ - $ 1,385,540 $ 74,455 $ 1,459,995 Liabilities Derivative liabilities Interest rate swaps - 3,265 - 3,265 Derivative liabilities total - 3,265 - 3,265 Total Liabilities $ - $ 3,265 $ - $ 3,265 As of December 31, 2016 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 448,937 $ - $ 448,937 Freddie Mac - 198,103 - 198,103 CMOs - 24,864 - 24,864 RMBS total - 671,904 - 671,904 Derivative assets Interest rate swaps - 7,639 - 7,639 Interest rate swaptions - 1,482 - 1,482 Derivative assets total - 9,121 - 9,121 Servicing related assets - - 61,263 61,263 Total Assets $ - $ 681,025 $ 61,263 $ 742,288 Liabilities Derivative liabilities Interest rate swaps - 339 - 339 TBAs - 75 - 75 Treasury futures - 280 - 280 Derivative liabilities total - 694 - 694 Total Liabilities $ - $ 694 $ - $ 694 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 June 30, 2017 and December 31, 2016, the Company did not have any Level 3 Assets and Liabilities The valuation of Level 3 assets and liabilities 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 June 30, 2017 and December 31, 2016 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 June 30, 2017 Level 3 (A) Pool 2 MSRs Total Balance at December 31, 2016 $ 29,392 $ 31,871 $ 61,263 Purchases, sales and principal paydowns: Purchases - 35,800 35,800 Sales (35,905 ) - (35,905 ) Other changes (B) 6,513 (1,021 ) 5,492 Purchases, sales and principal paydowns: $ (29,392 ) $ 34,779 $ 5,387 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model - 10,425 10,425 Other changes in fair value (C) - (2,620 ) (2,620 ) Unrealized gain (loss) included in Net Income $ - $ 7,805 $ 7,805 Balance at June 30, 2017 $ - $ 74,455 $ 74,455 As of December 31, 2016 Level 3 (A) Pool 1 Pool 2 Excess MSR Pool 2014 MSRs Total Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 Purchases, sales and principal paydowns: Purchases - - - 16,179 16,179 Sales (39,916 ) - (1,179 ) - (41,095 ) Proceeds from principal paydowns (3,566 ) (3,911 ) (327 ) - (7,804 ) Other changes (B) - - - (784 ) (784 ) Purchases, sales and principal paydowns: $ (43,482 ) $ (3,911 ) $ (1,506 ) $ 15,395 $ (33,504 ) Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model - 249 - 227 476 Other changes in fair value (C) - - - (3,512 ) (3,512 ) Unrealized gain (loss) included in Net Income $ - $ 249 $ - $ (3,285 ) $ (3,036 ) Balance at December 31, 2016 $ - $ 29,392 $ - $ 31,871 $ 61,263 (A) Includes the recapture agreement for each respective pool. (B) Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. (C) Represents changes due to realization of expected cash flows. The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands): Fair Value Measurements As of June 30, 2017 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average MSRs Conventional $ 31,491 Discounted cash flow Constant prepayment speed 6.9% - 20.2 % 11.2 % Uncollected payments 0.4% - 5.2 % 0.9 % Discount rate 9.3 % Annual cost to service, per loan $ 71 Government $ 42,964 Discounted cash flow Constant prepayment speed 5.1% - 17.3 % 8.7 % Uncollected payments 1.8% - 39.5 % 3.8 % Discount rate 12.0 % Annual cost to service, per loan $ 98 TOTAL $ 74,455 Discounted cash flow As of December 31, 2016 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Excess MSR Pool 2 $ 29,392 Discounted cash flow Constant prepayment speed 7.8% - 31.9 % 14.3 % Uncollected Payments 8.3% - 13.1 % 11.9 % Discount rate 16.2 % Conventional MSRs $ 31,871 Discounted cash flow Constant prepayment speed 7.1% - 24.9 % 10.6 % Uncollected payments 0.8% - 1.4 % 1.3 % Discount rate 9.3 % Annual cost to service, per loan $ 64 TOTAL $ 61,263 Discounted cash flow (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates. Fair Value of Financial Instruments not Carried at Fair Value in Balance Sheets 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 and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term. Corporate debt that matures in more than one year generally approximates fair value.

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2017
Commitments and Contingencies [Abstract]
Commitments and Contingencies	Note 10 — Commitments and Contingencies The following represents commitments and contingencies of the Company as of June 30, 2017 and December 31, 2016: 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 Commitments to Purchase/Sell RMBS As of June 30, 2017 and December 31, 2016, 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 June 30, 2017, the Company was obligated to purchase approximately $ 14.9 Acknowledgment Agreements In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that were 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 failed to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would have been obligated to make that payment even though the payment may have related to loans for which the Company did not own any Excess MSRs. The Company’s failure to make that payment would have resulted in liability to Ginnie Mae for any losses or claims that it suffered as a result. This agreement was terminated in February 2017 in connection with the disposition of the remaining Excess MSRs back to Freedom Mortgage. In connection with the MSR Financing Facility (as defined below) entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the MSR Financing Facility.

Repurchase Agreements

Repurchase Agreements	6 Months Ended
	Jun. 30, 2017
Repurchase Agreements [Abstract]
Repurchase Agreements	Note 11 – Repurchase Agreements The Company had outstanding approximately $ 1,197.4 58 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 June 30, 2017 Repurchase Agreements Weighted Average Rate Less than one month $ 366,298 1.13 % One to three months 565,295 1.17 % Greater than three months 265,847 1.29 % Total/Weighted Average $ 1,197,440 1.19 % As of December 31, 2016 Repurchase Agreements Weighted Average Rate Less than one month $ 60,690 1.14 % One to three months 456,502 0.91 % Greater than three months 77,423 0.90 % Total/Weighted Average $ 594,615 0.93 % There were no overnight or demand

Notes Payable

Notes Payable	6 Months Ended
	Jun. 30, 2017
Notes Payable [Abstract]
Notes Payable	Note 12 – Notes Payable In September 2016, Aurora and QRS III entered into a loan and security agreement (the “MSR Financing Facility”), pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25.0 million outstanding at any one time. The MSR financing facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule). At December 31, 2016 the Company had outstanding borrowings of $8.9 million on the $25 million NexBank term loan (the “Term Loan”). The Term Loan was paid in full in connection with the sale of the Excess MSRs in Excess MSR Pool 2 back to Freedom Mortgage in February 2017. In May 2017, the Company, Aurora and QRS IV obtained a $ 20.0 The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Long-Term Borrowings Repayment Characteristics As of June 30, 2017 2017 2018 2019 2020 2021 2022 Total MSR Term Facility Borrowings under MSR Term Facility $ 1,000 $ 2,000 $ 2,000 $ 2,000 $ 2,000 $ 11,000 $ 20,000 MSR Financing Facility Borrowings under MSR Financing Facility $ - $ 295 $ 1,222 $ 1,289 $ 12,694 $ - $ 15,500 Total $ 1,000 $ 2,295 $ 3,222 $ 3,289 $ 14,694 $ 11,000 $ 35,500 As of December 31, 2016 2017 2018 2019 2020 2021 Total Term Loan Borrowings under Term Loan $ 2,841 $ 3,005 $ 3,040 $ - $ - $ 8,886 MSR Financing Facility Borrowings under Financing Facility $ - $ 271 $ 1,118 $ 1,175 $ 11,436 $ 14,000 Total $ 2,841 $ 3,276 $ 4,158 $ 1,175 $ 11,436 $ 22,886

Receivables and Other Assets

Receivables and Other Assets	6 Months Ended
	Jun. 30, 2017
Receivables and Other Assets [Abstract]
Receivables and Other Assets	Note 13 – Receivables and Other Assets The assets comprising “Receivables and other assets” as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands): Receivables and Other Assets June 30, 2017 December 31, 2016 Excess servicing income receivable $ 1,250 $ 5,598 Servicing advances 2,402 1,432 Interest receivable 4,273 2,069 Repurchased loans held for sale 1,570 1,570 Other receivables 3,335 1,628 Total other assets $ 12,830 $ 12,297 The Company only records as an asset those servicing advances that the Company deems recoverable. As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 3I, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 20 17. Four of the five loans purchased were sold during the six month period ended June 30,2017, and the Company did not recognize any losses on such sales. The remaining repurchased loan is considered to be a Level 2 Asset and is expected to be sold in 2017.

Income Taxes

Income Taxes	6 Months Ended
	Jun. 30, 2017
Income Taxes [Abstract]
Income Taxes	Note 14 – Income Taxes The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code. Effective January 1, 2014, CHMI Solutions 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 TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes. The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands): Six Months Ended June 30, 2017 2016 Current federal income tax expense $ 112 $ - Current state income tax expense 21 - Deferred federal income tax expense (benefit) (134 ) (522 ) Deferred state income tax expense (benefit) (4 ) (58 ) Total Income Tax Expense $ (5 ) $ (580 ) The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Six Months Ended June 30, 2017 2016 Computed income tax (benefit) expense at federal rate $ 7,321 35.0 % $ (2,610 ) 35.0 % State taxes, net of federal benefit, if applicable - - % (58 ) 0.8 % Permanent differences in taxable income from GAAP pre-tax income - - % - - % REIT income not subject to tax (7,326 ) (35.0 )% 2,088 (28.0 )% (Benefit from) Provision for Income Taxes/Effective Tax Rate (A) $ (5 ) 0.0 % $ (580 ) 7.8 % (A) The provision for income taxes is recorded at the TRS level. The Company’s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands): Six Months Ended June 30, 2017 2016 Income taxes payable Federal income taxes payable $ 650 $ - State and local income taxes payable 82 - Income taxes payable $ 732 $ - June 30, 2017 December 31, 2016 Deferred tax (assets) liabilities Deferred tax - organizational expenses $ (51 ) $ (53 ) Deferred tax - mortgage servicing rights (480 ) (340 ) Total net deferred tax (assets) liabilities $ (531 ) $ (393 ) The deferred tax asset as of June 30, 2017 was primarily related to mortgage servicing rights. The deferred tax asset as of December 31, 2016 was primarily related to mortgage servicing rights. No valuation allowance has been established at June 30, 2017 and December 31, 2016. As of June 30, 2017 and December 31, 2016, the deferred tax asset is included in “Accrued expenses and other liabilities” 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 2016, 2015, 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities.

Subsequent Events

Subsequent Events	6 Months Ended
	Jun. 30, 2017
Subsequent Events [Abstract]
Subsequent Events	Note 15 – Subsequent Events Events subsequent to June 30, 2017 were evaluated and no additional events were identified requiring further disclosure in the interim consolidated financial statements.

Basis of Presentation and Sig24

Basis of Presentation and Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2017
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 interim 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 interim 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: the fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates 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 the 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, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (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 Accounting Standards Codification (“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. Approximately $14.9 Revenue Recognition – $4.3 Impairment – $77,000
Investments in Excess MSRs	Investments in Excess MSRs As a result of the Company’s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017. Classification Revenue Recognition $1.3 In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company’s sale of its Excess MSRs, see Note 7.
Investments in MSRs	Investments in MSRs Classification Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. 2.4 Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales.
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 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 exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments. Classification 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 (i) as collateral against the Company’s derivatives (approximately $ 13.5 5.8 0.0
Due to Affiliates	Due to Affiliates 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 elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. 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”), CHMI 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 Investments, Net	Realized Gain (Loss) on Investments, Net The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Realized gain (loss) on RMBS, net Gain on RMBS $ - $ 235 $ - $ 555 Loss on RMBS (77 ) - (333 ) - Net realized gain (loss) on RMBS (77 ) 235 (333 ) 555 Realized gain (loss) on derivatives, net (1,797 ) (299 ) (2,814 ) (1,760 ) Unrealized gain (loss) on derivatives, net (4,633 ) (1,228 ) (3,551 ) (6,426 ) Realized gain (loss) on Excess MSRs, net - - 6,678 - Unrealized gain (loss) on Excess MSRs, net - (149 ) - (2,456 ) Unrealized gain (loss) on MSRs, net (4,507 ) (3,076 ) 7,805 (5,308 ) Realized gain (loss) on acquired assets, net - - - - Total $ (11,014 ) $ (4,517 ) $ 7,785 $ (15,395 )
Repurchase Agreements and Interest Expense	Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. 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 and are generally uncommitted. 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.
Dividends Payable	Dividends Payable Because the Company is organized and operated 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 and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.
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.
Recent Accounting Pronouncements	Recent Accounting Pronouncements Revenue Recognition Revenue from Contracts with Customers Revenue Recognition Credit Losses Financial Instruments—Credit Losses Statement of Cash Flows Classification of Certain Cash Receipts and Cash Payments Income Taxes Income Taxes Restricted Cash Statement of Cash Flows
Changes in Presentation	Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation.

Basis of Presentation and Sig25

Basis of Presentation and Significant Accounting Policies (Tables)	6 Months Ended
	Jun. 30, 2017
Basis of Presentation and Significant Accounting Policies [Abstract]
Summary of Gains and Losses on Sale of Specified Categories of Investments	The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Realized gain (loss) on RMBS, net Gain on RMBS $ - $ 235 $ - $ 555 Loss on RMBS (77 ) - (333 ) - Net realized gain (loss) on RMBS (77 ) 235 (333 ) 555 Realized gain (loss) on derivatives, net (1,797 ) (299 ) (2,814 ) (1,760 ) Unrealized gain (loss) on derivatives, net (4,633 ) (1,228 ) (3,551 ) (6,426 ) Realized gain (loss) on Excess MSRs, net - - 6,678 - Unrealized gain (loss) on Excess MSRs, net - (149 ) - (2,456 ) Unrealized gain (loss) on MSRs, net (4,507 ) (3,076 ) 7,805 (5,308 ) Realized gain (loss) on acquired assets, net - - - - Total $ (11,014 ) $ (4,517 ) $ 7,785 $ (15,395 )

Segment Reporting (Tables)

Segment Reporting (Tables)	6 Months Ended
	Jun. 30, 2017
Segment Reporting [Abstract]
Summary of Financial Data on CHMI's Segments with Reconciliation	Summary financial data with respect to 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 June 30, 2017 Interest income $ - $ 10,002 $ - $ 10,002 Interest expense 123 4,169 - 4,292 Net interest income (123 ) 5,833 - 5,710 Servicing fee income 5,493 - - 5,493 Servicing costs 991 - - 991 Net servicing income 4,502 - - 4,502 Other income (4,507 ) (6,507 ) - (11,014 ) Other operating expenses - - 2,207 2,207 (Benefit from) provision for corporate business taxes (1,344 ) - - (1,344 ) Net income (loss) $ 1,216 $ (674 ) $ (2,207 ) $ (1,665 ) Three Months Ended June 30, 2016 Interest income $ 3,085 $ 4,050 $ - $ 7,135 Interest expense 333 1,552 - 1,885 Net interest income 2,752 2,498 - 5,250 Servicing fee income 1,574 - - 1,574 Servicing costs 501 - - 501 Net servicing income 1,073 - - 1,073 Other income (3,225 ) (1,292 ) - (4,517 ) Other operating expenses - - 1,512 1,512 (Benefit from) provision for corporate business taxes 10 - - 10 Net income (loss) $ 590 $ 1,206 $ (1,512 ) $ 284 Six Months Ended June 30, 2017 Interest income $ 523 $ 15,557 $ - $ 16,080 Interest expense 237 6,486 - 6,723 Net interest income 286 9,071 - 9,357 Servicing fee income 10,067 - - 10,067 Servicing costs 2,218 - - 2,218 Net servicing income 7,849 - - 7,849 Other income 14,483 (6,698 ) - 7,785 Other operating expenses - - 4,074 4,074 (Benefit from) provision for corporate business taxes (5 ) - - (5 ) Net income (loss) $ 22,623 $ 2,373 $ (4,074 ) $ 20,922 Six Months Ended June 30, 2016 Interest income $ 4,529 $ 7,794 $ - $ 12,323 Interest expense 673 2,869 - 3,542 Net interest income 3,856 4,925 - 8,781 Servicing fee income 3,069 - - 3,069 Servicing costs 903 - - 903 Net servicing income 2,166 - - 2,166 Other income (7,764 ) (7,631 ) - (15,395 ) Other operating expenses - - 3,010 3,010 (Benefit from) provision for corporate business taxes (580 ) - - (580 ) Net income (loss) $ (1,162 ) $ (2,706 ) $ (3,010 ) $ (6,878 ) Balance Sheet June 30, 2017 Investments $ 74,455 $ 1,378,434 $ - $ 1,452,889 Other assets 5,768 30,523 33,447 69,738 Total assets 80,223 1,408,957 33,447 1,522,627 Debt 35,500 1,197,440 - 1,232,940 Other liabilities 2,662 20,942 10,456 34,060 Total liabilities 38,162 1,218,382 10,456 1,267,000 Book value $ 42,061 $ 190,575 $ 22,991 $ 255,627 December 31, 2016 Investments $ 61,263 $ 671,904 $ - $ 733,167 Other assets 8,826 32,495 18,390 59,711 Total assets 70,089 704,399 18,390 792,878 Debt 22,886 594,615 - 617,501 Other liabilities 2,481 9,490 7,397 19,368 Total liabilities 25,367 604,105 7,397 636,869 Book value $ 44,722 $ 100,294 $ 10,993 $ 156,009

Investments in RMBS (Tables)

Investments in RMBS (Tables)	6 Months Ended
	Jun. 30, 2017
Investments in RMBS [Abstract]
Summary of RMBS Investments	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 (dollars in thousands): Summary of RMBS Assets As of June 30, 2017 Original Face Value Gross Unrealized Number of Securities Weighted Average Asset Type Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 933,876 $ 887,558 $ 2,951 $ (5,308 ) $ 885,201 123 (B) 3.80 % 3.60 % 26 Freddie Mac 450,161 426,039 1,418 (2,201 ) 425,256 52 (B) 3.79 % 3.60 % 26 CMOs 74,225 63,649 4,328 - 67,977 15 Unrated 5.04 % 5.33 % 12 Total/Weighted Average $ 1,458,262 $ 1,377,246 $ 8,697 $ (7,509 ) $ 1,378,434 190 3.85 % 3.68 % 25 As of December 31, 2016 Original Face Gross Unrealized Number of Securities Weighted Average Asset Type Book Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) RMBS Fannie Mae $ 493,645 $ 454,012 $ 1,517 $ (6,592 ) $ 448,937 68 (B) 3.74 % 3.52 % 24 Freddie Mac 222,469 200,207 587 (2,691 ) 198,103 27 (B) 3.62 % 3.44 % 26 CMOs 34,596 24,086 857 (79 ) 24,864 9 Unrated 4.78 % 4.24 % 12 Total/Weighted Average $ 750,710 $ 678,305 $ 2,961 $ (9,362 ) $ 671,904 104 3.74 % 3.53 % 24 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (D) The weighted average stated maturity.
Summary of RMBS Investments by Maturity	Summary of RMBS Assets by Maturity As of June 30, 2017 Original Face Value Gross Unrealized Number of Securities Weighted Average Years to Maturity Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) 5-10 Years $ 16,069 $ 16,696 $ 283 $ (262 ) $ 16,717 3 (B) 4.27 % 4.09 % 8 Over 10 Years 1,442,193 1,360,550 8,414 (7,247 ) 1,361,717 187 (B) 3.85 % 3.67 % 26 Total/Weighted Average $ 1,458,262 $ 1,377,246 $ 8,697 $ (7,509 ) $ 1,378,434 190 3.85 % 3.68 % 25 As of December 31, 2016 Original Face Value Gross Unrealized Number of Securities Weighted Average Years to Maturity Book Value Gains Losses Carrying Value (A) Rating Coupon Yield (C) Maturity (Years) (D) 5-10 Years $ 16,069 $ 17,110 $ 185 $ (454 ) $ 16,841 3 (B) 4.18 % 3.94 % 8 Over 10 Years 734,641 661,195 2,776 (8,908 ) 655,063 101 (B) 3.73 % 3.52 % 24 Total/Weighted Average $ 750,710 $ 678,305 $ 2,961 $ (9,362 ) $ 671,904 104 3.74 % 3.53 % 24 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (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 June 30, 2017 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 583,304 $ 562,462 $ (7,187 ) $ 555,275 77 (B) 3.69 % 3.48 % 25 Twelve or More Months 9,825 9,921 (323 ) 9,598 1 (B) 3.50 % 3.29 % 29 Total/Weighted Average $ 593,129 $ 572,383 $ (7,510 ) $ 564,873 78 3.69 % 3.48 % 25 As of December 31, 2016 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) (D) Less than Twelve Months $ 494,847 $ 476,129 $ (9,362 ) $ 466,767 68 (B) 3.65 % 3.40 % 25 Twelve or More Months - - - - - - % - % - Total/Weighted Average $ 494,847 $ 476,129 $ (9,362 ) $ 466,767 68 3.65 % 3.40 % 25 (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, other than collateralized mortgage obligations, which are unrated. (C) The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. (D) The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, 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 Rela28

Investments in Servicing Related Assets (Tables)	6 Months Ended
	Jun. 30, 2017
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 June 30, 2017 Unpaid Principal Balance Cost Basis Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Changes in Fair Value Recorded in Other Income (Loss) MSRs Conventional $ 3,317,157 $ 34,155 (C) $ 31,491 3.83 % 23.4 (2,664 ) Government 4,290,023 32,495 (C) 42,964 3.36 % 28.3 10,469 Total $ 7,607,180 $ 66,650 $ 74,455 3.56 % 26.1 $ 7,805 As of December 31, 2016 Unpaid Principal Balance Cost Basis Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Changes in Fair Value Recorded in Other Income (Loss) (D) Excess MSR Pool 2 6,053,142 19,754 (E) 28,526 2.96 % 26.3 (493 ) Excess MSR Pool 2 - Recapture Agreement - 1,187 (E) 866 - 742 Conventional MSRs 3,262,181 35,156 (C) 31,871 3.81 % 23.7 (3,285 ) Total $ 9,315,323 $ 56,097 $ 61,263 3.26 % 25.4 $ (3,036 ) (A) Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). (B) The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. (C) MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns. (D) The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool. (E) 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.
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 June 30, 2017 Percentage of Total Outstanding Unpaid Principal Balance California 12.0 % New Jersey 7.9 % Florida 6.2 % Texas 5.4 % Utah 5.3 % All other 63.2 % Total 100.0 % As of December 31, 2016 Percentage of Total Outstanding Unpaid Principal Balance Texas 10.0 % California 8.9 % Florida 6.7 % Virginia 5.9 % North Carolina 5.8 % Georgia 5.8 % New Jersey 5.6 % Washington 5.5 % Colorado 5.2 % All other 40.6 % Total 100.0 %

Equity and Earnings per Share (

Equity and Earnings per Share (Tables)	6 Months Ended
	Jun. 30, 2017
Equity and Earnings per Share [Abstract]
Information about Company's 2013 Plan	The following tables present certain information about the 2013 Plan as of the dates indicated: Equity Incentive Plan Information LTIP-OP Units Shares of Common Stock Number of Securities Remaining Available For Future Issuance Under Equity Issuance Issued Forfeited Issued Forfeited Compensation Plans Price December 31, 2016 (140,350 ) 916 (28,503 ) 3,155 1,335,218 Number of securities issued or to be issued upon exercise - - - - - March 31, 2017 (140,350 ) 916 (28,503 ) 3,155 1,335,218 Number of securities issued or to be issued upon exercise (38,150 ) - (8,199 ) - (46,349 ) $ 18.30 June 30, 2017 (178,500 ) 916 (36,702 ) 3,155 1,288,869
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 June 30, Six Months Ended June 30, 2017 2016 2017 2016 Numerator: Net income allocable to common stockholders and participating securities $ (1,665 ) $ 284 $ 20,922 $ (6,878 ) Net income allocable to common stockholders $ (1,546 ) $ 283 $ 20,629 $ (6,780 ) Denominator: Weighted average common shares outstanding 12,695,090 7,509,543 10,164,564 7,509,543 Weighted average diluted shares outstanding 12,701,715 7,520,616 10,171,031 7,519,827 Basic and Dilutive: Basic earnings per share $ (0.12 ) $ 0.04 $ 2.03 $ (0.90 ) Diluted earnings per share $ (0.12 ) $ 0.04 $ 2.03 $ (0.90 )

Transactions with Affiliates 30

Transactions with Affiliates and Affiliated Entities (Tables)	6 Months Ended
	Jun. 30, 2017
Transactions with Affiliates and Affiliated Entities [Abstract]
Management Fee to Affiliate	The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate Three Months Ended June 30, Six Months Ended June 30, 2017 2016 2017 2016 Management fees $ 971 $ 560 $ 1,672 $ 1,120 Compensation reimbursement 191 130 382 260 Total $ 1,162 $ 690 $ 2,054 $ 1,380

Derivative Instruments (Tables)

Derivative Instruments (Tables)	6 Months Ended
	Jun. 30, 2017
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 June 30, 2017 December 31, 2016 Notional amount of interest rate swaps $ 781,650 $ 415,850 Notional amount of swaptions 100,000 70,000 Notional amount of TBAs, net (17,000 ) (6,000 ) Notional amount of Treasury futures - 50,000 Notional amount of options on Treasury futures - 20,000 Total notional amount $ 864,650 $ 549,850
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 June 30, 2017 $ 781,650 1.78 % 1.18 % 5.3 December 31, 2016 $ 415,850 1.46 % 0.90 % 4.8 The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands): Notional Amount Weighted Average Pay Rate Weighted Average Receive Rate (A) Weighted Average Years to Maturity June 30, 2017 $ 100,000 2.79 % LIBOR-BBA % 10.7 December 31, 2016 $ 70,000 2.74 % LIBOR-BBA % 10.9 (A) Floats in accordance with LIBOR.
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 (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended June 30, Six Months Ended June 30, Non-Hedge Derivatives Consolidated Statements of Income (Loss) Location 2017 2016 2017 2016 Interest rate swaps Realized gain (loss) on derivatives, net $ (436 ) $ (398 ) $ (595 ) $ (1,748 ) Swaptions Realized gain (loss) on derivatives, net - (140 ) (69 ) (140 ) TBAs Realized gain (loss) on derivatives, net (402 ) 56 (514 ) (26 ) Treasury futures Realized gain (loss) on derivatives, net (959 ) 183 (1,636 ) 154 Total $ (1,797 ) $ (299 ) $ (2,814 ) $ (1,760 )
Summary of Offsetting Assets	The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of June 30, 2017 Gross Gross Net Amounts of Assets Gross Amounts Not Offset in the Consolidated Balance Sheet Amounts of Recognized Assets or Liabilities Amounts Offset in the Consolidated Balance Sheet Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 6,303 $ - $ 6,303 $ (6,303 ) $ - $ - Swaptions 727 - 727 (727 ) - - TBAs 76 - 76 (76 ) - - Treasury futures - - - - (144 ) (144 ) Total Assets $ 7,106 $ - $ 7,106 $ (7,106 ) $ (144 ) $ (144 ) As of December 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 $ 7,639 $ - $ 7,639 $ (7,639 ) $ - $ - Swaptions 1,482 - 1,482 (1,482 ) - - Total Assets $ 9,121 $ - $ 9,121 $ (9,121 ) $ - $ -
Summary of Offsetting Liabilities	The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of June 30, 2017 Liabilities Repurchase agreements $ 1,197,440 $ - $ 1,197,440 $ (1,191,663 ) $ (5,777 ) $ - Interest rate swaps 3,265 - 3,265 10,096 (13,361 ) - Total Liabilities $ 1,200,705 $ - $ 1,200,705 $ (1,181,567 ) $ (19,138 ) $ - As of December 31, 2016 Liabilities Repurchase agreements $ 594,615 $ - $ 594,615 $ (574,181 ) $ (20,434 ) $ - Interest rate swaps 339 - 339 - (339 ) - TBAs 75 - 75 (75 ) - - Treasury futures 280 - 280 526 (806 ) - Total Liabilities $ 595,309 $ - $ 595,309 $ (573,730 ) $ (21,579 ) $ -

Fair Value (Tables)

Fair Value (Tables)	6 Months Ended
	Jun. 30, 2017
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 June 30, 2017 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 885,201 $ - $ 885,201 Freddie Mac - 425,256 - 425,256 CMOs - 67,977 - 67,977 RMBS total - 1,378,434 - 1,378,434 Derivative assets Interest rate swaps - 6,303 - 6,303 Interest rate swaptions - 727 - 727 TBAs - 76 - 76 Derivative assets total - 7,106 - 7,106 Servicing related assets - - 74,455 74,455 Total Assets $ - $ 1,385,540 $ 74,455 $ 1,459,995 Liabilities Derivative liabilities Interest rate swaps - 3,265 - 3,265 Derivative liabilities total - 3,265 - 3,265 Total Liabilities $ - $ 3,265 $ - $ 3,265 As of December 31, 2016 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 448,937 $ - $ 448,937 Freddie Mac - 198,103 - 198,103 CMOs - 24,864 - 24,864 RMBS total - 671,904 - 671,904 Derivative assets Interest rate swaps - 7,639 - 7,639 Interest rate swaptions - 1,482 - 1,482 Derivative assets total - 9,121 - 9,121 Servicing related assets - - 61,263 61,263 Total Assets $ - $ 681,025 $ 61,263 $ 742,288 Liabilities Derivative liabilities Interest rate swaps - 339 - 339 TBAs - 75 - 75 Treasury futures - 280 - 280 Derivative liabilities total - 694 - 694 Total Liabilities $ - $ 694 $ - $ 694
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 June 30, 2017 Level 3 (A) Pool 2 MSRs Total Balance at December 31, 2016 $ 29,392 $ 31,871 $ 61,263 Purchases, sales and principal paydowns: Purchases - 35,800 35,800 Sales (35,905 ) - (35,905 ) Other changes (B) 6,513 (1,021 ) 5,492 Purchases, sales and principal paydowns: $ (29,392 ) $ 34,779 $ 5,387 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model - 10,425 10,425 Other changes in fair value (C) - (2,620 ) (2,620 ) Unrealized gain (loss) included in Net Income $ - $ 7,805 $ 7,805 Balance at June 30, 2017 $ - $ 74,455 $ 74,455 As of December 31, 2016 Level 3 (A) Pool 1 Pool 2 Excess MSR Pool 2014 MSRs Total Balance at December 31, 2015 $ 43,482 $ 33,054 $ 1,506 $ 19,761 $ 97,803 Purchases, sales and principal paydowns: Purchases - - - 16,179 16,179 Sales (39,916 ) - (1,179 ) - (41,095 ) Proceeds from principal paydowns (3,566 ) (3,911 ) (327 ) - (7,804 ) Other changes (B) - - - (784 ) (784 ) Purchases, sales and principal paydowns: $ (43,482 ) $ (3,911 ) $ (1,506 ) $ 15,395 $ (33,504 ) Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model - 249 - 227 476 Other changes in fair value (C) - - - (3,512 ) (3,512 ) Unrealized gain (loss) included in Net Income $ - $ 249 $ - $ (3,285 ) $ (3,036 ) Balance at December 31, 2016 $ - $ 29,392 $ - $ 31,871 $ 61,263 (A) Includes the recapture agreement for each respective pool. (B) Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. (C) Represents changes due to realization of expected cash flows.
Significant Unobservable Inputs Used in Fair Value Measurement	The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands): Fair Value Measurements As of June 30, 2017 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average MSRs Conventional $ 31,491 Discounted cash flow Constant prepayment speed 6.9% - 20.2 % 11.2 % Uncollected payments 0.4% - 5.2 % 0.9 % Discount rate 9.3 % Annual cost to service, per loan $ 71 Government $ 42,964 Discounted cash flow Constant prepayment speed 5.1% - 17.3 % 8.7 % Uncollected payments 1.8% - 39.5 % 3.8 % Discount rate 12.0 % Annual cost to service, per loan $ 98 TOTAL $ 74,455 Discounted cash flow As of December 31, 2016 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average Excess MSR Pool 2 $ 29,392 Discounted cash flow Constant prepayment speed 7.8% - 31.9 % 14.3 % Uncollected Payments 8.3% - 13.1 % 11.9 % Discount rate 16.2 % Conventional MSRs $ 31,871 Discounted cash flow Constant prepayment speed 7.1% - 24.9 % 10.6 % Uncollected payments 0.8% - 1.4 % 1.3 % Discount rate 9.3 % Annual cost to service, per loan $ 64 TOTAL $ 61,263 Discounted cash flow (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	6 Months Ended
	Jun. 30, 2017
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 June 30, 2017 Repurchase Agreements Weighted Average Rate Less than one month $ 366,298 1.13 % One to three months 565,295 1.17 % Greater than three months 265,847 1.29 % Total/Weighted Average $ 1,197,440 1.19 % As of December 31, 2016 Repurchase Agreements Weighted Average Rate Less than one month $ 60,690 1.14 % One to three months 456,502 0.91 % Greater than three months 77,423 0.90 % Total/Weighted Average $ 594,615 0.93 %

Notes Payable (Tables)

Notes Payable (Tables)	6 Months Ended
	Jun. 30, 2017
Notes Payable [Abstract]
Outstanding Long-Term Borrowings Remaining Maturities	The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Long-Term Borrowings Repayment Characteristics As of June 30, 2017 2017 2018 2019 2020 2021 2022 Total MSR Term Facility Borrowings under MSR Term Facility $ 1,000 $ 2,000 $ 2,000 $ 2,000 $ 2,000 $ 11,000 $ 20,000 MSR Financing Facility Borrowings under MSR Financing Facility $ - $ 295 $ 1,222 $ 1,289 $ 12,694 $ - $ 15,500 Total $ 1,000 $ 2,295 $ 3,222 $ 3,289 $ 14,694 $ 11,000 $ 35,500 As of December 31, 2016 2017 2018 2019 2020 2021 Total Term Loan Borrowings under Term Loan $ 2,841 $ 3,005 $ 3,040 $ - $ - $ 8,886 MSR Financing Facility Borrowings under Financing Facility $ - $ 271 $ 1,118 $ 1,175 $ 11,436 $ 14,000 Total $ 2,841 $ 3,276 $ 4,158 $ 1,175 $ 11,436 $ 22,886

Receivables and Other Assets (T

Receivables and Other Assets (Tables)	6 Months Ended
	Jun. 30, 2017
Receivables and Other Assets [Abstract]
Receivables and Other Assets	The assets comprising “Receivables and other assets” as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands): Receivables and Other Assets June 30, 2017 December 31, 2016 Excess servicing income receivable $ 1,250 $ 5,598 Servicing advances 2,402 1,432 Interest receivable 4,273 2,069 Repurchased loans held for sale 1,570 1,570 Other receivables 3,335 1,628 Total other assets $ 12,830 $ 12,297

Income Taxes (Tables)

Income Taxes (Tables)	6 Months Ended
	Jun. 30, 2017
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): Six Months Ended June 30, 2017 2016 Current federal income tax expense $ 112 $ - Current state income tax expense 21 - Deferred federal income tax expense (benefit) (134 ) (522 ) Deferred state income tax expense (benefit) (4 ) (58 ) Total Income Tax Expense $ (5 ) $ (580 )
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): Six Months Ended June 30, 2017 2016 Computed income tax (benefit) expense at federal rate $ 7,321 35.0 % $ (2,610 ) 35.0 % State taxes, net of federal benefit, if applicable - - % (58 ) 0.8 % Permanent differences in taxable income from GAAP pre-tax income - - % - - % REIT income not subject to tax (7,326 ) (35.0 )% 2,088 (28.0 )% (Benefit from) Provision for Income Taxes/Effective Tax Rate (A) $ (5 ) 0.0 % $ (580 ) 7.8 % (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 June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands): Six Months Ended June 30, 2017 2016 Income taxes payable Federal income taxes payable $ 650 $ - State and local income taxes payable 82 - Income taxes payable $ 732 $ - June 30, 2017 December 31, 2016 Deferred tax (assets) liabilities Deferred tax - organizational expenses $ (51 ) $ (53 ) Deferred tax - mortgage servicing rights (480 ) (340 ) Total net deferred tax (assets) liabilities $ (531 ) $ (393 )

Organization and Operations (De

Organization and Operations (Details) - USD ($)	Mar. 29, 2017	Jun. 30, 2017	Jun. 30, 2016	Dec. 31, 2016	Dec. 31, 2013	Dec. 31, 2012
Organization and Operations [Abstract]
Common stock, shares authorized (in shares)		500,000,000		500,000,000	500,000,000	1,000
Preferred stock, shares authorized (in shares)		100,000,000		100,000,000	100,000,000
Common stock, par value (in dollars per share)		$ 0.01		$ 0.01	$ 0.01
Preferred stock, par value (in dollars per share)		0.01		$ 0.01	$ 0.01
Common stock issued and sold (in shares)	5,175,000
Common stock issued, price per share (in dollars per share)	$ 0.01	$ 18.30
Common stock issued and sold	$ 81,100,000	$ 80,940,000	$ 75,000
Stock issuance expense	$ 229,000
Date of conducting IPO and concurrent private placement of common stock		Oct. 9, 2013

Basis of Presentation and Sig38

Basis of Presentation and Significant Accounting Policies (Details) $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2017USD ($)Loan	Jun. 30, 2016USD ($)	Jun. 30, 2017USD ($)Loan	Jun. 30, 2016USD ($)	Dec. 31, 2016USD ($)Loan	Mar. 31, 2017USD ($)
Investment in RMBS [Abstract]
Payables for unsettled trades	$ 14,872		$ 14,872		$ 6,202
Number of purchased loans | Loan	0		0		5
Mortgage loans with an outstanding principal balance	$ 0		$ 0		$ 1,600
Number of loans sold | Loan	0		4
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	$ 19,282		$ 19,282		22,469
Realized gain (loss) on RMBS, net [Abstract]
Gain on RMBS	0	$ 235	0	$ 555
Loss on RMBS	(77)	0	(333)	0
Net realized gain (loss) on RMBS	(77)	235	(333)	555
Realized gain (loss) on derivatives, net	(1,797)	(299)	(2,814)	(1,760)
Unrealized gain (loss) on derivatives, net	(4,633)	(1,228)	(3,551)	(6,426)
Realized gain (loss) on Excess MSRs, net	0	0	6,678	0
Unrealized gain (loss) on Excess MSRs, net	0	(149)	0	(2,456)
Unrealized gain (loss) on MSRs, net	(4,507)	(3,076)	7,805	(5,308)
Realized gain (loss) on acquired assets, net	0	0	0	0
Total	(11,014)	$ (4,517)	7,785	$ (15,395)
Term Loan [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	0		0		1,100
Maximum borrowing amount	25,000		25,000
RMBS [Member]
Investment in RMBS [Abstract]
Payables for unsettled trades	14,872		14,872			$ 6,202
OTTI securities	77		77		173
Derivatives [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	13,500		13,500		1,100
Repurchase Agreements [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	5,800		5,800		20,400
Receivables and Other Assets [Member] | RMBS [Member]
Investment in RMBS [Abstract]
Income receivable	4,300		4,300		2,000
Receivables and Other Assets [Member] | Excess Mortgage Service Right [Member]
Investment in RMBS [Abstract]
Income receivable	1,300		1,300		5,600
Receivables and Other Assets [Member] | Reimbursable Servicing Advances [Member]
Investment in RMBS [Abstract]
Income receivable	$ 2,400		$ 2,400		$ 1,400

Segment Reporting (Details)

Segment Reporting (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017		Jun. 30, 2016		Dec. 31, 2016
Segment Reporting Information [Line Items]
Interest income	$ 10,002	$ 7,135	$ 16,080		$ 12,323
Interest expense	4,292	1,885	6,723		3,542
Net interest income	5,710	5,250	9,357		8,781
Servicing fee income	5,493	1,574	10,067		3,069
Servicing costs	991	501	2,218		903
Net servicing income	4,502	1,073	7,849		2,166
Other income	(11,014)	(4,517)	7,785		(15,395)
Other operating expenses	2,207	1,512	4,074		3,010
(Benefit from) provision for corporate business taxes	(1,344)	10	(5)	[1]	(580)	[1]
Net Income (Loss)	(1,665)	284	20,922		(6,878)
Investments	1,452,889		1,452,889				$ 733,167
Other assets	69,738		69,738				59,711
Total Assets	1,522,627		1,522,627				792,878
Debt	1,232,940		1,232,940				617,501
Other liabilities	34,060		34,060				19,368
Total Liabilities	1,267,000		1,267,000				636,869
Book value	255,627		255,627				156,009
Servicing Related Assets [Member] | Operating Segments [Member]
Segment Reporting Information [Line Items]
Interest income	0	3,085	523		4,529
Interest expense	123	333	237		673
Net interest income	(123)	2,752	286		3,856
Servicing fee income	5,493	1,574	10,067		3,069
Servicing costs	991	501	2,218		903
Net servicing income	4,502	1,073	7,849		2,166
Other income	(4,507)	(3,225)	14,483		(7,764)
Other operating expenses	0	0	0		0
(Benefit from) provision for corporate business taxes	(1,344)	10	(5)		(580)
Net Income (Loss)	1,216	590	22,623		(1,162)
Investments	74,455		74,455				61,263
Other assets	5,768		5,768				8,826
Total Assets	80,223		80,223				70,089
Debt	35,500		35,500				22,886
Other liabilities	2,662		2,662				2,481
Total Liabilities	38,162		38,162				25,367
Book value	42,061		42,061				44,722
RMBS [Member] | Operating Segments [Member]
Segment Reporting Information [Line Items]
Interest income	10,002	4,050	15,557		7,794
Interest expense	4,169	1,552	6,486		2,869
Net interest income	5,833	2,498	9,071		4,925
Servicing fee income	0	0	0		0
Servicing costs	0	0	0		0
Net servicing income	0	0	0		0
Other income	(6,507)	(1,292)	(6,698)		(7,631)
Other operating expenses	0	0	0		0
(Benefit from) provision for corporate business taxes	0	0	0		0
Net Income (Loss)	(674)	1,206	2,373		(2,706)
Investments	1,378,434		1,378,434				671,904
Other assets	30,523		30,523				32,495
Total Assets	1,408,957		1,408,957				704,399
Debt	1,197,440		1,197,440				594,615
Other liabilities	20,942		20,942				9,490
Total Liabilities	1,218,382		1,218,382				604,105
Book value	190,575		190,575				100,294
All Other [Member]
Segment Reporting Information [Line Items]
Interest income	0	0	0		0
Interest expense	0	0	0		0
Net interest income	0	0	0		0
Servicing fee income	0	0	0		0
Servicing costs	0	0	0		0
Net servicing income	0	0	0		0
Other income	0	0	0		0
Other operating expenses	2,207	1,512	4,074		3,010
(Benefit from) provision for corporate business taxes	0	0	0		0
Net Income (Loss)	(2,207)	$ (1,512)	(4,074)		$ (3,010)
Investments	0		0				0
Other assets	33,447		33,447				18,390
Total Assets	33,447		33,447				18,390
Debt	0		0				0
Other liabilities	10,456		10,456				7,397
Total Liabilities	10,456		10,456				7,397
Book value	$ 22,991		$ 22,991				$ 10,993
[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	6 Months Ended	12 Months Ended
		Jun. 30, 2017USD ($)	Jun. 30, 2017USD ($)Security	Dec. 31, 2016USD ($)Security
Schedule of Available-for-sale Securities [Line Items]
Carrying value		$ 1,378,434	$ 1,378,434	$ 671,904
Carrying value of collateral for repurchase agreements		1,251,770	1,251,770	608,560
OTTI charges recognized in earnings		77	77	173
RMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		1,458,262	1,458,262	750,710
Book value		1,377,246	1,377,246	678,305
Gross unrealized gains		8,697	8,697	2,961
Gross unrealized losses		(7,509)	(7,509)	(9,362)
Carrying value	[1]	$ 1,378,434	$ 1,378,434	$ 671,904
Number of securities | Security			190	104
Weighted average coupon			3.85%	3.74%
Weighted average yield	[2]	3.68%	3.68%	3.53%
Weighted average maturity	[3]		25 years	24 years
Carrying value of collateral for repurchase agreements		$ 1,251,770	$ 1,251,770	$ 608,560
RMBS [Member] | Fannie Mae [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		933,876	933,876	493,645
Book value		887,558	887,558	454,012
Gross unrealized gains		2,951	2,951	1,517
Gross unrealized losses		(5,308)	(5,308)	(6,592)
Carrying value	[1]	$ 885,201	$ 885,201	$ 448,937
Number of securities | Security			123	68
Weighted average rating	[4]
Weighted average coupon			3.80%	3.74%
Weighted average yield	[2]	3.60%	3.60%	3.52%
Weighted average maturity	[3]		26 years	24 years
RMBS [Member] | Freddie Mac [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 450,161	$ 450,161	$ 222,469
Book value		426,039	426,039	200,207
Gross unrealized gains		1,418	1,418	587
Gross unrealized losses		(2,201)	(2,201)	(2,691)
Carrying value	[1]	$ 425,256	$ 425,256	$ 198,103
Number of securities | Security			52	27
Weighted average rating	[4]
Weighted average coupon			3.79%	3.62%
Weighted average yield	[2]	3.60%	3.60%	3.44%
Weighted average maturity	[3]		26 years	26 years
RMBS [Member] | CMOs [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 74,225	$ 74,225	$ 34,596
Book value		63,649	63,649	24,086
Gross unrealized gains		4,328	4,328	857
Gross unrealized losses		0	0	(79)
Carrying value	[1]	$ 67,977	$ 67,977	$ 24,864
Number of securities | Security			15	9
Weighted average rating			Unrated	Unrated
Weighted average coupon			5.04%	4.78%
Weighted average yield	[2]	5.33%	5.33%	4.24%
Weighted average maturity	[3]		12 years	12 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 of settled securities.
[3]	The weighted average stated maturity.
[4]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.

Investments in RMBS, Assets by

Investments in RMBS, Assets by Maturity (Details) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2017USD ($)Security	Dec. 31, 2016USD ($)Security
Schedule of Available-for-sale Securities [Line Items]
Carrying value		$ 1,378,434	$ 671,904
RMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		1,458,262	750,710
Book value		1,377,246	678,305
Gross unrealized gains		8,697	2,961
Gross unrealized losses		(7,509)	(9,362)
Carrying value	[1]	$ 1,378,434	$ 671,904
Number of securities | Security		190	104
Weighted average coupon		3.85%	3.74%
Weighted average yield	[2]	3.68%	3.53%
Weighted average maturity	[3]	25 years	24 years
RMBS [Member] | 5-10 Years [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 16,069	$ 16,069
Book value		16,696	17,110
Gross unrealized gains		283	185
Gross unrealized losses		(262)	(454)
Carrying value	[1]	$ 16,717	$ 16,841
Number of securities | Security		3	3
Weighted average rating	[4]
Weighted average coupon		4.27%	4.18%
Weighted average yield	[2]	4.09%	3.94%
Weighted average maturity	[3]	8 years	8 years
RMBS [Member] | Over 10 Years [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 1,442,193	$ 734,641
Book value		1,360,550	661,195
Gross unrealized gains		8,414	2,776
Gross unrealized losses		(7,247)	(8,908)
Carrying value	[1]	$ 1,361,717	$ 655,063
Number of securities | Security		187	101
Weighted average rating	[4]
Weighted average coupon		3.85%	3.73%
Weighted average yield	[2]	3.67%	3.52%
Weighted average maturity	[3]	26 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 of settled securities.
[3]	The weighted average stated maturity.
[4]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.

Investments in RMBS, Unrealized

Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2017USD ($)Security	Dec. 31, 2016USD ($)Security
Schedule of Available-for-sale Securities [Line Items]
Carrying value		$ 1,378,434	$ 671,904
RMBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		1,458,262	750,710
Book value		1,377,246	678,305
Gross unrealized losses		(7,509)	(9,362)
Carrying value	[1]	$ 1,378,434	$ 671,904
Number of securities | Security		190	104
Weighted average coupon		3.85%	3.74%
Weighted average yield	[2]	3.68%	3.53%
Weighted average maturity	[3]	25 years	24 years
RMBS [Member] | Unrealized Loss Positions [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 593,129	$ 494,847
Book value		572,383	476,129
Gross unrealized losses		(7,510)	(9,362)
Carrying value	[1]	$ 564,873	$ 466,767
Number of securities | Security		78	68
Weighted average coupon		3.69%	3.65%
Weighted average yield	[2]	3.48%	3.40%
Weighted average maturity	[4]	25 years	25 years
RMBS [Member] | Unrealized Loss Positions [Member] | Less than Twelve Months [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 583,304	$ 494,847
Book value		562,462	476,129
Gross unrealized losses		(7,187)	(9,362)
Carrying value	[1]	$ 555,275	$ 466,767
Number of securities | Security		77	68
Weighted average rating	[5]
Weighted average coupon		3.69%	3.65%
Weighted average yield	[2]	3.48%	3.40%
Weighted average maturity	[4]	25 years	25 years
RMBS [Member] | Unrealized Loss Positions [Member] | Twelve or More Months [Member]
Schedule of Available-for-sale Securities [Line Items]
Original face value		$ 9,825	$ 0
Book value		9,921	0
Gross unrealized losses		(323)	0
Carrying value	[1]	$ 9,598	$ 0
Number of securities | Security		1	0
Weighted average rating	[5]
Weighted average coupon		3.50%	0.00%
Weighted average yield	[2]	3.29%	0.00%
Weighted average maturity	[4]	29 years	0 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 of settled securities.
[3]	The weighted average stated maturity.
[4]	The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, 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.
[5]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.

Investments in Servicing Rela43

Investments in Servicing Related Assets (Details) $ in Thousands	Jun. 30, 2014USD ($)	Mar. 31, 2014USD ($)	Feb. 28, 2014USD ($)	Jun. 30, 2017USD ($)Portfolio	Dec. 31, 2016USD ($)	May 29, 2015USD ($)	Oct. 31, 2013USD ($)
Investment [Line Items]
Mortgage loans with an outstanding principal balance				$ 0	$ 1,600
Aurora Financial Group, Inc [Member]
Investment [Line Items]
Aggregate unpaid principal balance						$ 718,400
Excess MSR Pool 1 [Member]
Investment [Line Items]
Mortgage loans with an outstanding principal balance							$ 10,000,000
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
Percentage of co-investment in excess MSRs, pari passu				15.00%
Excess MSR Pool 2 [Member]
Investment [Line Items]
Mortgage loans with an outstanding principal balance							$ 10,700,000
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
Percentage of co-investment in excess MSRs, pari passu				50.00%
Freedom Mortgage Excess Service Right [Member]
Investment [Line Items]
Aggregate unpaid principal balance	$ 98,100	$ 159,800	$ 76,800
Excess mortgage servicing acquired	85.00%	71.00%	85.00%
Excess mortgage servicing acquired, amount	$ 661	$ 946	$ 567
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc [Member]
Investment [Line Items]
Mortgage loans with an outstanding principal balance				$ 3,400,000
Number of portfolios | Portfolio				4

Investments in Servicing Rela44

Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2017	Dec. 31, 2016
Investment [Line Items]
Unpaid principal balance		$ 7,607,180	$ 9,315,323
Cost basis		66,650	56,097
Carrying value	[1]	$ 74,455	$ 61,263
Weighted average coupon		3.56%	3.26%
Weighted average maturity	[2]	26 years 1 month 6 days	25 years 4 months 24 days
Changes in fair value recorded in other income (loss)		$ 7,805	$ (3,036)	[3]
Excess MSR Pool 2 [Member]
Investment [Line Items]
Unpaid principal balance			6,053,142
Cost basis	[4]		19,754
Carrying value	[1]		$ 28,526
Weighted average coupon			2.96%
Weighted average maturity	[2]		26 years 3 months 18 days
Changes in fair value recorded in other income (loss)	[3]		$ (493)
Excess MSR Pool 2 - Recapture Agreement [Member]
Investment [Line Items]
Unpaid principal balance			0
Cost basis	[4]		1,187
Carrying value	[1]		$ 866
Weighted average maturity	[2]		0 years
Changes in fair value recorded in other income (loss)	[3]		$ 742
Mortgage Service Right Conventional [Member]
Investment [Line Items]
Unpaid principal balance		3,317,157	3,262,181
Cost basis	[5]	34,155	35,156
Carrying value	[1]	$ 31,491	$ 31,871
Weighted average coupon		3.83%	3.81%
Weighted average maturity	[2]	23 years 4 months 24 days	23 years 8 months 12 days
Changes in fair value recorded in other income (loss)		$ (2,664)	$ (3,285)	[3]
Mortgage Service Right Government [Member]
Investment [Line Items]
Unpaid principal balance		4,290,023
Cost basis	[5]	32,495
Carrying value	[1]	$ 42,964
Weighted average coupon		3.36%
Weighted average maturity	[2]	28 years 3 months 18 days
Changes in fair value recorded in other income (loss)		$ 10,469
[1]	Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
[2]	The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
[3]	The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.
[4]	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.
[5]	MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.

Investments in Servicing Rela45

Investments in Servicing Related Assets, Geographic Concentration (Details)	Jun. 30, 2017	Dec. 31, 2016
Investment [Line Items]
Outstanding unpaid principal balance	100.00%	100.00%
California [Member]
Investment [Line Items]
Outstanding unpaid principal balance	12.00%	8.90%
New Jersey [Member]
Investment [Line Items]
Outstanding unpaid principal balance	7.90%	5.60%
Texas [Member]
Investment [Line Items]
Outstanding unpaid principal balance	5.40%	10.00%
Utah [Member]
Investment [Line Items]
Outstanding unpaid principal balance	5.30%
Florida [Member]
Investment [Line Items]
Outstanding unpaid principal balance	6.20%	6.70%
Virginia [Member]
Investment [Line Items]
Outstanding unpaid principal balance		5.90%
North Carolina [Member]
Investment [Line Items]
Outstanding unpaid principal balance		5.80%
Georgia [Member]
Investment [Line Items]
Outstanding unpaid principal balance		5.80%
Washington [Member]
Investment [Line Items]
Outstanding unpaid principal balance		5.50%
Colorado [Member]
Investment [Line Items]
Outstanding unpaid principal balance		5.20%
All Other [Member]
Investment [Line Items]
Outstanding unpaid principal balance	63.20%	40.60%

Equity and Earnings per Share,

Equity and Earnings per Share, Equity (Details) - USD ($)	Jun. 14, 2017	Jun. 15, 2016	Sep. 09, 2015	Jan. 27, 2014	Jun. 30, 2017	Mar. 31, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016	Mar. 29, 2017
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares)					1,335,218	1,335,218		1,335,218
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares)					(46,349)	0
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares)					1,288,869	1,335,218		1,288,869
Issuance Price (in dollars per share)					$ 18.30			$ 18.30		$ 0.01
LTIP-OP Units [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
LTIP-OP Units, Beginning Balance (in shares)					(140,350)	(140,350)		(140,350)
LTIP-OP Units Issued Upon Exercise (in shares)					(38,150)	0
LTIP-OP Units, Ending Balance (in shares)					(178,500)	(140,350)		(178,500)
LTIP-OP Units Forfeited, Beginning Balance (in shares)					916	916		916
LTIP-OP Units Forfeited During The Period (in shares)					0	0
LTIP-OP Units Forfeited, Ending Balance (in shares)					916	916		916
LTIP-OP unit vesting period								3 years
LTIP-OP unit vested (in shares)								98,934
Share-based compensation expense recognized					$ 146,000		$ 135,000	$ 281,000	$ 282,000
Unrecognized share-based compensation expense					$ 1,300,000			$ 1,300,000
LTIP-OP 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
Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Shares of Common Stock Issued, Beginning Balance (in shares)					(28,503)	(28,503)		(28,503)
Shares of Common Stock Exercised During The Period (in shares)					(8,199)	0
Shares of Common Stock Issued, Ending Balance (in shares)					(36,702)	(28,503)		(36,702)
Shares of Common Stock Forfeited, Beginning Balance (in shares)					3,155	3,155		3,155
Shares of Common Stock Forfeited During The Period (in shares)					0	0
Shares of Common Stock Forfeited, Ending Balance (in shares)					3,155	3,155		3,155
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] | January 27, 2014 [Member] | Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Aggregate grant date fair value				$ 10,000
Aggregate grant date fair value (in shares)				1,590
2013 Plan [Member] | January 27, 2014 [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] | January 27, 2014 [Member] | Restricted Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Aggregate grant date fair value				$ 50,000
Aggregate grant date fair value (in shares)				7,953
Forfeiture period of restricted shares								1 year
2013 Plan [Member] | January 27, 2014 [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)				2,651
2013 Plan [Member] | September 9, 2015 [Member] | Restricted Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Aggregate grant date fair value			$ 50,000
Aggregate grant date fair value (in shares)			9,495
Forfeiture period of restricted shares								1 year
2013 Plan [Member] | September 9, 2015 [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
2013 Plan [Member] | June 15, 2016 [Member] | Restricted Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Aggregate grant date fair value		$ 50,000
Aggregate grant date fair value (in shares)		9,465
Forfeiture period of restricted shares								1 year
2013 Plan [Member] | June 15, 2016 [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)		3,155
2013 Plan [Member] | June 14 2017 [Member] | Restricted Common Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Aggregate grant date fair value	$ 50,000
Aggregate grant date fair value (in shares)	8,199
Forfeiture period of restricted shares								1 year
2013 Plan [Member] | June 14 2017 [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)	2,733

Equity and Earnings per Share47

Equity and Earnings per Share, Non-Controlling Interests (Details) - LTIP-OP Units [Member]	Jun. 30, 2017shares
Noncontrolling Interest [Line Items]
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares)	177,584
Percentage of operating partnership	1.40%

Equity and Earnings per Share48

Equity and Earnings per Share, Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Numerator [Abstract]
Net income allocable to common stockholders and participating securities	$ (1,665)	$ 284	$ 20,922	$ (6,878)
Net income allocable to common stockholders	$ (1,546)	$ 283	$ 20,629	$ (6,780)
Denominator [Abstract]
Weighted average common shares outstanding (in shares)	12,695,090	7,509,543	10,164,564	7,509,543
Weighted average diluted shares outstanding (in shares)	12,701,715	7,520,616	10,171,031	7,519,827
Basic and Dilutive [Abstract]
Basic earnings per share (in dollars per share)	$ (0.12)	$ 0.04	$ 2.03	$ (0.90)
Diluted earnings per share (in dollars per share)	$ (0.12)	$ 0.04	$ 2.03	$ (0.90)
Anti-dilutive securities (in shares)	0	0	0	0

Transactions with Affiliates 49

Transactions with Affiliates and Affiliated Entities (Details)	Nov. 15, 2016USD ($)	Jun. 30, 2017USD ($)Loan	Jun. 30, 2016USD ($)	Jun. 30, 2017USD ($)Loan	Jun. 30, 2016USD ($)	Jan. 31, 2017USD ($)
Related Party Transaction [Line Items]
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
Cash proceeds from sale of mortgage loans	$ 38,000,000
Management fees		$ 971,000	$ 560,000	$ 1,672,000	$ 1,120,000
Compensation reimbursement		191,000	130,000	382,000	260,000
Total		$ 1,162,000	$ 690,000	$ 2,054,000	$ 1,380,000
Freedom Mortgage Excess Service Right [Member]
Related Party Transaction [Line Items]
Joint marketing recapture agreement initial term				1 year
Joint marketing recapture agreement automatic renewals term				1 year
Joint marketing recapture agreement termination notice period				60 days
Number of MSRs loans | Loan		35		75
Aggregate unpaid principal balance		$ 6,800,000		$ 17,000,000
Amount due to affiliated entity		5,200		$ 29,800
Period of monthly yield maintenance payment				12 months
Yield maintenance payment		$ 3,000,000		$ 3,000,000
Freedom Mortgage Excess Service Right [Member] | NexBank Term Loan [Member]
Related Party Transaction [Line Items]
Repayment of outstanding borrowings	12,000,000
Outstanding borrowings	$ 25,000,000
Aurora Financial Group Inc [Member] | Ginnie Mae MSRs [Member]
Related Party Transaction [Line Items]
Weighted average servicing fee						0.30%
Aggregate unpaid principal balance						$ 4,500,000,000

Derivative Instruments, Summary

Derivative Instruments, Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2017	Dec. 31, 2016
Notional Amount of Interest Rate Swaps [Member]
Derivative [Line Items]
Total notional amount		$ 781,650	$ 415,850
Weighted average pay rate		1.78%	1.46%
Weighted average receive rate		1.18%	0.90%
Weighted average years to maturity		5 years 3 months 18 days	4 years 9 months 18 days
Notional Amount of Swaptions [Member]
Derivative [Line Items]
Total notional amount		$ 100,000	$ 70,000
Weighted average pay rate		2.79%	2.74%
Weighted average receive rate type	[1]	LIBOR-BBA%	LIBOR-BBA%
Weighted average years to maturity		10 years 8 months 12 days	10 years 10 months 24 days
Not Designated as Hedging Instrument [Member]
Derivative [Line Items]
Total notional amount		$ 864,650	$ 549,850
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member]
Derivative [Line Items]
Total notional amount		781,650	415,850
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member]
Derivative [Line Items]
Total notional amount		100,000	70,000
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | Short [Member]
Derivative [Line Items]
Total notional amount		17,000	6,000
Not Designated as Hedging Instrument [Member] | Notional Amount of Treasury Futures [Member]
Derivative [Line Items]
Total notional amount		0	50,000
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on Treasury Futures [Member]
Derivative [Line Items]
Total notional amount		$ 0	$ 20,000
[1]	Floats in accordance with LIBOR.

Derivative Instruments, Summa51

Derivative Instruments, Summary of Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	$ (1,797)	$ (299)	$ (2,814)	$ (1,760)
Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(1,797)	(299)	(2,814)	(1,760)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Interest Rate Swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(436)	(398)	(595)	(1,748)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Swaptions [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	0	(140)	(69)	(140)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | TBAs [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(402)	56	(514)	(26)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Treasury Futures [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	$ (959)	$ 183	$ (1,636)	$ 154

Derivative Instruments, Offsett

Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	$ 7,106	$ 9,121
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	7,106	9,121
Gross amounts not offset in the consolidated balance sheet in financial instruments	(7,106)	(9,121)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(144)	0
Net amount	(144)	0
Interest Rate Swaps [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	6,303	7,639
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	6,303	7,639
Gross amounts not offset in the consolidated balance sheet in financial instruments	(6,303)	(7,639)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	0	0
Net amount	0	0
Swaptions [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	727	1,482
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	727	1,482
Gross amounts not offset in the consolidated balance sheet in financial instruments	(727)	(1,482)
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	76
Gross amounts offset in the consolidated balance sheet	0
Net amounts of assets presented in the consolidated balance sheet	76
Gross amounts not offset in the consolidated balance sheet in financial instruments	(76)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	0
Net amount	0
Treasury Futures [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	0
Gross amounts offset in the consolidated balance sheet	0
Net amounts of assets presented in the consolidated balance sheet	0
Gross amounts not offset in the consolidated balance sheet in financial instruments	0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(144)
Net amount	$ (144)

Derivative Instruments, Offse53

Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	$ 1,200,705	$ 595,309
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	1,200,705	595,309
Gross amounts not offset in the consolidated balance sheet in financial instruments	(1,181,567)	(573,730)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(19,138)	(21,579)
Net amount	0	0
Repurchase Agreements [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	1,197,440	594,615
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	1,197,440	594,615
Gross amounts not offset in the consolidated balance sheet in financial instruments	(1,191,663)	(574,181)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(5,777)	(20,434)
Net amount	0	0
Interest Rate Swaps [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	3,265	339
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	3,265	339
Gross amounts not offset in the consolidated balance sheet in financial instruments	10,096	0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(13,361)	(339)
Net amount	$ 0	0
TBAs [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities		75
Gross amounts offset in the consolidated balance sheet		0
Net amounts of assets presented in the consolidated balance sheet		75
Gross amounts not offset in the consolidated balance sheet in financial instruments		(75)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)		0
Net amount		0
Treasury Futures [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities		280
Gross amounts offset in the consolidated balance sheet		0
Net amounts of assets presented in the consolidated balance sheet		280
Gross amounts not offset in the consolidated balance sheet in financial instruments		526
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)		(806)
Net amount		$ 0

Fair Value, Company's Assets an

Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Assets [Abstract]
Derivative assets total	$ 7,106	$ 9,121
Servicing related assets	74,455	61,263
Liabilities [Abstract]
Derivative liabilities total	3,265	694
Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	6,303	7,639
Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	727	$ 1,482
TBAs [Member]
Assets [Abstract]
Derivative assets total	76
Treasury Futures [Member]
Assets [Abstract]
Derivative assets total	$ 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	0.00%	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%	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
Liabilities [Abstract]
Derivative liabilities total		0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Treasury Futures [Member]
Liabilities [Abstract]
Derivative liabilities total		0
Fair Value, Measurements, Recurring [Member] | Level 2 [Member]
Assets [Abstract]
Derivative assets total	7,106	9,121
Servicing related assets	0	0
Total Assets	1,385,540	681,025
Liabilities [Abstract]
Derivative liabilities total	3,265	694
Total Liabilities	3,265	694
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member]
Assets [Abstract]
RMBS total	1,378,434	671,904
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Fannie Mae [Member]
Assets [Abstract]
RMBS total	885,201	448,937
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Freddie Mac [Member]
Assets [Abstract]
RMBS total	425,256	198,103
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | CMOs [Member]
Assets [Abstract]
RMBS total	67,977	24,864
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	6,303	7,639
Liabilities [Abstract]
Derivative liabilities total	3,265	339
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	727	1,482
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBAs [Member]
Assets [Abstract]
Derivative assets total	76
Liabilities [Abstract]
Derivative liabilities total		75
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Treasury Futures [Member]
Liabilities [Abstract]
Derivative liabilities total		280
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Assets [Abstract]
Derivative assets total	0	0
Servicing related assets	74,455	61,263
Total Assets	74,455	61,263
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
Liabilities [Abstract]
Derivative liabilities total		0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Treasury Futures [Member]
Liabilities [Abstract]
Derivative liabilities total		0
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]
Assets [Abstract]
Derivative assets total	7,106	9,121
Servicing related assets	74,455	61,263
Total Assets	1,459,995	742,288
Liabilities [Abstract]
Derivative liabilities total	3,265	694
Total Liabilities	3,265	694
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member]
Assets [Abstract]
RMBS total	1,378,434	671,904
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Fannie Mae [Member]
Assets [Abstract]
RMBS total	885,201	448,937
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Freddie Mac [Member]
Assets [Abstract]
RMBS total	425,256	198,103
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | CMOs [Member]
Assets [Abstract]
RMBS total	67,977	24,864
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	6,303	7,639
Liabilities [Abstract]
Derivative liabilities total	3,265	339
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	727	1,482
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member]
Assets [Abstract]
Derivative assets total	$ 76
Liabilities [Abstract]
Derivative liabilities total		75
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Treasury Futures [Member]
Liabilities [Abstract]
Derivative liabilities total		$ 280
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 A

Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands		6 Months Ended		12 Months Ended
		Jun. 30, 2017	Jun. 30, 2016	Dec. 31, 2016
Changes in Fair Value due to:
Unrealized gain (loss) included in Net Income		$ 7,805	$ (7,764)
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance	[1]	61,263	97,803	$ 97,803
Purchases, sales and principal paydowns [Abstract]
Purchases	[1]	35,800		16,179
Sales	[1]	(35,905)		(41,095)
Proceeds from principal paydowns	[1]			(7,804)
Other changes	[1],[2]	5,492		(784)
Purchases, sales and principal paydowns	[1]	5,387		(33,504)
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model	[1]	10,425		476
Other changes in fair value	[1],[3]	(2,620)		(3,512)
Unrealized gain (loss) included in Net Income	[1]	7,805		(3,036)
Ending balance	[1]	74,455		61,263
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]	0	43,482	43,482
Purchases, sales and principal paydowns [Abstract]
Purchases	[1]			0
Sales	[1]			(39,916)
Proceeds from principal paydowns	[1]			(3,566)
Other changes	[1],[2]			0
Purchases, sales and principal paydowns	[1]			(43,482)
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model	[1]			0
Other changes in fair value	[1],[3]			0
Unrealized gain (loss) included in Net Income	[1]			0
Ending balance	[1]			0
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]	29,392	33,054	33,054
Purchases, sales and principal paydowns [Abstract]
Purchases	[1]	0		0
Sales	[1]	(35,905)		0
Proceeds from principal paydowns	[1]			(3,911)
Other changes	[1],[2]	6,513		0
Purchases, sales and principal paydowns	[1]	(29,392)		(3,911)
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model	[1]	0		249
Other changes in fair value	[1],[3]	0		0
Unrealized gain (loss) included in Net Income	[1]	0		249
Ending balance	[1]	0		29,392
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Excess MSR Pool 2014 [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance	[1]	0	1,506	1,506
Purchases, sales and principal paydowns [Abstract]
Purchases	[1]			0
Sales	[1]			(1,179)
Proceeds from principal paydowns	[1]			(327)
Other changes	[1],[2]			0
Purchases, sales and principal paydowns	[1]			(1,506)
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model	[1]			0
Other changes in fair value	[1],[3]			0
Unrealized gain (loss) included in Net Income	[1]			0
Ending balance	[1]			0
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]	31,871	$ 19,761	19,761
Purchases, sales and principal paydowns [Abstract]
Purchases	[1]	35,800		16,179
Sales	[1]	0		0
Proceeds from principal paydowns	[1]			0
Other changes	[1],[2]	(1,021)		(784)
Purchases, sales and principal paydowns	[1]	34,779		15,395
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model	[1]	10,425		227
Other changes in fair value	[1],[3]	(2,620)		(3,512)
Unrealized gain (loss) included in Net Income	[1]	7,805		(3,285)
Ending balance	[1]	$ 74,455		$ 31,871
[1]	Includes the recapture agreement for each respective pool.
[2]	Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company's repurchase of the underlying collateral.
[3]	Represents changes due to realization of expected cash flows.

Fair Value, Significant Unobser

Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2017	Dec. 31, 2016
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Fair Value		$ 74,455	$ 61,263
Excess MSR Pool 2 [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Fair Value			$ 29,392
Excess MSR Pool 2 [Member] | Minimum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]		7.80%
Uncollected Payments	[1]		8.30%
Excess MSR Pool 2 [Member] | Maximum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]		31.90%
Uncollected Payments	[1]		13.10%
Excess MSR Pool 2 [Member] | Weighted Average [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]		14.30%
Uncollected Payments	[1]		11.90%
Discount rate	[1]		16.20%
MSRs Conventional [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Fair Value		31,491	$ 31,871
Annual cost to service, per loan	[1]	$ 71	$ 64
MSRs Conventional [Member] | Minimum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	6.90%	7.10%
Uncollected Payments	[1]	0.40%	0.80%
MSRs Conventional [Member] | Maximum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	20.20%	24.90%
Uncollected Payments	[1]	5.20%	1.40%
MSRs Conventional [Member] | Weighted Average [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	11.20%	10.60%
Uncollected Payments	[1]	0.90%	1.30%
Discount rate	[1]	9.30%	9.30%
MSRs Government [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Fair Value		$ 42,964
Annual cost to service, per loan	[1]	$ 98
MSRs Government [Member] | Minimum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	5.10%
Uncollected Payments	[1]	1.80%
MSRs Government [Member] | Maximum [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	17.30%
Uncollected Payments	[1]	39.50%
MSRs Government [Member] | Weighted Average [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Constant prepayment speed	[1]	8.70%
Uncollected Payments	[1]	3.80%
Discount rate	[1]	12.00%
[1]	Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Commitments and Contingencies [Abstract]
Percentage of annual management fee paid equal to gross equity	1.50%
Accruals of legal and regulatory claims	$ 0	$ 0
Securities obligated to purchase	14.9	0
Securities obligated to sell	$ 0	$ 6

Repurchase Agreements (Details)

Repurchase Agreements (Details) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017USD ($)Security	Dec. 31, 2016USD ($)Security
Repurchase Agreements [Abstract]
Repurchase agreements outstanding	$ 1,197,400	$ 594,600
Weighted average of remaining maturities days	58 days	65 days
Repurchase Agreement Characteristics Remaining Maturities [Abstract]
Less than one month, repurchase agreements	$ 366,298	$ 60,690
One to three months, repurchase agreements	565,295	456,502
Greater than three months, repurchase agreements	265,847	77,423
Total repurchase agreements	$ 1,197,440	$ 594,615
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract]
Less than one month, weighted average rate	1.13%	1.14%
One to three months, weighted average rate	1.17%	0.91%
Greater than three months, weighted average rate	1.29%	0.90%
Weighted average rate	1.19%	0.93%
Number of overnight or demand securities | Security	0	0

Notes Payable (Details)

Notes Payable (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2017	May 31, 2017	Dec. 31, 2016	Sep. 30, 2016
Maturities of Long-Term Borrowings [Abstract]
2,017	$ 1,000		$ 2,841
2,018	2,295		3,276
2,019	3,222		4,158
2,020	3,289		1,175
2,021	14,694		11,436
2,022	11,000
Long-term borrowings	$ 35,500		22,886
MSR Financing Facility [Member]
Debt Instrument [Line Items]
Maximum borrowing amount				$ 25,000
Debt instrument term	2 years
Debt instrument term of variable rate	1 month
Debt instrument conversion term	3 years
Period of variable spread rate basis on interest rate swap	1 year
Debt instrument, amortization period	10 years
Maturities of Long-Term Borrowings [Abstract]
2,017	$ 0		0
2,018	295		271
2,019	1,222		1,118
2,020	1,289		1,175
2,021	12,694		11,436
2,022	0
Long-term borrowings	$ 15,500		14,000
Term Loan [Member]
Maturities of Long-Term Borrowings [Abstract]
2,017			2,841
2,018			3,005
2,019			3,040
2,020			0
2,021			0
Long-term borrowings			8,886
Term Loan [Member] | Secured Notes Payable [Member]
Debt Instrument [Line Items]
Maximum borrowing amount			$ 25,000
MSR Term Loan [Member]
Debt Instrument [Line Items]
Maximum borrowing amount		$ 20,000
Interest rate on loans payable		6.18%
Debt instrument, amortization period	10 years
Debt instrument maturity date	May 18, 2020
Maturities of Long-Term Borrowings [Abstract]
2,017	$ 1,000
2,018	2,000
2,019	2,000
2,020	2,000
2,021	2,000
2,022	11,000
Long-term borrowings	$ 20,000

Receivables and Other Assets (D

Receivables and Other Assets (Details) $ in Thousands	3 Months Ended	6 Months Ended	12 Months Ended
	Jun. 30, 2017USD ($)Loan	Jun. 30, 2017USD ($)Loan	Dec. 31, 2016USD ($)Loan
Receivables and Other Assets [Abstract]
Excess servicing income receivable	$ 1,250	$ 1,250	$ 5,598
Servicing advances	2,402	2,402	1,432
Interest receivable	4,273	4,273	2,069
Repurchased loans held for sale	1,570	1,570	1,570
Other receivables	3,335	3,335	1,628
Total other assets	$ 12,830	$ 12,830	$ 12,297
Number of purchased loans | Loan	0	0	5
Mortgage loans with an outstanding principal balance	$ 0	$ 0	$ 1,600
Number of loans sold | Loan	0	4

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017		Jun. 30, 2016		Dec. 31, 2016
Components of Income Tax Expense (Benefit) [Abstract]
Current federal income tax expense				$ 112		$ 0
Current state income tax expense				21		0
Deferred federal income tax expense (benefit)				(134)		(522)
Deferred state income tax expense (benefit)				(4)		(58)
Total Income Tax Expense		$ (1,344)	$ 10	(5)	[1]	(580)	[1]
Effective Income Tax Rate Reconciliation, Amount [Abstract]
Computed income tax (benefit) expense at federal rate				7,321		(2,610)
State taxes, net of federal benefit, if applicable				0		(58)
Permanent differences in taxable income from GAAP pre-tax income				0		0
REIT income not subject to tax				(7,326)		2,088
Total Income Tax Expense		(1,344)	$ 10	$ (5)	[1]	$ (580)	[1]
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				0.00%		0.80%
Permanent differences in taxable income from GAAP pre-tax income				0.00%		0.00%
REIT income not subject to tax				(35.00%)		(28.00%)
(Benefit from) Provision for Income Taxes/Effective Tax Rate	[1]			0.00%		7.80%
Income taxes payable [Abstract]
Federal income taxes payable				$ 650		$ 0
State and local income taxes payable				82		0
Income taxes payable				732		$ 0
Deferred tax (assets) liabilities [Abstract]
Deferred tax - organizational expenses		(51)		(51)				$ (53)
Deferred tax - mortgage servicing rights		(480)		(480)				(340)
Total net deferred tax (assets) liabilities		(531)		(531)				(393)
Valuation allowance		$ 0		$ 0				$ 0
[1]	The provision for income taxes is recorded at the TRS level.