Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2021 | Nov. 09, 2021 | |
Entity Listings [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Document Transition Report | false | |
Entity File Number | 001-36099 | |
Entity Registrant Name | CHERRY HILL MORTGAGE INVESTMENT CORPORATION | |
Entity Central Index Key | 0001571776 | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 46-1315605 | |
Entity Address, Address Line One | 1451 Route 34, Suite 303 | |
Entity Address, City or Town | Farmingdale | |
Entity Address, State or Province | NJ | |
Entity Address, Postal Zip Code | 07727 | |
City Area Code | 877 | |
Local Phone Number | 870 – 7005 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 17,905,950 | |
Common Stock [Member] | ||
Entity Listings [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | CHMI | |
Security Exchange Name | NYSE | |
Series A Preferred Stock [Member] | ||
Entity Listings [Line Items] | ||
Title of 12(b) Security | 8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value per share | |
Trading Symbol | CHMI-PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock [Member] | ||
Entity Listings [Line Items] | ||
Title of 12(b) Security | 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share | |
Trading Symbol | CHMI-PRB | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets | ||
RMBS, available-for-sale, at fair value (including pledged assets of $801,102 and $1,164,416, respectively) | $ 865,904 | $ 1,228,251 |
Investments in Servicing Related Assets, at fair value (including pledged assets of $210,819 and $174,414, respectively) | 210,819 | 174,414 |
Cash and cash equivalents | 62,922 | 83,892 |
Restricted cash | 16,240 | 46,326 |
Derivative assets | 18,118 | 15,970 |
Receivables and other assets | 40,362 | 44,635 |
Total Assets | 1,214,365 | 1,593,488 |
Liabilities | ||
Repurchase agreements | 777,416 | 1,149,978 |
Derivative liabilities | 5,150 | 5,878 |
Notes payable | 135,000 | 111,379 |
Dividends payable | 6,900 | 6,725 |
Due to manager | 4,458 | 3,217 |
Accrued expenses and other liabilities | 2,935 | 3,745 |
Total Liabilities | 931,859 | 1,280,922 |
Stockholders' Equity | ||
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 17,666,950 shares issued and outstanding as of September 30, 2021 and 500,000,000 shares authorized and 17,076,858 shares issued and outstanding as of December 31, 2020 | 181 | 175 |
Additional paid-in capital | 306,122 | 300,997 |
Accumulated Deficit | (157,671) | (141,980) |
Accumulated other comprehensive income | 15,803 | 35,594 |
Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity | 279,814 | 310,165 |
Non-controlling interests in Operating Partnership | 2,692 | 2,401 |
Total Stockholders' Equity | 282,506 | 312,566 |
Total Liabilities and Stockholders' Equity | 1,214,365 | 1,593,488 |
Series A Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock | 67,311 | 67,311 |
Series B Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock | $ 48,068 | $ 48,068 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
RMBS, pledged assets available-for-sale | $ 801,102 | $ 1,164,416 | |
Investments in Servicing Related pledged assets at fair value | [1] | $ 210,819 | $ 174,414 |
Stockholders' Equity | |||
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) | 17,666,950 | 17,076,858 | |
Common stock, shares outstanding (in shares) | 17,666,950 | 17,076,858 | |
Series A Preferred Stock [Member] | |||
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) | 2,781,635 | 2,781,635 | |
Preferred stock, shares outstanding (in shares) | 2,781,635 | 2,781,635 | |
Preferred stock, liquidation preference | $ 69,541 | $ 69,541 | |
Series B Preferred Stock [Member] | |||
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) | 2,000,000 | 2,000,000 | |
Preferred stock, shares outstanding (in shares) | 2,000,000 | 2,000,000 | |
Preferred stock, liquidation preference | $ 50,000 | $ 50,000 | |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. |
Consolidated Statements of Inco
Consolidated Statements of Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |||
Income | ||||||
Interest income | $ 7,043 | $ 10,001 | $ 20,113 | $ 40,382 | ||
Interest expense | 646 | (18) | 1,207 | 15,698 | ||
Net interest income | 6,397 | 10,019 | 18,906 | 24,684 | ||
Servicing fee income | 13,839 | 14,365 | 41,127 | 51,916 | ||
Servicing costs | 3,080 | 5,266 | 10,234 | 17,700 | ||
Net servicing income | 10,759 | 9,099 | 30,893 | 34,216 | ||
Other income (loss) | ||||||
Realized gain (loss) on RMBS, available-for-sale, net | (1,050) | 6,722 | 2,027 | (12,590) | ||
Realized loss on investments in MSRs, net | 0 | 0 | 0 | (11,347) | ||
Realized loss on derivatives, net | (3,023) | (7,841) | (17,903) | (22,039) | ||
Realized gain (loss) on acquired assets, net | (19) | (95) | 15 | (597) | ||
Unrealized loss on derivatives, net | (5,467) | 3,702 | (9,978) | 51,321 | ||
Unrealized loss on investments in Servicing Related Assets | (7,914) | (20,972) | (5,951) | (131,850) | ||
Total Income (Loss) | (317) | 634 | 18,009 | (68,202) | ||
Expenses | ||||||
General and administrative expense | 1,729 | 1,503 | 4,897 | 5,679 | ||
Management fee to affiliate | 1,959 | 1,989 | 5,869 | 5,928 | ||
Total Expenses | 3,688 | 3,492 | 10,766 | 11,607 | ||
Income (Loss) Before Income Taxes | (4,005) | (2,858) | 7,243 | (79,809) | ||
Provision for (Benefit from) corporate business taxes | (215) | (2,116) | 1,418 | [1] | (17,548) | [1] |
Net Income (Loss) | (3,790) | (742) | 5,825 | (62,261) | ||
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 77 | 10 | (117) | 1,147 | ||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | ||
Net Loss Applicable to Common Stockholders | $ (6,175) | $ (3,191) | $ (1,682) | $ (68,493) | ||
Net Loss Per Share of Common Stock | ||||||
Basic (in dollars per share) | $ (0.36) | $ (0.19) | $ (0.10) | $ (4.06) | ||
Diluted (in dollars per share) | $ (0.36) | $ (0.19) | $ (0.10) | $ (4.06) | ||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||
Basic (in shares) | 17,185,872 | 17,054,634 | 17,108,956 | 16,850,133 | ||
Diluted (in shares) | 17,206,086 | 17,076,858 | 17,130,489 | 16,866,269 | ||
[1] | The provision for income taxes is recorded at the TRS level. |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Consolidated Statements of Comprehensive Income (Loss) [Abstract] | ||||
Net income (loss) | $ (3,790) | $ (742) | $ 5,825 | $ (62,261) |
Other comprehensive income (loss): | ||||
Net unrealized gain (loss) on RMBS | 512 | 4,612 | (17,764) | (6,545) |
Reclassification of net realized (gain) loss on RMBS included in earnings | 1,050 | (6,722) | (2,027) | 12,590 |
Other comprehensive income (loss) | 1,562 | (2,110) | (19,791) | 6,045 |
Comprehensive loss | (2,228) | (2,852) | (13,966) | (56,216) |
Comprehensive loss attributable to noncontrolling interests in Operating Partnership | (42) | (49) | (279) | (1,035) |
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 |
Comprehensive loss attributable to common stockholders | $ (4,648) | $ (5,262) | $ (21,077) | $ (62,560) |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Common Stock [Member] | Preferred Stock [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Retained Earnings (Deficit) [Member] | Non-Controlling Interest in Operating Partnership [Member] | Total | Series A Preferred Stock [Member]Common Stock [Member] | Series A Preferred Stock [Member]Preferred Stock [Member] | Series A Preferred Stock [Member]Additional Paid-in Capital [Member] | Series A Preferred Stock [Member]Accumulated Other Comprehensive Income (Loss) [Member] | Series A Preferred Stock [Member]Retained Earnings (Deficit) [Member] | Series A Preferred Stock [Member]Non-Controlling Interest in Operating Partnership [Member] | Series A Preferred Stock [Member] | Series B Preferred Stock [Member]Common Stock [Member] | Series B Preferred Stock [Member]Preferred Stock [Member] | Series B Preferred Stock [Member]Additional Paid-in Capital [Member] | Series B Preferred Stock [Member]Accumulated Other Comprehensive Income (Loss) [Member] | Series B Preferred Stock [Member]Retained Earnings (Deficit) [Member] | Series B Preferred Stock [Member]Non-Controlling Interest in Operating Partnership [Member] | Series B Preferred Stock [Member] |
Beginning balance at Dec. 31, 2019 | $ 170 | $ 115,281 | $ 299,180 | $ 41,414 | $ (59,451) | $ 2,781 | $ 399,375 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2019 | 16,660,655 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 0 | $ 0 | 124 | 0 | 0 | 0 | 124 | ||||||||||||||
Issuance of common stock (in shares) | 9,500 | 0 | |||||||||||||||||||
Repurchase of common stock | $ 0 | $ 0 | (1,748) | 0 | 0 | 0 | (1,748) | ||||||||||||||
Repurchase of common stock (in shares) | (142,531) | 0 | |||||||||||||||||||
Conversion of OP units | $ 0 | $ 0 | 0 | 0 | 0 | (76) | (76) | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | (47,926) | (910) | (48,836) | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | (7,631) | 0 | 0 | (7,631) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 264 | 264 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (108) | (108) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (6,611) | 0 | (6,611) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,428) | $ 0 | $ (1,428) | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,031) | $ 0 | $ (1,031) | |||||||
Ending balance at Mar. 31, 2020 | $ 170 | $ 115,281 | 297,556 | 33,783 | (116,447) | 1,951 | 332,294 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2020 | 16,527,624 | 4,781,635 | |||||||||||||||||||
Beginning balance at Dec. 31, 2019 | $ 170 | $ 115,281 | 299,180 | 41,414 | (59,451) | 2,781 | 399,375 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2019 | 16,660,655 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Net Income (Loss) before dividends on preferred stock | (62,261) | ||||||||||||||||||||
Ending balance at Sep. 30, 2020 | $ 175 | $ 115,281 | 300,945 | 47,459 | (143,780) | 2,113 | 322,193 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2020 | 17,076,858 | 4,781,635 | |||||||||||||||||||
Beginning balance at Dec. 31, 2019 | $ 170 | $ 115,281 | 299,180 | 41,414 | (59,451) | 2,781 | 399,375 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2019 | 16,660,655 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Repurchase of common stock (in shares) | (142,531) | ||||||||||||||||||||
Ending balance at Dec. 31, 2020 | $ 175 | $ 115,379 | 300,997 | 35,594 | (141,980) | 2,401 | $ 312,566 | ||||||||||||||
Ending balance (in shares) at Dec. 31, 2020 | 17,076,858 | 4,781,635 | 17,076,858 | ||||||||||||||||||
Beginning balance at Mar. 31, 2020 | $ 170 | $ 115,281 | 297,556 | 33,783 | (116,447) | 1,951 | $ 332,294 | ||||||||||||||
Beginning balance (in shares) at Mar. 31, 2020 | 16,527,624 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 5 | $ 0 | 3,352 | 0 | 0 | 0 | 3,357 | ||||||||||||||
Issuance of common stock (in shares) | 549,234 | 0 | |||||||||||||||||||
Net Income (Loss) before dividends on preferred stock | $ 0 | $ 0 | 0 | 0 | (12,456) | (227) | (12,683) | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | 15,786 | 0 | 0 | 15,786 | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 307 | 307 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (61) | (61) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,610) | 0 | (4,610) | ||||||||||||||
Preferred dividends declared | 0 | 0 | 0 | 0 | (1,430) | 0 | (1,430) | 0 | 0 | 0 | 0 | (1,031) | 0 | (1,031) | |||||||
Ending balance at Jun. 30, 2020 | $ 175 | $ 115,281 | 300,908 | 49,569 | (135,974) | 1,970 | 331,929 | ||||||||||||||
Ending balance (in shares) at Jun. 30, 2020 | 17,076,858 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 0 | $ 0 | 37 | 0 | 0 | 0 | 37 | ||||||||||||||
Issuance of common stock (in shares) | 0 | 0 | |||||||||||||||||||
Repurchase of common stock | $ 0 | $ 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Repurchase of common stock (in shares) | 0 | 0 | |||||||||||||||||||
Issuance of preferred stock | $ 0 | $ 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Issuance of preferred stock (in shares) | 0 | 0 | |||||||||||||||||||
Conversion of OP units | $ 0 | $ 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | (732) | (10) | (742) | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | (2,110) | 0 | 0 | (2,110) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 237 | 237 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (84) | (84) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,615) | 0 | (4,615) | ||||||||||||||
Preferred dividends declared | 0 | 0 | 0 | 0 | (1,428) | 0 | (1,428) | 0 | 0 | 0 | 0 | (1,031) | 0 | (1,031) | |||||||
Ending balance at Sep. 30, 2020 | $ 175 | $ 115,281 | 300,945 | 47,459 | (143,780) | 2,113 | 322,193 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2020 | 17,076,858 | 4,781,635 | |||||||||||||||||||
Beginning balance at Dec. 31, 2020 | $ 175 | $ 115,379 | 300,997 | 35,594 | (141,980) | 2,401 | $ 312,566 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 17,076,858 | 4,781,635 | 17,076,858 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 0 | $ 0 | 200 | 0 | 0 | 0 | $ 200 | ||||||||||||||
Issuance of common stock (in shares) | 16,378 | 0 | |||||||||||||||||||
Conversion of OP units | $ 0 | $ 0 | 0 | 0 | 0 | (147) | (147) | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | 20,794 | 434 | 21,228 | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | (19,349) | 0 | 0 | (19,349) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 241 | 241 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (85) | (85) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,611) | 0 | (4,611) | ||||||||||||||
Preferred dividends declared | 0 | 0 | 0 | 0 | (1,432) | 0 | (1,432) | 0 | 0 | 0 | 0 | (1,031) | 0 | (1,031) | |||||||
Ending balance at Mar. 31, 2021 | $ 175 | $ 115,379 | 301,197 | 16,245 | (128,260) | 2,844 | 307,580 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2021 | 17,093,236 | 4,781,635 | |||||||||||||||||||
Beginning balance at Dec. 31, 2020 | $ 175 | $ 115,379 | 300,997 | 35,594 | (141,980) | 2,401 | $ 312,566 | ||||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 17,076,858 | 4,781,635 | 17,076,858 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Repurchase of common stock (in shares) | 0 | ||||||||||||||||||||
Net Income (Loss) before dividends on preferred stock | $ 5,825 | ||||||||||||||||||||
Ending balance at Sep. 30, 2021 | $ 181 | $ 115,379 | 306,122 | 15,803 | (157,671) | 2,692 | $ 282,506 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2021 | 17,666,950 | 4,781,635 | 17,666,950 | ||||||||||||||||||
Beginning balance at Mar. 31, 2021 | $ 175 | $ 115,379 | 301,197 | 16,245 | (128,260) | 2,844 | $ 307,580 | ||||||||||||||
Beginning balance (in shares) at Mar. 31, 2021 | 17,093,236 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 0 | $ 0 | 52 | 0 | 0 | 0 | 52 | ||||||||||||||
Issuance of common stock (in shares) | 20,214 | 0 | |||||||||||||||||||
Redemption of OP units for cash | $ 0 | $ 0 | 0 | 0 | 0 | (69) | (69) | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | (11,373) | (240) | (11,613) | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | (2,004) | 0 | 0 | (2,004) | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 281 | 281 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (93) | (93) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,621) | 0 | (4,621) | ||||||||||||||
Preferred dividends declared | 0 | 0 | 0 | 0 | (1,434) | 0 | (1,434) | 0 | 0 | 0 | 0 | (1,031) | 0 | (1,031) | |||||||
Ending balance at Jun. 30, 2021 | $ 175 | $ 115,379 | 301,249 | 14,241 | (146,719) | 2,723 | 287,048 | ||||||||||||||
Ending balance (in shares) at Jun. 30, 2021 | 17,113,450 | 4,781,635 | |||||||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||||||||
Issuance of common stock | $ 6 | $ 0 | 4,873 | 0 | 0 | 0 | 4,879 | ||||||||||||||
Issuance of common stock (in shares) | 553,500 | 0 | |||||||||||||||||||
Repurchase of common stock (in shares) | 0 | ||||||||||||||||||||
Redemption of OP units for cash | $ 0 | $ 0 | 0 | 0 | 0 | (20) | (20) | ||||||||||||||
Net Income (Loss) before dividends on preferred stock | 0 | 0 | 0 | 0 | (3,713) | (77) | (3,790) | ||||||||||||||
Other Comprehensive Income (Loss) | 0 | 0 | 0 | 1,562 | 0 | 0 | 1,562 | ||||||||||||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 0 | 158 | 158 | ||||||||||||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | 0 | (92) | (92) | ||||||||||||||
Common dividends declared | 0 | 0 | 0 | 0 | (4,777) | 0 | (4,777) | ||||||||||||||
Preferred dividends declared | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,431) | $ 0 | $ (1,431) | $ 0 | $ 0 | $ 0 | $ 0 | $ (1,031) | $ 0 | $ (1,031) | |||||||
Ending balance at Sep. 30, 2021 | $ 181 | $ 115,379 | $ 306,122 | $ 15,803 | $ (157,671) | $ 2,692 | $ 282,506 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2021 | 17,666,950 | 4,781,635 | 17,666,950 |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares | 3 Months Ended | |||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Common dividends declared (in dollars per share) | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.40 |
Series A Preferred Stock [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Preferred dividends declared (in dollars per share) | 0.5125 | 0.5125 | 0.5125 | 0.5125 | 0.5125 | 0.5125 |
Series B Preferred Stock [Member] | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Preferred dividends declared (in dollars per share) | $ 0.5156 | $ 0.5156 | $ 0.5156 | $ 0.5156 | $ 0.5156 | $ 0.5156 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Cash Flows From Operating Activities | ||
Net income (loss) | $ 5,825 | $ (62,261) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Realized (gain) loss on RMBS, available-for-sale, net | (2,027) | 12,590 |
Unrealized loss on investments in Servicing Related Assets | 5,951 | 131,850 |
Realized loss on investments in MSRs, net | 0 | 11,347 |
Realized (gain) loss on acquired assets, net | (15) | 597 |
Realized loss on derivatives, net | 17,903 | 22,039 |
Unrealized (gain) loss on derivatives, net | 9,978 | (51,321) |
Realized gain on TBA dollar rolls, net | (9,686) | (3,908) |
Amortization of premiums on RMBS, available-for-sale | 11,434 | 11,362 |
Amortization of deferred financing costs | 121 | 337 |
LTIP-OP Unit awards | 680 | 808 |
Changes in: | ||
Receivables and other assets, net | 4,290 | (1,445) |
Due to affiliates | 1,241 | (168) |
Accrued interest on derivatives, net | (3,028) | (4,831) |
Dividends payable | 175 | (2,046) |
Accrued expenses and other liabilities, net | (810) | (12,384) |
Net cash provided by operating activities | 42,032 | 52,566 |
Cash Flows From Investing Activities | ||
Purchase of RMBS | (382,298) | (821,816) |
Principal paydown of RMBS | 205,408 | 220,463 |
Proceeds from sale of RMBS | 510,038 | 1,612,828 |
Proceeds from sale of MSRs | 0 | 15,831 |
Acquisition of MSRs | (42,356) | (31,061) |
Payments for settlement of derivatives | (7,044) | (1,181) |
Proceeds from settlement of derivatives | 0 | 45,527 |
Net cash provided by investing activities | 283,748 | 1,040,591 |
Cash Flows From Financing Activities | ||
Borrowings under repurchase agreements | 4,198,211 | 5,915,017 |
Repayments of repurchase agreements | (4,570,773) | (6,887,184) |
Proceeds from derivative financing | (11,000) | (9,947) |
Proceeds from bank loans | 23,500 | 18,204 |
Principal paydown of bank loans | 0 | (71,201) |
Dividends paid | (21,399) | (23,215) |
LTIP-OP Units distributions paid | (270) | (253) |
Conversion of OP units | (147) | (76) |
Redemption of OP units for cash | (89) | 0 |
Issuance of common stock, net of offering costs | 5,131 | 3,518 |
Repurchase of common stock | 0 | (1,748) |
Net cash used in financing activities | (376,836) | (1,056,885) |
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | (51,056) | 36,272 |
Cash, Cash Equivalents and Restricted Cash, Beginning of Period | 130,218 | 91,708 |
Cash, Cash Equivalents and Restricted Cash, End of Period | 79,162 | 127,980 |
Supplemental Disclosure of Cash Flow Information | ||
Cash paid during the period for interest expense | 1,085 | 15,363 |
Cash paid during the period for income taxes | 47 | 20 |
Supplemental Schedule of Non-Cash Investing and Financing Activities | ||
Dividends declared but not paid | 6,900 | 6,722 |
Purchase of RMBS, settled after period end | $ 0 | $ 6,899 |
Organization and Operations
Organization and Operations | 9 Months Ended |
Sep. 30, 2021 | |
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, the Company is authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share. The accompanying consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership, LP (the “Operating Partnership”), CHMI Sub-REIT, Inc. (the “Sub-REIT”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), Cherry Hill QRS V, LLC (“QRS V”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”). The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”) (in such capacity, the “Services Provider”), which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a real estate investment trust (“REIT”), as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes. Effective January 1, 2020, the Operating Partnership contributed substantially all of its assets to the Sub-REIT in exchange for all of the common stock of the Sub-REIT. As a result of this contribution, the Sub-REIT is a wholly-owned subsidiary of the Operating Partnership and operations formerly conducted by the Operating Partnership through its subsidiaries are now conducted by the Sub-REIT through those same subsidiaries. The Sub-REIT elected to be taxed as a REIT under the Code commencing with its taxable year ended December 31, 2020. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2021 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Note 2 — Basis of Presentation and Significant Accounting Policies Basis of Accounting The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the periods presented herein Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of mortgage servicing rights (“MSRs” or “Servicing Related Assets”); residential mortgage-backed securities (“RMBS” or “securities”) and derivatives; credit losses and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective. Actual results could differ from the Company’s estimates, and the differences may be material. Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income, which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. The COVID-19 pandemic continues to create substantial uncertainty for government policy makers and the Federal Reserve Board with consequent effects of the economy in the United States. While the economy has largely reopened, the increased presence of highly contagious variants, and particularly the Delta variant, of the virus has exacerbated supply chain issues that arose during the shutdown of various economies. Certain forbearance programs and prohibitions on foreclosures have been extended while others have expired adding to the concern of the consequences once all such programs end. As of September 30, 2021, 2.4% of borrowers on loans underlying the MSRs owned by Aurora are reflected as being in an active forbearance program, with 6.3% of those borrowers continuing to make their regular scheduled monthly payment. The Company continues to maintain an elevated level of unrestricted cash due to the continuing uncertainty regarding government policy and the economy. Based on information currently available to the Company, the Company continues to believe that it will be able to satisfy all of its servicing obligations in 2021. Investments in RMBS Classification The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Available-for-sale securities are carried at fair value. 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. All RMBS purchased and sold during the nine-month period ended September 30, 2021 were settled prior to period end. All RMBS purchased and sold during the year ended December 31, 2020 were settled prior to period-end. Revenue Recognition Impairment When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security’s cost basis is considered impaired. If the Company determines that it intends to sell the security or it is more likely than not that it will be required to sell before recovery, the Company recognizes the difference between the fair value and amortized cost as a loss in the consolidated statements of income (loss). If the Company determines it does not intend to sell the security or it is not more likely than not it will be required to sell the security before recovery, the Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company performs a qualitative assessment around whether a credit loss exists and if necessary, it compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a “market participant” would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in provision for credit losses on securities in the consolidated statements of income (loss) Investments in MSRs Classification Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs are reported on the consolidated statements of income (loss). Fluctuations in the fair value of MSRs are recorded on the consolidated statements of income (loss) as “Unrealized gain (loss) on investments in Servicing Related Assets”. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Revenue Recognition 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 underlying the MSRs, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Reimbursable servicing advances, other than principal and interest advances, also have been classified within “Receivables and other assets” on the consolidated balance sheets. Advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable. As a result, the Company has determined that no reserves for unrecoverable advances for the related underlying loans are necessary at September 30, 2021 and December 31, 2020. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13. 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. Any loans so acquired by the Company are accounted for as loans held for sale and are recorded in “Receivables and other assets” in the consolidated balance sheets. Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, U.S. treasury futures and “to-be-announced” securities (“TBAs”). A TBA contract is an agreement to purchase or sell, for future delivery, an Agency MBS with a specified issuer, term and coupon. From time to time, the Company enters into a TBA dollar roll which represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. The drop is a reflection of the expected net interest income from an investment in similar Agency MBS, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income generally represents the economic equivalent of the net interest income earned on the underlying Agency MBS less an implied financing cost. TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The Company’s bi-lateral derivative financial instruments contain credit risk to the extent that its counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps and U.S. treasury futures are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments. Classification – All derivatives, including TBAs, are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. The fair value of TBA derivatives is determined using methods similar to those used to value Agency MBS. Revenue Recognition With respect to derivatives that have not been designated as hedges, any payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized gain (loss) on derivatives, net” and “Unrealized gain (loss) on derivatives, net” in the consolidated statements of income (loss). Net interest income (cost) on interest rate swaps is included in “Interest expense” in the consolidated statements of income (loss) . TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency MBS (interest income less an implied cost of financing). TBA dollar roll income is included in “Interest income” in the consolidated statements of income (loss). Cash and Cash Equivalents and Restricted Cash The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $1.0 million and $2.0 million at September 30, 2021 and December 31, 2020, respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $15.2 million and $44.4 million at September 30, 2021 and December 31, 2020, respectively). The Company’s centrally cleared interest rate swaps require that the Company post an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. The Company has accounted for the receipt or payment of variation margin on interest rate swaps as a direct reduction or increase to the carrying value of the interest rate swap asset or liability. At September 30, 2021 and December 31, 2020, approximately $32.9 million and $48.2 million, respectively, of variation margin was reported as a decrease to the interest rate swap asset, at fair value. Due to Manager The sum under “Due to manager” on the consolidated balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7 Income Taxes The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that it pay tax at regular corporate income tax rates to the extent that it annually distributes less than 100% of its taxable income. The Company’s taxable REIT subsidiary (“TRS”), CHMI Solutions, as well as CHMI Solutions’ wholly-owned subsidiary, Aurora, are subject to U.S. federal income taxes on their taxable income. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. In 2017, the Internal Revenue Service issued a revenue procedure permitting “publicly offered” REITs to make elective stock dividends (i.e., dividends paid in a mixture of stock and cash), with at least 20% of the total distribution being paid in cash, to satisfy their REIT distribution requirements. On May 4, 2020, the Internal Revenue Service issued a revenue procedure that temporarily reduced (through the end of 2020) the minimum amount of the total distribution that must be paid in cash to 10%. Pursuant to these revenue procedures, the Company has in the past elected to make distributions of its taxable income in a mixture of stock and cash The Company accounts for income taxes in accordance with ASC 740, Income Taxes Realized and Unrealized Gain (Loss) on Investments, Net The following table presents gains and losses on the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Realized gain (loss) on RMBS, net Gain on RMBS $ 169 $ 7,082 $ 5,653 $ 25,745 Loss on RMBS (1,219 ) (360 ) (3,626 ) (38,335 ) Net realized gain (loss) on RMBS (1,050 ) 6,722 2,027 (12,590 ) Realized loss on derivatives, net (3,023 ) (7,841 ) (17,903 ) (22,039 ) Unrealized gain (loss) on derivatives, net (5,467 ) 3,702 (9,978 ) 51,321 Realized loss on MSRs, net - - - (11,347 ) Unrealized loss on investments in Servicing Related Assets (7,914 ) (20,972 ) (5,951 ) (131,850 ) Realized gain (loss) on acquired assets, net (19 ) (95 ) 15 (597 ) Total $ (17,473 ) $ (18,484 ) $ (31,790 ) $ (127,102 ) Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. Borrowings under the repurchase agreements are generally short-term debt due within one year. These borrowings generally bear interest rates offered by the “lending” counterparty from time to time for the term of the proposed repurchase transaction (e.g. 30 days, 60 days etc.) of a specified margin over one-month LIBOR. The repurchase agreements represent uncommitted financing. Borrowings under these agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. Dividends Payable Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on outstanding shares on the accounting date, which causes an offsetting reduction in retained earnings. Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income (loss), as presented in the consolidated statements of income (loss), adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. Recent Accounting Pronouncements Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform , which provides optional expedients and exceptions for applying generally accepted accounting principles to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. While the Company currently does not have any hedging relationships, the Company’s debt facilities incorporate LIBOR as the reference rate. Certain of these facilities mature prior to the phase out of LIBOR while others have provisions in place that provide for an alternative to LIBOR upon its phase out. If a facility is silent on a fall back, the transition will be governed by market approaches prevailing at the time. The ASU was effective immediately for all entities and expires after December 31, 2022. The Company is currently evaluating the effect this guidance will have on its consolidated financial statements. Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Segment Reporting
Segment Reporting | 9 Months Ended |
Sep. 30, 2021 | |
Segment Reporting [Abstract] | |
Segment Reporting | Note 3 — Segment Reporting The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other,” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (see Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses. Summary financial data with respect to the Company’s segments is given below, together with the data for the Company as a whole (dollars in thousands): Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended September 30, 2021 Interest income $ 120 $ 6,923 $ - $ 7,043 Interest expense (808 ) 1,454 - 646 Net interest income 928 5,469 - 6,397 Servicing fee income 13,839 - - 13,839 Servicing costs 3,080 - - 3,080 Net servicing income 10,759 - - 10,759 Other expense (14,210 ) (3,263 ) - (17,473 ) Other operating expenses 1,030 - 2,658 3,688 Benefit from corporate business taxes (215 ) - - (215 ) Net Income (Loss) $ (3,338 ) $ 2,206 $ (2,658 ) $ (3,790 ) Three Months Ended September 30, 2020 Interest income $ 380 $ 9,621 $ - $ 10,001 Interest expense (1,297 ) 1,279 - (18 ) Net interest income 1,677 8,342 - 10,019 Servicing fee income 14,365 - - 14,365 Servicing costs 5,266 - - 5,266 Net servicing income 9,099 - - 9,099 Other income (expense) (25,492 ) 7,008 - (18,484 ) Other operating expenses 1,178 - 2,314 3,492 Benefit from corporate business taxes (2,116 ) - - (2,116 ) Net Income (Loss) $ (13,778 ) $ 15,350 $ (2,314 ) $ (742 ) Nine Months Ended September 30, 2021 Interest income $ 345 $ 19,768 $ - $ 20,113 Interest expense (2,767 ) 3,974 - 1,207 Net interest income 3,112 15,794 - 18,906 Servicing fee income 41,127 - - 41,127 Servicing costs 10,234 - - 10,234 Net servicing income 30,893 - - 30,893 Other income (expense) (34,090 ) 2,300 - (31,790 ) Other operating expenses 2,438 - 8,328 10,766 Provision for corporate business taxes 1,418 - - 1,418 Net Income (Loss) $ (3,941 ) $ 18,094 $ (8,328 ) $ 5,825 Nine Months Ended September 30, 2020 Interest income $ 2,500 $ 37,882 $ - $ 40,382 Interest expense 850 14,848 - 15,698 Net interest income 1,650 23,034 - 24,684 Servicing fee income 51,916 - - 51,916 Servicing costs 17,700 - - 17,700 Net servicing income 34,216 - - 34,216 Other expense (82,094 ) (45,008 ) - (127,102 ) Other operating expenses 2,913 - 8,694 11,607 Benefit from corporate business taxes (17,548 ) - - (17,548 ) Net Loss $ (31,593 ) $ (21,974 ) $ (8,694 ) $ (62,261 ) Servicing Related Assets RMBS All Other Total Balance Sheet September 30, 2021 Investments $ 210,819 $ 865,904 $ - $ 1,076,723 Other assets 46,350 28,281 63,011 137,642 Total assets 257,169 894,185 63,011 1,214,365 Debt 135,000 777,416 - 912,416 Other liabilities 1,829 5,212 12,402 19,443 Total liabilities 136,829 782,628 12,402 931,859 Book value $ 120,340 $ 111,557 $ 50,609 $ 282,506 December 31, 2020 Investments $ 174,414 $ 1,228,251 $ - $ 1,402,665 Other assets 51,063 55,260 84,500 190,823 Total assets 225,477 1,283,511 84,500 1,593,488 Debt 111,379 1,149,978 - 1,261,357 Other liabilities 2,392 6,370 10,803 19,565 Total liabilities 113,771 1,156,348 10,803 1,280,922 Book value $ 111,706 $ 127,163 $ 73,697 $ 312,566 |
Investments in RMBS
Investments in RMBS | 9 Months Ended |
Sep. 30, 2021 | |
Investments in RMBS [Abstract] | |
Investments in RMBS | Note 4 — Investments in RMBS At September the Company’s investments in RMBS consist solely of Agency RMBS. The Company’s investments in RMBS may also include, from time to time, any of the following: Collateralized mortgage obligations (“CMOs”), which are either loss share securities issued by Fannie Mae or Freddie Mac or non-Agency RMBS, sometimes called “private label MBS,” which are structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles and different ratings by or more nationally recognized statistical rating organizations (“NRSRO”). All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value. Beginning on January upon the adoption of ASU - Financial Instruments-Credit Losses, credit related impairment, if any, is included in provision (reversal) for credit losses on securities in the consolidated statements of income (loss). If it is determined as of the financial reporting date that all or a portion of a security’s cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security’s cost basis. This adjustment to the amortized cost basis of the security, if any, is reflected in realized gain (loss) on RMBS, available-for-sale, net in the consolidated statements of income (loss). All other changes in fair value are recorded in other comprehensive income (loss). The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in s): Summary of RMBS Assets As of September 30, 2021 Gross Unrealized Weighted Average Asset Type Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS Fannie Mae $ 709,268 $ 510,769 $ 12,278 $ (881 ) $ 522,166 70 (B) 3.12 % 3.00 % 27 Freddie Mac 422,028 339,213 6,557 (2,032 ) 343,738 39 (B) 2.99 % 2.86 % 28 Total/Weighted Average $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 3.07 % 2.94 % 28 As of December 31, 2020 Gross Unrealized Weighted Average Asset Type Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS Fannie Mae $ 840,175 $ 692,665 $ 22,530 $ (39 ) $ 715,156 81 (B) 3.31 % 3.17 % 28 Freddie Mac 549,530 493,930 13,106 (82 ) 506,954 49 (B) 2.99 % 2.87 % 28 Private Label MBS 22,000 5,944 197 - 6,141 5 (B) 4.08 % 4.08 % 28 Total/Weighted Average $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 3.18 % 3.05 % 28 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. Private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. Summary of RMBS Assets by Maturity As of September 30, 2021 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Over 10 Years $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 (B) 3.07 % 2.94 % 28 Total/Weighted Average $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 3.07 % 2.94 % 28 As of December 31, 2020 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Over 10 Years $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 (B) 3.18 % 3.05 % 28 Total/Weighted Average $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 3.18 % 3.05 % 28 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. At September and December the Company pledged Agency RMBS with a carrying value of approximately $ million and $ million, respectively, as collateral for borrowings under repurchase agreements. At September and December the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC Transfers and Servicing , to be considered linked transactions and, therefore, classified as derivatives. Based on management’s analysis of the Company’s securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding periods. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, none of which will directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that a substantial majority, if not all, of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored enterprises. Both credit related and non-credit related unrealized losses on securities that the Company (i) intends to sell, or (ii) will more likely than not be required to sell before recovering their cost basis, are recognized in earnings. The Company did not record an allowance for credit losses on the balance sheet at September and December or any impairment charges in earnings during the and nine-month periods ended September and September 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 September 30, 2021 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Less than Twelve Months $ 336,133 $ 336,724 $ (2,851 ) $ 333,873 32 (B) 2.56 % 2.44 % 29 Twelve or More Months 6,629 6,707 (62 ) 6,645 1 (B) 3.00 % 2.83 % 28 Total/Weighted Average $ 342,762 $ 343,431 $ (2,913 ) $ 340,518 33 2.57 % 2.45 % 29 As of December 31, 2020 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Less than Twelve Months $ 55,656 $ 57,945 $ (121 ) $ 57,824 4 (B) 3.00 % 2.82 % 29 Total/Weighted Average $ 55,656 $ 57,945 $ (121 ) $ 57,824 4 3.00 % 2.82 % 29 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
Investments in Servicing Relate
Investments in Servicing Related Assets | 9 Months Ended |
Sep. 30, 2021 | |
Investments in Servicing Related Assets [Abstract] | |
Investments in Servicing Related Assets | Note 5 — Investments in Servicing Related Assets Aurora’s portfolio of Servicing Related Assets consists of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately $20.8 billion as of September 30, 2021. The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands): Servicing Related Assets Summary As of September 30, 2021 Unpaid Principal Balance Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Year to Date Changes in Fair Value Recorded in Other Income (Loss) MSRs $ 20,781,421 $ 210,819 3.57 % 26.3 $ (5,951 ) MSR Total/Weighted Average $ 20,781,421 $ 210,819 3.57 % 26.3 $ (5,951 ) As of December 31, 2020 Unpaid Principal Balance Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Year to Date Changes in Fair Value Recorded in Other Income (Loss) MSRs $ 21,641,277 $ 174,414 3.92 % 26.3 $ (141,900 ) MSR Total/Weighted Average $ 21,641,277 $ 174,414 3.92 % 26.3 $ (141,900 ) (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. (B) Weighted average maturity of the underlying residential mortgage loans in the pool is based on the unpaid principal balance. The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the Servicing Related Assets as of the dates indicated: Geographic Concentration of Servicing Related Assets As of September 30, 2021 Percentage of Total Outstanding Unpaid Principal Balance California 12.6 % Virginia 9.5 % New York 9.0 % Maryland 7.2 % Texas 6.1 % North Carolina 5.8 % All other 49.8 % Total 100.0 % As of December 31, 2020 Percentage of Total Outstanding Unpaid Principal Balance California 11.1 % Virginia 8.4 % New York 7.7 % Maryland 6.7 % Texas 5.8 % North Carolina 5.5 % All other 54.8 % 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 Common
Equity and Earnings per Common Share | 9 Months Ended |
Sep. 30, 2021 | |
Equity and Earnings per Common Share [Abstract] | |
Equity and Earnings per Common Share | Note 6 — Equity and Earnings per Common Share Common and Preferred Stock On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. The Company’s 8.20% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”) ranks senior to the Company’s common stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted by the holders of the Series A Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series A Preferred Stock is not redeemable by the Company prior to August 17, 2022, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and after August 17, 2022, the Company may, at its option, redeem the Series A Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the Series A Preferred Stock upon certain changes in control, the holders of the Series A Preferred Stock have the right to convert some or all of their shares of Series A Preferred Stock into a number of shares of the Company’s common stock based on a defined formula, subject to a share cap, or alternative consideration. The share cap on each share of Series A Preferred Stock is 2.62881 shares of common stock, subject to certain adjustments. The Company pays cumulative cash dividends at the rate of 8.20% per annum of the $25.00 per share liquidation preference (equivalent to $2.05 per annum per share) on the Series A Preferred Stock, in arrears, on or about the 15 th On June the Company issued and sold shares of its common stock, par value per share. The underwriters subsequently exercised their option to purchase an additional shares for total proceeds of approximately after underwriting discounts and commissions but before expenses of approximately All of the net proceeds were invested in RMBS. The Company’s 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Stock, par value $0.01 per share (the “Series B Preferred Stock”) ranks senior to the Company’s common stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up, and on parity with the Company’s Series A Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted by the holders of the Series B Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series B Preferred Stock is not redeemable by the Company prior to April 15, 2024, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and after April 15, 2024, the Company may, at its option, redeem the Series B Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the Series B Preferred Stock upon certain changes in control, the holders of the Series B Preferred Stock have the right to convert some or all of their shares of Series B Preferred Stock into a number of shares of the Company’s common stock based on a defined formula, subject to a share cap, or alternative consideration. The share cap on each share of Series B Preferred Stock is 2.68962 shares of common stock, subject to certain adjustments. Holders of Series B Preferred Stock will be entitled to receive cumulative cash dividends (i) from and including February 11, 2019 to, but excluding, April 15, 2024 at a fixed rate equal to 8.250% per annum of the $25.00 per share liquidation preference (equivalent to $2.0625 per annum per share) and (ii) from and including April 15, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.631% per annum. Dividends are payable quarterly in arrears on the 15 th On April the Company issued shares of Common Stock in partial payment of the previously declared cash dividend of per share of Common Stock. Common Stock ATM Program In August the Company instituted an at-the-market offering program (the “Common Stock ATM Program”) of up to of its common stock. Under the Common Stock ATM Program, the Company may, but is not obligated to, sell shares of common stock from time to time through one or more selling agents. The Common Stock ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the -month periods ended September During the year ended December the Company did no t issue any shares of common stock under the Common Stock ATM Program. Preferred Stock ATM Program In April the Company instituted an at-the-market offering program (the “Preferred Series A ATM Program”) of up to of its Series A Preferred Stock. Under the Preferred Series A ATM Program, the Company may, but is not obligated to, sell shares of Series A Preferred Stock from time to time through one or more selling agents. The Preferred Series A ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the three and nine-month period ended September 30, and the year ended December , the Company did t issue any shares of Series A Preferred Stock under the Preferred Series A ATM Program. Share Repurchase Program In September 2019, the Company instituted a share repurchase program that allows for the repurchase of up to an aggregate of $ million of the Company’s common stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the -month period ended September the Company did t repurchase any shares under the share repurchase program. During the year ended December the Company repurchased shares of its common stock at a weighted average purchase price of $ per share and paid broker commissions of approximately $ on such repurchases. Equity Incentive Plan During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (the “2013 Plan”). The 2013 Plan 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. 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 The following table sets forth the number of shares of the Company’s common stock as well as LTIP-OP Units and the values thereof (based on the closing prices on the respective dates of grant) granted under the Plan. Except as otherwise indicated, all shares are fully vested. Equity Incentive Plan Information Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Weighted Average Issuance Price LTIP-OP Units Shares of Common Stock Issued Forfeited Converted Redeemed Issued Forfeited December 31, 2019 (290,275 ) 916 18,917 - (76,664 ) 3,155 1,156,049 Number of securities issued or to be issued upon exercise (41,900 ) (A) - - - - - (41,900 ) $ 14.55 Number of securities issued or to be issued upon exercise - - 9,500 - (9,500 ) - - $ 8.01 March 31, 2020 (332,175 ) 916 28,417 - (86,164 ) 3,155 1,114,149 Number of securities issued or to be issued upon exercise (9,672 ) - - - - - (9,672 ) $ 6.27 Number of securities issued or to be issued upon exercise - - - - (22,224 ) - (22,224 ) $ 9.18 June 30, 2020 (341,847 ) 916 28,417 - (108,388 ) 3,155 1,082,253 Number of securities issued or to be issued upon exercise - - - - - - September 30, 2020 (341,847) 916 28,417 (108,388) 3,155 1,082,253 December 31, 2020 (341,847 ) 916 28,417 - (108,388 ) 3,155 1,082,253 Number of securities issued or to be issued upon exercise (49,800 ) (B) - - - - - (49,800 ) $ 8.81 Number of securities issued or to be issued upon exercise - - 16,378 - (16,378 ) - - $ 9.00 March 31, 2021 (391,647 ) 916 44,795 - (124,766 ) 3,155 1,032,453 Number of securities redeemed - - - 3,500 - - - $ 9.53 Number of securities redeemed - - - 3,354 - - - $ 10.48 Number of securities issued or to be issued upon exercise - - - (20,214 ) (C) - (20,214 ) $ 10.39 June 30, 2021 (391,647 ) 916 44,795 6,854 (144,980 ) 3,155 1,012,239 Number of securities redeemed - - - 1,200 - - - $ 9.21 Number of securities redeemed 1,000 - $ 9.36 September 30, 2021 (391,647) 916 44,795 9,054 (144,980) 3,155 1,012,239 (A) Subject to forfeiture in certain circumstances prior to January 2, 2023. (B) Subject to forfeiture in certain circumstances prior to January 4, 2024. (C) Subject to forfeiture in certain circumstances prior to June 17, 2022. The Company recognized approximately $212,000 and $237,000 in share-based compensation expense in the three-month periods ended September 30, 2021 and September 30, 2020, respectively. The Company recognized approximately $837,000 and $808,000 in share-based compensation expense in the nine-month periods ended September 30, 2021 and September 30, 2020, respectively. There was approximately $785,000 of total unrecognized share-based compensation expense as of September 30, 2021, which was related to unvested LTIP-OP Units and directors compensation paid in stock subject to forfeiture. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated statements of income (loss). Non-Controlling Interests in Operating Partnership Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to LTIP-OP Units and OP Units issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company. As of September 30, 2021, the non-controlling interest holders in the Operating Partnership owned 342,771 LTIP-OP Units, or approximately 2.0% of the units of the Operating Partnership. Pursuant to ASC 810, Consolidation Earnings per Common Share The Company is required to present both basic and diluted earnings per common share (“EPS”). Basic EPS is calculated by dividing net income applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share The following table presents basic and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Common Share Information Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Numerator: Net income (loss) $ (3,790 ) $ (742 ) $ 5,825 $ (62,261 ) Net (income) loss allocated to noncontrolling interests in Operating Partnership 77 10 (117 ) 1,147 Dividends on preferred stock 2,462 2,459 7,390 7,379 Net income (loss) applicable to common stockholders $ (6,175 ) $ (3,191 ) $ (1,682 ) $ (68,493 ) Denominator: Weighted average common shares outstanding 17,185,872 17,054,634 17,108,956 16,850,133 Weighted average diluted shares outstanding 17,206,086 17,076,858 17,130,489 16,866,269 Basic and Diluted EPS: Basic $ (0.36 ) $ (0.19 ) $ (0.10 ) $ (4.06 ) Diluted $ (0.36 ) $ (0.19 ) $ (0.10 ) $ (4.06 ) 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 Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 2021 | |
Transactions with Related Parties [Abstract] | |
Transactions with Related Parties | Note 7 — Transactions with Related Parties Manager The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement). The term of the Management Agreement expires on October 22, 2022 and will be automatically renewed for a one-year term on such date and on each anniversary of such date thereafter unless terminated or not renewed as described below. Either the Company or the Manager may elect not to renew the Management Agreement upon expiration of its initial term or any renewal term by providing written notice of non-renewal at least 180 days, but not more than 270 days, before expiration. No such written notice of non-renewal was provided in 2021. In the event the Company elects not to renew the term, the Company will be required to pay the Manager a termination fee equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the non-renewal. The Company may terminate the Management Agreement at any time for cause effective upon 30 days prior written notice of termination from the Company to the Manager, in which case no termination fee would be due. The Company’s board of directors will review the Manager’s performance prior to the automatic renewal of the Management Agreement and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of the Company’s board of directors or of the holders of a majority of the Company’s outstanding common stock, the Company may terminate the Management Agreement based upon unsatisfactory performance by the Manager that is materially detrimental to the Company or a determination by the Company’s independent directors that the management fees payable to the Manager are not fair, subject to the right of the Manager to prevent such a termination by agreeing to a reduction of the management fees payable to the Manager. Upon any termination of the Management Agreement based on unsatisfactory performance or unfair management fees, the Company would be required to pay the Manager the termination fee described above. The Manager may terminate the Management Agreement in the event that the Company becomes regulated as an investment company under the Investment Company Act of 1940, as amended, in which case the Company would not be required to pay the termination fee described above. The Manager may also terminate the Management Agreement upon 60 days’ written notice if the Company defaults in the performance of any material term of the Management Agreement and the default continues for a period of 30 days after written notice to the Company, whereupon the Company would be required to pay the Manager the termination fee described above. The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage (in such capacity, the “Services Provider”), pursuant to which the Services Provider provides to the Manager personnel and payroll and benefits administration services as needed by the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against the Services Provider in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by the Services Provider of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and the Services Provider were controlled by Mr. Stanley Middleman. In 2016, ownership of the Manager was transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman. The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) an agreed upon portion of the compensation paid to specified officers of the Company. The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands): Management Fees and Compensation Reimbursement to Manager Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Management fees $ 1,709 $ 1,727 $ 5,119 $ 5,190 Compensation reimbursement 250 262 750 738 Total $ 1,959 $ 1,989 $ 5,869 $ 5,928 Subservicing Agreements During the year ended December 31, 2020, Freedom Mortgage directly serviced Aurora’s portfolio of Ginnie Mae MSRs pursuant to a subservicing agreement entered into on June 10, 2015. Following the sale of the Ginnie Mae MSRs to Freedom Mortgage in June 2020 as described below, Freedom Mortgage has continued to subservice certain loans that had been purchased from Ginnie Mae pools due to delinquency or default. Once these loans and any related advance claims are rehabilitated or liquidated, the subservicing agreement with Freedom Mortgage will be terminated. It is not clear when that will occur due to the forbearance requirements as a result of the pandemic. In August 2020, Freedom Mortgage acquired RoundPoint Mortgage Servicing Corporation (“RoundPoint”), one of Aurora’s subservicers and a seller of Fannie Mae and Freddie Mac MSRs pursuant to a flow purchase agreement with Aurora. The subservicing agreement with RoundPoint had an initial term of two years and is subject to automatic renewal for additional terms equal to the initial term unless either party chooses not to renew. The subservicing agreement may be terminated without cause by either party by giving notice as specified in the agreement. If the agreement is not renewed by Aurora or terminated by Aurora without cause, de-boarding fees will be due to the subservicer. Under the subservicing agreement, the sub-servicer agrees to service the applicable mortgage loans in accordance with applicable law. During the three and nine-months ended September 30, 2021, Aurora paid RoundPoint $1.8 million and $6.2 million, respectively, in servicing costs. During the three and nine-months ended September 30, 2020, Aurora paid RoundPoint $3.4 million and $9.8 million, respectively, in servicing costs. Aurora had servicing receivables of $1.2 million and $227,000 from RoundPoint as of September 30, 2021 and December 31, 2020, respectively. The flow purchase agreement provides that RoundPoint may offer, and Aurora may purchase mortgage servicing rights from time to time on loans originated through RoundPoint’s network of loan sellers. RoundPoint’s sellers sell the loans to Fannie Mae or Freddie Mac and sell the mortgage servicing rights to RoundPoint which sells the MSR to Aurora. RoundPoint then subservices the loans for Aurora pursuant to the subservicing agreement. During the three and nine-month periods ended September 30, 2021, Aurora purchased MSRs with an aggregate UPB of approximately $72.2 million and $2.5 billion, respectively from RoundPoint pursuant to the flow agreement for purchase prices of $680,000 and $21.1 million, respectively. During the three and nine-month periods ended September 30, 2020, Aurora purchased MSRs with an aggregate UPB of approximately $1.1 billion and $3.8 billion, respectively from RoundPoint pursuant to the flow agreement for purchase prices of $6.7 million and $32.6 million, respectively. Joint Marketing Recapture Agreements In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint and since August 2020, a wholly-owned subsidiary of Freedom Mortgage. Pursuant to this agreement, RoundPoint attempts to refinance certain mortgage loans underlying Aurora’s MSR portfolio subserviced by RoundPoint as directed by Aurora. If a loan is refinanced, RoundPoint will sell the loan to Fannie Mae or Freddie Mac, as applicable, retain the sale proceeds and transfer the related MSR to Aurora. The agreement continues in effect while the subservicing agreement remains in effect. Other Transactions with Related Parties Aurora leases three employees from the Services Provider and reimburses the Services Provider on a monthly basis. On June 30, 2020, Aurora sold its portfolio of Ginnie Mae MSRs with a carrying value of approximately $15.7 million to Freedom Mortgage pursuant to a Loan Servicing Purchase and Sale Agreement, dated as of that date, between Freedom Mortgage as buyer and Aurora as seller for proceeds of approximately $15.8 million. The Company recorded a realized loss of $11.3 million on the sale which includes $11.5 million of previously incurred unrealized losses in market value through the six-month period ended June 30, 2020. The sale is part of the Company’s servicing related assets segment. The sale was approved by the Nominating and Corporate Governance Committee of the Company’s board of directors which consists solely of independent directors. The proceeds were used in part to pay off in full a $11.2 million term loan facility financing the Ginnie Mae MSRs and a related advancing facility, with the balance of the proceeds available for general corporate purposes. The Ginnie Mae MSRs were originally acquired from Freedom Mortgage pursuant to the loan servicing purchase and sale agreement with Freedom Mortgage, dated as of December 15, 2016. As a result of the sale of these MSRs back to Freedom Mortgage the remaining holdback payable under the original purchase agreement of approximately $757,000 was applied to reduce the original cost of acquisition and included within “Realized loss on investments in MSRs, net” on the consolidated statements of income (loss) for the nine-month period ended September 30, 2020. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments [Abstract] | |
Derivative Instruments | Note 8 — Derivative Instruments Interest Rate Swap Agreements, Swaptions, TBAs and U.S. Treasury Futures In order to help mitigate exposure to higher short-term interest rates in connection with borrowings under its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes. In order to help mitigate duration risk and manage basis risk and the pricing risk under the Company’s financing facilities, the Company utilizes U.S. treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. Unless otherwise indicated, references to U.S. treasury futures include options on U.S. treasury futures. The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands): Derivatives September 30, 2021 December 31, 2020 Notional amount of interest rate swaps $ 1,413,000 $ 1,451,900 Notional amount of swaptions 55,000 70,000 Notional amount of TBAs, net 536,000 332,000 Notional amount of U.S. treasury futures (30,000 ) 110,000 Notional amount of options on U.S. treasury futures 50,000 - Total notional amount $ 2,024,000 $ 1,963,900 The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands): Notional Amount Fair Value Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity September 30, 2021 $ 1,413,000 $ 16,906 0.48 % 0.71 % 6.3 December 31, 2020 $ 1,451,900 $ 4,913 0.45 % 0.84 % 6.4 The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands): Notional Amount Fair Value Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate (A) Weighted Average Underlying Years to Maturity (B) Weighted Average Years to Expiration September 30, 2021 $ 55,000 $ 694 1.73 % LIBOR-BBA% 8.8 0.5 December 31, 2020 $ 70,000 $ 798 1.32 % LIBOR-BBA% 10.6 0.5 (A) Floats in accordance with LIBOR. (B) Weighted average years to maturity of the underlying swaps from the reporting date. The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in s): As September Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 1,472,000 $ 1,514,278 $ 1,510,342 $ (3,935 ) Sale contracts (936,000 ) (964,923 ) (965,776 ) (853 ) Net TBA derivatives $ 536,000 $ 549,355 $ 544,566 $ (4,788 ) As of December Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 875,000 $ 904,653 $ 911,393 $ 6,740 Sale contracts (543,000 ) (564,934 ) (567,544 ) (2,610 ) Net TBA derivatives $ 332,000 $ 339,719 $ 343,849 $ 4,130 The following tables present information about the Company’s U.S. treasury futures agreements as of the dates indicated (dollars in thousands): As of September 30, 2021 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ - $ (30,000 ) $ (42 ) Total $ - $ (30,000 ) $ (42 ) As of December 31, 2020 Maturity Notional Amount - Long Notional Amount - Short Fair Value 5 years $ 85,000 $ - $ 252 10 years 25,000 - - Total $ 110,000 $ - $ 252 The Company did not have any U.S. treasury futures options agreements as of December 31, 2020. The following table presents information about the Company’s U.S. treasury futures options agreements as of the dates indicated (dollars in thousands): As of September 30, 2021 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ 80,000 $ (30,000 ) $ 198 Total $ 80,000 $ (30,000 ) $ 198 The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended September 30, Nine Months Ended September 30, Derivatives Consolidated Statements of Income (Loss) Location 2021 2020 2021 2020 Interest rate swaps Realized loss on derivatives, net $ (968 ) $ (8,832 ) $ (1,260 ) $ (63,456 ) Swaptions Realized loss on derivatives, net (210 ) - (804 ) (212 ) TBAs Realized loss on derivatives, net 332 (1,279 ) (10,407 ) (935 ) U.S Treasury futures Realized loss on derivatives, net (2,177 ) 2,270 (5,432 ) 42,564 Total $ (3,023 ) $ (7,841 ) $ (17,903 ) $ (22,039 ) Offsetting Assets and Liabilities The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swaps and Derivatives Association. Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and U.S. treasury futures assets and liabilities on a gross basis in its consolidated balance sheets, but in the case of interest rate swaps, net of variation margin. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of September 30, 2021 Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 17,226 $ - $ 17,226 $ (17,226 ) $ - $ - Interest rate swaptions 694 - 694 (694 ) - - TBAs 670 (670 ) - - - - U.S. treasury futures options 198 - 198 837 (1,035 ) - Total Assets $ 18,788 $ (670 ) $ 18,118 $ (17,083 ) $ (1,035 ) $ - Liabilities Repurchase agreements $ 777,416 $ - $ 777,416 $ (762,211 ) $ (15,205 ) $ - Interest rate swaps 320 - 320 (320 ) - - TBAs 5,458 (670 ) 4,788 (4,788 ) - - U.S. treasury futures 42 - 42 (42 ) - - Total Liabilities $ 783,236 $ (670 ) $ 782,566 $ (767,361 ) $ (15,205 ) $ - As of December 31, 2020 Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 10,791 $ - $ 10,791 $ (10,791 ) $ - $ - Interest rate swaptions 798 - 798 (798 ) - - TBAs 6,740 (2,611 ) 4,129 (4,129 ) - - U.S. treasury futures 252 - 252 1,717 (1,969 ) - Total Assets $ 18,581 $ (2,611 ) $ 15,970 $ (14,001 ) $ (1,969 ) $ - Liabilities Repurchase agreements $ 1,149,978 $ - $ 1,149,978 $ (1,105,621 ) $ (44,357 ) $ - Interest rate swaps 5,878 - 5,878 (5,878 ) - - TBAs 2,611 (2,611 ) - - - - Total Liabilities $ 1,158,467 $ (2,611 ) $ 1,155,856 $ (1,111,499 ) $ (44,357 ) $ - |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value [Abstract] | |
Fair Value | Note 9 – Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring the fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: • Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. • Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. • Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. 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 September 30, 2021 and December 31, 2020. MSRs The Company, through its subsidiary Aurora, holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at September 30, 2021 and December 31, 2020. Derivative Instruments The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and U.S. treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at September 30, 2021 and December 31, 2020. Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps and U.S. treasury futures are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands). Recurring Fair Value Measurements As of September 30, 2021 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 522,166 $ - $ 522,166 Freddie Mac - 343,738 - 343,738 RMBS total - 865,904 - 865,904 Derivative assets Interest rate swaps - 17,226 - 17,226 Interest rate swaptions - 694 - 694 U.S. treasury futures options - 198 - 198 Derivative assets total - 18,118 - 18,118 Servicing related assets - - 210,819 210,819 Total Assets $ - $ 884,022 $ 210,819 $ 1,094,841 Liabilities Derivative liabilities Interest rate swaps - 320 - 320 TBAs - 4,788 - 4,788 U.S. treasury futures - 42 - 42 Derivative liabilities total - 5,150 - 5,150 Total Liabilities $ - $ 5,150 $ - $ 5,150 As of December 31, 2020 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 715,156 $ - $ 715,156 Freddie Mac - 506,954 - 506,954 Private Label MBS - 6,141 - 6,141 RMBS total - 1,228,251 - 1,228,251 Derivative assets Interest rate swaps - 10,791 - 10,791 Interest rate swaptions - 798 - 798 TBAs - 4,129 - 4,129 U.S. treasury futures - 252 - 252 Derivative assets total - 15,970 - 15,970 Servicing related assets - - 174,414 174,414 Total Assets $ - $ 1,244,221 $ 174,414 $ 1,418,635 Liabilities Derivative liabilities Interest rate swaps - 5,878 - 5,878 Derivative liabilities total - 5,878 - 5,878 Total Liabilities $ - $ 5,878 $ - $ 5,878 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 September 30, 2021 and December 31, 2020, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. Level 3 Assets and Liabilities The valuation of Level 3 assets and liabilities requires significant judgment by management. The Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party pricing providers. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of September 30, 2021 and December 31, 2020 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 September 30, 2021 Level 3 MSRs Balance at December 31, 2020 $ 174,414 Purchases, sales and principal paydowns: Purchases 43,428 Other changes (A) (1,072 ) Purchases and sales: $ 42,356 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model 54,458 Other changes in fair value (B) (60,409 ) Unrealized gain (loss) included in Net Income $ (5,951 ) Balance at September 30 2021 $ 210,819 As of December 31, 2020 Level 3 MSRs Balance at December 31, 2019 $ 291,111 Purchases, sales and principal paydowns: Purchases 54,439 Sales (27,754 ) Other changes (A) (1,482 ) Purchases and sales: $ 25,203 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model (8,318 ) Other changes in fair value (B) (133,582 ) Unrealized gain (loss) included in Net Income $ (141,900 ) Balance at December 31, 2020 $ 174,414 (A) Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. (B) Represents changes due to realization of expected cash flows and estimated MSR runoff. 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 September 30, 2021 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 210,819 Discounted cash flow Constant prepayment speed 5.0% - 21.0 % 12.2 % Uncollected payments 0.4% - 2.6 % 0.6 % Discount rate 7.0 % Annual cost to service, per loan $ 76 Total $ 210,819 As of December 31, 2020 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 174,414 Discounted cash flow Constant prepayment speed 5.0% -38.0 % 15.4 % Uncollected payments 0.3% - 2.6 % 0.6 % Discount rate 6.1 % Annual cost to service, per loan $ 76 Total $ 174,414 (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates. (B) Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios. Fair Value of Financial Assets and Liabilities In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. • 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 consists solely of financing secured by Aurora’s Servicing Related Assets. All of the Company’s debt is revolving and bears interest at adjustable rates. The Company considers that the amount of the corporate debt generally approximates fair value. The fixed rate portion of the financing for all of the Company’s Servicing Related Assets was paid in full on June 30, 2020. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies | Note 10 — Commitments and Contingencies The commitments and contingencies of the Company as of September 30, 2021 and December 31, 2020 are described below. Management Agreement The Company pays the Manager a management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Manager relies on Freedom Mortgage to provide the Manager with the necessary resources and personnel to conduct the Company’s operations. For further discussion regarding the management fee, see Note 7. Legal and Regulatory From time to time, the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. The Company has established immaterial reserves for these possible matters. Commitments to Purchase/Sell RMBS As of September 30, 2021 and December 31, 2020, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward Agency RMBS trades, whereby the Company committed to purchasing or selling a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date. As of September 30, 2021 and December 31, 2020, the Company was not obligated to purchase or sell any RMBS securities. Acknowledgment Agreements In connection with the Fannie Mae MSR Financing Facility (as defined below in Note 12), entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the Fannie Mae MSR Financing Facility and the financing facility it replaced. In connection with the MSR Revolver (as defined below in Note 12), Aurora, QRS V, and the lender, with a limited joinder by the Company, entered into an acknowledgement agreement with Freddie Mac pursuant to which Freddie Mac consented to the pledge of the Freddie Mac MSRs securing the MSR Revolver. Aurora and the lender also entered into a consent agreement with Freddie Mac pursuant to which Freddie Mac consented to the pledge of Aurora’s rights to reimbursement for advances on the underlying loans. See Note 12—Notes Payable for a description of the MSR Revolver. |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2021 | |
Repurchase Agreements [Abstract] | |
Repurchase Agreements | Note 11 – Repurchase Agreements The Company had outstanding approximately $777.4 million and $1.1 billion of borrowings under its repurchase agreements as of September 30, 2021 and December 31, 2020, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 38 days and 28 days as of September 30, 2021 and December 31, 2020. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4). The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreements Characteristics As of September 30, 2021 Repurchase Agreements Weighted Average Rate Less than one month $ 300,823 0.11 % One to three months 476,593 0.12 % Total/Weighted Average $ 777,416 0.11 % As of December 31, 2020 Repurchase Weighted Average Rate Less than one month $ 482,319 0.23 % One to three months 667,659 0.23 % Total/Weighted Average $ 1,149,978 0.23 % There were no overnight or demand securities as of September 30, 2021 or December 31, 2020. |
Notes Payable
Notes Payable | 9 Months Ended |
Sep. 30, 2021 | |
Notes Payable [Abstract] | |
Notes Payable | Note 12 – Notes Payable In July 2018, the Company, Aurora and QRS V (collectively with Aurora and the Company, the “Borrowers”) entered into a $25.0 million revolving credit facility (the “MSR Revolver”) pursuant to which Aurora pledged all of its existing and future MSRs on loans owned or securitized by Freddie Mac. The term of the MSR Revolver is 364 days with the Borrowers’ option for two renewals for similar terms followed by a one-year term out feature with a 24-month amortization schedule. The MSR Revolver was upsized to $45.0 million in September 2018 and the Company had the ability to request up to an additional $5.0 million of borrowings. On April 2, 2019, the Borrowers entered into an amendment that increased the maximum amount of the MSR Revolver to $100.0 million. In July 2021, the Borrowers entered into an amendment to the MSR Revolver that extended the revolving period for an additional days with the option for more renewals of days each. In September 2019, Aurora and QRS III entered into a loan and security agreement (the “Fannie Mae MSR Financing Facility”), to replace the MSR Financing Facility. Under the Fannie Mae MSR Facility, Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The maximum credit amount outstanding at any one time under the facility is $200.0 million of which $100.0 million is committed. Borrowings bear interest at a rate equal to a spread over one-month LIBOR subject to a floor. The term of the facility is 24 months subject to extension for an additional 12 months if the lender agrees beginning in the 20th month. The lender and Aurora have extended the term of this facility to November 1, 2021. . See Note 16-Subsequent Events for a description of the replacement facility . The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Notes Payable Repayment Characteristics As of September 30, 2021 2021 2022 2023 2024 2025 2026 Total MSR Revolver Borrowings under MSR Revolver Facility $ - $ 63,000 $ - $ - $ - $ - $ 63,000 Fannie Mae MSR Financing Facility Borrowings under Fannie Mae MSR Financing Facility $ 72,000 $ - $ - $ - $ - $ - $ 72,000 Total $ 72,000 $ 63,000 $ - $ - $ - $ - $ 135,000 As of December 31, 2020 2021 2022 2023 2024 2025 2026 Total MSR Revolver Borrowings under MSR Revolver Facility $ 47,500 $ - $ - $ - $ - $ - $ 47,500 Fannie Mae MSR Financing Facility Borrowings under Fannie Mae MSR Financing Facility $ 64,000 $ - $ - $ - $ - $ - $ 64,000 Total $ 111,500 $ - $ - $ - $ - $ - $ 111,500 |
Receivables and Other Assets
Receivables and Other Assets | 9 Months Ended |
Sep. 30, 2021 | |
Receivables and Other Assets [Abstract] | |
Receivables and Other Assets | Note 13 – Receivables and Other Assets The assets comprising “Receivables and other assets” as of September 30, 2021 and December 31, 2020 are summarized in the following table (dollars in thousands): Receivables and Other Assets September 30, 2021 December 31, 2020 Servicing advances $ 15,630 $ 18,253 Interest receivable 2,156 3,119 Deferred tax receivable 19,977 21,523 Other receivables 2,599 1,740 Total other assets $ 40,362 $ 44,635 The Company only records as an asset those servicing advances that the Company deems recoverable. |
Accrued Expenses and Other Liab
Accrued Expenses and Other Liabilities | 9 Months Ended |
Sep. 30, 2021 | |
Accrued Expenses and Other Liabilities [Abstract] | |
Accrued Expenses and Other Liabilities | Note 14 – Accrued Expenses and Other Liabilities The liabilities comprising “Accrued expenses and other liabilities” as of September 30, 2021 and December 31, 2020 are summarized in the following table (dollars in thousands): Accrued Expenses and Other Liabilities September 30, 2021 December 31, 2020 Accrued interest payable $ 855 $ 1,008 Accrued expenses 2,080 2,737 Total accrued expenses and other liabilities $ 2,935 $ 3,745 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
Income Taxes [Abstract] | |
Income Taxes | Note 15 – Income Taxes The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code. Effective January 1, 2014, CHMI Solutions elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Sub-REIT to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation. The state and local tax jurisdictions for which the Company is subject to tax filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes. The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands): Nine Months Ended September 30, 2021 2020 Current federal income tax benefit $ (128 ) $ - Deferred federal income tax expense (benefit) 1,402 (16,263 ) Deferred state income tax expense (benefit) 144 (1,285 ) Provision for (benefit from) Corporate Business Taxes $ 1,418 $ (17,548 ) The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Nine Months Ended September 30, 2021 2020 Computed income tax expense (benefit) at federal rate $ 1,521 21.0 % $ (16,760 ) 21.0 % State tax expense (benefit), net of federal tax, if applicable 127 1.8 % (1,284 ) 1.6 % Permanent differences in taxable income from GAAP pre-tax income 175 2.4 % - - % Provision to return adjustment (6 ) (0.1 )% (15 ) 0.0 % REIT income not subject to tax (benefit) (399 ) (5.5 )% 511 (0.6 )% Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate (A) $ 1,418 19.6 % $ (17,548 ) 22.0 % (A) The provision for income taxes is recorded at the TRS level. The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in thousands): September 30, 2021 December 31, 2020 Income taxes recoverable Federal income taxes recoverable $ 128 $ - Income taxes recoverable $ 128 $ - September 30, 2021 December 31, 2020 Deferred tax assets Deferred tax - mortgage servicing rights $ 11,133 $ 15,176 Deferred tax - net operating loss 8,844 6,347 Total net deferred tax assets $ 19,977 $ 21,523 In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which temporary differences become deductible. The Company’s net operating losses (“NOLs”) were created subsequent to 2017 and can be carried forward indefinitely pursuant to the Tax Cuts and Jobs Act of 2017 (“2017 Tax Act”) passed on December 22, 2017. As of September 30, 2021, the Company believes it is more likely than not that it will fully realize its deferred tax assets. Deferred tax assets are included in “Receivables and other assets” in the consolidated balance sheets. In response to the COVID-19 pandemic, the Coronavirus Aid, Relief and Economic Security Act (“CARES Act”) was signed into law in March 2020. The CARES Act lifts certain deduction limitations originally imposed by the 2017 Tax Act. Corporate taxpayers may carryback NOLs originating during 2018 through 2020 for up to five years, which was not previously allowed under the 2017 Tax Act. The CARES Act also eliminates the 80% of taxable income limitations by allowing corporate entities to fully utilize NOL carryforwards to offset taxable income in 2018, 2019 or 2020. The CARES Act did not have a material financial impact on the Company’s consolidated financial statements. Based on the Company's evaluation, the Company has concluded that there are no significant liabilities for unrecognized tax benefits required to be reported in the Company's financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the period presented in these financial statements. The Company’s 2020, 2019 and 2018 federal, state and local income tax returns remain open for examination by the relevant authorities. Distributions to stockholders generally will be primarily taxable as ordinary income, although a portion of such distributions may be designated as qualified dividend income or may constitute a return of capital. The Company furnishes annually to each stockholder a statement setting forth distributions paid during the preceding year and their U.S. federal income tax treatment. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 16 – Subsequent Events On October 26, 2021, Aurora and QRS III entered into a loan and security agreement (the “Fannie Mae MSR Revolving Facility”), to replace the Fannie Mae MSR Financing Facility. Under the Fannie Mae MSR Revolving Facility, Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The maximum credit amount outstanding at any one time under the facility is $150.0 million. The revolving period is 24 months which may be extended by agreement. During the revolving period, borrowings bear interest at a rate equal to a spread over one-month LIBOR subject to a floor. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan that will bear interest at a rate calculated at a spread over the rate for one-year interest rate swaps. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Revolving Facility. |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Accounting | Basis of Accounting The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the periods presented herein |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of mortgage servicing rights (“MSRs” or “Servicing Related Assets”); residential mortgage-backed securities (“RMBS” or “securities”) and derivatives; credit losses and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective. Actual results could differ from the Company’s estimates, and the differences may be material. |
Risks and Uncertainties | Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income, which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. The COVID-19 pandemic continues to create substantial uncertainty for government policy makers and the Federal Reserve Board with consequent effects of the economy in the United States. While the economy has largely reopened, the increased presence of highly contagious variants, and particularly the Delta variant, of the virus has exacerbated supply chain issues that arose during the shutdown of various economies. Certain forbearance programs and prohibitions on foreclosures have been extended while others have expired adding to the concern of the consequences once all such programs end. As of September 30, 2021, 2.4% of borrowers on loans underlying the MSRs owned by Aurora are reflected as being in an active forbearance program, with 6.3% of those borrowers continuing to make their regular scheduled monthly payment. The Company continues to maintain an elevated level of unrestricted cash due to the continuing uncertainty regarding government policy and the economy. Based on information currently available to the Company, the Company continues to believe that it will be able to satisfy all of its servicing obligations in 2021. |
Investments in RMBS | Investments in RMBS Classification The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Available-for-sale securities are carried at fair value. 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. All RMBS purchased and sold during the nine-month period ended September 30, 2021 were settled prior to period end. All RMBS purchased and sold during the year ended December 31, 2020 were settled prior to period-end. Revenue Recognition Impairment When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security’s cost basis is considered impaired. If the Company determines that it intends to sell the security or it is more likely than not that it will be required to sell before recovery, the Company recognizes the difference between the fair value and amortized cost as a loss in the consolidated statements of income (loss). If the Company determines it does not intend to sell the security or it is not more likely than not it will be required to sell the security before recovery, the Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company performs a qualitative assessment around whether a credit loss exists and if necessary, it compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a “market participant” would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in provision for credit losses on securities in the consolidated statements of income (loss) |
Investments in MSRs | Investments in MSRs Classification Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs are reported on the consolidated statements of income (loss). Fluctuations in the fair value of MSRs are recorded on the consolidated statements of income (loss) as “Unrealized gain (loss) on investments in Servicing Related Assets”. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Revenue Recognition 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 underlying the MSRs, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Reimbursable servicing advances, other than principal and interest advances, also have been classified within “Receivables and other assets” on the consolidated balance sheets. Advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable. As a result, the Company has determined that no reserves for unrecoverable advances for the related underlying loans are necessary at September 30, 2021 and December 31, 2020. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13. 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. Any loans so acquired by the Company are accounted for as loans held for sale and are recorded in “Receivables and other assets” in the consolidated balance sheets. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, U.S. treasury futures and “to-be-announced” securities (“TBAs”). A TBA contract is an agreement to purchase or sell, for future delivery, an Agency MBS with a specified issuer, term and coupon. From time to time, the Company enters into a TBA dollar roll which represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. The drop is a reflection of the expected net interest income from an investment in similar Agency MBS, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income generally represents the economic equivalent of the net interest income earned on the underlying Agency MBS less an implied financing cost. TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The Company’s bi-lateral derivative financial instruments contain credit risk to the extent that its counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps and U.S. treasury futures are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments. Classification – All derivatives, including TBAs, are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. The fair value of TBA derivatives is determined using methods similar to those used to value Agency MBS. Revenue Recognition With respect to derivatives that have not been designated as hedges, any payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized gain (loss) on derivatives, net” and “Unrealized gain (loss) on derivatives, net” in the consolidated statements of income (loss). Net interest income (cost) on interest rate swaps is included in “Interest expense” in the consolidated statements of income (loss) . TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency MBS (interest income less an implied cost of financing). TBA dollar roll income is included in “Interest income” in the consolidated statements of income (loss). |
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 $1.0 million and $2.0 million at September 30, 2021 and December 31, 2020, respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $15.2 million and $44.4 million at September 30, 2021 and December 31, 2020, respectively). The Company’s centrally cleared interest rate swaps require that the Company post an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. The Company has accounted for the receipt or payment of variation margin on interest rate swaps as a direct reduction or increase to the carrying value of the interest rate swap asset or liability. At September 30, 2021 and December 31, 2020, approximately $32.9 million and $48.2 million, respectively, of variation margin was reported as a decrease to the interest rate swap asset, at fair value. |
Due to Manager | Due to Manager The sum under “Due to manager” on the consolidated balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7 |
Income Taxes | Income Taxes The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that it pay tax at regular corporate income tax rates to the extent that it annually distributes less than 100% of its taxable income. The Company’s taxable REIT subsidiary (“TRS”), CHMI Solutions, as well as CHMI Solutions’ wholly-owned subsidiary, Aurora, are subject to U.S. federal income taxes on their taxable income. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. In 2017, the Internal Revenue Service issued a revenue procedure permitting “publicly offered” REITs to make elective stock dividends (i.e., dividends paid in a mixture of stock and cash), with at least 20% of the total distribution being paid in cash, to satisfy their REIT distribution requirements. On May 4, 2020, the Internal Revenue Service issued a revenue procedure that temporarily reduced (through the end of 2020) the minimum amount of the total distribution that must be paid in cash to 10%. Pursuant to these revenue procedures, the Company has in the past elected to make distributions of its taxable income in a mixture of stock and cash The Company accounts for income taxes in accordance with ASC 740, Income Taxes |
Realized and Unrealized Gain (Loss) on Investments, Net | Realized and Unrealized Gain (Loss) on Investments, Net The following table presents gains and losses on the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Realized gain (loss) on RMBS, net Gain on RMBS $ 169 $ 7,082 $ 5,653 $ 25,745 Loss on RMBS (1,219 ) (360 ) (3,626 ) (38,335 ) Net realized gain (loss) on RMBS (1,050 ) 6,722 2,027 (12,590 ) Realized loss on derivatives, net (3,023 ) (7,841 ) (17,903 ) (22,039 ) Unrealized gain (loss) on derivatives, net (5,467 ) 3,702 (9,978 ) 51,321 Realized loss on MSRs, net - - - (11,347 ) Unrealized loss on investments in Servicing Related Assets (7,914 ) (20,972 ) (5,951 ) (131,850 ) Realized gain (loss) on acquired assets, net (19 ) (95 ) 15 (597 ) Total $ (17,473 ) $ (18,484 ) $ (31,790 ) $ (127,102 ) |
Repurchase Agreements and Interest Expense | Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. Borrowings under the repurchase agreements are generally short-term debt due within one year. These borrowings generally bear interest rates offered by the “lending” counterparty from time to time for the term of the proposed repurchase transaction (e.g. 30 days, 60 days etc.) of a specified margin over one-month LIBOR. The repurchase agreements represent uncommitted financing. Borrowings under these agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. |
Dividends Payable | Dividends Payable Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on outstanding shares on the accounting date, which causes an offsetting reduction in retained earnings. |
Comprehensive Income | Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income (loss), as presented in the consolidated statements of income (loss), adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Reference Rate Reform In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform , which provides optional expedients and exceptions for applying generally accepted accounting principles to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. While the Company currently does not have any hedging relationships, the Company’s debt facilities incorporate LIBOR as the reference rate. Certain of these facilities mature prior to the phase out of LIBOR while others have provisions in place that provide for an alternative to LIBOR upon its phase out. If a facility is silent on a fall back, the transition will be governed by market approaches prevailing at the time. The ASU was effective immediately for all entities and expires after December 31, 2022. The Company is currently evaluating the effect this guidance will have on its consolidated financial statements. |
Changes in Presentation | Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Gains and Losses of Specified Categories of Investments | The following table presents gains and losses on the specified categories of investments for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Realized gain (loss) on RMBS, net Gain on RMBS $ 169 $ 7,082 $ 5,653 $ 25,745 Loss on RMBS (1,219 ) (360 ) (3,626 ) (38,335 ) Net realized gain (loss) on RMBS (1,050 ) 6,722 2,027 (12,590 ) Realized loss on derivatives, net (3,023 ) (7,841 ) (17,903 ) (22,039 ) Unrealized gain (loss) on derivatives, net (5,467 ) 3,702 (9,978 ) 51,321 Realized loss on MSRs, net - - - (11,347 ) Unrealized loss on investments in Servicing Related Assets (7,914 ) (20,972 ) (5,951 ) (131,850 ) Realized gain (loss) on acquired assets, net (19 ) (95 ) 15 (597 ) Total $ (17,473 ) $ (18,484 ) $ (31,790 ) $ (127,102 ) |
Segment Reporting (Tables)
Segment Reporting (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Segment Reporting [Abstract] | |
Financial Data on CHMI's Segments with Reconciliation | Summary financial data with respect to the Company’s segments is given below, together with the data for the Company as a whole (dollars in thousands): Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended September 30, 2021 Interest income $ 120 $ 6,923 $ - $ 7,043 Interest expense (808 ) 1,454 - 646 Net interest income 928 5,469 - 6,397 Servicing fee income 13,839 - - 13,839 Servicing costs 3,080 - - 3,080 Net servicing income 10,759 - - 10,759 Other expense (14,210 ) (3,263 ) - (17,473 ) Other operating expenses 1,030 - 2,658 3,688 Benefit from corporate business taxes (215 ) - - (215 ) Net Income (Loss) $ (3,338 ) $ 2,206 $ (2,658 ) $ (3,790 ) Three Months Ended September 30, 2020 Interest income $ 380 $ 9,621 $ - $ 10,001 Interest expense (1,297 ) 1,279 - (18 ) Net interest income 1,677 8,342 - 10,019 Servicing fee income 14,365 - - 14,365 Servicing costs 5,266 - - 5,266 Net servicing income 9,099 - - 9,099 Other income (expense) (25,492 ) 7,008 - (18,484 ) Other operating expenses 1,178 - 2,314 3,492 Benefit from corporate business taxes (2,116 ) - - (2,116 ) Net Income (Loss) $ (13,778 ) $ 15,350 $ (2,314 ) $ (742 ) Nine Months Ended September 30, 2021 Interest income $ 345 $ 19,768 $ - $ 20,113 Interest expense (2,767 ) 3,974 - 1,207 Net interest income 3,112 15,794 - 18,906 Servicing fee income 41,127 - - 41,127 Servicing costs 10,234 - - 10,234 Net servicing income 30,893 - - 30,893 Other income (expense) (34,090 ) 2,300 - (31,790 ) Other operating expenses 2,438 - 8,328 10,766 Provision for corporate business taxes 1,418 - - 1,418 Net Income (Loss) $ (3,941 ) $ 18,094 $ (8,328 ) $ 5,825 Nine Months Ended September 30, 2020 Interest income $ 2,500 $ 37,882 $ - $ 40,382 Interest expense 850 14,848 - 15,698 Net interest income 1,650 23,034 - 24,684 Servicing fee income 51,916 - - 51,916 Servicing costs 17,700 - - 17,700 Net servicing income 34,216 - - 34,216 Other expense (82,094 ) (45,008 ) - (127,102 ) Other operating expenses 2,913 - 8,694 11,607 Benefit from corporate business taxes (17,548 ) - - (17,548 ) Net Loss $ (31,593 ) $ (21,974 ) $ (8,694 ) $ (62,261 ) Servicing Related Assets RMBS All Other Total Balance Sheet September 30, 2021 Investments $ 210,819 $ 865,904 $ - $ 1,076,723 Other assets 46,350 28,281 63,011 137,642 Total assets 257,169 894,185 63,011 1,214,365 Debt 135,000 777,416 - 912,416 Other liabilities 1,829 5,212 12,402 19,443 Total liabilities 136,829 782,628 12,402 931,859 Book value $ 120,340 $ 111,557 $ 50,609 $ 282,506 December 31, 2020 Investments $ 174,414 $ 1,228,251 $ - $ 1,402,665 Other assets 51,063 55,260 84,500 190,823 Total assets 225,477 1,283,511 84,500 1,593,488 Debt 111,379 1,149,978 - 1,261,357 Other liabilities 2,392 6,370 10,803 19,565 Total liabilities 113,771 1,156,348 10,803 1,280,922 Book value $ 111,706 $ 127,163 $ 73,697 $ 312,566 |
Investments in RMBS (Tables)
Investments in RMBS (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments in RMBS [Abstract] | |
Summary of RMBS Investments | The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in s): Summary of RMBS Assets As of September 30, 2021 Gross Unrealized Weighted Average Asset Type Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS Fannie Mae $ 709,268 $ 510,769 $ 12,278 $ (881 ) $ 522,166 70 (B) 3.12 % 3.00 % 27 Freddie Mac 422,028 339,213 6,557 (2,032 ) 343,738 39 (B) 2.99 % 2.86 % 28 Total/Weighted Average $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 3.07 % 2.94 % 28 As of December 31, 2020 Gross Unrealized Weighted Average Asset Type Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS Fannie Mae $ 840,175 $ 692,665 $ 22,530 $ (39 ) $ 715,156 81 (B) 3.31 % 3.17 % 28 Freddie Mac 549,530 493,930 13,106 (82 ) 506,954 49 (B) 2.99 % 2.87 % 28 Private Label MBS 22,000 5,944 197 - 6,141 5 (B) 4.08 % 4.08 % 28 Total/Weighted Average $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 3.18 % 3.05 % 28 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. Private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
Summary of RMBS Investments by Maturity | Summary of RMBS Assets by Maturity As of September 30, 2021 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Over 10 Years $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 (B) 3.07 % 2.94 % 28 Total/Weighted Average $ 1,131,296 $ 849,982 $ 18,835 $ (2,913 ) $ 865,904 109 3.07 % 2.94 % 28 As of December 31, 2020 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Value Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Over 10 Years $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 (B) 3.18 % 3.05 % 28 Total/Weighted Average $ 1,411,705 $ 1,192,539 $ 35,833 $ (121 ) $ 1,228,251 135 3.18 % 3.05 % 28 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
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 September 30, 2021 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Less than Twelve Months $ 336,133 $ 336,724 $ (2,851 ) $ 333,873 32 (B) 2.56 % 2.44 % 29 Twelve or More Months 6,629 6,707 (62 ) 6,645 1 (B) 3.00 % 2.83 % 28 Total/Weighted Average $ 342,762 $ 343,431 $ (2,913 ) $ 340,518 33 2.57 % 2.45 % 29 As of December 31, 2020 Weighted Average Duration in Loss Position Original Face Value Book Value Gross Unrealized Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) Less than Twelve Months $ 55,656 $ 57,945 $ (121 ) $ 57,824 4 (B) 3.00 % 2.82 % 29 Total/Weighted Average $ 55,656 $ 57,945 $ (121 ) $ 57,824 4 3.00 % 2.82 % 29 (A) See Note regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. |
Investments in Servicing Rela_2
Investments in Servicing Related Assets (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments in Servicing Related Assets [Abstract] | |
Servicing Related Assets | The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands): Servicing Related Assets Summary As of September 30, 2021 Unpaid Principal Balance Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Year to Date Changes in Fair Value Recorded in Other Income (Loss) MSRs $ 20,781,421 $ 210,819 3.57 % 26.3 $ (5,951 ) MSR Total/Weighted Average $ 20,781,421 $ 210,819 3.57 % 26.3 $ (5,951 ) As of December 31, 2020 Unpaid Principal Balance Carrying Value (A) Weighted Average Coupon Weighted Average Maturity (Years) (B) Year to Date Changes in Fair Value Recorded in Other Income (Loss) MSRs $ 21,641,277 $ 174,414 3.92 % 26.3 $ (141,900 ) MSR Total/Weighted Average $ 21,641,277 $ 174,414 3.92 % 26.3 $ (141,900 ) (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. (B) Weighted average maturity of the underlying residential mortgage loans in the pool is based on the unpaid principal balance. |
Geographic Concentration of Servicing Related Assets | The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the Servicing Related Assets as of the dates indicated: Geographic Concentration of Servicing Related Assets As of September 30, 2021 Percentage of Total Outstanding Unpaid Principal Balance California 12.6 % Virginia 9.5 % New York 9.0 % Maryland 7.2 % Texas 6.1 % North Carolina 5.8 % All other 49.8 % Total 100.0 % As of December 31, 2020 Percentage of Total Outstanding Unpaid Principal Balance California 11.1 % Virginia 8.4 % New York 7.7 % Maryland 6.7 % Texas 5.8 % North Carolina 5.5 % All other 54.8 % Total 100.0 % |
Equity and Earnings per Commo_2
Equity and Earnings per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Equity and Earnings per Common Share [Abstract] | |
Information about Company's 2013 Plan | The following table sets forth the number of shares of the Company’s common stock as well as LTIP-OP Units and the values thereof (based on the closing prices on the respective dates of grant) granted under the Plan. Except as otherwise indicated, all shares are fully vested. Equity Incentive Plan Information Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans Weighted Average Issuance Price LTIP-OP Units Shares of Common Stock Issued Forfeited Converted Redeemed Issued Forfeited December 31, 2019 (290,275 ) 916 18,917 - (76,664 ) 3,155 1,156,049 Number of securities issued or to be issued upon exercise (41,900 ) (A) - - - - - (41,900 ) $ 14.55 Number of securities issued or to be issued upon exercise - - 9,500 - (9,500 ) - - $ 8.01 March 31, 2020 (332,175 ) 916 28,417 - (86,164 ) 3,155 1,114,149 Number of securities issued or to be issued upon exercise (9,672 ) - - - - - (9,672 ) $ 6.27 Number of securities issued or to be issued upon exercise - - - - (22,224 ) - (22,224 ) $ 9.18 June 30, 2020 (341,847 ) 916 28,417 - (108,388 ) 3,155 1,082,253 Number of securities issued or to be issued upon exercise - - - - - - September 30, 2020 (341,847) 916 28,417 (108,388) 3,155 1,082,253 December 31, 2020 (341,847 ) 916 28,417 - (108,388 ) 3,155 1,082,253 Number of securities issued or to be issued upon exercise (49,800 ) (B) - - - - - (49,800 ) $ 8.81 Number of securities issued or to be issued upon exercise - - 16,378 - (16,378 ) - - $ 9.00 March 31, 2021 (391,647 ) 916 44,795 - (124,766 ) 3,155 1,032,453 Number of securities redeemed - - - 3,500 - - - $ 9.53 Number of securities redeemed - - - 3,354 - - - $ 10.48 Number of securities issued or to be issued upon exercise - - - (20,214 ) (C) - (20,214 ) $ 10.39 June 30, 2021 (391,647 ) 916 44,795 6,854 (144,980 ) 3,155 1,012,239 Number of securities redeemed - - - 1,200 - - - $ 9.21 Number of securities redeemed 1,000 - $ 9.36 September 30, 2021 (391,647) 916 44,795 9,054 (144,980) 3,155 1,012,239 (A) Subject to forfeiture in certain circumstances prior to January 2, 2023. (B) Subject to forfeiture in certain circumstances prior to January 4, 2024. (C) Subject to forfeiture in certain circumstances prior to June 17, 2022. |
Basic Earnings per Share of Common Stock | The following table presents basic and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Common Share Information Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Numerator: Net income (loss) $ (3,790 ) $ (742 ) $ 5,825 $ (62,261 ) Net (income) loss allocated to noncontrolling interests in Operating Partnership 77 10 (117 ) 1,147 Dividends on preferred stock 2,462 2,459 7,390 7,379 Net income (loss) applicable to common stockholders $ (6,175 ) $ (3,191 ) $ (1,682 ) $ (68,493 ) Denominator: Weighted average common shares outstanding 17,185,872 17,054,634 17,108,956 16,850,133 Weighted average diluted shares outstanding 17,206,086 17,076,858 17,130,489 16,866,269 Basic and Diluted EPS: Basic $ (0.36 ) $ (0.19 ) $ (0.10 ) $ (4.06 ) Diluted $ (0.36 ) $ (0.19 ) $ (0.10 ) $ (4.06 ) |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Transactions with Related Parties [Abstract] | |
Management Fees and Compensation Reimbursement to Manager | The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) an agreed upon portion of the compensation paid to specified officers of the Company. The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands): Management Fees and Compensation Reimbursement to Manager Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Management fees $ 1,709 $ 1,727 $ 5,119 $ 5,190 Compensation reimbursement 250 262 750 738 Total $ 1,959 $ 1,989 $ 5,869 $ 5,928 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments [Abstract] | |
Outstanding Notional Amounts of Derivative Instruments | The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands): Derivatives September 30, 2021 December 31, 2020 Notional amount of interest rate swaps $ 1,413,000 $ 1,451,900 Notional amount of swaptions 55,000 70,000 Notional amount of TBAs, net 536,000 332,000 Notional amount of U.S. treasury futures (30,000 ) 110,000 Notional amount of options on U.S. treasury futures 50,000 - Total notional amount $ 2,024,000 $ 1,963,900 |
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 Fair Value Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity September 30, 2021 $ 1,413,000 $ 16,906 0.48 % 0.71 % 6.3 December 31, 2020 $ 1,451,900 $ 4,913 0.45 % 0.84 % 6.4 |
Information about Company's Interest Rate Swaption Agreements | The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands): Notional Amount Fair Value Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate (A) Weighted Average Underlying Years to Maturity (B) Weighted Average Years to Expiration September 30, 2021 $ 55,000 $ 694 1.73 % LIBOR-BBA% 8.8 0.5 December 31, 2020 $ 70,000 $ 798 1.32 % LIBOR-BBA% 10.6 0.5 (A) Floats in accordance with LIBOR. (B) Weighted average years to maturity of the underlying swaps from the reporting date. |
Information of TBA Derivatives | The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in s): As September Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 1,472,000 $ 1,514,278 $ 1,510,342 $ (3,935 ) Sale contracts (936,000 ) (964,923 ) (965,776 ) (853 ) Net TBA derivatives $ 536,000 $ 549,355 $ 544,566 $ (4,788 ) As of December Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 875,000 $ 904,653 $ 911,393 $ 6,740 Sale contracts (543,000 ) (564,934 ) (567,544 ) (2,610 ) Net TBA derivatives $ 332,000 $ 339,719 $ 343,849 $ 4,130 |
Information of U.S. Treasury Futures Agreements | The following tables present information about the Company’s U.S. treasury futures agreements as of the dates indicated (dollars in thousands): As of September 30, 2021 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ - $ (30,000 ) $ (42 ) Total $ - $ (30,000 ) $ (42 ) As of December 31, 2020 Maturity Notional Amount - Long Notional Amount - Short Fair Value 5 years $ 85,000 $ - $ 252 10 years 25,000 - - Total $ 110,000 $ - $ 252 The Company did not have any U.S. treasury futures options agreements as of December 31, 2020. The following table presents information about the Company’s U.S. treasury futures options agreements as of the dates indicated (dollars in thousands): As of September 30, 2021 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ 80,000 $ (30,000 ) $ 198 Total $ 80,000 $ (30,000 ) $ 198 |
Realized Gain (Loss) Related to Derivatives | The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives Three Months Ended September 30, Nine Months Ended September 30, Derivatives Consolidated Statements of Income (Loss) Location 2021 2020 2021 2020 Interest rate swaps Realized loss on derivatives, net $ (968 ) $ (8,832 ) $ (1,260 ) $ (63,456 ) Swaptions Realized loss on derivatives, net (210 ) - (804 ) (212 ) TBAs Realized loss on derivatives, net 332 (1,279 ) (10,407 ) (935 ) U.S Treasury futures Realized loss on derivatives, net (2,177 ) 2,270 (5,432 ) 42,564 Total $ (3,023 ) $ (7,841 ) $ (17,903 ) $ (22,039 ) |
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 September 30, 2021 Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 17,226 $ - $ 17,226 $ (17,226 ) $ - $ - Interest rate swaptions 694 - 694 (694 ) - - TBAs 670 (670 ) - - - - U.S. treasury futures options 198 - 198 837 (1,035 ) - Total Assets $ 18,788 $ (670 ) $ 18,118 $ (17,083 ) $ (1,035 ) $ - As of December 31, 2020 Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) Net Amount Assets Interest rate swaps $ 10,791 $ - $ 10,791 $ (10,791 ) $ - $ - Interest rate swaptions 798 - 798 (798 ) - - TBAs 6,740 (2,611 ) 4,129 (4,129 ) - - U.S. treasury futures 252 - 252 1,717 (1,969 ) - Total Assets $ 18,581 $ (2,611 ) $ 15,970 $ (14,001 ) $ (1,969 ) $ - |
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 September 30, 2021 Liabilities Repurchase agreements $ 777,416 $ - $ 777,416 $ (762,211 ) $ (15,205 ) $ - Interest rate swaps 320 - 320 (320 ) - - TBAs 5,458 (670 ) 4,788 (4,788 ) - - U.S. treasury futures 42 - 42 (42 ) - - Total Liabilities $ 783,236 $ (670 ) $ 782,566 $ (767,361 ) $ (15,205 ) $ - Liabilities Repurchase agreements $ 1,149,978 $ - $ 1,149,978 $ (1,105,621 ) $ (44,357 ) $ - Interest rate swaps 5,878 - 5,878 (5,878 ) - - TBAs 2,611 (2,611 ) - - - - Total Liabilities $ 1,158,467 $ (2,611 ) $ 1,155,856 $ (1,111,499 ) $ (44,357 ) $ - |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, 2021 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 522,166 $ - $ 522,166 Freddie Mac - 343,738 - 343,738 RMBS total - 865,904 - 865,904 Derivative assets Interest rate swaps - 17,226 - 17,226 Interest rate swaptions - 694 - 694 U.S. treasury futures options - 198 - 198 Derivative assets total - 18,118 - 18,118 Servicing related assets - - 210,819 210,819 Total Assets $ - $ 884,022 $ 210,819 $ 1,094,841 Liabilities Derivative liabilities Interest rate swaps - 320 - 320 TBAs - 4,788 - 4,788 U.S. treasury futures - 42 - 42 Derivative liabilities total - 5,150 - 5,150 Total Liabilities $ - $ 5,150 $ - $ 5,150 As of December 31, 2020 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 715,156 $ - $ 715,156 Freddie Mac - 506,954 - 506,954 Private Label MBS - 6,141 - 6,141 RMBS total - 1,228,251 - 1,228,251 Derivative assets Interest rate swaps - 10,791 - 10,791 Interest rate swaptions - 798 - 798 TBAs - 4,129 - 4,129 U.S. treasury futures - 252 - 252 Derivative assets total - 15,970 - 15,970 Servicing related assets - - 174,414 174,414 Total Assets $ - $ 1,244,221 $ 174,414 $ 1,418,635 Liabilities Derivative liabilities Interest rate swaps - 5,878 - 5,878 Derivative liabilities total - 5,878 - 5,878 Total Liabilities $ - $ 5,878 $ - $ 5,878 |
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 September 30, 2021 Level 3 MSRs Balance at December 31, 2020 $ 174,414 Purchases, sales and principal paydowns: Purchases 43,428 Other changes (A) (1,072 ) Purchases and sales: $ 42,356 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model 54,458 Other changes in fair value (B) (60,409 ) Unrealized gain (loss) included in Net Income $ (5,951 ) Balance at September 30 2021 $ 210,819 As of December 31, 2020 Level 3 MSRs Balance at December 31, 2019 $ 291,111 Purchases, sales and principal paydowns: Purchases 54,439 Sales (27,754 ) Other changes (A) (1,482 ) Purchases and sales: $ 25,203 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model (8,318 ) Other changes in fair value (B) (133,582 ) Unrealized gain (loss) included in Net Income $ (141,900 ) Balance at December 31, 2020 $ 174,414 (A) Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. (B) Represents changes due to realization of expected cash flows and estimated MSR runoff. |
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 September 30, 2021 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 210,819 Discounted cash flow Constant prepayment speed 5.0% - 21.0 % 12.2 % Uncollected payments 0.4% - 2.6 % 0.6 % Discount rate 7.0 % Annual cost to service, per loan $ 76 Total $ 210,819 As of December 31, 2020 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 174,414 Discounted cash flow Constant prepayment speed 5.0% -38.0 % 15.4 % Uncollected payments 0.3% - 2.6 % 0.6 % Discount rate 6.1 % Annual cost to service, per loan $ 76 Total $ 174,414 (A) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates. (B) Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios. |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Repurchase Agreements [Abstract] | |
Repurchase Agreements Remaining Maturities and Weighted Average Rates | The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreements Characteristics As of September 30, 2021 Repurchase Agreements Weighted Average Rate Less than one month $ 300,823 0.11 % One to three months 476,593 0.12 % Total/Weighted Average $ 777,416 0.11 % As of December 31, 2020 Repurchase Weighted Average Rate Less than one month $ 482,319 0.23 % One to three months 667,659 0.23 % Total/Weighted Average $ 1,149,978 0.23 % |
Notes Payable (Tables)
Notes Payable (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Notes Payable [Abstract] | |
Outstanding Notes Payable Remaining Maturities | The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Notes Payable Repayment Characteristics As of September 30, 2021 2021 2022 2023 2024 2025 2026 Total MSR Revolver Borrowings under MSR Revolver Facility $ - $ 63,000 $ - $ - $ - $ - $ 63,000 Fannie Mae MSR Financing Facility Borrowings under Fannie Mae MSR Financing Facility $ 72,000 $ - $ - $ - $ - $ - $ 72,000 Total $ 72,000 $ 63,000 $ - $ - $ - $ - $ 135,000 As of December 31, 2020 2021 2022 2023 2024 2025 2026 Total MSR Revolver Borrowings under MSR Revolver Facility $ 47,500 $ - $ - $ - $ - $ - $ 47,500 Fannie Mae MSR Financing Facility Borrowings under Fannie Mae MSR Financing Facility $ 64,000 $ - $ - $ - $ - $ - $ 64,000 Total $ 111,500 $ - $ - $ - $ - $ - $ 111,500 |
Receivables and Other Assets (T
Receivables and Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Receivables and Other Assets [Abstract] | |
Receivables and Other Assets | The assets comprising “Receivables and other assets” as of September 30, 2021 and December 31, 2020 are summarized in the following table (dollars in thousands): Receivables and Other Assets September 30, 2021 December 31, 2020 Servicing advances $ 15,630 $ 18,253 Interest receivable 2,156 3,119 Deferred tax receivable 19,977 21,523 Other receivables 2,599 1,740 Total other assets $ 40,362 $ 44,635 |
Accrued Expenses and Other Li_2
Accrued Expenses and Other Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Accrued Expenses and Other Liabilities [Abstract] | |
Accrued Expenses and Other Liabilities | The liabilities comprising “Accrued expenses and other liabilities” as of September 30, 2021 and December 31, 2020 are summarized in the following table (dollars in thousands): Accrued Expenses and Other Liabilities September 30, 2021 December 31, 2020 Accrued interest payable $ 855 $ 1,008 Accrued expenses 2,080 2,737 Total accrued expenses and other liabilities $ 2,935 $ 3,745 |
Income Taxes (Tables)
Income Taxes (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Income Taxes [Abstract] | |
Income Tax Expense (Benefit) | The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands): Nine Months Ended September 30, 2021 2020 Current federal income tax benefit $ (128 ) $ - Deferred federal income tax expense (benefit) 1,402 (16,263 ) Deferred state income tax expense (benefit) 144 (1,285 ) Provision for (benefit from) Corporate Business Taxes $ 1,418 $ (17,548 ) |
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): Nine Months Ended September 30, 2021 2020 Computed income tax expense (benefit) at federal rate $ 1,521 21.0 % $ (16,760 ) 21.0 % State tax expense (benefit), net of federal tax, if applicable 127 1.8 % (1,284 ) 1.6 % Permanent differences in taxable income from GAAP pre-tax income 175 2.4 % - - % Provision to return adjustment (6 ) (0.1 )% (15 ) 0.0 % REIT income not subject to tax (benefit) (399 ) (5.5 )% 511 (0.6 )% Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate (A) $ 1,418 19.6 % $ (17,548 ) 22.0 % (A) The provision for income taxes is recorded at the TRS level. |
Income Taxes Recoverable and Deferred Tax Assets | The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in thousands): September 30, 2021 December 31, 2020 Income taxes recoverable Federal income taxes recoverable $ 128 $ - Income taxes recoverable $ 128 $ - September 30, 2021 December 31, 2020 Deferred tax assets Deferred tax - mortgage servicing rights $ 11,133 $ 15,176 Deferred tax - net operating loss 8,844 6,347 Total net deferred tax assets $ 19,977 $ 21,523 |
Organization and Operations (De
Organization and Operations (Details) - $ / shares | Sep. 30, 2021 | Dec. 31, 2020 |
Class of Stock Disclosures [Abstract] | ||
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Series A Preferred Stock [Member] | ||
Class of Stock Disclosures [Abstract] | ||
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Basis of Presentation and Sig_4
Basis of Presentation and Significant Accounting Policies (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Risks and Uncertainties [Abstract] | ||||||
Percentage of active forbearance loan borrowers | 2.40% | 2.40% | ||||
Percentage of active forbearance loan borrowers paying monthly payment | 6.30% | 6.30% | ||||
Derivatives and Hedging Activities [Abstract] | ||||||
Net interest income | $ 6,397,000 | $ 10,019,000 | $ 18,906,000 | $ 24,684,000 | ||
TBA dollar roll income | 3,400,000 | 2,000,000 | 9,686,000 | 3,908,000 | ||
Cash and Cash Equivalents and Restricted Cash [Abstract] | ||||||
Restricted cash | 16,240,000 | 16,240,000 | $ 46,326,000 | |||
Variation margin | 32,900,000 | 32,900,000 | 48,200,000 | |||
Realized gain (loss) on RMBS, net [Abstract] | ||||||
Gain on RMBS | 169,000 | 7,082,000 | 5,653,000 | 25,745,000 | ||
Loss on RMBS | (1,219,000) | (360,000) | (3,626,000) | (38,335,000) | ||
Net realized gain (loss) on RMBS | (1,050,000) | 6,722,000 | 2,027,000 | (12,590,000) | ||
Realized loss on derivatives, net | (3,023,000) | (7,841,000) | (17,903,000) | (22,039,000) | ||
Unrealized loss on derivatives, net | (5,467,000) | 3,702,000 | (9,978,000) | 51,321,000 | ||
Realized loss on MSRs, net | 0 | 0 | $ (11,300,000) | 0 | (11,347,000) | |
Unrealized loss on investments in Servicing Related Assets | (7,914,000) | (20,972,000) | (5,951,000) | (131,850,000) | ||
Realized gain (loss) on acquired assets, net | (19,000) | (95,000) | 15,000 | (597,000) | ||
Total | (17,473,000) | (18,484,000) | (31,790,000) | (127,102,000) | ||
Interest Rate Swaps [Member] | ||||||
Derivatives and Hedging Activities [Abstract] | ||||||
Net interest income | 794,000 | $ 1,800,000 | 3,000,000 | $ 4,800,000 | ||
Derivatives [Member] | ||||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | ||||||
Restricted cash | 1,000,000 | 1,000,000 | 2,000,000 | |||
Repurchase Agreements [Member] | ||||||
Cash and Cash Equivalents and Restricted Cash [Abstract] | ||||||
Restricted cash | 15,200,000 | 15,200,000 | 44,400,000 | |||
Receivables and Other Assets [Member] | RMBS [Member] | ||||||
Investments in RMBS [Abstract] | ||||||
Income receivable | $ 2,100,000 | $ 2,100,000 | $ 3,000,000 |
Segment Reporting (Details)
Segment Reporting (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||||||||
Interest income | $ 7,043 | $ 10,001 | $ 20,113 | $ 40,382 | |||||||
Interest expense | 646 | (18) | 1,207 | 15,698 | |||||||
Net interest income | 6,397 | 10,019 | 18,906 | 24,684 | |||||||
Servicing fee income | 13,839 | 14,365 | 41,127 | 51,916 | |||||||
Servicing costs | 3,080 | 5,266 | 10,234 | 17,700 | |||||||
Net servicing income | 10,759 | 9,099 | 30,893 | 34,216 | |||||||
Other income (expense) | (17,473) | (18,484) | (31,790) | (127,102) | |||||||
Other operating expenses | 3,688 | 3,492 | 10,766 | 11,607 | |||||||
Provision for (Benefit from) corporate business taxes | (215) | (2,116) | 1,418 | [1] | (17,548) | [1] | |||||
Net Income (Loss) | (3,790) | $ (11,613) | $ 21,228 | (742) | $ (12,683) | $ (48,836) | 5,825 | (62,261) | |||
Investments | 1,076,723 | 1,076,723 | $ 1,402,665 | ||||||||
Other assets | 137,642 | 137,642 | 190,823 | ||||||||
Total Assets | 1,214,365 | 1,214,365 | 1,593,488 | ||||||||
Debt | 912,416 | 912,416 | 1,261,357 | ||||||||
Other liabilities | 19,443 | 19,443 | 19,565 | ||||||||
Total Liabilities | 931,859 | 931,859 | 1,280,922 | ||||||||
Book value | 282,506 | 282,506 | 312,566 | ||||||||
Servicing Related Assets [Member] | Operating Segments [Member] | |||||||||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||||||||
Interest income | 120 | 380 | 345 | 2,500 | |||||||
Interest expense | (808) | (1,297) | (2,767) | 850 | |||||||
Net interest income | 928 | 1,677 | 3,112 | 1,650 | |||||||
Servicing fee income | 13,839 | 14,365 | 41,127 | 51,916 | |||||||
Servicing costs | 3,080 | 5,266 | 10,234 | 17,700 | |||||||
Net servicing income | 10,759 | 9,099 | 30,893 | 34,216 | |||||||
Other income (expense) | (14,210) | (25,492) | (34,090) | (82,094) | |||||||
Other operating expenses | 1,030 | 1,178 | 2,438 | 2,913 | |||||||
Provision for (Benefit from) corporate business taxes | (215) | (2,116) | 1,418 | (17,548) | |||||||
Net Income (Loss) | (3,338) | (13,778) | (3,941) | (31,593) | |||||||
Investments | 210,819 | 210,819 | 174,414 | ||||||||
Other assets | 46,350 | 46,350 | 51,063 | ||||||||
Total Assets | 257,169 | 257,169 | 225,477 | ||||||||
Debt | 135,000 | 135,000 | 111,379 | ||||||||
Other liabilities | 1,829 | 1,829 | 2,392 | ||||||||
Total Liabilities | 136,829 | 136,829 | 113,771 | ||||||||
Book value | 120,340 | 120,340 | 111,706 | ||||||||
RMBS [Member] | Operating Segments [Member] | |||||||||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||||||||
Interest income | 6,923 | 9,621 | 19,768 | 37,882 | |||||||
Interest expense | 1,454 | 1,279 | 3,974 | 14,848 | |||||||
Net interest income | 5,469 | 8,342 | 15,794 | 23,034 | |||||||
Servicing fee income | 0 | 0 | 0 | 0 | |||||||
Servicing costs | 0 | 0 | 0 | 0 | |||||||
Net servicing income | 0 | 0 | 0 | 0 | |||||||
Other income (expense) | (3,263) | 7,008 | 2,300 | (45,008) | |||||||
Other operating expenses | 0 | 0 | 0 | 0 | |||||||
Provision for (Benefit from) corporate business taxes | 0 | 0 | 0 | 0 | |||||||
Net Income (Loss) | 2,206 | 15,350 | 18,094 | (21,974) | |||||||
Investments | 865,904 | 865,904 | 1,228,251 | ||||||||
Other assets | 28,281 | 28,281 | 55,260 | ||||||||
Total Assets | 894,185 | 894,185 | 1,283,511 | ||||||||
Debt | 777,416 | 777,416 | 1,149,978 | ||||||||
Other liabilities | 5,212 | 5,212 | 6,370 | ||||||||
Total Liabilities | 782,628 | 782,628 | 1,156,348 | ||||||||
Book value | 111,557 | 111,557 | 127,163 | ||||||||
All Other [Member] | |||||||||||
Segment Reporting Profit (Loss) and Other Information [Abstract] | |||||||||||
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 (expense) | 0 | 0 | 0 | 0 | |||||||
Other operating expenses | 2,658 | 2,314 | 8,328 | 8,694 | |||||||
Provision for (Benefit from) corporate business taxes | 0 | 0 | 0 | 0 | |||||||
Net Income (Loss) | (2,658) | $ (2,314) | (8,328) | $ (8,694) | |||||||
Investments | 0 | 0 | 0 | ||||||||
Other assets | 63,011 | 63,011 | 84,500 | ||||||||
Total Assets | 63,011 | 63,011 | 84,500 | ||||||||
Debt | 0 | 0 | 0 | ||||||||
Other liabilities | 12,402 | 12,402 | 10,803 | ||||||||
Total Liabilities | 12,402 | 12,402 | 10,803 | ||||||||
Book value | $ 50,609 | $ 50,609 | $ 73,697 | ||||||||
[1] | The provision for income taxes is recorded at the TRS level. |
Investments in RMBS, Summary (D
Investments in RMBS, Summary (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021USD ($)Security | Dec. 31, 2020USD ($)Security | ||
Residential Mortgage-Backed Securities [Abstract] | |||
Carrying value | $ 865,904 | $ 1,228,251 | |
Carrying value of collateral for repurchase agreements | 801,102 | 1,164,416 | |
RMBS [Member] | |||
Residential Mortgage-Backed Securities [Abstract] | |||
Original face value | 1,131,296 | 1,411,705 | |
Book value | 849,982 | 1,192,539 | |
Gross unrealized gains | 18,835 | 35,833 | |
Gross unrealized losses | (2,913) | (121) | |
Carrying value | [1] | $ 865,904 | $ 1,228,251 |
Number of securities | Security | 109 | 135 | |
Weighted average coupon | 3.07% | 3.18% | |
Weighted average yield | [2] | 2.94% | 3.05% |
Weighted average maturity | 28 years | 28 years | |
Carrying value of collateral for repurchase agreements | $ 801,100 | $ 1,164,400 | |
RMBS [Member] | Fannie Mae [Member] | |||
Residential Mortgage-Backed Securities [Abstract] | |||
Original face value | 709,268 | 840,175 | |
Book value | 510,769 | 692,665 | |
Gross unrealized gains | 12,278 | 22,530 | |
Gross unrealized losses | (881) | (39) | |
Carrying value | [1],[3] | $ 522,166 | $ 715,156 |
Number of securities | Security | 70 | 81 | |
Weighted average coupon | 3.12% | 3.31% | |
Weighted average yield | [2] | 3.00% | 3.17% |
Weighted average maturity | 27 years | 28 years | |
RMBS [Member] | Freddie Mac [Member] | |||
Residential Mortgage-Backed Securities [Abstract] | |||
Original face value | $ 422,028 | $ 549,530 | |
Book value | 339,213 | 493,930 | |
Gross unrealized gains | 6,557 | 13,106 | |
Gross unrealized losses | (2,032) | (82) | |
Carrying value | [1],[3] | $ 343,738 | $ 506,954 |
Number of securities | Security | 39 | 49 | |
Weighted average coupon | 2.99% | 2.99% | |
Weighted average yield | [2] | 2.86% | 2.87% |
Weighted average maturity | 28 years | 28 years | |
RMBS [Member] | Private Label MBS [Member] | |||
Residential Mortgage-Backed Securities [Abstract] | |||
Original face value | $ 22,000 | ||
Book value | 5,944 | ||
Gross unrealized gains | 197 | ||
Gross unrealized losses | 0 | ||
Carrying value | [1],[3] | $ 6,141 | |
Number of securities | Security | 5 | ||
Weighted average coupon | 4.08% | ||
Weighted average yield | [2] | 4.08% | |
Weighted average maturity | 28 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 gross monthly interest income, which is then annualized and divided by the book value of settled securities. | ||
[3] | The Company used an implied AAA rating for the Agency RMBS. Private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. |
Investments in RMBS, Assets by
Investments in RMBS, Assets by Maturity (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021USD ($)Security | Dec. 31, 2020USD ($)Security | |||
RMBS, Assets by Maturity [Abstract] | ||||
Carrying value | $ 865,904 | $ 1,228,251 | ||
RMBS [Member] | ||||
RMBS, Assets by Maturity [Abstract] | ||||
Original face value | 1,131,296 | 1,411,705 | ||
Book value | 849,982 | 1,192,539 | ||
Gross unrealized gains | 18,835 | 35,833 | ||
Gross unrealized losses | (2,913) | (121) | ||
Carrying value | [1] | $ 865,904 | $ 1,228,251 | |
Number of securities | Security | 109 | 135 | ||
Weighted average coupon | 3.07% | 3.18% | ||
Weighted average yield | [2] | 2.94% | 3.05% | |
Weighted average maturity | 28 years | 28 years | ||
RMBS [Member] | Over 10 Years [Member] | ||||
RMBS, Assets by Maturity [Abstract] | ||||
Original face value | $ 1,131,296 | $ 1,411,705 | ||
Book value | 849,982 | 1,192,539 | ||
Gross unrealized gains | 18,835 | 35,833 | ||
Gross unrealized losses | (2,913) | (121) | ||
Carrying value | [1],[3] | $ 865,904 | $ 1,228,251 | |
Number of securities | Security | 109 | 135 | ||
Weighted average coupon | 3.07% | 3.18% | ||
Weighted average yield | 2.94% | 3.05% | [2] | |
Weighted average maturity | 28 years | 28 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 gross monthly interest income, which is then annualized and divided by the book value of settled securities. | |||
[3] | The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. |
Investments in RMBS, Unrealized
Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021USD ($)Security | Dec. 31, 2020USD ($)Security | ||
RMBS, Unrealized Loss Positions [Abstract] | |||
Carrying value | $ 865,904 | $ 1,228,251 | |
RMBS [Member] | |||
RMBS, Unrealized Loss Positions [Abstract] | |||
Original face value | 1,131,296 | 1,411,705 | |
Book value | 849,982 | 1,192,539 | |
Gross unrealized losses | (2,913) | (121) | |
Carrying value | [1] | $ 865,904 | $ 1,228,251 |
Number of securities | Security | 109 | 135 | |
Weighted average coupon | 3.07% | 3.18% | |
Weighted average yield | [2] | 2.94% | 3.05% |
Weighted average maturity | 28 years | 28 years | |
RMBS [Member] | Unrealized Loss Positions [Member] | |||
RMBS, Unrealized Loss Positions [Abstract] | |||
Original face value | $ 342,762 | $ 55,656 | |
Book value | 343,431 | 57,945 | |
Gross unrealized losses | (2,913) | (121) | |
Carrying value | [1] | $ 340,518 | $ 57,824 |
Number of securities | Security | 33 | 4 | |
Weighted average coupon | 2.57% | 3.00% | |
Weighted average yield | [2] | 2.45% | 2.82% |
Weighted average maturity | 29 years | 29 years | |
RMBS [Member] | Less than Twelve Months [Member] | Unrealized Loss Positions [Member] | |||
RMBS, Unrealized Loss Positions [Abstract] | |||
Original face value | $ 336,133 | $ 55,656 | |
Book value | 336,724 | 57,945 | |
Gross unrealized losses | (2,851) | (121) | |
Carrying value | [1],[3] | $ 333,873 | $ 57,824 |
Number of securities | Security | 32 | 4 | |
Weighted average coupon | 2.56% | 3.00% | |
Weighted average yield | [2] | 2.44% | 2.82% |
Weighted average maturity | 29 years | 29 years | |
RMBS [Member] | Twelve or More Months [Member] | Unrealized Loss Positions [Member] | |||
RMBS, Unrealized Loss Positions [Abstract] | |||
Original face value | $ 6,629 | ||
Book value | 6,707 | ||
Gross unrealized losses | (62) | ||
Carrying value | [1],[3] | $ 6,645 | |
Number of securities | Security | 1 | ||
Weighted average coupon | 3.00% | ||
Weighted average yield | [2] | 2.83% | |
Weighted average maturity | 28 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 gross monthly interest income, which is then annualized and divided by the book value of settled securities. | ||
[3] | The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020. |
Investments in Servicing Rela_3
Investments in Servicing Related Assets, Portfolio of Servicing Related Assets (Details) $ in Billions | Sep. 30, 2021USD ($) |
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | |
Mortgage Loans on Real Estate [Abstract] | |
Aggregate unpaid principal balance | $ 20.8 |
Investments in Servicing Rela_4
Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | ||
Servicing Asset [Abstract] | |||
Unpaid principal balance | $ 20,781,421 | $ 21,641,277 | |
Carrying value | [1] | $ 210,819 | $ 174,414 |
Weighted average coupon | 3.57% | 3.92% | |
Weighted average maturity | [2] | 26 years 3 months 18 days | 26 years 3 months 18 days |
Year to date changes in fair value recorded in other income (loss) | $ (5,951) | $ (141,900) | |
Mortgage Servicing Rights (MSRs) [Member] | |||
Servicing Asset [Abstract] | |||
Unpaid principal balance | 20,781,421 | 21,641,277 | |
Carrying value | [1] | $ 210,819 | $ 174,414 |
Weighted average coupon | 3.57% | 3.92% | |
Weighted average maturity | [2] | 26 years 3 months 18 days | 26 years 3 months 18 days |
Year to date changes in fair value recorded in other income (loss) | $ (5,951) | $ (141,900) | |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. | ||
[2] | Weighted average maturity of the underlying residential mortgage loans in the pool is based on the unpaid principal balance. |
Investments in Servicing Rela_5
Investments in Servicing Related Assets, Geographic Concentration (Details) | Sep. 30, 2021 | Dec. 31, 2020 |
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 100.00% | 100.00% |
California [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 12.60% | 11.10% |
Virginia [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 9.50% | 8.40% |
New York [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 9.00% | 7.70% |
Maryland [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 7.20% | 6.70% |
Texas [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 6.10% | 5.80% |
North Carolina [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 5.80% | 5.50% |
All Other [Member] | ||
Servicing Related Assets, Geographic Concentration [Abstract] | ||
Outstanding unpaid principal balance | 49.80% | 54.80% |
Equity and Earnings per Commo_3
Equity and Earnings per Common Share, Common and Preferred Stock (Details) - USD ($) | Apr. 28, 2020 | Jun. 04, 2018 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Class of Stock Disclosures [Abstract] | |||||||||||
Date of conducting IPO and concurrent private placement of common stock | Oct. 9, 2013 | ||||||||||
Stock issued and sold (in shares) | 527,010 | 2,750,000 | |||||||||
Common stock issued, price per share (in dollars per share) | $ 0.01 | ||||||||||
Stock exercised to purchase additional shares (in shares) | 338,857 | ||||||||||
Proceeds from issuance of common stock | $ 53,800,000 | $ 5,131,000 | $ 3,518,000 | ||||||||
Stock issuance expense | $ 265,000 | ||||||||||
Earnings Per Share, Other Disclosures [Abstract] | |||||||||||
Issuance of common stock (in shares) | 527,010 | 2,750,000 | |||||||||
Common dividends declared (in dollars per share) | $ 0.40 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.27 | $ 0.40 | ||||
Series A Preferred Stock [Member] | |||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||
Preferred stock dividend rate | 8.20% | ||||||||||
Preferred stock, par value (in dollars per share) | 0.01 | $ 0.01 | $ 0.01 | ||||||||
Cash redemption price (in dollars per share) | $ 25 | $ 25 | |||||||||
Shares issued upon conversion, preferred stock (in shares) | 2.62881 | 2.62881 | |||||||||
Percentage of cash dividends rate | 8.20% | ||||||||||
Liquidation preference per share (in dollars per share) | $ 25 | $ 25 | |||||||||
Cumulative cash dividends (in dollars per share) | 2.05 | ||||||||||
Series B Preferred Stock [Member] | |||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||
Preferred stock, par value (in dollars per share) | 0.01 | 0.01 | $ 0.01 | ||||||||
Cash redemption price (in dollars per share) | $ 25 | $ 25 | |||||||||
Shares issued upon conversion, preferred stock (in shares) | 2.68962 | 2.68962 | |||||||||
Percentage of offering of fixed-to-floating rate cumulative redeemable stock | 8.25% | 8.25% | |||||||||
Series B Preferred Stock [Member] | LIBOR [Member] | |||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||
Shares issued upon conversion, preferred stock (in shares) | 2.0625 | 2.0625 | |||||||||
Liquidation preference per share (in dollars per share) | $ 25 | $ 25 | |||||||||
Percentage of offering of fixed-to-floating rate cumulative redeemable stock | 8.25% | 8.25% | |||||||||
Term of floating rate | 3 months | ||||||||||
Basis spread on variable rate | 5.631% |
Equity and Earnings per Commo_4
Equity and Earnings per Common Share, Common Stock and Preferred Stock ATM Program and Share Repurchase Program (Details) - USD ($) | Apr. 28, 2020 | Jun. 04, 2018 | Aug. 31, 2018 | Apr. 30, 2018 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 |
Class of Stock Disclosures [Abstract] | |||||||||||||
Issuance of common stock (in shares) | 527,010 | 2,750,000 | |||||||||||
Issuance of common stock, net of offering costs | $ 53,800,000 | $ 5,131,000 | $ 3,518,000 | ||||||||||
Series A Preferred Stock [Member] | Preferred Stock ATM Program [Member] | |||||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||||
Issuance of common stock (in shares) | 0 | 0 | 0 | ||||||||||
Preferred stock value authorized | $ 35,000,000 | ||||||||||||
Common Stock [Member] | |||||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||||
Issuance of common stock (in shares) | 553,500 | 20,214 | 16,378 | 0 | 549,234 | 9,500 | |||||||
Share Repurchase Program [Abstract] | |||||||||||||
Share repurchase program, authorized amount | $ 10,000,000 | $ 10,000,000 | |||||||||||
Number of shares repurchased (in shares) | 0 | 0 | 142,531 | 0 | 142,531 | ||||||||
Weighted average price paid per share (in dollars per share) | $ 12.96 | ||||||||||||
Brokers commission paid | $ 4,300 | ||||||||||||
Common Stock [Member] | Common Stock ATM Program [Member] | |||||||||||||
Class of Stock Disclosures [Abstract] | |||||||||||||
Common stock value authorized | $ 50,000,000 | ||||||||||||
Issuance of common stock (in shares) | 553,500 | 553,500 | 0 | ||||||||||
Weighted average price (in dollars per share) | $ 8.97 | ||||||||||||
Issuance of common stock, net of offering costs | $ 5,000,000 | ||||||||||||
Stock issuance fee | $ 99,000 |
Equity and Earnings per Commo_5
Equity and Earnings per Common Share, Equity Incentive Plan (Details) - USD ($) | Jun. 04, 2018 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | (338,857) | ||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) | 1,012,239 | 1,032,453 | 1,082,253 | 1,082,253 | 1,114,149 | 1,156,049 | 1,082,253 | 1,156,049 | |||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) | 1,012,239 | 1,012,239 | 1,032,453 | 1,082,253 | 1,082,253 | 1,114,149 | 1,012,239 | 1,082,253 | |||
Weighted Average Issuance Price (in dollars per share) | $ 0.01 | ||||||||||
January 2, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (41,900) | ||||||||||
Weighted Average Issuance Price (in dollars per share) | $ 14.55 | ||||||||||
March 16, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | 0 | ||||||||||
Weighted Average Issuance Price (in dollars per share) | $ 8.01 | ||||||||||
April 28, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (9,672) | ||||||||||
Weighted Average Issuance Price (in dollars per share) | $ 6.27 | ||||||||||
June 18, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | 0 | (22,224) | |||||||||
Weighted Average Issuance Price (in dollars per share) | $ 9.18 | ||||||||||
January 4, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (49,800) | ||||||||||
Weighted Average Issuance Price (in dollars per share) | 8.81 | ||||||||||
January 29, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | 0 | ||||||||||
Weighted Average Issuance Price (in dollars per share) | $ 9 | ||||||||||
June 17, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) | (20,214) | ||||||||||
Weighted Average Issuance Price (in dollars per share) | $ 10.39 | ||||||||||
LTIP-OP Units [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP unit vesting period | 3 years | ||||||||||
LTIP-OP Units, Beginning Balance (in shares) | (391,647) | (391,647) | (341,847) | (341,847) | (332,175) | (290,275) | (341,847) | (290,275) | |||
LTIP-OP Units, Ending Balance (in shares) | (391,647) | (391,647) | (391,647) | (341,847) | (341,847) | (332,175) | (391,647) | (341,847) | |||
LTIP-OP Units Forfeited, Beginning Balance (in shares) | 916 | 916 | 916 | 916 | 916 | 916 | 916 | 916 | |||
LTIP-OP Units Forfeited, Ending Balance (in shares) | 916 | 916 | 916 | 916 | 916 | 916 | 916 | 916 | |||
LTIP-OP Units Converted, Beginning Balance (in shares) | 44,795 | 44,795 | 28,417 | 28,417 | 28,417 | 18,917 | 28,417 | 18,917 | |||
LTIP-OP Units Converted, Ending Balance (in shares) | 44,795 | 44,795 | 44,795 | 28,417 | 28,417 | 28,417 | 44,795 | 28,417 | |||
LTIP-OP Units Redeemed, Beginning Balance (in shares) | 6,854 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||
LTIP-OP Units Redeemed, Ending Balance (in shares) | 9,054 | 6,854 | 0 | 0 | 0 | 9,054 | |||||
Share-based compensation expense recognized | $ 212,000 | $ 237,000 | $ 837,000 | $ 808,000 | |||||||
Unrecognized share-based compensation expense | $ 785,000 | $ 785,000 | |||||||||
LTIP-OP Units [Member] | January 2, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | [1] | (41,900) | |||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | March 16, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 9,500 | ||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | April 28, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | [1] | (9,672) | |||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | June 18, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | 0 | [1] | 0 | ||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | |||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | |||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | January 4, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | [2] | (49,800) | |||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | January 29, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 16,378 | ||||||||||
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | April 6, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
LTIP-OP Units Forfeited, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
LTIP-OP Units Converted, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
LTIP-OP Units Redeemed, Number of securities redeemed (in shares) | 1,200 | 3,500 | |||||||||
Shares of Common Stock Issued, Beginning Balance (in shares) | 0 | ||||||||||
Shares of Common Stock Issued, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
Shares of Common Stock Forfeited, Beginning Balance (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) | 0 | ||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
Weighted Average Issuance Price (in dollars per share) | $ 9.21 | $ 9.53 | $ 9.21 | ||||||||
LTIP-OP Units [Member] | June 13, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units, Ending Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, Ending Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, Beginning Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, Ending Balance (in shares) | 0 | ||||||||||
LTIP-OP Units Redeemed, Number of securities redeemed (in shares) | 1,000 | 3,354 | |||||||||
Shares of Common Stock Issued, Beginning Balance (in shares) | 0 | ||||||||||
Shares of Common Stock Issued, Ending Balance (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, Beginning Balance (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, Ending Balance (in shares) | 0 | ||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) | 0 | ||||||||||
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) | 0 | 0 | 0 | ||||||||
Weighted Average Issuance Price (in dollars per share) | $ 9.36 | $ 10.48 | $ 9.36 | ||||||||
LTIP-OP Units [Member] | June 17, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
LTIP-OP Units [Member] | Maximum [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Period of recognition of unrecognized share-based compensation expense | 3 years | ||||||||||
Common Stock [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, Beginning Balance (in shares) | (144,980) | (124,766) | (108,388) | (108,388) | (86,164) | (76,664) | (108,388) | (76,664) | |||
Shares of Common Stock Issued, Ending Balance (in shares) | (144,980) | (144,980) | (124,766) | (108,388) | (108,388) | (86,164) | (144,980) | (108,388) | |||
Shares of Common Stock Forfeited, Beginning Balance (in shares) | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | |||
Shares of Common Stock Forfeited, Ending Balance (in shares) | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | 3,155 | |||
Common Stock [Member] | January 2, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Common Stock [Member] | March 16, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | (9,500) | ||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Common Stock [Member] | April 28, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Common Stock [Member] | June 18, 2020 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | (22,224) | |||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | |||||||||
Common Stock [Member] | January 4, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Common Stock [Member] | January 29, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | (16,378) | ||||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
Common Stock [Member] | June 17, 2021 [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares) | [3] | (20,214) | |||||||||
Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares) | 0 | ||||||||||
2013 Plan [Member] | LTIP-OP Units [Member] | |||||||||||
Equity Incentive Plan Information [Abstract] | |||||||||||
Number of share equivalent to unit awarded (in shares) | 1 | ||||||||||
[1] | Subject to forfeiture in certain circumstances prior to January 2, 2023. | ||||||||||
[2] | Subject to forfeiture in certain circumstances prior to January 4, 2024. | ||||||||||
[3] | Subject to forfeiture in certain circumstances prior to June 17, 2022. |
Equity and Earnings per Commo_6
Equity and Earnings per Common Share, Non-Controlling Interests in Operating Partnership (Details) - LTIP-OP Units [Member] - Operating Partnership [Member] | Sep. 30, 2021shares |
Noncontrolling Interest in Operating Partnership [Abstract] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) | 342,771 |
Percentage of operating partnership | 2.00% |
Equity and Earnings per Commo_7
Equity and Earnings per Common Share, Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Numerator [Abstract] | ||||||||
Net income (loss) | $ (3,790) | $ (11,613) | $ 21,228 | $ (742) | $ (12,683) | $ (48,836) | $ 5,825 | $ (62,261) |
Net (income) loss allocated to noncontrolling interests in Operating Partnership | 77 | 10 | (117) | 1,147 | ||||
Dividends on preferred stock | 2,462 | 2,459 | 7,390 | 7,379 | ||||
Net income (loss) applicable to common stockholders | $ (6,175) | $ (3,191) | $ (1,682) | $ (68,493) | ||||
Denominator [Abstract] | ||||||||
Weighted average common shares outstanding (in shares) | 17,185,872 | 17,054,634 | 17,108,956 | 16,850,133 | ||||
Weighted average diluted shares outstanding (in shares) | 17,206,086 | 17,076,858 | 17,130,489 | 16,866,269 | ||||
Basic and Diluted EPS [Abstract] | ||||||||
Basic (in dollars per share) | $ (0.36) | $ (0.19) | $ (0.10) | $ (4.06) | ||||
Diluted (in dollars per share) | $ (0.36) | $ (0.19) | $ (0.10) | $ (4.06) | ||||
Anti-dilutive securities (in shares) | 0 | 0 | 0 | 0 |
Transactions with Related Par_3
Transactions with Related Parties (Details) | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Sep. 30, 2021USD ($)Employee | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Related Party Transactions [Abstract] | ||||||
Percentage of annual management fee paid equal to gross equity | 1.50% | |||||
Renew of management agreement subject to termination | 1 year | |||||
Management agreement subject to termination, notice period for termination to manager | 30 days | |||||
Management agreement subject to termination, period of notice by manager in the event of default | 60 days | |||||
Management agreement subject to termination, period of termination fee payment in the event of default | 30 days | |||||
Servicing costs | $ 3,080,000 | $ 5,266,000 | $ 10,234,000 | $ 17,700,000 | ||
Agreement purchase price | 42,356,000 | 31,061,000 | ||||
Carrying value of MSR Portfolio sold | $ 15,700,000 | |||||
Proceeds from sale of MSRs | 15,800,000 | 0 | 15,831,000 | |||
Realized loss on investments in MSRs, net | 0 | 0 | (11,300,000) | 0 | (11,347,000) | |
Unrealized losses on market value in MSRs | 11,500,000 | |||||
Management Fees and Compensation Reimbursement to Manager [Abstract] | ||||||
Management fees | 1,709,000 | 1,727,000 | 5,119,000 | 5,190,000 | ||
Compensation reimbursement | 250,000 | 262,000 | 750,000 | 738,000 | ||
Total | 1,959,000 | 1,989,000 | $ 5,869,000 | 5,928,000 | ||
Minimum [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Management agreement subject to non-renewal, notice period | 180 days | |||||
Maximum [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Management agreement subject to non-renewal, notice period | 270 days | |||||
RoundPoint Mortgage Servicing Corporation [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Subservicing agreement term | 2 years | |||||
Term Loan Facility [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Term loan facility | $ 11,200,000 | |||||
Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Servicing costs | 1,800,000 | 3,400,000 | $ 6,200,000 | 9,800,000 | ||
Servicing receivables | 1,200,000 | 1,200,000 | $ 227,000 | |||
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | Flow Agreement [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Aggregate unpaid principal balance | 72,200,000 | 1,100,000,000 | 2,500,000,000 | 3,800,000,000 | ||
Agreement purchase price | 680,000 | $ 6,700,000 | $ 21,100,000 | $ 32,600,000 | ||
Freedom Mortgage Excess Service Right [Member] | ||||||
Related Party Transactions [Abstract] | ||||||
Number of employees leases from mortgage | Employee | 3 | |||||
Remaining holdback amount | $ 757,000 | $ 757,000 |
Derivative Instruments, Outstan
Derivative Instruments, Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | ||
Notional Amount of Interest Rate Swaps [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | $ 1,413,000 | $ 1,451,900 | |
Fair value | $ 16,906 | $ 4,913 | |
Weighted average pay rate | 0.48% | 0.45% | |
Weighted average receive rate | 0.71% | 0.84% | |
Weighted average years to maturity | 6 years 3 months 18 days | 6 years 4 months 24 days | |
Notional Amount of Swaptions [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | $ 55,000 | $ 70,000 | |
Fair value | $ 694 | $ 798 | |
Weighted average pay rate | 1.73% | 1.32% | |
Weighted average years to maturity | [1] | 8 years 9 months 18 days | 10 years 7 months 6 days |
Weighted average years to expiration | 6 months | 6 months | |
Notional Amount of Swaptions [Member] | LIBOR [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Weighted average receive rate type | [2] | LIBOR-BBA | |
Notional Amount of TBAs, Net [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | $ 536,000 | $ 332,000 | |
Fair value | 544,566 | 343,849 | |
Notional Amount of U.S. Treasury Futures [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Fair value | (42) | 252 | |
Notional Amount of Options on U.S. Treasury Futures [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Fair value | 198 | ||
Not Designated as Hedging Instrument [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | 2,024,000 | 1,963,900 | |
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | 1,413,000 | 1,451,900 | |
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | 55,000 | 70,000 | |
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | 536,000 | 332,000 | |
Not Designated as Hedging Instrument [Member] | Notional Amount of U.S. Treasury Futures [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | 30,000 | 110,000 | |
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on U.S. Treasury Futures [Member] | |||
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract] | |||
Total notional amount | $ 50,000 | $ 0 | |
[1] | Weighted average years to maturity of the underlying swaps from the reporting date. | ||
[2] | Floats in accordance with LIBOR. |
Derivative Instruments, Informa
Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
TBA Derivatives [Abstract] | ||
Notional | $ 536,000 | $ 332,000 |
Implied Cost Basis | 549,355 | 339,719 |
Implied Market Value | 544,566 | 343,849 |
Net Carrying Value | (4,788) | 4,130 |
Purchase Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 1,472,000 | 875,000 |
Implied Cost Basis | 1,514,278 | 904,653 |
Implied Market Value | 1,510,342 | 911,393 |
Net Carrying Value | (3,935) | 6,740 |
Sale Contracts [Member] | ||
TBA Derivatives [Abstract] | ||
Notional | 936,000 | 543,000 |
Implied Cost Basis | (964,923) | (564,934) |
Implied Market Value | (965,776) | (567,544) |
Net Carrying Value | $ (853) | $ (2,610) |
Derivative Instruments, Infor_2
Derivative Instruments, Information of Treasury Futures Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Fair Value | $ (42) | $ 252 |
U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 252 | |
U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | (42) | 0 |
U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Fair Value | 198 | |
U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Fair Value | 198 | |
Long Positions [Member] | U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | 110,000 |
Long Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 85,000 | |
Long Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | 25,000 |
Long Positions [Member] | U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 80,000 | |
Long Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 80,000 | |
Short Positions [Member] | U.S. Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 30,000 | 0 |
Short Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 0 | |
Short Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 30,000 | $ 0 |
Short Positions [Member] | U.S. Treasury Futures Options [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | 30,000 | |
Short Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member] | ||
Derivative [Line Items] | ||
Net Notional Amount | $ 30,000 |
Derivative Instruments, Realize
Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | $ (3,023) | $ (7,841) | $ (17,903) | $ (22,039) |
Not Designated as Hedging Instrument [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (3,023) | (7,841) | (17,903) | (22,039) |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Interest Rate Swaps [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (968) | (8,832) | (1,260) | (63,456) |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Swaptions [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | (210) | 0 | (804) | (212) |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | TBAs [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | 332 | (1,279) | (10,407) | (935) |
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | U.S. Treasury Futures [Member] | ||||
Derivative, Gain (Loss) on Derivative, Net [Abstract] | ||||
Realized loss on derivatives, net | $ (2,177) | $ 2,270 | $ (5,432) | $ 42,564 |
Derivative Instruments, Offsett
Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | $ 18,788 | $ 18,581 |
Gross amounts offset in the consolidated balance sheet | (670) | (2,611) |
Net amounts of assets presented in the consolidated balance sheet | 18,118 | 15,970 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (17,083) | (14,001) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (1,035) | (1,969) |
Net amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 17,226 | 10,791 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 17,226 | 10,791 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (17,226) | (10,791) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
Interest Rate Swaptions [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 694 | 798 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 694 | 798 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (694) | (798) |
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 | 670 | 6,740 |
Gross amounts offset in the consolidated balance sheet | (670) | (2,611) |
Net amounts of assets presented in the consolidated balance sheet | 0 | 4,129 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | (4,129) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
U.S. Treasury Futures Options [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 198 | |
Gross amounts offset in the consolidated balance sheet | 0 | |
Net amounts of assets presented in the consolidated balance sheet | 198 | |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 837 | |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (1,035) | |
Net amount | $ 0 | |
U.S. Treasury Futures [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 252 | |
Gross amounts offset in the consolidated balance sheet | 0 | |
Net amounts of assets presented in the consolidated balance sheet | 252 | |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 1,717 | |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (1,969) | |
Net amount | $ 0 |
Derivative Instruments, Offse_2
Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | $ 783,236 | $ 1,158,467 |
Gross amounts offset in the consolidated balance sheet | (670) | (2,611) |
Net amounts of liabilities presented in the consolidated balance sheet | 782,566 | 1,155,856 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (767,361) | (1,111,499) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (15,205) | (44,357) |
Net amount | 0 | 0 |
Repurchase Agreements [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 777,416 | 1,149,978 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 777,416 | 1,149,978 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (762,211) | (1,105,621) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (15,205) | (44,357) |
Net amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 320 | 5,878 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet | 320 | 5,878 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (320) | (5,878) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
TBAs [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 5,458 | 2,611 |
Gross amounts offset in the consolidated balance sheet | (670) | (2,611) |
Net amounts of liabilities presented in the consolidated balance sheet | 4,788 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (4,788) | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | $ 0 |
U.S. Treasury Futures [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 42 | |
Gross amounts offset in the consolidated balance sheet | 0 | |
Net amounts of liabilities presented in the consolidated balance sheet | 42 | |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (42) | |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | |
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 | Sep. 30, 2021 | Dec. 31, 2020 | |
Assets [Abstract] | |||
Derivative assets total | $ 18,118 | $ 15,970 | |
Servicing related assets | [1] | 210,819 | 174,414 |
Liabilities [Abstract] | |||
Derivative liabilities total | 5,150 | 5,878 | |
Interest Rate Swaps [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 17,226 | 10,791 | |
Interest Rate Swaptions [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 694 | 798 | |
TBAs [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 4,129 | |
U.S. Treasury Futures [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 252 | ||
U.S. Treasury Futures Options [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 198 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Servicing related assets | 0 | 0 | |
Total Assets | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | 0 | |
Total Liabilities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 18,118 | 15,970 | |
Servicing related assets | 0 | 0 | |
Total Assets | 884,022 | 1,244,221 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 5,150 | 5,878 | |
Total Liabilities | 5,150 | 5,878 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Servicing related assets | 210,819 | 174,414 | |
Total Assets | 210,819 | 174,414 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | 0 | |
Total Liabilities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 17,226 | 10,791 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 320 | 5,878 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 694 | 798 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | ||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 4,129 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 4,788 | ||
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 252 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 42 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 198 | ||
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 0 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 18,118 | 15,970 | |
Servicing related assets | 210,819 | 174,414 | |
Total Assets | 1,094,841 | 1,418,635 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 5,150 | 5,878 | |
Total Liabilities | 5,150 | 5,878 | |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 17,226 | 10,791 | |
Liabilities [Abstract] | |||
Derivative liabilities total | 320 | 5,878 | |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 694 | 798 | |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member] | |||
Assets [Abstract] | |||
Derivative assets total | 4,129 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 4,788 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures [Member] | |||
Assets [Abstract] | |||
Derivative assets total | $ 252 | ||
Liabilities [Abstract] | |||
Derivative liabilities total | 42 | ||
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures Options [Member] | |||
Assets [Abstract] | |||
Derivative assets total | $ 198 | ||
RMBS [Member] | Level 2 [Member] | |||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | |||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
RMBS total | $ 0 | $ 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
RMBS total | 865,904 | 1,228,251 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
RMBS total | 6,141 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | |||
Assets [Abstract] | |||
RMBS total | 865,904 | 1,228,251 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Private Label MBS [Member] | |||
Assets [Abstract] | |||
RMBS total | 6,141 | ||
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
RMBS total | 522,166 | 715,156 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Carrying Value [Member] | |||
Assets [Abstract] | |||
RMBS total | 522,166 | 715,156 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 1 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 2 [Member] | |||
Assets [Abstract] | |||
RMBS total | 343,738 | 506,954 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 3 [Member] | |||
Assets [Abstract] | |||
RMBS total | 0 | 0 | |
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Carrying Value [Member] | |||
Assets [Abstract] | |||
RMBS total | $ 343,738 | $ 506,954 | |
MSRs [Member] | Level 3 [Member] | |||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | |||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | |
Derivative Instruments [Member] | Level 2 [Member] | |||
Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract] | |||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% | |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. |
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 | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | ||
Servicing Related Assets [Abstract] | |||
Beginning balance | [1] | $ 174,414 | |
Changes in Fair Value due to [Abstract] | |||
Ending balance | [1] | 210,819 | $ 174,414 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Servicing Related Assets [Abstract] | |||
Beginning balance | 174,414 | ||
Changes in Fair Value due to [Abstract] | |||
Ending balance | 210,819 | 174,414 | |
MSRs [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Servicing Related Assets [Abstract] | |||
Beginning balance | 174,414 | 291,111 | |
Purchases, sales and principal paydowns [Abstract] | |||
Purchases | 43,428 | 54,439 | |
Sales | (27,754) | ||
Other changes | [2] | (1,072) | (1,482) |
Purchases and sales | 42,356 | 25,203 | |
Changes in Fair Value due to [Abstract] | |||
Changes in valuation inputs or assumptions used in valuation model | 54,458 | (8,318) | |
Other changes in fair value | [3] | (60,409) | (133,582) |
Unrealized gain (loss) included in Net Income | (5,951) | (141,900) | |
Ending balance | $ 210,819 | $ 174,414 | |
[1] | See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools. | ||
[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 and estimated MSR runoff. |
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 | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | ||
Valuation Technique and Input, Description [Abstract] | |||
Fair Value | $ 210,819 | $ 174,414 | |
MSRs [Member] | |||
Valuation Technique and Input, Description [Abstract] | |||
Fair Value | 210,819 | 174,414 | |
Annual cost to service, per loan | [1] | $ 76 | $ 76 |
MSRs [Member] | Minimum [Member] | |||
Valuation Technique and Input, Description [Abstract] | |||
Constant prepayment speed | [2] | 5.00% | 5.00% |
Uncollected Payments | [2] | 0.40% | 0.30% |
MSRs [Member] | Maximum [Member] | |||
Valuation Technique and Input, Description [Abstract] | |||
Constant prepayment speed | [2] | 21.00% | 38.00% |
Uncollected Payments | [2] | 2.60% | 2.60% |
MSRs [Member] | Weighted Average [Member] | |||
Valuation Technique and Input, Description [Abstract] | |||
Constant prepayment speed | [1] | 12.20% | 15.40% |
Uncollected Payments | [1] | 0.60% | 0.60% |
Discount rate | [1] | 7.00% | 6.10% |
[1] | Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios. | ||
[2] | 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 | 9 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | |
Commitments and Contingencies [Abstract] | ||
Percentage of annual management fee paid equal to gross equity | 1.50% | |
Securities obligated to purchase | $ 0 | $ 0 |
Securities obligated to sell | $ 0 | $ 0 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021USD ($)Security | Dec. 31, 2020USD ($)Security | |
Repurchase Agreements [Abstract] | ||
Weighted average of remaining maturities days | 38 days | 28 days |
Repurchase Agreement Characteristics Remaining Maturities [Abstract] | ||
Less than one month, repurchase agreements | $ 300,823 | $ 482,319 |
One to three months, repurchase agreements | 476,593 | 667,659 |
Total repurchase agreements | $ 777,416 | $ 1,149,978 |
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.11% | 0.23% |
One to three months, weighted average rate | 0.12% | 0.23% |
Weighted average rate | 0.11% | 0.23% |
Number of overnight or demand securities | Security | 0 | 0 |
Notes Payable (Details)
Notes Payable (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | |||||
Jul. 31, 2021RenewalOption | Sep. 30, 2021USD ($)RenewalOption | Dec. 31, 2020USD ($) | Sep. 30, 2019USD ($) | Apr. 02, 2019USD ($) | Sep. 30, 2018USD ($) | Jul. 31, 2018USD ($) | |
Maturities of Notes Payable [Abstract] | |||||||
2021 | $ 72,000 | $ 111,500 | |||||
2022 | 63,000 | 0 | |||||
2023 | 0 | 0 | |||||
2024 | 0 | 0 | |||||
2025 | 0 | 0 | |||||
2026 | 0 | 0 | |||||
Notes payable | $ 135,000 | 111,500 | |||||
Fannie Mae MSR Financing Facility [Member] | |||||||
Debt Instruments [Abstract] | |||||||
Maximum borrowing amount | $ 200,000 | ||||||
Debt instrument term | 24 months | ||||||
Debt instrument committed line of credit | $ 100,000 | ||||||
Debt instrument term of additional extension | 12 months | ||||||
Maturities of Notes Payable [Abstract] | |||||||
2021 | $ 72,000 | 64,000 | |||||
2022 | 0 | 0 | |||||
2023 | 0 | 0 | |||||
2024 | 0 | 0 | |||||
2025 | 0 | 0 | |||||
2026 | 0 | 0 | |||||
Notes payable | $ 72,000 | 64,000 | |||||
Fannie Mae MSR Financing Facility [Member] | LIBOR [Member] | |||||||
Debt Instruments [Abstract] | |||||||
Debt instrument term of variable rate | 1 month | ||||||
MSR Term Facility [Member] | |||||||
Debt Instruments [Abstract] | |||||||
Term out feature of credit facility | 1 year | ||||||
MSR Revolver [Member] | |||||||
Debt Instruments [Abstract] | |||||||
Maximum borrowing amount | $ 100,000 | $ 45,000 | $ 25,000 | ||||
Debt instrument term | 364 days | ||||||
Number of Borrowers option renewals | RenewalOption | 2 | 2 | |||||
Term out feature of credit facility | 1 year | ||||||
Debt instrument, amortization period | 24 months | ||||||
Additional borrowing capacity | $ 5,000 | ||||||
Maturities of Notes Payable [Abstract] | |||||||
2021 | $ 0 | 47,500 | |||||
2022 | 63,000 | 0 | |||||
2023 | 0 | 0 | |||||
2024 | 0 | 0 | |||||
2025 | 0 | 0 | |||||
2026 | 0 | 0 | |||||
Notes payable | $ 63,000 | $ 47,500 | |||||
MSR Revolver [Member] | LIBOR [Member] | |||||||
Debt Instruments [Abstract] | |||||||
Debt instrument term of variable rate | 1 month |
Receivables and Other Assets (D
Receivables and Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Receivables and Other Assets [Abstract] | ||
Servicing advances | $ 15,630 | $ 18,253 |
Interest receivable | 2,156 | 3,119 |
Deferred tax receivable | 19,977 | 21,523 |
Other receivables | 2,599 | 1,740 |
Total other assets | $ 40,362 | $ 44,635 |
Accrued Expenses and Other Li_3
Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Accrued Expenses and Other Liabilities [Abstract] | ||
Accrued interest payable | $ 855 | $ 1,008 |
Accrued expenses | 2,080 | 2,737 |
Total accrued expenses and other liabilities | $ 2,935 | $ 3,745 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | ||||
Income Taxes [Abstract] | ||||||||
Percentage of taxable income that must be distributed to qualify as a REIT | 90.00% | |||||||
Components of Income Tax Expense (Benefit) [Abstract] | ||||||||
Current federal income tax benefit | $ (128) | $ 0 | ||||||
Deferred federal income tax expense (benefit) | 1,402 | (16,263) | ||||||
Deferred state income tax expense (benefit) | 144 | (1,285) | ||||||
Provision for (benefit from) Corporate Business Taxes | $ (215) | $ (2,116) | 1,418 | [1] | (17,548) | [1] | ||
Effective Income Tax Rate Reconciliation, Amount [Abstract] | ||||||||
Computed income tax expense (benefit) at federal rate | 1,521 | (16,760) | ||||||
State tax expense (benefit), net of federal tax, if applicable | 127 | (1,284) | ||||||
Permanent differences in taxable income from GAAP pre-tax income | 175 | 0 | ||||||
Provision to return adjustment | (6) | (15) | ||||||
REIT income not subject to tax (benefit) | (399) | 511 | ||||||
Provision for (benefit from) Corporate Business Taxes | (215) | $ (2,116) | $ 1,418 | [1] | $ (17,548) | [1] | ||
Effective Income Tax Rate Reconciliation, Percent [Abstract] | ||||||||
Computed income tax expense (benefit) at federal rate | 21.00% | 21.00% | ||||||
State tax expense (benefit), net of federal tax, if applicable | 1.80% | 1.60% | ||||||
Permanent differences in taxable income from GAAP pre-tax income | 2.40% | 0.00% | ||||||
Provision to return adjustment | (0.10%) | 0.00% | ||||||
REIT income not subject to tax (benefit) | (5.50%) | (0.60%) | ||||||
Provision for (benefit from) Effective Tax Rate | [1] | 19.60% | 22.00% | |||||
Income taxes recoverable [Abstract] | ||||||||
Income taxes recoverable | 128 | $ 128 | $ 0 | |||||
Deferred tax assets [Abstract] | ||||||||
Deferred tax - mortgage servicing rights | 11,133 | 11,133 | 15,176 | |||||
Deferred tax - net operating loss | 8,844 | 8,844 | 6,347 | |||||
Total net deferred tax assets | $ 19,977 | $ 19,977 | $ 21,523 | |||||
[1] | The provision for income taxes is recorded at the TRS level. |
Subsequent Events (Details)
Subsequent Events (Details) - Fannie Mae MSR Revolving Facility [Member] - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2021 | Oct. 26, 2021 | |
Debt Instruments [Abstract] | ||
Debt instrument term | 24 months | |
Term out feature of credit facility | 3 years | |
Subsequent Event [Member] | ||
Debt Instruments [Abstract] | ||
Maximum borrowing amount | $ 150 | |
LIBOR [Member] | ||
Debt Instruments [Abstract] | ||
Debt instrument term of variable rate | 1 month | |
Interest Rate Swaps [Member] | ||
Debt Instruments [Abstract] | ||
Debt instrument term of variable rate | 1 year |