Cherry Hill Mortgage Investment (CHMI) 10-Q 2 Nov 23 2023 Q3 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2023	Nov. 02, 2023
Entity Listings [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2023
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2023
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
Entity Address, Address Line Two	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	Non-accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		26,978,077
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, 2023	Dec. 31, 2022
Assets
RMBS, at fair value (including pledged assets of $978,955 and $815,171, respectively)	$ 1,016,801	$ 931,431
Investments in Servicing Related Assets, at fair value (including pledged assets of $266,474 and $279,739, respectively)	266,474	279,739
Cash and cash equivalents	44,733	57,320
Restricted cash	25,697	8,234
Derivative assets	35,831	45,533
Receivables from unsettled trades	5,485	49,803
Receivables and other assets	32,499	36,765
Total Assets	1,427,520	1,408,825
Liabilities
Repurchase agreements	967,289	825,962
Derivative liabilities	4,215	24,718
Notes payable	172,008	183,888
Dividends payable	6,194	8,483
Due to manager	1,863	1,870
Payables for unsettled trades	0	78,881
Accrued expenses and other liabilities	18,395	19,507
Total Liabilities	1,169,964	1,143,309
Stockholders' Equity
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 26,978,077 shares issued and outstanding as of September 30, 2023 and 500,000,000 shares authorized and 23,508,130 shares issued and outstanding as of December 31, 2022	274	239
Additional paid-in capital	363,664	344,510
Accumulated Deficit	(193,174)	(168,989)
Accumulated other comprehensive loss	(32,072)	(29,104)
Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity	254,071	262,035
Non-controlling interests in Operating Partnership	3,485	3,481
Total Stockholders' Equity	257,556	265,516
Total Liabilities and Stockholders' Equity	1,427,520	1,408,825
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, 2023	Dec. 31, 2022
Assets
RMBS, pledged assets		$ 978,955	$ 815,171
Investments in Servicing Related pledged assets at fair value	[1]	$ 266,474	$ 279,739
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)		26,978,077	23,508,130
Common stock, shares outstanding (in shares)		26,978,077	23,508,130
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, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Income
Interest income		$ 12,864	$ 8,213	$ 37,193	$ 19,736
Interest expense		13,337	4,882	38,460	9,024
Net interest income (expense)		(473)	3,331	(1,267)	10,712
Servicing fee income		13,225	13,426	40,535	39,730
Servicing costs		2,869	2,725	8,098	8,533
Net servicing income		10,356	10,701	32,437	31,197
Other income (loss)
Realized loss on RMBS, net		(10,209)	(9,735)	(21,464)	(68,993)
Realized gain (loss) on derivatives, net		20,675	6,210	26,715	(7,158)
Realized gain on acquired assets, net		12	0	12	12
Unrealized loss on RMBS, measured at fair value through earnings, net		(19,755)	0	(26,566)	0
Unrealized gain on derivatives, net		18,343	33,321	12,924	75,390
Unrealized gain (loss) on investments in Servicing Related Assets		1,578	2,293	(13,100)	30,174
Total Income		20,527	46,121	9,691	71,334
Expenses
General and administrative expense		1,626	1,475	5,144	4,718
Management fee to affiliate		1,740	1,625	5,114	5,032
Total Expenses		3,366	3,100	10,258	9,750
Income (Loss) Before Income Taxes		17,161	43,021	(567)	61,584
Provision for corporate business taxes	[1]	1,276	1,344	1,244	6,642
Net Income (Loss)		15,885	41,677	(1,811)	54,942
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(306)	(866)	34	(1,152)
Dividends on preferred stock		2,462	2,462	7,390	7,390
Net Income (Loss) Applicable to Common Stockholders		$ 13,117	$ 38,349	$ (9,167)	$ 46,400
Net Income (Loss) Per Share of Common Stock
Basic (in dollars per share)		$ 0.49	$ 1.91	$ (0.35)	$ 2.42
Diluted (in dollars per share)		$ 0.49	$ 1.9	$ (0.35)	$ 2.42
Weighted Average Number of Shares of Common Stock Outstanding
Basic (in shares)		26,936,242	20,123,165	25,879,626	19,134,545
Diluted (in shares)		26,978,077	20,156,606	25,907,638	19,159,846
[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, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Consolidated Statements of Comprehensive Income (Loss) [Abstract]
Net income (loss)	$ 15,885	$ 41,677	$ (1,811)	$ 54,942
Other comprehensive income (loss):
Unrealized loss on RMBS, available-for-sale, net	(14,485)	(46,592)	(2,968)	(78,286)
Net other comprehensive loss	(14,485)	(46,592)	(2,968)	(78,286)
Comprehensive income (loss)	1,400	(4,915)	(4,779)	(23,344)
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership	29	(92)	(90)	(490)
Dividends on preferred stock	2,462	2,462	7,390	7,390
Comprehensive loss attributable to common stockholders	$ (1,091)	$ (7,285)	$ (12,079)	$ (30,244)

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, 2021	$ 187	$ 115,379	$ 311,255	$ 7,527	$ (158,483)	$ 2,951	$ 278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 5	$ 0	4,099	0	0	0	4,104
Issuance of common stock (in shares)	505,000	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	28,096	633	28,729
Other Comprehensive (Loss) Income	0	0	0	(44,535)	0	0	(44,535)
LTIP-OP Unit awards	0	0	0	0	0	173	173
Distribution paid on LTIP-OP Units	0	0	0	0	0	(91)	(91)
Common dividends declared	0	0	0	0	(5,082)	0	(5,082)
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, 2022	$ 192	$ 115,379	315,354	(37,008)	(137,932)	3,666	259,651
Ending balance (in shares) at Mar. 31, 2022	18,766,848	4,781,635
Beginning balance at Dec. 31, 2021	$ 187	$ 115,379	311,255	7,527	(158,483)	2,951	278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net Income (Loss) before dividends on preferred stock							54,942
Ending balance at Sep. 30, 2022	$ 214	$ 115,379	329,910	(70,759)	(128,125)	4,182	250,801
Ending balance (in shares) at Sep. 30, 2022	20,989,030	4,781,635
Beginning balance at Dec. 31, 2021	$ 187	$ 115,379	311,255	7,527	(158,483)	2,951	278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Ending balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Ending balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Beginning balance at Mar. 31, 2022	$ 192	$ 115,379	315,354	(37,008)	(137,932)	3,666	$ 259,651
Beginning balance (in shares) at Mar. 31, 2022	18,766,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 9	$ 0	5,804	0	0	0	5,813
Issuance of common stock (in shares)	881,097	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	(15,117)	(347)	(15,464)
Other Comprehensive (Loss) Income	0	0	0	12,841	0	0	12,841
LTIP-OP Unit awards	0	0	0	0	0	105	105
Distribution paid on LTIP-OP Units	0	0	0	0	0	(109)	(109)
Common dividends declared	0	0	0	0	(5,290)	0	(5,290)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Jun. 30, 2022	$ 201	$ 115,379	321,158	(24,167)	(160,802)	3,315	255,084
Ending balance (in shares) at Jun. 30, 2022	19,647,945	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 13	$ 0	8,752	0	0	0	8,765
Issuance of common stock (in shares)	1,341,085	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	40,811	866	41,677
Other Comprehensive (Loss) Income	0	0	0	(46,592)	0	0	(46,592)
LTIP-OP Unit awards	0	0	0	0	0	109	109
Distribution paid on LTIP-OP Units	0	0	0	0	0	(108)	(108)
Common dividends declared	0	0	0	0	(5,671)	0	(5,671)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Sep. 30, 2022	$ 214	$ 115,379	329,910	(70,759)	(128,125)	4,182	250,801
Ending balance (in shares) at Sep. 30, 2022	20,989,030	4,781,635
Beginning balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Beginning balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 22	$ 0	12,672	0	0	0	$ 12,694
Issuance of common stock (in shares)	2,140,000	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	(18,945)	(377)	(19,322)
Other Comprehensive (Loss) Income	0	0	0	14,639	0	0	14,639
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(109)	(109)
Common dividends declared	0	0	0	0	(6,927)	0	(6,927)
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, 2023	$ 261	$ 115,379	357,182	(14,465)	(197,324)	3,112	264,145
Ending balance (in shares) at Mar. 31, 2023	25,648,130	4,781,635
Beginning balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Beginning balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net Income (Loss) before dividends on preferred stock							$ (1,811)
Ending balance at Sep. 30, 2023	$ 274	$ 115,379	363,664	(32,072)	(193,174)	3,485	$ 257,556
Ending balance (in shares) at Sep. 30, 2023	26,978,077	4,781,635					26,978,077
Beginning balance at Mar. 31, 2023	$ 261	$ 115,379	357,182	(14,465)	(197,324)	3,112	$ 264,145
Beginning balance (in shares) at Mar. 31, 2023	25,648,130	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 13	$ 0	6,430	0	0	0	6,443
Issuance of common stock (in shares)	1,329,947	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	1,589	37	1,626
Other Comprehensive (Loss) Income	0	0	0	(3,122)	0	0	(3,122)
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(132)	(132)
Common dividends declared	0	0	0	0	(4,045)	0	(4,045)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Jun. 30, 2023	$ 274	$ 115,379	363,612	(17,587)	(202,243)	3,134	262,569
Ending balance (in shares) at Jun. 30, 2023	26,978,077	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)	0	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	15,579	306	15,885
Other Comprehensive (Loss) Income	0	0	0	(14,485)	0	0	(14,485)
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(72)	(72)
Common dividends declared	0	0	0	0	(4,048)	0	(4,048)
Preferred dividends declared								$ 0	$ 0	$ 0	$ 0	$ (1,432)	$ 0	$ (1,432)	$ 0	$ 0	$ 0	$ 0	$ (1,030)	$ 0	$ (1,030)
Ending balance at Sep. 30, 2023	$ 274	$ 115,379	$ 363,664	$ (32,072)	$ (193,174)	$ 3,485	$ 257,556
Ending balance (in shares) at Sep. 30, 2023	26,978,077	4,781,635					26,978,077

Consolidated Statements of Ch_2

Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares	3 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Common dividends declared (in dollars per share)	$ 0.27	$ 0.15	$ 0.27	$ 0.27	$ 0.27	$ 0.27
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	3 Months Ended				9 Months Ended		12 Months Ended
	Sep. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Cash Flows From Operating Activities
Net income (loss)	$ 15,885	$ (19,322)	$ 41,677	$ 28,729	$ (1,811)	$ 54,942
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Realized loss on RMBS, net	10,209		9,735		21,464	68,993
Unrealized (gain) loss on investments in Servicing Related Assets	(1,578)		(2,293)		13,100	(30,174)
Realized gain on acquired assets, net	(12)		0		(12)	(12)
Realized (gain) loss on derivatives, net	(20,675)		(6,210)		(26,715)	7,158
Unrealized loss on RMBS, measured at fair value through earnings, net	19,755		0		26,566	0
Unrealized gain on derivatives, net	(18,343)		(33,321)		(12,924)	(75,390)
Amortization (accretion) of premiums on RMBS					(1,237)	942
Amortization of deferred financing costs					120	80
LTIP-OP Unit awards					351	387
Changes in:
Receivables and other assets, net					4,280	13,436
Due to affiliates					(7)	424
Accrued expenses and other liabilities, net					(1,112)	3,935
Net cash provided by operating activities					22,063	44,721
Cash Flows From Investing Activities
Purchase of RMBS					(627,876)	(867,327)
Principal paydown of RMBS					51,066	78,348
Proceeds from sale of RMBS					407,116	689,337
Acquisition of MSRs					165	(30,119)
Payments for settlement of derivatives					(12,130)	(7,301)
Proceeds from settlement of derivatives					17,516	0
Net cash used in investing activities					(164,143)	(137,062)
Cash Flows From Financing Activities
Borrowings under repurchase agreements					7,338,069	4,424,317
Repayments of repurchase agreements					(7,196,742)	(4,424,397)
Proceeds from derivative financing					23,454	53,697
Proceeds from bank loans					0	33,000
Principal paydown of bank loans					(12,000)	(1,000)
Dividends paid					(24,701)	(22,684)
LTIP-OP Units distributions paid					(313)	(308)
Issuance of common stock, net of offering costs					19,189	18,682
Net cash provided by financing activities					146,956	81,307
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash					4,876	(11,034)
Cash, Cash Equivalents and Restricted Cash, Beginning of Period		$ 65,554		$ 76,777	65,554	76,777	$ 76,777
Cash, Cash Equivalents and Restricted Cash, End of Period	$ 70,430		$ 65,743		70,430	65,743	65,554
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense					21,566	5,766
Cash paid during the period for income taxes					54	57
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared but not paid					6,194	7,804
Sale of RMBS, settled after period end					(5,485)	(63,582)	49,800
Purchase of RMBS, settled after period end					$ 0	$ 26,565	$ 78,900

Organization and Operations

Organization and Operations	9 Months Ended
	Sep. 30, 2023
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 incorporated in Maryland on October 31, 2012 and was organized 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, 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 (the “Services Agreement”) with Freedom Mortgage Corporation (“Freedom Mortgage”), which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a REIT for U.S. federal income tax purposes, 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, owned 98.1% by the Company as of September 30, 2023, 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 the taxable year ended December 31, 2020.

Basis of Presentation and Signi

Basis of Presentation and Significant Accounting Policies	9 Months Ended
	Sep. 30, 2023
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 Servicing Related Assets, RMBS 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. Investments in RMBS Classification The Company reports all of its investments in RMBS at fair value on its consolidated balance sheets. Pursuant to Accounting Standards Codification (“ASC”) 320, Investments – Debt and Equity Securities, the Company may designate a security as held-to-maturity, available-for-sale or trading, at the time of purchase, depending on the Company’s ability and intent to hold the security to maturity. Alternatively, the Company may elect the fair value option of accounting for securities pursuant to ASC 825, Financial Instruments. Prior to January 1, 2023, the Company designated its RMBS as available-for sale. On January 1, 2023, the Company elected the fair value option of accounting for all RMBS acquired after such date. Unrealized gains and losses on securities classified as available-for sale are reported in “Accumulated other comprehensive loss” within the consolidated balance sheets, whereas unrealized gains and losses on securities for which the Company elected the fair value option are reported in “Unrealized loss on RMBS, measured at fair value through earnings, net” within the consolidated statements of income (loss). Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures. Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss on securities is determined on the basis of the cost of the specific investment and for securities designated as available-for-sale is reclassified out of accumulated other comprehensive income into earnings. RMBS with a fair value of $5.5 million, sold during the nine-month period ended September 30, 2023, were settled after period end. All RMBS purchased during the nine-month period ended September 30, 2023, were settled prior to period-end. RMBS with a fair value of $49.8 million, sold during the year ended December 31, 2022, were settled after year end. RMBS with a fair value of $78.9 million, purchased during the year ended December 31, 2022, were settled after year end. Revenue Recognition Impairment When the fair value of an available-for-sale designated 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 within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). 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 pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Revenue Recognition f the outstanding principal balance and are recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of income (loss). Float income from custodial accounts associated with MSRs is included in “Net interest income” on the consolidated statements of income (loss). Late fees and ancillary income are included in “Servicing fee income” on the consolidated statements of income (loss). As an owner 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 cons olidated 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. The Company’s servicing related assets were composed entirely of Fannie Mae and Freddie September 30, 2023 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 RMBS 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 RMBS, 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, drop income on TBA dollar rolls generally represents the economic equivalent of the net interest income earned on the underlying Agency RMBS 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 RMBS. 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”, respectively, 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 $2.6 million and $4.2 million at September 30, 2023 September 30, 2023 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, 2023 Due to Manager The sum under “Due to manager” on the c onsolidated balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agree 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 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. In December 2021, the Internal Revenue Service issued a revenue procedure that temporarily reduced the minimum amount of the total distribution that must be paid in cash to 10% for distributions declared on or after November 1, 2021, and on or before June 30, 2022, provided certain other parameters detailed in the Revenue Procedure are satisfied . Pursuant to these revenue procedures, the Company has in the past electe The Company accounts for income taxes in accordance with ASC 740, Income Taxes Realized Gain (Loss) on RMBS The Company did not sell any RMBS measured at fair value through earnings during the three and nine-month periods ended September 30, 2023. The following table presents realized gains and losses on available-for-sale RMBS measured at fair value through other comprehensive income for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Realized gain (loss) on RMBS, net Gain on RMBS, available-for-sale, measured at fair value through OCI (A) $ - $ - $ - $ 50 Loss on RMBS, available-for-sale, measured at fair value through OCI (A) (10,209 ) (9,735 ) (21,464 ) (69,043 ) Realized loss on RMBS, net $ (10,209 ) $ (9,735 ) $ (21,464 ) $ (68,993 ) (A) Recognized in earnings. Repurchase Agreements and Interest Expense T he 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 the overnight SOFR rate. 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 The Company considers the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on the Company’s consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on the Company’s consolidated financial statements upon adoption . 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, 2023
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, 2023 Interest income $ - $ 12,864 $ - $ 12,864 Interest expense (89 ) 13,426 - 13,337 Net interest income (expense) 89 (562 ) - (473 ) Servicing fee income 13,225 - - 13,225 Servicing costs 2,869 - - 2,869 Net servicing income 10,356 - - 10,356 Other income 282 10,362 - 10,644 Other operating expenses (561 ) (174 ) (2,631 ) (3,366 ) Provision for corporate business taxes (1,276 ) - - (1,276 ) Net Income (Loss) $ 8,890 $ 9,626 $ (2,631 ) $ 15,885 Three Months Ended September 30, 2022 Interest income $ - $ 8,213 $ - $ 8,213 Interest expense 635 4,247 - 4,882 Net interest income (expense) (635 ) 3,966 - 3,331 Servicing fee income 13,426 - - 13,426 Servicing costs 2,725 - - 2,725 Net servicing income 10,701 - - 10,701 Other income (expense) (12,087 ) 44,176 - 32,089 Other operating expenses (537 ) (163 ) (2,400 ) (3,100 ) Provision for corporate business taxes (1,344 ) - - (1,344 ) Net Income (Loss) $ (3,902 ) $ 47,979 $ (2,400 ) $ 41,677 Nine Months Ended September 30, 2023 Interest income $ - $ 37,193 $ - $ 37,193 Interest expense 1,143 37,317 - 38,460 Net interest expense (1,143 ) (124 ) - (1,267 ) Servicing fee income 40,535 - - 40,535 Servicing costs 8,098 - - 8,098 Net servicing income 32,437 - - 32,437 Other expense (17,935 ) (3,544 ) - (21,479 ) Other operating expenses (1,694 ) (506 ) (8,058 ) (10,258 ) Provision for corporate business taxes (1,244 ) - - (1,244 ) Net Income (Loss) $ 10,421 $ (4,174 ) $ (8,058 ) $ (1,811 ) Nine Months Ended September 30, 2022 Interest income $ - $ 19,736 $ - $ 19,736 Interest expense 3,019 6,005 - 9,024 Net interest income (expense) (3,019 ) 13,731 - 10,712 Servicing fee income 39,730 - - 39,730 Servicing costs 8,533 - - 8,533 Net servicing income 31,197 - - 31,197 Other income (expense) (20,983 ) 50,408 - 29,425 Other operating expenses (1,569 ) (542 ) (7,639 ) (9,750 ) Provision for corporate business taxes (6,642 ) - - (6,642 ) Net Income (Loss) $ (1,016 ) $ 63,597 $ (7,639 ) $ 54,942 Servicing Related Assets RMBS All Other Total Balance Sheet September 30, 2023 Investments $ 266,474 $ 1,016,801 $ - $ 1,283,275 Other assets 28,226 71,210 44,809 144,245 Total assets 294,700 1,088,011 44,809 1,427,520 Debt 172,008 967,289 - 1,139,297 Other liabilities 6,316 15,002 9,349 30,667 Total liabilities 178,324 982,291 9,349 1,169,964 Net Assets $ 116,376 $ 105,720 $ 35,460 $ 257,556 December 31, 2022 Investments $ 279,739 $ 931,431 $ - $ 1,211,170 Other assets 32,849 106,885 57,921 197,655 Total assets 312,588 1,038,316 57,921 1,408,825 Debt 183,888 825,962 - 1,009,850 Other liabilities 29,047 92,875 11,537 133,459 Total liabilities 212,935 918,837 11,537 1,143,309 Net Assets $ 99,653 $ 119,479 $ 46,384 $ 265,516

Investments in RMBS

Investments in RMBS	9 Months Ended
	Sep. 30, 2023
Investments in RMBS [Abstract]
Investments in RMBS	Note 4 — Investments in RMBS At September 30, 2023, 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: 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 one or more nationally recognized statistical rating organizations. 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, 2023 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, available-for-sale, measured at fair value through OCI Fannie Mae $ 281,276 $ 256,230 $ - $ (13,042 ) $ 243,188 20 (B) 4.54 % 4.66 % 28 Freddie Mac 309,912 281,774 - (18,912 ) 262,862 23 (B) 4.40 % 4.47 % 28 RMBS, measured at fair value through earnings Fannie Mae 205,048 195,620 - (10,631 ) 184,989 17 (B) 4.67 % 4.75 % 29 Freddie Mac 361,813 341,697 - (15,935 ) 325,762 28 (B) 4.66 % 4.77 % 29 Total/weighted average RMBS $ 1,158,049 $ 1,075,321 $ - $ (58,520 ) $ 1,016,801 88 4.57 % 4.66 % 28 As of December 31, 2022 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, available-for-sale, measured at fair value through OCI Fannie Mae $ 550,740 $ 497,038 $ 2,843 $ (16,484 ) $ 483,397 45 (B) 4.27 % 4.34 % 29 Freddie Mac 500,873 463,380 1,384 (16,730 ) 448,034 38 (B) 4.18 % 4.24 % 29 Total/weighted average RMBS $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 4.23 % 4.29 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. Summary of RMBS Assets by Maturity As of September 30, 2023 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS, available-for-sale, measured at fair value through OCI Over 10 Years $ 591,188 $ 538,004 $ - $ (31,954 ) $ 506,050 43 (B) 4.47 % 4.56 % 28 RMBS, measured at fair value through earnings Over 10 Years 566,861 537,317 - (26,566 ) 510,751 45 (B) 4.66 % 4.76 % 29 Total/weighted average RMBS $ 1,158,049 $ 1,075,321 $ - $ (58,520 ) $ 1,016,801 88 4.57 % 4.66 % 28 As of December 31, 2022 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) RMBS, available-for-sale, measured at fair value through OCI Over 10 Years $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 (B) 4.23 % 4.29 % 29 Total/weighted average RMBS $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 4.23 % 4.29 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities. At September 30, 2023 and December 31, 2022, the Company pledged Agency RMBS with a carrying value of approximately $979.0 million and $815.2 million, respectively, as collateral for borrowings under repurchase agreements. At September 30, 2023 and December 31, 2022, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives. Based on management’s analysis of the Company’s available-for-sale designated 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 available-for-sale designated 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 for available-for-sale designated investments in RMBS that are not guaranteed by U.S. government agencies or U.S. government sponsored enterprises. All of the Company’s available-for-sale designated 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 available-for-sale 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 30, 2023 and December 31, 2022, nor any impairment charges in earnings during the three and nine-month periods ended September 30, 2023 and September 30, 2022. The following tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands): Available-For-Sale RMBS Unrealized Loss Positions As of September 30, 2023 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) RMBS, available-for-sale, measured at fair value through OCI Less than Twelve Months $ 383,901 $ 348,444 $ (14,289 ) $ 334,155 28 (B) 4.66 % 4.80 % 28 Twelve or More Months 207,287 189,560 (17,665 ) 171,895 15 (B) 4.10 % 4.13 % 28 Total/weighted average RMBS, available-for-sale, $ 591,188 $ 538,004 $ (31,954 ) $ 506,050 43 4.47 % 4.56 % 28 As of December 31, 2022 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) RMBS, available-for-sale, measured at fair value through OCI Less than Twelve Months $ 848,768 $ 767,412 $ (33,214 ) $ 734,198 67 (B) 4.06 % 4.10 % 29 Total/weighted average RMBS , available-for-sale $ 848,768 $ 767,412 $ (33,214 ) $ 734,198 67 4.06 % 4.10 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Investments in Servicing Relate

Investments in Servicing Related Assets	9 Months Ended
	Sep. 30, 2023
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 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, 2023 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 $ 20,340,103 $ 266,474 3.49 % 25.2 $ (13,100 ) MSR Total/Weighted Average $ 20,340,103 $ 266,474 3.49 % 25.2 $ (13,100 ) As of December 31, 2022 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 $ 21,688,353 $ 279,739 3.49 % 25.8 $ 22,976 MSR Total/Weighted Average $ 21,688,353 $ 279,739 3.49 % 25.8 $ 22,976 (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, 2023 Percentage of Total Outstanding Unpaid Principal Balance California 13.7 % Virginia 8.3 % New York 8.3 % Maryland 6.4 % Texas 5.9 % Florida 5.4 % North Carolina 5.1 % All other 46.9 % Total 100.0 % As of December 31, 2022 Percentage of Total Outstanding Unpaid Principal Balance California 13.5 % Virginia 8.3 % New York 8.2 % Maryland 6.3 % Texas 6.0 % Florida 5.5 % North Carolina 5.1 % All other 47.1 % 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, 2023
Equity and Earnings per Common Share [Abstract]
Equity and Earnings per Common Share	Note 6 — Equity and Earnings per Common Share Common 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. Redeemable Preferred Stock 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. Since August 17, 2022, the Company could have at its option, redeemed 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. The Company did not redeem any Series A Preferred Stock during the three and nine-month periods ended September he year ended December 31, 2022. th 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. Because LIBOR will have ceased publication at the beginning of the floating rate period, under the terms of the Series B Preferred Stock, the Company will appoint a calculation agent and the calculation agent will consult with an investment bank of national standing to determine whether there is an industry accepted substitute or successor base rate to USD LIBOR. If, after such consultation, the calculation agent determines that there is an industry accepted substitute or successor base rate, the calculation agent will use such substitute or successor base rate. In such case, the calculation agent in its sole discretion may also implement other technical changes to the Series B Preferred Stock in a manner that is consistent with industry accepted practices for such substitute or successor base rate. It is currently anticipated that the successor rate to be chosen by the calculation agent during the floating rate period will be the secured overnight financing rate, or “SOFR”. Dividends on the Series A and B Preferred Stock are th day of each January, April, July and October, when and as authorized by the Company’s board of directors and declared by the Company. Common Stock ATM Program In August the Company instituted an at-the-market offering program (the “Common Stock ATM Program”) of up to was remaining as of September Under the Common Stock ATM Program, the Company may, but is not obligated to, sell shares of common stock from time to time through 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 period ended September the Company did not issue any shares of common stock under the Common Stock ATM Program. During the month period ended September the Company issued and sold shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of per share for gross proceeds of approximately before fees of approximately During the year ended December the Company issued and sold shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of per share for aggregate gross proceeds of approximately before fees of approximately 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 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 and -month periods ended September and the year ended December the Company did not issue any shares of Series A Preferred Stock under the Preferred Series A ATM Program. Share Repurchase Program In September the Company instituted a share repurchase program that allows for the repurchase of up to an aggregate of 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 three and nine-month periods ended September 30, 2023 and the year ended December 31, 2022, the Company did not repurchase any shares of its common stock pursuant to the share repurchase program. 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, which expired by its terms in October 2023, provided for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights (“SARs”), performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Operating Partnership. In April 2023, the Company’s board of directors adopted the Cherry Hill Mortgage Investment Corporation 2023 Equity Incentive Plan (the “2023 Plan”). In June 2023, at the Company’s annual meeting of stockholders, the 2023 Plan was approved. The 2023 Plan, which expires by its term in April 2033, permits the Company to provide equity-based compensation in the form of options to purchase shares of the Company’s common stock, stock awards, SARs, performance units, incentive awards and other equity-based awards (including LTIP-OP Units). The 2023 Plan replaced the 2013 Plan upon the 2023 Plan’s approval by stockholders and no further awards will be made by the Company under the 2013 Plan. Currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. The maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards (including LTIP-OP Units) and the settlement of incentive awards and performance units is equal to 2,830,000 shares. Other equity-based awards that are LTIP-OP Units will reduce the maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan on a one-for-one basis—that is, each such LTIP-OP Unit will be treated as an award of common stock; provided, however, for the avoidance of doubt, the conversion of any such LTIP-OP Units at a later date into a share of common stock will not count as an award of common stock under the 2023 Plan for purposes of determining the aggregate limit to avoid any double counting of the same award. In connection with stock splits, dividends, recapitalizations and certain other events, the Company’s board of directors will make equitable adjustments that it deems appropriate in the aggregate number of shares of common stock issuable pursuant to the 2023 Plan and the terms of outstanding awards. If any options or stock appreciation rights terminate, expire or are cancelled, forfeited, exchanged or surrendered without having been exercised or are paid in cash without delivery of common stock or if any stock awards, performance units or other equity-based awards (including LTIP-OP Units) are forfeited, the shares of common stock subject to such awards will again be available for purposes of the 2023 Plan. Shares of common stock tendered or withheld to satisfy the exercise price or for tax withholding are not available for future grants under the 2023 Plan. 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. 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: 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 2013 Plan and the 2023 Plan. As noted above, effective as of June 15, 2023, (the date of the Company’s 2023 annual meeting of stockholders) the 2023 Plan replaced the 2013 Plan. No further awards will be made by the Company under the 2013 Plan, and currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. Except as otherwise indicated, all shares shown in the table below are fully vested. Equity Incentive Plan Information LTIP-OP Units Shares of Common Stock Number of Securities Remaining Available For Equity Compensation Plans Weighted Average Issuance Price Issued Forfeited Converted Redeemed Issued Forfeited December 31, 2021 (391,647 ) 916 44,795 9,054 (144,980 ) 3,155 1,012,239 Number of securities issued or to be issued upon exercise (68,250 ) (A) - - - - - (68,250 ) $ 8.40 March 31, 2022 (459,897 ) 916 44,795 9,054 (144,980 ) 3,155 943,989 Number of securities forfeited - 4,916 - - - - 4,916 Number of securities issued or to be issued upon exercise - - - - (33,441 ) - (33,441 ) $ 6.28 June 30, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 Number of securities issued or to be issued upon exercise - - - - - - September 30, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 December 31, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 Number of securities issued or to be issued upon exercise (92,200 ) (B) - - - - - (92,200 ) $ 6.06 March 31, 2023 (552,097 ) 5,832 44,795 9,054 (178,421 ) 3,155 823,264 Number of securities issued or to be issued upon exercise - - - - (41,835 ) (C) - (41,835 ) $ 5.02 Increase in the number of securities available for issuance - - - - - - 2,006,736 June 30, 2023 (552,097 ) 5,832 44,795 9,054 (220,256 ) 3,155 2,788,165 Number of securities issued or to be issued upon exercise - - - - - - - September 30, 2023 (552,097 ) 5,832 44,795 9,054 (220,256 ) 3,155 2,788,165 (A) Subject to forfeiture in certain circumstances prior to January 3, 2025. (B) Subject to forfeiture in certain circumstances prior to January 10, 2026. (C) Subject to forfeiture in certain circumstances prior to June 29, 2024. The Company recognized share-based compensation expense of approximately and during the three-month periods ended September 30, 2023 and September 30, 2022, respectively and and during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. There was approximately of total unrecognized share-based compensation expense as of September 30, 2023, 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 . The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated 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, 2023, 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, 2023 2022 2023 2022 Numerator: Net income (loss) $ 15,885 $ 41,677 $ (1,811 ) $ 54,942 Net (income) loss allocated to noncontrolling interests in Operating Partnership (306 ) (866 ) 34 (1,152 ) Dividends on preferred stock 2,462 2,462 7,390 7,390 Net income (loss) applicable to common stockholders $ 13,117 $ 38,349 $ (9,167 ) $ 46,400 Denominator: Weighted average common shares outstanding 26,936,242 20,123,165 25,879,626 19,134,545 Weighted average diluted shares outstanding 26,978,077 20,156,606 25,907,638 19,159,846 Basic and Diluted EPS: Basic $ 0.49 $ 1.91 $ (0.35 ) $ 2.42 Diluted $ 0.49 $ 1.90 $ (0.35 ) $ 2.42 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, 2023
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 current renewal term of the Management Agreement expired on October 22, 2023 and was automatically renewed for a one-year term on that date The Manager is a party to the Services Agreement with Freedom Mortgage, pursuant to which Freedom Mortgage 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 Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman. 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, 2023 2022 2023 2022 Management fees $ 1,590 $ 1,485 $ 4,684 $ 4,662 Compensation reimbursement 150 140 430 370 Total $ 1,740 $ 1,625 $ 5,114 $ 5,032 Subservicing and Flow Purchase Agreements 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 two-year term that expired in August 2019 and is subject to automatic renewal every two years for an additional two-year term unless either party chooses not to renew. The current renewal term expires in August 2023. 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, RoundPoint agrees to service the applicable mortgage loans in accordance with applicable law. Aurora received servicing fee income from RoundPoint of $7.8 million and $8.4 million during the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $23.9 million and $25.3 million during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. Aurora paid servicing costs to RoundPoint of $1.4 million during each of the three-month periods ended September 30, 2023 and September 30, 2022 and $3.8 million and $4.4 million during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. Aurora had servicing receivables of $754,000 million and $687,000 from RoundPoint at September 30, 2023 and December 31, 2022, 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-month period ended September 30, 2023, Aurora did not purchase any MSRs from RoundPoint pursuant to the flow agreement. During the three-month period ended September 30, 2022, Aurora purchased MSRs with an aggregate UPB of approximately $242.8 million from RoundPoint pursuant to the flow agreement for a purchase price of $2.4 million. During the nine-month periods ended September 30, 2023 and September 30, 2022, Aurora purchased MSRs with an aggregate UPB of approximately $987,000 and $441.5 million, respectively from RoundPoint pursuant to the flow agreement for purchase prices of $5,000 and $4.6 million, respectively. Joint Marketing Recapture Agreements In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint, one of Aurora’s subservicers 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, Freedom Mortgage 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 Freedom Mortgage and reimburses Freedom Mortgage on a monthly basis.

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2023
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, 2023 December 31, 2022 Notional amount of interest rate swaps $ 1,132,000 $ 1,305,000 Notional amount of TBAs, net (486,400 ) (306,100 ) Notional amount of U.S. treasury futures 145,800 (88,700 ) Notional amount of options on treasury futures - 20,000 Total notional amount $ 791,400 $ 930,200 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 Weighted Average Maturity September 30, 2023 $ 1,132,000 $ 16,456 1.67 % 5.23 % 3.6 2027 December 31, 2022 $ 1,305,000 $ 15,748 1.53 % 3.96 % 5.1 2028 The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in s): As of September Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 342,800 $ 327,160 $ 324,607 $ (2,552 ) Sale contracts (829,200 ) (772,857 ) (758,655 ) 14,202 Net TBA derivatives $ (486,400 ) $ (445,697 ) $ (434,048 ) $ 11,650 As of December 31, Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 518,300 $ 506,245 $ 501,682 $ (4,563 ) Sale contracts (824,400 ) (796,054 ) (787,275 ) 8,778 Net TBA derivatives $ (306,100 ) $ (289,809 ) $ (285,593 ) $ 4,215 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, 2023 Maturity Notional Amount - Long Notional Amount - Short Fair Value 2 years $ 144,400 $ - $ (369 ) 5 years 128,100 - (1,180 ) 10 years - (126,700 ) 5,059 Total $ 272,500 $ (126,700 ) $ 3,510 As of December 31, 2022 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years (A) $ - $ (88,700 ) $ 618 Total $ - $ (88,700 ) $ 618 (A) Includes 10-year Ultra futures and Long Bond futures contracts. The following table presents information about the Company’s U.S. treasury futures options agreements as of the date indicated (dollars in thousands): As of December 31, 2022 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ 70,000 $ (50,000 ) $ 234 Total $ 70,000 $ (50,000 ) $ 234 The Company did not have any U.S. treasury futures options agreements as of September 30, 2023. 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): Three Months Ended September 30, Nine Months Ended September 30, Derivatives 2023 2022 2023 2022 Interest rate swaps (A) $ 496 $ 1,319 $ (4,671 ) $ (4,793 ) Swaptions - - - (585 ) TBAs 14,150 1,002 17,516 (26,164 ) U.S. Treasury futures (3,137 ) 439 (11,794 ) 18,910 U.S. treasury futures options (50 ) 203 (337 ) (47 ) Total $ 11,459 $ 2,963 $ 714 $ (12,679 ) (A) Excludes interest rate swap periodic interest income of $9.2 million and $3.2 million, for the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $26.0 million and $5.5 million, for the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. 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 and the Securities Industry and Financial Markets 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, 2023 Net Amounts of Assets and Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) (A) Net Amount Assets Interest rate swaps $ 20,671 $ - $ 20,671 $ (20,671 ) $ - $ - TBAs 14,520 (2,870 ) 11,650 (23,968 ) 12,318 - U.S. treasury futures 5,059 (1,549 ) 3,510 (864 ) (2,646 ) - Total Assets $ 40,250 $ (4,419 ) $ 35,831 $ (45,503 ) $ 9,672 $ - Liabilities Repurchase agreements $ 967,289 $ - $ 967,289 $ (944,237 ) $ (23,052 ) $ - Interest rate swaps 4,215 - 4,215 (4,215 ) - - TBAs 2,870 (2,870 ) - - - - U.S. treasury futures 1,549 (1,549 ) - - - - Total Liabilities $ 975,923 $ (4,419 ) $ 971,504 $ (948,452 ) $ (23,052 ) $ - As of December 31, 2022 Net Amounts of Assets and Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) (A) Net Amount Assets Interest rate swaps $ 40,466 $ - $ 40,466 $ (40,466 ) $ - $ - Interest rate swaptions - - - - - - TBAs 8,786 (4,571 ) 4,215 (4,215 ) - - U.S. treasury futures 618 - 618 (618 ) - - U.S. treasury futures options 234 - 234 3,630 (3,864 ) - Total Assets $ 50,104 $ (4,571 ) $ 45,533 $ (41,669 ) $ (3,864 ) $ - Liabilities Repurchase agreements $ 825,962 $ - $ 825,962 $ (830,022 ) $ 4,060 $ - Interest rate swaps 24,718 - 24,718 (24,718 ) - - TBAs 4,571 (4,571 ) - (2,767 ) 2,767 - Total Liabilities $ 855,251 $ (4,571 ) $ 850,680 $ (857,507 ) $ 6,827 $ - (A) Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Fair Value

Fair Value	9 Months Ended
	Sep. 30, 2023
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 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 develop their pricing based on transaction prices of recent trades for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at September 30, 2023 and December 31, 2022. 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, 2023 and December 31, 2022. 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. The third-party pricing providers develop their pricing based on transaction prices of recent trades for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs. As a result, the Company classified 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, 2023 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 428,177 $ - $ 428,177 Freddie Mac - 588,624 - 588,624 RMBS total - 1,016,801 - 1,016,801 Derivative assets Interest rate swaps - 20,671 - 20,671 TBAs, net - 11,650 - 11,650 U.S. treasury futures - 3,510 - 3,510 Derivative assets total - 35,831 - 35,831 Servicing related assets - - 266,474 266,474 Total Assets $ - $ 1,052,632 $ 266,474 $ 1,319,106 Liabilities Derivative liabilities Interest rate swaps - 4,215 - 4,215 Derivative liabilities total - 4,215 - 4,215 Total Liabilities $ - $ 4,215 $ - $ 4,215 As of December 31, 2022 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 483,397 $ - $ 483,397 Freddie Mac - 448,034 - 448,034 RMBS total - 931,431 - 931,431 Derivative assets Interest rate swaps - 40,466 - 40,466 TBAs, net - 4,215 - 4,215 U.S. treasury futures - 618 - 618 U.S. treasury futures options - 234 - 234 Derivative assets total - 45,533 - 45,533 Servicing related assets - - 279,739 279,739 Total Assets $ - $ 976,964 $ 279,739 $ 1,256,703 Liabilities Derivative liabilities Interest rate swaps - 24,718 - 24,718 Derivative liabilities total - 24,718 - 24,718 Total Liabilities $ - $ 24,718 $ - $ 24,718 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, 2023 and December 31, 2022, 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, 2023 and December 31, 2022 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): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Balance at beginning of period $ 264,906 $ 263,578 $ 279,739 $ 218,727 Purchases and sales: Purchases - 13,265 5 30,497 Other changes (A) (10 ) (116 ) (170 ) (378 ) Purchases and sales: (10 ) 13,149 (165 ) 30,119 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model 6,060 7,789 552 50,935 Other changes in fair value (B) (4,482 ) (5,496 ) (13,652 ) (20,761 ) Unrealized gain (loss) included in Net Income 1,578 2,293 (13,100 ) 30,174 Balance at end of period $ 266,474 $ 279,020 $ 266,474 $ 279,020 (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, 2023 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 266,474 Discounted cash flow Constant prepayment speed 3.7% - 15.5 % 6.7 % Uncollected payments 0.6% - 4.2 % 0.8 % Discount rate 10.4 % Annual cost to service, per loan $ 87 TOTAL $ 266,474 As of December 31, 2022 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 279,739 Discounted cash flow Constant prepayment speed 4.3% -18.2 % 7.4 % Uncollected payments 0.5% - 3.2 % 0.7 % Discount rate 9.5 % Annual cost to service, per loan $ 81 TOTAL $ 279,739 (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 servicing receivables, 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.

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2023
Commitments and Contingencies [Abstract]
Commitments and Contingencies	Note 10 — Commitments and Contingencies The commitments and contingencies of the Company as of September 30, 2023 and December 31, 2022 are described below. Management Agreement The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. 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. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements. Commitments to Purchase/Sell RMBS As of September 30, 2023 and December 31, 2022, 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. See Note 2 — Basis of Presentation and Significant Accounting Policies for details of unsettled RMBS trades as of September 30, 2023 and December 31, 2022. 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 Freddie Mac 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 Freddie Mac 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 Freddie Mac MSR Revolver.

Repurchase Agreements

Repurchase Agreements	9 Months Ended
	Sep. 30, 2023
Repurchase Agreements [Abstract]
Repurchase Agreements	Note 11 — Repurchase Agreements The Company had outstanding approximately $967.3 million and $826.0 million of borrowings under its repurchase agreements as of September 30, 2023 and December 31, 2022, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 20 days and 18 days as of September 30, 2023 and December 31, 2022. 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, 2023 Repurchase Agreements Weighted Average Rate Less than one month $ 814,571 5.47 % One to three months 152,718 5.51 % Total/Weighted Average $ 967,289 5.48 % As of December 31, 2022 Repurchase Weighted Average Rate Less than one month $ 715,899 4.39 % One to three months 110,063 4.53 % Total/Weighted Average $ 825,962 4.41 % There were no overnight or demand securities as of September 30, 2023 or December 31, 2022.

Notes Payable

Notes Payable	9 Months Ended
	Sep. 30, 2023
Notes Payable [Abstract]
Notes Payable	Note 12 — Notes Payable As of September 30, 2023, the Company had two separate MSR financing facilities: (i) the Freddie Mac MSR Revolver, which is revolving credit facility for up to $100.0 million that is secured by all Freddie Mac MSRs owned by Aurora; and (ii) the Fannie Mae MSR Revolving Facility, which is a revolving credit facility for up to $150.0 million, that is secured by all Fannie Mae MSRs owned by Aurora. Both financing facilities are available for MSRs as well as certain servicing related advances associated with MSRs. Freddie Mac MSR Revolver. Fannie Mae MSR Revolving Facility. In October 2023, Aurora and QRS III entered into an amendment to the Fannie Mae MSR Revolving Facility that extended the revolving period for an additional 24 months. The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Notes Payable Repayment Characteristics As of September 30, 2023 2023 2024 2025 2026 2027 2028 Total Freddie Mac MSR Revolver Borrowings under Freddie Mac MSR Revolver $ - $ 64,500 $ - $ - $ - $ - $ 64,500 Fannie Mae MSR Revolving Facility Borrowings under Fannie Mae MSR Revolving Facility - - 1,173 7,380 8,008 91,439 108,000 Total $ - $ 64,500 $ 1,173 $ 7,380 $ 8,008 $ 91,439 $ 172,500 As of December 31, 2022 2023 2024 2025 2026 2027 2028 Total Freddie Mac MSR Revolver Borrowings under Freddie Mac MSR Revolver $ 68,500 $ - $ - $ - $ - $ $ 68,500 Fannie Mae MSR Revolving Facility Borrowings under Fannie Mae MSR Revolving Facility 627 7,868 8,538 98,967 - 116,000 Total $ 69,127 $ 7,868 $ 8,538 $ 98,967 $ - $ - $ 184,500

Receivables and Other Assets

Receivables and Other Assets	9 Months Ended
	Sep. 30, 2023
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, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands): Receivables and Other Assets September 30, 2023 December 31, 2022 Servicing advances $ 8,823 $ 15,090 Interest receivable 6,097 4,381 Deferred tax asset 14,301 15,545 Other receivables 3,278 1,749 Total other assets $ 32,499 $ 36,765 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, 2023
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, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands): Accrued Expenses and Other Liabilities September 30, 2023 December 31, 2022 Accrued interest on repurchase agreements $ 2,684 $ 2,796 Accrued interest on notes payable 2,021 1,710 Accrued expenses 1,372 3,804 Due to counterparties (A) 12,318 11,197 Total accrued expenses and other liabilities $ 18,395 $ 19,507 (A) Includes collateral for the Company’s borrowings that represents a payable to the counterparties as of the balance sheet date

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2023
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 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): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Deferred federal income tax expense $ 1,108 $ 1,143 $ 1,080 $ 5,647 Deferred state income tax expense 168 201 164 995 Provision for Corporate Business Taxes $ 1,276 $ 1,344 $ 1,244 $ 6,642 The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 C omputed income tax expense (benefit) at federal rate $ 3,605 21.0 % $ 9,035 21.0 % $ (118 ) 21 % $ 12,933 21.0 % S tate tax expense, net of federal tax, if applicable 133 0.8 % 160 0.4 % 130 (22.9 )% 787 1.3 % Provision to return adjustment (7 ) 0.0 % (8 ) 0.0 % (7 ) 1.2 % (8 ) 0.0 % R EIT income not subject to tax expense (benefit) (2,455 ) (14.3 )% (7,843 ) (18.2 )% 1,239 (218.5 )% (7,070 ) (11.5 )% P rovision for Corporate Business Taxes/Effective Tax Ra (A) $ 1,276 7.5 % $ 1,344 3.2 % $ 1,244 (219.2 )% $ 6,642 10.8 % (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, 2023 December 31, 2022 Income taxes recoverable Federal income taxes recoverable $ 128 $ 128 Income taxes recoverable $ 128 $ 128 Deferred tax assets Deferred tax - mortgage servicing rights $ (2,123 ) $ 1,082 Deferred tax - net operating loss 16,424 13,844 Deferred tax - other - 619 Total net deferred tax assets $ 14,301 $ 15,545 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 had net operating losses of $70.0 million as of September 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 consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. The Company’s 2022, 2021, 2020 and 2019 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, 2023
Subsequent Events [Abstract]
Subsequent Events	Note 16 — Subsequent Events Events subsequent to September 30, 2023 were evaluated and no additional events were identified requiring further disclosure in the consolidated financial statements.

Basis of Presentation and Sig_2

Basis of Presentation and Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2023
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 Servicing Related Assets, RMBS 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.
Investments in RMBS	Investments in RMBS Classification The Company reports all of its investments in RMBS at fair value on its consolidated balance sheets. Pursuant to Accounting Standards Codification (“ASC”) 320, Investments – Debt and Equity Securities, the Company may designate a security as held-to-maturity, available-for-sale or trading, at the time of purchase, depending on the Company’s ability and intent to hold the security to maturity. Alternatively, the Company may elect the fair value option of accounting for securities pursuant to ASC 825, Financial Instruments. Prior to January 1, 2023, the Company designated its RMBS as available-for sale. On January 1, 2023, the Company elected the fair value option of accounting for all RMBS acquired after such date. Unrealized gains and losses on securities classified as available-for sale are reported in “Accumulated other comprehensive loss” within the consolidated balance sheets, whereas unrealized gains and losses on securities for which the Company elected the fair value option are reported in “Unrealized loss on RMBS, measured at fair value through earnings, net” within the consolidated statements of income (loss). Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures. Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss on securities is determined on the basis of the cost of the specific investment and for securities designated as available-for-sale is reclassified out of accumulated other comprehensive income into earnings. RMBS with a fair value of $5.5 million, sold during the nine-month period ended September 30, 2023, were settled after period end. All RMBS purchased during the nine-month period ended September 30, 2023, were settled prior to period-end. RMBS with a fair value of $49.8 million, sold during the year ended December 31, 2022, were settled after year end. RMBS with a fair value of $78.9 million, purchased during the year ended December 31, 2022, were settled after year end. Revenue Recognition Impairment When the fair value of an available-for-sale designated 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 within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). 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 pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. Revenue Recognition f the outstanding principal balance and are recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of income (loss). Float income from custodial accounts associated with MSRs is included in “Net interest income” on the consolidated statements of income (loss). Late fees and ancillary income are included in “Servicing fee income” on the consolidated statements of income (loss). As an owner 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 cons olidated 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. The Company’s servicing related assets were composed entirely of Fannie Mae and Freddie September 30, 2023
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 RMBS 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 RMBS, 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, drop income on TBA dollar rolls generally represents the economic equivalent of the net interest income earned on the underlying Agency RMBS 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 RMBS. 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”, respectively, 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 $2.6 million and $4.2 million at September 30, 2023 September 30, 2023 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, 2023
Due to Manager	Due to Manager The sum under “Due to manager” on the c onsolidated balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agree
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 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. In December 2021, the Internal Revenue Service issued a revenue procedure that temporarily reduced the minimum amount of the total distribution that must be paid in cash to 10% for distributions declared on or after November 1, 2021, and on or before June 30, 2022, provided certain other parameters detailed in the Revenue Procedure are satisfied . Pursuant to these revenue procedures, the Company has in the past electe The Company accounts for income taxes in accordance with ASC 740, Income Taxes
Realized Gain (Loss) on RMBS	Realized Gain (Loss) on RMBS The Company did not sell any RMBS measured at fair value through earnings during the three and nine-month periods ended September 30, 2023. The following table presents realized gains and losses on available-for-sale RMBS measured at fair value through other comprehensive income for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Realized gain (loss) on RMBS, net Gain on RMBS, available-for-sale, measured at fair value through OCI (A) $ - $ - $ - $ 50 Loss on RMBS, available-for-sale, measured at fair value through OCI (A) (10,209 ) (9,735 ) (21,464 ) (69,043 ) Realized loss on RMBS, net $ (10,209 ) $ (9,735 ) $ (21,464 ) $ (68,993 ) (A) Recognized in earnings.
Repurchase Agreements and Interest Expense	Repurchase Agreements and Interest Expense T he 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 the overnight SOFR rate. 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 The Company considers the applicability and impact of all ASUs issued by the FASB. There are no unadopted ASUs that are expected to have a significant impact on the Company’s consolidated financial statements when adopted or other recently adopted ASUs that had a significant impact on the Company’s consolidated financial statements upon adoption .
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, 2023
Basis of Presentation and Significant Accounting Policies [Abstract]
Realized Gains and Losses on Available-for-Sale RMBS	The Company did not sell any RMBS measured at fair value through earnings during the three and nine-month periods ended September 30, 2023. The following table presents realized gains and losses on available-for-sale RMBS measured at fair value through other comprehensive income for the periods indicated (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Realized gain (loss) on RMBS, net Gain on RMBS, available-for-sale, measured at fair value through OCI (A) $ - $ - $ - $ 50 Loss on RMBS, available-for-sale, measured at fair value through OCI (A) (10,209 ) (9,735 ) (21,464 ) (69,043 ) Realized loss on RMBS, net $ (10,209 ) $ (9,735 ) $ (21,464 ) $ (68,993 ) (A) Recognized in earnings.

Segment Reporting (Tables)

Segment Reporting (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 Interest income $ - $ 12,864 $ - $ 12,864 Interest expense (89 ) 13,426 - 13,337 Net interest income (expense) 89 (562 ) - (473 ) Servicing fee income 13,225 - - 13,225 Servicing costs 2,869 - - 2,869 Net servicing income 10,356 - - 10,356 Other income 282 10,362 - 10,644 Other operating expenses (561 ) (174 ) (2,631 ) (3,366 ) Provision for corporate business taxes (1,276 ) - - (1,276 ) Net Income (Loss) $ 8,890 $ 9,626 $ (2,631 ) $ 15,885 Three Months Ended September 30, 2022 Interest income $ - $ 8,213 $ - $ 8,213 Interest expense 635 4,247 - 4,882 Net interest income (expense) (635 ) 3,966 - 3,331 Servicing fee income 13,426 - - 13,426 Servicing costs 2,725 - - 2,725 Net servicing income 10,701 - - 10,701 Other income (expense) (12,087 ) 44,176 - 32,089 Other operating expenses (537 ) (163 ) (2,400 ) (3,100 ) Provision for corporate business taxes (1,344 ) - - (1,344 ) Net Income (Loss) $ (3,902 ) $ 47,979 $ (2,400 ) $ 41,677 Nine Months Ended September 30, 2023 Interest income $ - $ 37,193 $ - $ 37,193 Interest expense 1,143 37,317 - 38,460 Net interest expense (1,143 ) (124 ) - (1,267 ) Servicing fee income 40,535 - - 40,535 Servicing costs 8,098 - - 8,098 Net servicing income 32,437 - - 32,437 Other expense (17,935 ) (3,544 ) - (21,479 ) Other operating expenses (1,694 ) (506 ) (8,058 ) (10,258 ) Provision for corporate business taxes (1,244 ) - - (1,244 ) Net Income (Loss) $ 10,421 $ (4,174 ) $ (8,058 ) $ (1,811 ) Nine Months Ended September 30, 2022 Interest income $ - $ 19,736 $ - $ 19,736 Interest expense 3,019 6,005 - 9,024 Net interest income (expense) (3,019 ) 13,731 - 10,712 Servicing fee income 39,730 - - 39,730 Servicing costs 8,533 - - 8,533 Net servicing income 31,197 - - 31,197 Other income (expense) (20,983 ) 50,408 - 29,425 Other operating expenses (1,569 ) (542 ) (7,639 ) (9,750 ) Provision for corporate business taxes (6,642 ) - - (6,642 ) Net Income (Loss) $ (1,016 ) $ 63,597 $ (7,639 ) $ 54,942 Servicing Related Assets RMBS All Other Total Balance Sheet September 30, 2023 Investments $ 266,474 $ 1,016,801 $ - $ 1,283,275 Other assets 28,226 71,210 44,809 144,245 Total assets 294,700 1,088,011 44,809 1,427,520 Debt 172,008 967,289 - 1,139,297 Other liabilities 6,316 15,002 9,349 30,667 Total liabilities 178,324 982,291 9,349 1,169,964 Net Assets $ 116,376 $ 105,720 $ 35,460 $ 257,556 December 31, 2022 Investments $ 279,739 $ 931,431 $ - $ 1,211,170 Other assets 32,849 106,885 57,921 197,655 Total assets 312,588 1,038,316 57,921 1,408,825 Debt 183,888 825,962 - 1,009,850 Other liabilities 29,047 92,875 11,537 133,459 Total liabilities 212,935 918,837 11,537 1,143,309 Net Assets $ 99,653 $ 119,479 $ 46,384 $ 265,516

Investments in RMBS (Tables)

Investments in RMBS (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 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, available-for-sale, measured at fair value through OCI Fannie Mae $ 281,276 $ 256,230 $ - $ (13,042 ) $ 243,188 20 (B) 4.54 % 4.66 % 28 Freddie Mac 309,912 281,774 - (18,912 ) 262,862 23 (B) 4.40 % 4.47 % 28 RMBS, measured at fair value through earnings Fannie Mae 205,048 195,620 - (10,631 ) 184,989 17 (B) 4.67 % 4.75 % 29 Freddie Mac 361,813 341,697 - (15,935 ) 325,762 28 (B) 4.66 % 4.77 % 29 Total/weighted average RMBS $ 1,158,049 $ 1,075,321 $ - $ (58,520 ) $ 1,016,801 88 4.57 % 4.66 % 28 As of December 31, 2022 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, available-for-sale, measured at fair value through OCI Fannie Mae $ 550,740 $ 497,038 $ 2,843 $ (16,484 ) $ 483,397 45 (B) 4.27 % 4.34 % 29 Freddie Mac 500,873 463,380 1,384 (16,730 ) 448,034 38 (B) 4.18 % 4.24 % 29 Total/weighted average RMBS $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 4.23 % 4.29 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
Summary of RMBS Investments by Maturity	Summary of RMBS Assets by Maturity As of September 30, 2023 Gross Unrealized Weighted Average Years to Maturity Original Face Value Book Gains Losses Carrying Value (A) Number of Securities Rating Coupon Yield (C) Maturity (Years) RMBS, available-for-sale, measured at fair value through OCI Over 10 Years $ 591,188 $ 538,004 $ - $ (31,954 ) $ 506,050 43 (B) 4.47 % 4.56 % 28 RMBS, measured at fair value through earnings Over 10 Years 566,861 537,317 - (26,566 ) 510,751 45 (B) 4.66 % 4.76 % 29 Total/weighted average RMBS $ 1,158,049 $ 1,075,321 $ - $ (58,520 ) $ 1,016,801 88 4.57 % 4.66 % 28 As of December 31, 2022 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) RMBS, available-for-sale, measured at fair value through OCI Over 10 Years $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 (B) 4.23 % 4.29 % 29 Total/weighted average RMBS $ 1,051,613 $ 960,418 $ 4,227 $ (33,214 ) $ 931,431 83 4.23 % 4.29 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
Summary of RMBS Securities in an Unrealized Loss Position	The following tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands): Available-For-Sale RMBS Unrealized Loss Positions As of September 30, 2023 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) RMBS, available-for-sale, measured at fair value through OCI Less than Twelve Months $ 383,901 $ 348,444 $ (14,289 ) $ 334,155 28 (B) 4.66 % 4.80 % 28 Twelve or More Months 207,287 189,560 (17,665 ) 171,895 15 (B) 4.10 % 4.13 % 28 Total/weighted average RMBS, available-for-sale, $ 591,188 $ 538,004 $ (31,954 ) $ 506,050 43 4.47 % 4.56 % 28 As of December 31, 2022 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) RMBS, available-for-sale, measured at fair value through OCI Less than Twelve Months $ 848,768 $ 767,412 $ (33,214 ) $ 734,198 67 (B) 4.06 % 4.10 % 29 Total/weighted average RMBS , available-for-sale $ 848,768 $ 767,412 $ (33,214 ) $ 734,198 67 4.06 % 4.10 % 29 (A) See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. (B) The Company used an implied AAA rating for the Agency RMBS. (C) The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Investments in Servicing Rela_2

Investments in Servicing Related Assets (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 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 $ 20,340,103 $ 266,474 3.49 % 25.2 $ (13,100 ) MSR Total/Weighted Average $ 20,340,103 $ 266,474 3.49 % 25.2 $ (13,100 ) As of December 31, 2022 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 $ 21,688,353 $ 279,739 3.49 % 25.8 $ 22,976 MSR Total/Weighted Average $ 21,688,353 $ 279,739 3.49 % 25.8 $ 22,976 (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, 2023 Percentage of Total Outstanding Unpaid Principal Balance California 13.7 % Virginia 8.3 % New York 8.3 % Maryland 6.4 % Texas 5.9 % Florida 5.4 % North Carolina 5.1 % All other 46.9 % Total 100.0 % As of December 31, 2022 Percentage of Total Outstanding Unpaid Principal Balance California 13.5 % Virginia 8.3 % New York 8.2 % Maryland 6.3 % Texas 6.0 % Florida 5.5 % North Carolina 5.1 % All other 47.1 % Total 100.0 %

Equity and Earnings per Commo_2

Equity and Earnings per Common Share (Tables)	9 Months Ended
	Sep. 30, 2023
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 2013 Plan and the 2023 Plan. As noted above, effective as of June 15, 2023, (the date of the Company’s 2023 annual meeting of stockholders) the 2023 Plan replaced the 2013 Plan. No further awards will be made by the Company under the 2013 Plan, and currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. Except as otherwise indicated, all shares shown in the table below are fully vested. Equity Incentive Plan Information LTIP-OP Units Shares of Common Stock Number of Securities Remaining Available For Equity Compensation Plans Weighted Average Issuance Price Issued Forfeited Converted Redeemed Issued Forfeited December 31, 2021 (391,647 ) 916 44,795 9,054 (144,980 ) 3,155 1,012,239 Number of securities issued or to be issued upon exercise (68,250 ) (A) - - - - - (68,250 ) $ 8.40 March 31, 2022 (459,897 ) 916 44,795 9,054 (144,980 ) 3,155 943,989 Number of securities forfeited - 4,916 - - - - 4,916 Number of securities issued or to be issued upon exercise - - - - (33,441 ) - (33,441 ) $ 6.28 June 30, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 Number of securities issued or to be issued upon exercise - - - - - - September 30, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 December 31, 2022 (459,897 ) 5,832 44,795 9,054 (178,421 ) 3,155 915,464 Number of securities issued or to be issued upon exercise (92,200 ) (B) - - - - - (92,200 ) $ 6.06 March 31, 2023 (552,097 ) 5,832 44,795 9,054 (178,421 ) 3,155 823,264 Number of securities issued or to be issued upon exercise - - - - (41,835 ) (C) - (41,835 ) $ 5.02 Increase in the number of securities available for issuance - - - - - - 2,006,736 June 30, 2023 (552,097 ) 5,832 44,795 9,054 (220,256 ) 3,155 2,788,165 Number of securities issued or to be issued upon exercise - - - - - - - September 30, 2023 (552,097 ) 5,832 44,795 9,054 (220,256 ) 3,155 2,788,165 (A) Subject to forfeiture in certain circumstances prior to January 3, 2025. (B) Subject to forfeiture in certain circumstances prior to January 10, 2026. (C) Subject to forfeiture in certain circumstances prior to June 29, 2024.
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, 2023 2022 2023 2022 Numerator: Net income (loss) $ 15,885 $ 41,677 $ (1,811 ) $ 54,942 Net (income) loss allocated to noncontrolling interests in Operating Partnership (306 ) (866 ) 34 (1,152 ) Dividends on preferred stock 2,462 2,462 7,390 7,390 Net income (loss) applicable to common stockholders $ 13,117 $ 38,349 $ (9,167 ) $ 46,400 Denominator: Weighted average common shares outstanding 26,936,242 20,123,165 25,879,626 19,134,545 Weighted average diluted shares outstanding 26,978,077 20,156,606 25,907,638 19,159,846 Basic and Diluted EPS: Basic $ 0.49 $ 1.91 $ (0.35 ) $ 2.42 Diluted $ 0.49 $ 1.90 $ (0.35 ) $ 2.42

Transactions with Related Par_2

Transactions with Related Parties (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 2022 2023 2022 Management fees $ 1,590 $ 1,485 $ 4,684 $ 4,662 Compensation reimbursement 150 140 430 370 Total $ 1,740 $ 1,625 $ 5,114 $ 5,032

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 December 31, 2022 Notional amount of interest rate swaps $ 1,132,000 $ 1,305,000 Notional amount of TBAs, net (486,400 ) (306,100 ) Notional amount of U.S. treasury futures 145,800 (88,700 ) Notional amount of options on treasury futures - 20,000 Total notional amount $ 791,400 $ 930,200
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 Weighted Average Maturity September 30, 2023 $ 1,132,000 $ 16,456 1.67 % 5.23 % 3.6 2027 December 31, 2022 $ 1,305,000 $ 15,748 1.53 % 3.96 % 5.1 2028
Information of TBA Derivatives	The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in s): As of September Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 342,800 $ 327,160 $ 324,607 $ (2,552 ) Sale contracts (829,200 ) (772,857 ) (758,655 ) 14,202 Net TBA derivatives $ (486,400 ) $ (445,697 ) $ (434,048 ) $ 11,650 As of December 31, Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Fair Value Net Carrying Value Purchase contracts $ 518,300 $ 506,245 $ 501,682 $ (4,563 ) Sale contracts (824,400 ) (796,054 ) (787,275 ) 8,778 Net TBA derivatives $ (306,100 ) $ (289,809 ) $ (285,593 ) $ 4,215
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, 2023 Maturity Notional Amount - Long Notional Amount - Short Fair Value 2 years $ 144,400 $ - $ (369 ) 5 years 128,100 - (1,180 ) 10 years - (126,700 ) 5,059 Total $ 272,500 $ (126,700 ) $ 3,510 As of December 31, 2022 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years (A) $ - $ (88,700 ) $ 618 Total $ - $ (88,700 ) $ 618 (A) Includes 10-year Ultra futures and Long Bond futures contracts. The following table presents information about the Company’s U.S. treasury futures options agreements as of the date indicated (dollars in thousands): As of December 31, 2022 Maturity Notional Amount - Long Notional Amount - Short Fair Value 10 years $ 70,000 $ (50,000 ) $ 234 Total $ 70,000 $ (50,000 ) $ 234
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): Three Months Ended September 30, Nine Months Ended September 30, Derivatives 2023 2022 2023 2022 Interest rate swaps (A) $ 496 $ 1,319 $ (4,671 ) $ (4,793 ) Swaptions - - - (585 ) TBAs 14,150 1,002 17,516 (26,164 ) U.S. Treasury futures (3,137 ) 439 (11,794 ) 18,910 U.S. treasury futures options (50 ) 203 (337 ) (47 ) Total $ 11,459 $ 2,963 $ 714 $ (12,679 ) (A) Excludes interest rate swap periodic interest income of $9.2 million and $3.2 million, for the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $26.0 million and $5.5 million, for the nine-month periods ended September 30, 2023 and September 30, 2022, respectively.
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, 2023 Net Amounts of Assets and Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) (A) Net Amount Assets Interest rate swaps $ 20,671 $ - $ 20,671 $ (20,671 ) $ - $ - TBAs 14,520 (2,870 ) 11,650 (23,968 ) 12,318 - U.S. treasury futures 5,059 (1,549 ) 3,510 (864 ) (2,646 ) - Total Assets $ 40,250 $ (4,419 ) $ 35,831 $ (45,503 ) $ 9,672 $ - As of December 31, 2022 Net Amounts of Assets and Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets or Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Liabilities Presented in the Consolidated Balance Sheet Financial Instruments Cash Collateral Received (Pledged) (A) Net Amount Assets Interest rate swaps $ 40,466 $ - $ 40,466 $ (40,466 ) $ - $ - Interest rate swaptions - - - - - - TBAs 8,786 (4,571 ) 4,215 (4,215 ) - - U.S. treasury futures 618 - 618 (618 ) - - U.S. treasury futures options 234 - 234 3,630 (3,864 ) - Total Assets $ 50,104 $ (4,571 ) $ 45,533 $ (41,669 ) $ (3,864 ) $ -
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, 2023 Liabilities Repurchase agreements $ 967,289 $ - $ 967,289 $ (944,237 ) $ (23,052 ) $ - Interest rate swaps 4,215 - 4,215 (4,215 ) - - TBAs 2,870 (2,870 ) - - - - U.S. treasury futures 1,549 (1,549 ) - - - - Total Liabilities $ 975,923 $ (4,419 ) $ 971,504 $ (948,452 ) $ (23,052 ) $ - Liabilities Repurchase agreements $ 825,962 $ - $ 825,962 $ (830,022 ) $ 4,060 $ - Interest rate swaps 24,718 - 24,718 (24,718 ) - - TBAs 4,571 (4,571 ) - (2,767 ) 2,767 - Total Liabilities $ 855,251 $ (4,571 ) $ 850,680 $ (857,507 ) $ 6,827 $ -

Fair Value (Tables)

Fair Value (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 428,177 $ - $ 428,177 Freddie Mac - 588,624 - 588,624 RMBS total - 1,016,801 - 1,016,801 Derivative assets Interest rate swaps - 20,671 - 20,671 TBAs, net - 11,650 - 11,650 U.S. treasury futures - 3,510 - 3,510 Derivative assets total - 35,831 - 35,831 Servicing related assets - - 266,474 266,474 Total Assets $ - $ 1,052,632 $ 266,474 $ 1,319,106 Liabilities Derivative liabilities Interest rate swaps - 4,215 - 4,215 Derivative liabilities total - 4,215 - 4,215 Total Liabilities $ - $ 4,215 $ - $ 4,215 As of December 31, 2022 Level 1 Level 2 Level 3 Carrying Value Assets RMBS Fannie Mae $ - $ 483,397 $ - $ 483,397 Freddie Mac - 448,034 - 448,034 RMBS total - 931,431 - 931,431 Derivative assets Interest rate swaps - 40,466 - 40,466 TBAs, net - 4,215 - 4,215 U.S. treasury futures - 618 - 618 U.S. treasury futures options - 234 - 234 Derivative assets total - 45,533 - 45,533 Servicing related assets - - 279,739 279,739 Total Assets $ - $ 976,964 $ 279,739 $ 1,256,703 Liabilities Derivative liabilities Interest rate swaps - 24,718 - 24,718 Derivative liabilities total - 24,718 - 24,718 Total Liabilities $ - $ 24,718 $ - $ 24,718
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): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Balance at beginning of period $ 264,906 $ 263,578 $ 279,739 $ 218,727 Purchases and sales: Purchases - 13,265 5 30,497 Other changes (A) (10 ) (116 ) (170 ) (378 ) Purchases and sales: (10 ) 13,149 (165 ) 30,119 Changes in Fair Value due to: Changes in valuation inputs or assumptions used in valuation model 6,060 7,789 552 50,935 Other changes in fair value (B) (4,482 ) (5,496 ) (13,652 ) (20,761 ) Unrealized gain (loss) included in Net Income 1,578 2,293 (13,100 ) 30,174 Balance at end of period $ 266,474 $ 279,020 $ 266,474 $ 279,020 (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, 2023 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 266,474 Discounted cash flow Constant prepayment speed 3.7% - 15.5 % 6.7 % Uncollected payments 0.6% - 4.2 % 0.8 % Discount rate 10.4 % Annual cost to service, per loan $ 87 TOTAL $ 266,474 As of December 31, 2022 Fair Value Valuation Technique Unobservable Input (A) Range Weighted Average (B) MSRs $ 279,739 Discounted cash flow Constant prepayment speed 4.3% -18.2 % 7.4 % Uncollected payments 0.5% - 3.2 % 0.7 % Discount rate 9.5 % Annual cost to service, per loan $ 81 TOTAL $ 279,739 (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, 2023
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, 2023 Repurchase Agreements Weighted Average Rate Less than one month $ 814,571 5.47 % One to three months 152,718 5.51 % Total/Weighted Average $ 967,289 5.48 % As of December 31, 2022 Repurchase Weighted Average Rate Less than one month $ 715,899 4.39 % One to three months 110,063 4.53 % Total/Weighted Average $ 825,962 4.41 %

Notes Payable (Tables)

Notes Payable (Tables)	9 Months Ended
	Sep. 30, 2023
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, 2023 2023 2024 2025 2026 2027 2028 Total Freddie Mac MSR Revolver Borrowings under Freddie Mac MSR Revolver $ - $ 64,500 $ - $ - $ - $ - $ 64,500 Fannie Mae MSR Revolving Facility Borrowings under Fannie Mae MSR Revolving Facility - - 1,173 7,380 8,008 91,439 108,000 Total $ - $ 64,500 $ 1,173 $ 7,380 $ 8,008 $ 91,439 $ 172,500 As of December 31, 2022 2023 2024 2025 2026 2027 2028 Total Freddie Mac MSR Revolver Borrowings under Freddie Mac MSR Revolver $ 68,500 $ - $ - $ - $ - $ $ 68,500 Fannie Mae MSR Revolving Facility Borrowings under Fannie Mae MSR Revolving Facility 627 7,868 8,538 98,967 - 116,000 Total $ 69,127 $ 7,868 $ 8,538 $ 98,967 $ - $ - $ 184,500

Receivables and Other Assets (T

Receivables and Other Assets (Tables)	9 Months Ended
	Sep. 30, 2023
Receivables and Other Assets [Abstract]
Receivables and Other Assets	The assets comprising “Receivables and other assets” as of September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands): Receivables and Other Assets September 30, 2023 December 31, 2022 Servicing advances $ 8,823 $ 15,090 Interest receivable 6,097 4,381 Deferred tax asset 14,301 15,545 Other receivables 3,278 1,749 Total other assets $ 32,499 $ 36,765

Accrued Expenses and Other Li_2

Accrued Expenses and Other Liabilities (Tables)	9 Months Ended
	Sep. 30, 2023
Accrued Expenses and Other Liabilities [Abstract]
Accrued Expenses and Other Liabilities	The liabilities comprising “Accrued expenses and other liabilities” as of September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands): Accrued Expenses and Other Liabilities September 30, 2023 December 31, 2022 Accrued interest on repurchase agreements $ 2,684 $ 2,796 Accrued interest on notes payable 2,021 1,710 Accrued expenses 1,372 3,804 Due to counterparties (A) 12,318 11,197 Total accrued expenses and other liabilities $ 18,395 $ 19,507 (A) Includes collateral for the Company’s borrowings that represents a payable to the counterparties as of the balance sheet date

Income Taxes (Tables)

Income Taxes (Tables)	9 Months Ended
	Sep. 30, 2023
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): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Deferred federal income tax expense $ 1,108 $ 1,143 $ 1,080 $ 5,647 Deferred state income tax expense 168 201 164 995 Provision for Corporate Business Taxes $ 1,276 $ 1,344 $ 1,244 $ 6,642
Reconciliation of Statutory Federal Rate to Effective Rate	The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 C omputed income tax expense (benefit) at federal rate $ 3,605 21.0 % $ 9,035 21.0 % $ (118 ) 21 % $ 12,933 21.0 % S tate tax expense, net of federal tax, if applicable 133 0.8 % 160 0.4 % 130 (22.9 )% 787 1.3 % Provision to return adjustment (7 ) 0.0 % (8 ) 0.0 % (7 ) 1.2 % (8 ) 0.0 % R EIT income not subject to tax expense (benefit) (2,455 ) (14.3 )% (7,843 ) (18.2 )% 1,239 (218.5 )% (7,070 ) (11.5 )% P rovision for Corporate Business Taxes/Effective Tax Ra (A) $ 1,276 7.5 % $ 1,344 3.2 % $ 1,244 (219.2 )% $ 6,642 10.8 % (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, 2023 December 31, 2022 Income taxes recoverable Federal income taxes recoverable $ 128 $ 128 Income taxes recoverable $ 128 $ 128 Deferred tax assets Deferred tax - mortgage servicing rights $ (2,123 ) $ 1,082 Deferred tax - net operating loss 16,424 13,844 Deferred tax - other - 619 Total net deferred tax assets $ 14,301 $ 15,545

Organization and Operations (De

Organization and Operations (Details) - $ / shares	Sep. 30, 2023	Dec. 31, 2022
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
Operating Partnership [Member]
Class of Stock Disclosures [Abstract]
Ownership percentage	98.10%
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 ($) $ in Thousands		3 Months Ended		9 Months Ended		12 Months Ended
		Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Investments in RMBS [Abstract]
Sale of RMBS, settled after period end				$ (5,485)	$ (63,582)	$ 49,800
Purchase of RMBS, settled after period end				0	26,565	78,900
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash		$ 25,697		25,697		8,234
Variation margin		103,000		103,000		99,000
Realized gain (loss) on RMBS, net [Abstract]
Gain on RMBS, available-for-sale, measured at fair value through OCI	[1]	0	$ 0	0	50
Loss on RMBS, available-for-sale, measured at fair value through OCI	[1]	(10,209)	(9,735)	(21,464)	(69,043)
Realized loss on RMBS, net		(10,209)	$ (9,735)	(21,464)	$ (68,993)
MSRs [Member]
Investments in MSRs [Abstract]
Reserve for unrecoverable advances		0		0		0
Derivatives [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash		2,600		2,600		4,200
Repurchase Agreements [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash		23,100		23,100		4,100
Receivables and Other Assets [Member] | RMBS [Member]
Investments in RMBS [Abstract]
Interest receivable		$ 4,200		$ 4,200		$ 3,300
[1]Recognized in earnings.

Segment Reporting (Details)

Segment Reporting (Details) - USD ($) $ in Thousands		3 Months Ended						9 Months Ended
		Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Segment Reporting Profit (Loss) and Other Information [Abstract]
Interest income		$ 12,864			$ 8,213			$ 37,193	$ 19,736
Interest expense		13,337			4,882			38,460	9,024
Net interest income (expense)		(473)			3,331			(1,267)	10,712
Servicing fee income		13,225			13,426			40,535	39,730
Servicing costs		2,869			2,725			8,098	8,533
Net servicing income		10,356			10,701			32,437	31,197
Other income (expense)		10,644			32,089			(21,479)	29,425
Other operating expenses		(3,366)			(3,100)			(10,258)	(9,750)
Provision for corporate business taxes	[1]	(1,276)			(1,344)			(1,244)	(6,642)
Net Income (Loss)		15,885	$ 1,626	$ (19,322)	41,677	$ (15,464)	$ 28,729	(1,811)	54,942
Investments		1,283,275						1,283,275		$ 1,211,170
Other assets		144,245						144,245		197,655
Total Assets		1,427,520						1,427,520		1,408,825
Debt		1,139,297						1,139,297		1,009,850
Other liabilities		30,667						30,667		133,459
Total Liabilities		1,169,964						1,169,964		1,143,309
Net Assets		257,556						257,556		265,516
Servicing Related Assets [Member] | Operating Segments [Member]
Segment Reporting Profit (Loss) and Other Information [Abstract]
Interest income		0			0			0	0
Interest expense		(89)			635			1,143	3,019
Net interest income (expense)		89			(635)			(1,143)	(3,019)
Servicing fee income		13,225			13,426			40,535	39,730
Servicing costs		2,869			2,725			8,098	8,533
Net servicing income		10,356			10,701			32,437	31,197
Other income (expense)		282			(12,087)			(17,935)	(20,983)
Other operating expenses		(561)			(537)			(1,694)	(1,569)
Provision for corporate business taxes		(1,276)			(1,344)			(1,244)	(6,642)
Net Income (Loss)		8,890			(3,902)			10,421	(1,016)
Investments		266,474						266,474		279,739
Other assets		28,226						28,226		32,849
Total Assets		294,700						294,700		312,588
Debt		172,008						172,008		183,888
Other liabilities		6,316						6,316		29,047
Total Liabilities		178,324						178,324		212,935
Net Assets		116,376						116,376		99,653
RMBS [Member] | Operating Segments [Member]
Segment Reporting Profit (Loss) and Other Information [Abstract]
Interest income		12,864			8,213			37,193	19,736
Interest expense		13,426			4,247			37,317	6,005
Net interest income (expense)		(562)			3,966			(124)	13,731
Servicing fee income		0			0			0	0
Servicing costs		0			0			0	0
Net servicing income		0			0			0	0
Other income (expense)		10,362			44,176			(3,544)	50,408
Other operating expenses		(174)			(163)			(506)	(542)
Provision for corporate business taxes		0			0			0	0
Net Income (Loss)		9,626			47,979			(4,174)	63,597
Investments		1,016,801						1,016,801		931,431
Other assets		71,210						71,210		106,885
Total Assets		1,088,011						1,088,011		1,038,316
Debt		967,289						967,289		825,962
Other liabilities		15,002						15,002		92,875
Total Liabilities		982,291						982,291		918,837
Net Assets		105,720						105,720		119,479
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 (expense)		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		(2,631)			(2,400)			(8,058)	(7,639)
Provision for corporate business taxes		0			0			0	0
Net Income (Loss)		(2,631)			$ (2,400)			(8,058)	$ (7,639)
Investments		0						0		0
Other assets		44,809						44,809		57,921
Total Assets		44,809						44,809		57,921
Debt		0						0		0
Other liabilities		9,349						9,349		11,537
Total Liabilities		9,349						9,349		11,537
Net Assets		$ 35,460						$ 35,460		$ 46,384
[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, 2023 USD ($) Security	Dec. 31, 2022 USD ($) Security
Residential Mortgage-Backed Securities [Abstract]
Carrying value		$ 1,016,801	$ 931,431
RMBS [Member]
Residential Mortgage-Backed Securities [Abstract]
Original face value		1,158,049	1,051,613
Book value		1,075,321	960,418
Gross unrealized gains		0	4,227
Gross unrealized losses		(58,520)	(33,214)
Carrying value	[1]	$ 1,016,801	$ 931,431
Number of securities | Security		88	83
Weighted average coupon		4.57%	4.23%
Weighted average yield	[2]	4.66%	4.29%
Weighted average maturity		28 years	29 years
Fannie Mae [Member] | Fair Value through OCI [Member]
Residential Mortgage-Backed Securities [Abstract]
Original face value		$ 281,276	$ 550,740
Book value		256,230	497,038
Gross unrealized gains		0	2,843
Gross unrealized losses		(13,042)	(16,484)
Carrying value	[1],[3]	$ 243,188	$ 483,397
Number of securities | Security		20	45
Weighted average coupon		4.54%	4.27%
Weighted average yield	[2]	4.66%	4.34%
Weighted average maturity		28 years	29 years
Fannie Mae [Member] | Fair Value through Earnings [Member]
Residential Mortgage-Backed Securities [Abstract]
Original face value		$ 205,048
Book value		195,620
Gross unrealized gains		0
Gross unrealized losses		(10,631)
Carrying value	[1],[3]	$ 184,989
Number of securities | Security		17
Weighted average coupon		4.67%
Weighted average yield	[2]	4.75%
Weighted average maturity		29 years
Freddie Mac [Member] | Fair Value through OCI [Member]
Residential Mortgage-Backed Securities [Abstract]
Original face value		$ 309,912	$ 500,873
Book value		281,774	463,380
Gross unrealized gains		0	1,384
Gross unrealized losses		(18,912)	(16,730)
Carrying value	[1],[3]	$ 262,862	$ 448,034
Number of securities | Security		23	38
Weighted average coupon		4.40%	4.18%
Weighted average yield	[2]	4.47%	4.24%
Weighted average maturity		28 years	29 years
Freddie Mac [Member] | Fair Value through Earnings [Member]
Residential Mortgage-Backed Securities [Abstract]
Original face value		$ 361,813
Book value		341,697
Gross unrealized gains		0
Gross unrealized losses		(15,935)
Carrying value	[1],[3]	$ 325,762
Number of securities | Security		28
Weighted average coupon		4.66%
Weighted average yield	[2]	4.77%
Weighted average maturity		29 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.

Investments in RMBS, Assets by

Investments in RMBS, Assets by Maturity (Details) $ in Thousands		9 Months Ended	12 Months Ended
		Sep. 30, 2023 USD ($) Security	Dec. 31, 2022 USD ($) Security
RMBS, Assets by Maturity [Abstract]
Carrying value		$ 1,016,801	$ 931,431
Carrying value of collateral for repurchase agreements		978,955	815,171
RMBS [Member]
RMBS, Assets by Maturity [Abstract]
Original face value		1,158,049	1,051,613
Book value		1,075,321	960,418
Gross unrealized gains		0	4,227
Gross unrealized losses		(58,520)	(33,214)
Carrying value	[1]	$ 1,016,801	$ 931,431
Number of securities | Security		88	83
Weighted average coupon		4.57%	4.23%
Weighted average yield	[2]	4.66%	4.29%
Weighted average maturity		28 years	29 years
Carrying value of collateral for repurchase agreements		$ 979,000	$ 815,200
RMBS [Member] | Fair Value through OCI [Member] | Over 10 Years [Member]
RMBS, Assets by Maturity [Abstract]
Original face value		591,188	1,051,613
Book value		538,004	960,418
Gross unrealized gains		0	4,227
Gross unrealized losses		(31,954)	(33,214)
Carrying value	[1],[3]	$ 506,050	$ 931,431
Number of securities | Security		43	83
Weighted average coupon		4.47%	4.23%
Weighted average yield	[2]	4.56%	4.29%
Weighted average maturity		28 years	29 years
RMBS [Member] | Fair Value through Earnings [Member] | Over 10 Years [Member]
RMBS, Assets by Maturity [Abstract]
Original face value		$ 566,861
Book value		537,317
Gross unrealized gains		0
Gross unrealized losses		(26,566)
Carrying value	[1],[3]	$ 510,751
Number of securities | Security		45
Weighted average coupon		4.66%
Weighted average yield	[2]	4.76%
Weighted average maturity		29 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.

Investments in RMBS, Unrealized

Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands		9 Months Ended	12 Months Ended
		Sep. 30, 2023 USD ($) Security	Dec. 31, 2022 USD ($) Security
RMBS, Unrealized Loss Positions [Abstract]
Carrying value		$ 1,016,801	$ 931,431
RMBS [Member]
RMBS, Unrealized Loss Positions [Abstract]
Original face value		1,158,049	1,051,613
Book value		1,075,321	960,418
Gross unrealized losses		(58,520)	(33,214)
Carrying value	[1]	$ 1,016,801	$ 931,431
Number of securities | Security		88	83
Weighted average coupon		4.57%	4.23%
Weighted average yield	[2]	4.66%	4.29%
Weighted average maturity		28 years	29 years
RMBS [Member] | Unrealized Loss Positions [Member]
RMBS, Unrealized Loss Positions [Abstract]
Original face value		$ 591,188	$ 848,768
Book value		538,004	767,412
Gross unrealized losses		(31,954)	(33,214)
Carrying value	[1]	$ 506,050	$ 734,198
Number of securities | Security		43	67
Weighted average coupon		4.47%	4.06%
Weighted average yield	[2]	4.56%	4.10%
Weighted average maturity		28 years	29 years
RMBS [Member] | Less than Twelve Months [Member] | Unrealized Loss Positions [Member]
RMBS, Unrealized Loss Positions [Abstract]
Original face value		$ 383,901	$ 848,768
Book value		348,444	767,412
Gross unrealized losses		(14,289)	(33,214)
Carrying value	[1],[3]	$ 334,155	$ 734,198
Number of securities | Security		28	67
Weighted average coupon		4.66%	4.06%
Weighted average yield	[2]	4.80%	4.10%
Weighted average maturity		28 years	29 years
RMBS [Member] | Twelve or More Months [Member] | Unrealized Loss Positions [Member]
RMBS, Unrealized Loss Positions [Abstract]
Original face value		$ 207,287
Book value		189,560
Gross unrealized losses		(17,665)
Carrying value	[1],[3]	$ 171,895
Number of securities | Security		15
Weighted average coupon		4.10%
Weighted average yield	[2]	4.13%
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.

Investments in Servicing Rela_3

Investments in Servicing Related Assets, Portfolio of Servicing Related Assets (Details) $ in Billions	Sep. 30, 2023 USD ($)
Mortgage Loans on Real Estate [Abstract]
Investment, Type [Extensible Enumeration]	Mortgage Service Right [Member]
Aurora Financial Group, Inc. [Member]
Mortgage Loans on Real Estate [Abstract]
Aggregate unpaid principal balance	$ 20.3

Investments in Servicing Rela_4

Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands		9 Months Ended	12 Months Ended
		Sep. 30, 2023	Dec. 31, 2022
Servicing Asset [Abstract]
Unpaid principal balance		$ 20,340,103	$ 21,688,353
Carrying value	[1]	$ 266,474	$ 279,739
Weighted average coupon		3.49%	3.49%
Weighted average maturity	[2]	25 years 2 months 12 days	25 years 9 months 18 days
Year to date changes in fair value recorded in other income (loss)		$ (13,100)	$ 22,976
Mortgage Servicing Rights (MSRs) [Member]
Servicing Asset [Abstract]
Unpaid principal balance		20,340,103	21,688,353
Carrying value	[1]	$ 266,474	$ 279,739
Weighted average coupon		3.49%	3.49%
Weighted average maturity	[2]	25 years 2 months 12 days	25 years 9 months 18 days
Year to date changes in fair value recorded in other income (loss)		$ (13,100)	$ 22,976
[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, 2023	Dec. 31, 2022
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	100%	100%
California [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	13.70%	13.50%
Virginia [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	8.30%	8.30%
New York [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	8.30%	8.20%
Maryland [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	6.40%	6.30%
Texas [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.90%	6%
Florida [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.40%	5.50%
North Carolina [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.10%	5.10%
All Other [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	46.90%	47.10%

Equity and Earnings per Commo_3

Equity and Earnings per Common Share, Common and Redeemable Preferred Stock (Details) - $ / shares	9 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Class of Stock Disclosures [Abstract]
Date of conducting IPO and concurrent private placement of common stock	Oct. 09, 2013
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
Cash redemption price (in dollars per share)	$ 25
Shares issued upon conversion, preferred stock (in shares)	2.62881
Percentage of cash dividends rate	8.20%
Liquidation preference per share (in dollars per share)	$ 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
Cash redemption price (in dollars per share)	$ 25
Shares issued upon conversion, preferred stock (in shares)	2.68962
Percentage of offering of fixed-to-floating rate cumulative redeemable stock	8.25%
Series B Preferred Stock [Member] | LIBOR [Member]
Class of Stock Disclosures [Abstract]
Shares issued upon conversion, preferred stock (in shares)	2.0625
Liquidation preference per share (in dollars per share)	$ 25
Percentage of offering of fixed-to-floating rate cumulative redeemable stock	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 ($)	1 Months Ended		3 Months Ended						9 Months Ended		12 Months Ended
	Nov. 30, 2022	Aug. 31, 2018	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Class of Stock Disclosures [Abstract]
Issuance of common stock, net of offering costs									$ 19,189,000	$ 18,682,000
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)			0	1,329,947	2,140,000	1,341,085	881,097	505,000
Share Repurchase Program [Abstract]
Share repurchase program, authorized amount			$ 10,000,000						$ 10,000,000
Number of shares repurchased (in shares)			0						0		0
Common Stock [Member] | Common Stock ATM Program [Member]
Class of Stock Disclosures [Abstract]
Common stock value authorized	$ 100,000,000	$ 50,000,000
Common stock value remaining									$ 16,800,000
Issuance of common stock (in shares)			0						3,428,112		5,212,841
Weighted average price (in dollars per share)									$ 5.68		$ 6.5
Issuance of common stock, net of offering costs									$ 19,500,000		$ 33,900,000
Stock issuance fee									$ 389,000		$ 677,000

Equity and Earnings per Commo_5

Equity and Earnings per Common Share, Equity Incentive Plan (Details)	3 Months Ended									9 Months Ended
	Sep. 30, 2023 USD ($) shares	Jun. 30, 2023 $ / shares shares		Mar. 31, 2023 $ / shares shares		Sep. 30, 2022 USD ($) shares	Jun. 30, 2022 $ / shares shares	Mar. 31, 2022 $ / shares shares		Sep. 30, 2023 USD ($) shares	Sep. 30, 2022 USD ($) shares
Equity Incentive Plan Information [Abstract]
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares)	2,788,165	823,264		915,464		915,464	943,989	1,012,239		915,464	1,012,239
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Number of Securities Forfeited (in shares)							4,916
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, During the Period (in shares)	0	(41,835)		(92,200)		0	(33,441)	(68,250)
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Increase in Securities Available for issuance (in shares)		2,006,736
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares)	2,788,165	2,788,165		823,264		915,464	915,464	943,989		2,788,165	915,464
Weighted Average Issuance Price (in dollars per share) | $ / shares		$ 5.02		$ 6.06			$ 6.28	$ 8.4
LTIP-OP Units [Member]
Equity Incentive Plan Information [Abstract]
LTIP-OP unit vesting period										3 years
LTIP-OP Units, Beginning Balance (in shares)	(552,097)	(552,097)		(459,897)		(459,897)	(459,897)	(391,647)		(459,897)	(391,647)
LTIP-OP Units, number of securities issued or to be issued upon exercise (in shares)	0	0		(92,200)	[1]	0	0	(68,250)	[2]
LTIP-OP Units, Ending Balance (in shares)	(552,097)	(552,097)		(552,097)		(459,897)	(459,897)	(459,897)		(552,097)	(459,897)
LTIP-OP Units Forfeited, Beginning Balance (in shares)	5,832	5,832		5,832		5,832	916	916		5,832	916
LTIP-OP Units Forfeited, Number of securities forfeited (in shares)							4,916
LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares)	0	0		0		0	0	0
LTIP-OP Units Forfeited, Ending Balance (in shares)	5,832	5,832		5,832		5,832	5,832	916		5,832	5,832
LTIP-OP Units Converted, Beginning Balance (in shares)	44,795	44,795		44,795		44,795	44,795	44,795		44,795	44,795
LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares)	0	0		0		0	0	0
LTIP-OP Units Converted, Ending Balance (in shares)	44,795	44,795		44,795		44,795	44,795	44,795		44,795	44,795
LTIP-OP Units Redeemed, Beginning Balance (in shares)	9,054	9,054		9,054		9,054	9,054	9,054		9,054	9,054
LTIP-OP Units Redeemed, number of securities issued or to be issued upon exercise (in shares)	0	0					0	0
LTIP-OP Units Redeemed, Ending Balance (in shares)	9,054	9,054		9,054		9,054	9,054	9,054		9,054	9,054
Share-based compensation expense recognized | $	$ 169,059					$ 162,000				$ 507,177	$ 544,000
Unrecognized share-based compensation expense | $	$ 809,653									$ 809,653
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)	(220,256)	(178,421)		(178,421)		(178,421)	(144,980)	(144,980)		(178,421)	(144,980)
Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares)	0	(41,835)	[3]	0		0	(33,441)	0
Shares of Common Stock Issued, Ending Balance (in shares)	(220,256)	(220,256)		(178,421)		(178,421)	(178,421)	(144,980)		(220,256)	(178,421)
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, number of securities issued or to be issued upon exercise (in shares)	0	0		0		0	0	0
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
2023 Plan [Member]
Equity Incentive Plan Information [Abstract]
Maximum aggregate number of common shares issuable (in shares)	2,830,000									2,830,000
Ratio of common stock issuable against LTIP-OP units										1
[1]Subject to forfeiture in certain circumstances prior to January 10, 2026.[2]Subject to forfeiture in certain circumstances prior to January 3, 2025.[3]Subject to forfeiture in certain circumstances prior to June 29, 2024.

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, 2023 shares
Noncontrolling Interest in Operating Partnership [Abstract]
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares)	489,039
Percentage of operating partnership	1.90%

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, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Numerator [Abstract]
Net income (loss)	$ 15,885	$ 1,626	$ (19,322)	$ 41,677	$ (15,464)	$ 28,729	$ (1,811)	$ 54,942
Net (income) loss allocated to noncontrolling interests in Operating Partnership	(306)			(866)			34	(1,152)
Dividends on preferred stock	2,462			2,462			7,390	7,390
Net Income (Loss) Applicable to Common Stockholders	$ 13,117			$ 38,349			$ (9,167)	$ 46,400
Denominator [Abstract]
Weighted average common shares outstanding (in shares)	26,936,242			20,123,165			25,879,626	19,134,545
Weighted average diluted shares outstanding (in shares)	26,978,077			20,156,606			25,907,638	19,159,846
Basic and Diluted EPS [Abstract]
Basic (in dollars per share)	$ 0.49			$ 1.91			$ (0.35)	$ 2.42
Diluted (in dollars per share)	$ 0.49			$ 1.9			$ (0.35)	$ 2.42
Anti-dilutive securities (in shares)	0			0			0	0

Transactions with Related Par_3

Transactions with Related Parties (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2023 USD ($) Employee	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($)
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
Management Fees and Compensation Reimbursement to Manager [Abstract]
Management fees	$ 1,590,000	$ 1,485,000	$ 4,684,000	$ 4,662,000
Compensation reimbursement	150,000	140,000	430,000	370,000
Total	1,740,000	1,625,000	5,114,000	5,032,000
Subservicing Agreements [Abstract]
Servicing fee income	13,225,000	13,426,000	40,535,000	39,730,000
Servicing costs	2,869,000	2,725,000	8,098,000	8,533,000
Agreement purchase price			$ (165,000)	30,119,000
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]
Subservicing Agreements [Abstract]
Subservicing agreement term			2 years
Subservicing agreement renewal term			2 years
Subservicing agreement additional renewal term			2 years
Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member]
Subservicing Agreements [Abstract]
Servicing fee income	7,800,000	8,400,000	$ 23,900,000	25,300,000
Servicing costs	1,400,000	1,400,000	3,800,000	4,400,000
Servicing receivables	754,000		754,000		$ 687,000
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc. [Member] | RoundPoint Mortgage Servicing Corporation [Member] | Flow Agreement [Member]
Subservicing Agreements [Abstract]
Aggregate unpaid principal balance	$ 0	242,800,000	987,000	441,500,000
Agreement purchase price		$ 2,400,000	$ 5,000	$ 4,600,000
Freedom Mortgage Excess Service Right [Member]
Other Transactions with Related Parties [Abstract]
Number of employees leases from mortgage | Employee			3

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, 2023	Dec. 31, 2022
Notional Amount of Interest Rate Swaps [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 1,132,000	$ 1,305,000
Fair value	$ 16,456	$ 15,748
Weighted average pay rate	1.67%	1.53%
Weighted average receive rate	5.23%	3.96%
Weighted average years to maturity	3 years 7 months 6 days	5 years 1 month 6 days
Weighted average maturity	Dec. 31, 2027	Dec. 31, 2028
Notional Amount of TBAs, Net [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 486,400	$ 306,100
Fair value	(434,048)	(285,593)
Notional Amount of U.S. Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Fair value	3,510	618
Notional Amount of Options on Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	0
Fair value		234
Not Designated as Hedging Instrument [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	791,400	930,200
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	1,132,000	1,305,000
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	486,400	306,100
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	145,800	88,700
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 0	$ 20,000

Derivative Instruments, Informa

Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
TBA Derivatives [Abstract]
Notional	$ 486,400	$ 306,100
Implied Cost Basis	(445,697)	(289,809)
Implied Fair Value	(434,048)	(285,593)
Net Carrying Value	11,650	4,215
Purchase Contracts [Member]
TBA Derivatives [Abstract]
Notional	342,800	518,300
Implied Cost Basis	327,160	506,245
Implied Fair Value	324,607	501,682
Net Carrying Value	(2,552)	(4,563)
Sale Contracts [Member]
TBA Derivatives [Abstract]
Notional	829,200	824,400
Implied Cost Basis	(772,857)	(796,054)
Implied Fair Value	(758,655)	(787,275)
Net Carrying Value	$ 14,202	$ 8,778

Derivative Instruments, Infor_2

Derivative Instruments, Information of Treasury Futures Agreements (Details) - USD ($) $ in Thousands	3 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
U.S. Treasury Futures [Member]
Treasury Futures Agreements [Abstract]
Fair Value	$ 3,510	$ 618
U.S. Treasury Futures [Member] | 2 years [Member]
Treasury Futures Agreements [Abstract]
Fair Value	(369)
U.S. Treasury Futures [Member] | 5 years [Member]
Treasury Futures Agreements [Abstract]
Fair Value	(1,180)
U.S. Treasury Futures [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Fair Value	5,059	618	[1]
U.S. Treasury Futures Options [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	$ 0
Fair Value		234
U.S. Treasury Futures Options [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Fair Value		234
Ultra Futures Contracts [Member]
Treasury Futures Agreements [Abstract]
Future agreement period	10 years
Long Positions [Member] | U.S. Treasury Futures [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	$ 272,500	0
Long Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	144,400
Long Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	128,100
Long Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	0	0	[1]
Long Positions [Member] | U.S. Treasury Futures Options [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount		70,000
Long Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount		70,000
Short Positions [Member] | U.S. Treasury Futures [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	126,700	88,700
Short Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	0
Short Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	0
Short Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	$ 126,700	88,700	[1]
Short Positions [Member] | U.S. Treasury Futures Options [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount		50,000
Short Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount		$ 50,000
[1] Includes 10-year Ultra futures and Long Bond futures contracts.

Derivative Instruments, Realize

Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		$ 20,675	$ 6,210	$ 26,715	$ (7,158)
Interest Rate Swaps [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Periodic interest income		9,200	3,200	26,000	5,500
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		11,459	2,963	714	(12,679)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Interest Rate Swaps [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net	[1]	496	1,319	(4,671)	(4,793)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Swaptions [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		0	0	0	(585)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | TBAs [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		14,150	1,002	17,516	(26,164)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | U.S. Treasury Futures [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		(3,137)	439	(11,794)	18,910
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | U.S. Treasury Futures Options [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized gain (loss) on derivatives, net		$ (50)	$ 203	$ (337)	$ (47)
[1]Excludes interest rate swap periodic interest income of $9.2 million and $3.2 million, for the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $26.0 million and $5.5 million, for the nine-month periods ended September 30, 2023 and September 30, 2022, respectively.

Derivative Instruments, Offsett

Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets		$ 40,250	$ 50,104
Gross amounts offset in the consolidated balance sheet		(4,419)	(4,571)
Net amounts of assets presented in the consolidated balance sheet		35,831	45,533
Gross amounts not offset in the consolidated balance sheet in financial instruments		(45,503)	(41,669)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	9,672	(3,864)
Net amount		0	0
Interest Rate Swaps [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets		20,671	40,466
Gross amounts offset in the consolidated balance sheet		0	0
Net amounts of assets presented in the consolidated balance sheet		20,671	40,466
Gross amounts not offset in the consolidated balance sheet in financial instruments		(20,671)	(40,466)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	0	0
Net amount		0	0
Interest Rate Swaptions [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets			0
Gross amounts offset in the consolidated balance sheet			0
Net amounts of assets presented in the consolidated balance sheet			0
Gross amounts not offset in the consolidated balance sheet in financial instruments			0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]		0
Net amount			0
TBAs [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets		14,520	8,786
Gross amounts offset in the consolidated balance sheet		(2,870)	(4,571)
Net amounts of assets presented in the consolidated balance sheet		11,650	4,215
Gross amounts not offset in the consolidated balance sheet in financial instruments		(23,968)	(4,215)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	12,318	0
Net amount		0	0
U.S. Treasury Futures [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets		5,059	618
Gross amounts offset in the consolidated balance sheet		(1,549)	0
Net amounts of assets presented in the consolidated balance sheet		3,510	618
Gross amounts not offset in the consolidated balance sheet in financial instruments		(864)	(618)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)		$ (2,646)	0	[1]
Net amount			0
U.S. Treasury Futures Options [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets			234
Gross amounts offset in the consolidated balance sheet			0
Net amounts of assets presented in the consolidated balance sheet			234
Gross amounts not offset in the consolidated balance sheet in financial instruments			3,630
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]		(3,864)
Net amount			$ 0
[1]Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Derivative Instruments, Offse_2

Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities		$ 975,923	$ 855,251
Gross amounts offset in the consolidated balance sheet		(4,419)	(4,571)
Net amounts of liabilities presented in the consolidated balance sheet		971,504	850,680
Gross amounts not offset in the consolidated balance sheet in financial instruments		(948,452)	(857,507)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	(23,052)	6,827
Net amount		0	0
Repurchase Agreements [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities		967,289	825,962
Gross amounts offset in the consolidated balance sheet		0	0
Net amounts of liabilities presented in the consolidated balance sheet		967,289	825,962
Gross amounts not offset in the consolidated balance sheet in financial instruments		(944,237)	(830,022)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	(23,052)	4,060
Net amount		0	0
Interest Rate Swaps [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities		4,215	24,718
Gross amounts offset in the consolidated balance sheet		0	0
Net amounts of liabilities presented in the consolidated balance sheet		4,215	24,718
Gross amounts not offset in the consolidated balance sheet in financial instruments		(4,215)	(24,718)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	0	0
Net amount		0	0
TBAs [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities		2,870	4,571
Gross amounts offset in the consolidated balance sheet		(2,870)	(4,571)
Net amounts of liabilities presented in the consolidated balance sheet		0	0
Gross amounts not offset in the consolidated balance sheet in financial instruments		0	(2,767)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	0	2,767
Net amount		0	$ 0
U.S. Treasury Futures [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities		1,549
Gross amounts offset in the consolidated balance sheet		(1,549)
Net amounts of liabilities presented in the consolidated balance sheet		0
Gross amounts not offset in the consolidated balance sheet in financial instruments		0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	[1]	0
Net amount		$ 0
[1]Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

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, 2023	Jun. 30, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021
Assets [Abstract]
Derivative assets total		$ 35,831		$ 45,533
Servicing related assets	[1]	266,474		279,739
Liabilities [Abstract]
Derivative liabilities total		4,215		24,718
Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total		20,671		40,466
TBAs [Member]
Assets [Abstract]
Derivative assets total		11,650		4,215
U.S. Treasury Futures [Member]
Assets [Abstract]
Derivative assets total		3,510		618
U.S. Treasury Futures Options [Member]
Assets [Abstract]
Derivative assets total				234
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		35,831		45,533
Servicing related assets		0		0
Total Assets		1,052,632		976,964
Liabilities [Abstract]
Derivative liabilities total		4,215		24,718
Total Liabilities		4,215		24,718
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Assets [Abstract]
Derivative assets total		0		0
Servicing related assets		266,474	$ 264,906	279,739	$ 279,020	$ 263,578	$ 218,727
Total Assets		266,474		279,739
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		20,671		40,466
Liabilities [Abstract]
Derivative liabilities total		4,215		24,718
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] | TBAs [Member] | Level 1 [Member]
Assets [Abstract]
Derivative assets total		0		0
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 2 [Member]
Assets [Abstract]
Derivative assets total		11,650		4,215
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 3 [Member]
Assets [Abstract]
Derivative assets total		0		0
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 1 [Member]
Assets [Abstract]
Derivative assets total		0		0
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 2 [Member]
Assets [Abstract]
Derivative assets total		3,510		618
Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures [Member] | Level 3 [Member]
Assets [Abstract]
Derivative assets total		0		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				234
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		35,831		45,533
Servicing related assets		266,474		279,739
Total Assets		1,319,106		1,256,703
Liabilities [Abstract]
Derivative liabilities total		4,215		24,718
Total Liabilities		4,215		24,718
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total		20,671		40,466
Liabilities [Abstract]
Derivative liabilities total		4,215		24,718
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member]
Assets [Abstract]
Derivative assets total		11,650		4,215
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures [Member]
Assets [Abstract]
Derivative assets total		$ 3,510		618
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures Options [Member]
Assets [Abstract]
Derivative assets total				$ 234
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%		100%
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		1,016,801		931,431
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Assets [Abstract]
RMBS total		0		0
RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]
Assets [Abstract]
RMBS total		1,016,801		931,431
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member]
Assets [Abstract]
RMBS total		0		0
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member]
Assets [Abstract]
RMBS total		428,177		483,397
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Assets [Abstract]
RMBS total		0		0
Fannie Mae [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]
Assets [Abstract]
RMBS total		428,177		483,397
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member]
Assets [Abstract]
RMBS total		0		0
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member]
Assets [Abstract]
RMBS total		588,624		448,034
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Assets [Abstract]
RMBS total		0		0
Freddie Mac [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]
Assets [Abstract]
RMBS total		$ 588,624		$ 448,034
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%		100%
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%		100%
[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 and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Servicing Related Assets [Abstract]
Beginning balance	[1]			$ 279,739
Changes in Fair Value due to [Abstract]
Ending balance	[1]	$ 266,474		266,474
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]
Servicing Related Assets [Abstract]
Beginning balance		264,906	$ 263,578	279,739	$ 218,727
Purchases and sales [Abstract]
Purchases		0	13,265	5	30,497
Other changes	[2]	(10)	(116)	(170)	(378)
Purchases and sales		(10)	13,149	(165)	30,119
Changes in Fair Value due to [Abstract]
Changes in valuation inputs or assumptions used in valuation model		6,060	7,789	552	50,935
Other changes in fair value	[3]	(4,482)	(5,496)	(13,652)	(20,761)
Unrealized gain (loss) included in Net Income		1,578	2,293	(13,100)	30,174
Ending balance		$ 266,474	$ 279,020	$ 266,474	$ 279,020
[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, 2023	Dec. 31, 2022
Valuation Technique and Input, Description [Abstract]
Fair Value		$ 266,474	$ 279,739
MSRs [Member]
Valuation Technique and Input, Description [Abstract]
Fair Value		266,474	279,739
Annual cost to service, per loan	[1]	$ 87	$ 81
MSRs [Member] | Minimum [Member]
Valuation Technique and Input, Description [Abstract]
Constant prepayment speed	[2]	3.70%	4.30%
Uncollected Payments	[2]	0.60%	0.50%
MSRs [Member] | Maximum [Member]
Valuation Technique and Input, Description [Abstract]
Constant prepayment speed	[2]	15.50%	18.20%
Uncollected Payments	[2]	4.20%	3.20%
MSRs [Member] | Weighted Average [Member]
Valuation Technique and Input, Description [Abstract]
Constant prepayment speed	[1]	6.70%	7.40%
Uncollected Payments	[1]	0.80%	0.70%
Discount rate	[1]	10.40%	9.50%
[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)	9 Months Ended
	Sep. 30, 2023
Commitments and Contingencies [Abstract]
Percentage of annual management fee paid equal to gross equity	1.50%

Repurchase Agreements (Details)

Repurchase Agreements (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) Security	Dec. 31, 2022 USD ($) Security
Repurchase Agreements [Abstract]
Weighted average of remaining maturities days	20 days	18 days
Repurchase Agreement Characteristics Remaining Maturities [Abstract]
Less than one month, repurchase agreements	$ 814,571	$ 715,899
One to three months, repurchase agreements	152,718	110,063
Total repurchase agreements	$ 967,289	$ 825,962
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract]
Less than one month, weighted average rate	5.47%	4.39%
One to three months, weighted average rate	5.51%	4.53%
Weighted average rate	5.48%	4.41%
Number of overnight or demand securities | Security	0	0

Notes Payable (Details)

Notes Payable (Details) $ in Thousands	1 Months Ended		3 Months Ended	9 Months Ended
	Oct. 31, 2023	Jul. 31, 2023	Sep. 30, 2023 USD ($) RenewalOption	Sep. 30, 2023 USD ($) Facility	Dec. 31, 2022 USD ($)	Oct. 31, 2019 USD ($)	Apr. 02, 2019 USD ($)	Sep. 30, 2018 USD ($)	Jul. 31, 2018 USD ($)	Sep. 30, 2016 USD ($)
Maturities of Notes Payable [Abstract]
2023			$ 0	$ 0	$ 69,127
2024			64,500	64,500	7,868
2025			1,173	1,173	8,538
2026			7,380	7,380	98,967
2027			8,008	8,008	0
2028			91,439	91,439	0
Notes payable			$ 172,500	$ 172,500	184,500
MSR Financing Facility [Member]
Debt Instruments [Abstract]
Number of separate MSR financing facilities | Facility				2
Fannie Mae MSR Financing Facility [Member] | Interest Rate Swaps [Member] | LIBOR [Member]
Debt Instruments [Abstract]
Debt instrument term of variable rate				1 year
Freddie Mac MSR Revolver [Member]
Debt Instruments [Abstract]
Maximum borrowing amount							$ 100,000	$ 45,000	$ 25,000	$ 100,000
Debt instrument term		364 days		364 days
Debt instrument, amortization period	24 months			24 months
Number of Borrowers option renewals | RenewalOption			2
Term out feature of credit facility				1 year
Additional borrowing capacity									$ 5,000
Number of borrowers option additional renewals | RenewalOption			1
Maturities of Notes Payable [Abstract]
2023			$ 0	$ 0	68,500
2024			64,500	64,500	0
2025			0	0	0
2026			0	0	0
2027			0	0	0
2028			0	0
Notes payable			$ 64,500	$ 64,500	68,500
Freddie Mac MSR Revolver [Member] | Federal Funds Rate [Member]
Debt Instruments [Abstract]
Interest rate			2.85%	2.85%
Fannie Mae MSR Revolving Facility [Member]
Debt Instruments [Abstract]
Maximum borrowing amount			$ 150,000	$ 150,000		$ 150,000
Debt instrument term				24 months
Term out feature of credit facility				3 years
Maturities of Notes Payable [Abstract]
2023			0	$ 0	627
2024			0	0	7,868
2025			1,173	1,173	8,538
2026			7,380	7,380	98,967
2027			8,008	8,008	0
2028			91,439	91,439
Notes payable			$ 108,000	$ 108,000	$ 116,000
Fannie Mae MSR Revolving Facility [Member] | SOFR Rate [Member]
Debt Instruments [Abstract]
Interest rate			2.75%	2.75%

Receivables and Other Assets (D

Receivables and Other Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Receivables and Other Assets [Abstract]
Servicing advances	$ 8,823	$ 15,090
Interest receivable	6,097	4,381
Deferred tax asset	14,301	15,545
Other receivables	3,278	1,749
Total other assets	$ 32,499	$ 36,765

Accrued Expenses and Other Li_3

Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Accrued Expenses and Other Liabilities [Abstract]
Accrued interest on repurchase agreements		$ 2,684	$ 2,796
Accrued interest on notes payable		2,021	1,710
Accrued expenses		1,372	3,804
Due to counterparties	[1]	12,318	11,197
Total accrued expenses and other liabilities		$ 18,395	$ 19,507
[1]Includes collateral for the Company’s borrowings that represents a payable to the counterparties as of the balance sheet date.

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Income Taxes [Abstract]
Percentage of taxable income that must be distributed to qualify as a REIT				90%
Components of Income Tax Expense (Benefit) [Abstract]
Deferred federal income tax expense		$ 1,108	$ 1,143	$ 1,080	$ 5,647
Deferred state income tax expense		168	201	164	995
Provision for Corporate Business Taxes	[1]	1,276	1,344	1,244	6,642
Effective Income Tax Rate Reconciliation, Amount [Abstract]
Computed income tax expense (benefit) at federal rate		3,605	9,035	(118)	12,933
State tax expense, net of federal tax, if applicable		133	160	130	787
Provision to return adjustment		(7)	(8)	(7)	(8)
REIT income not subject to tax expense (benefit)		(2,455)	(7,843)	1,239	(7,070)
Provision for Corporate Business Taxes	[1]	$ 1,276	$ 1,344	$ 1,244	$ 6,642
Effective Income Tax Rate Reconciliation, Percent [Abstract]
Computed income tax expense (benefit) at federal rate		21%	21%	21%	21%
State tax expense, net of federal tax, if applicable		0.80%	0.40%	(22.90%)	1.30%
Provision to return adjustment		0%	0%	1.20%	0%
REIT income not subject to tax expense (benefit)		(14.30%)	(18.20%)	(218.50%)	(11.50%)
Provision for (Benefit from) effective tax rate	[1]	7.50%	3.20%	(219.20%)	10.80%
Income taxes recoverable [Abstract]
Income taxes recoverable		$ 128		$ 128		$ 128
Deferred tax assets [Abstract]
Deferred tax - mortgage servicing rights		(2,123)		(2,123)		1,082
Deferred tax - net operating loss		16,424		16,424		13,844
Deferred tax - other		0		0		619
Total net deferred tax assets		14,301		14,301		$ 15,545
Net operating loss carryforwards		$ 70,000		$ 70,000
[1]The provision for income taxes is recorded at the TRS level.