Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
In Millions, except Share data, unless otherwise specified | Dec. 31, 2014 | Mar. 13, 2015 | Jun. 30, 2014 |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | FALSE | ||
Document Period End Date | 31-Dec-14 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus | FY | ||
Trading Symbol | CHMI | ||
Entity Registrant Name | Cherry Hill Mortgage Investment Corporation | ||
Entity Central Index Key | 1571776 | ||
Current Fiscal Year End Date | -19 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 7,509,543 | ||
Entity Public Float | $129.20 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets | ||
RMBS, available-for-sale | $416,003 | $286,979 |
Investments in Excess MSRs at fair value | 91,322 | 110,306 |
Cash and cash equivalents | 12,447 | 10,375 |
Restricted cash | 6,947 | 3,744 |
Derivative assets | 342 | 4,613 |
Receivables from unsettled trades | 309 | 7,239 |
Receivables and other assets | 4,556 | 4,142 |
Total Assets | 531,926 | 427,398 |
Liabilities | ||
Repurchase agreements | 362,126 | 261,302 |
Derivative liabilities | 4,088 | 592 |
Dividends payable | 3,830 | 3,375 |
Due to affiliates | 769 | 616 |
Accrued expenses and other liabilities | 795 | 391 |
Total Liabilities | 371,608 | 266,276 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of December 31, 2014 and December 31, 2013 | ||
Common stock, $0.01 par value, 500,000,000 shares authorized, 7,509,543 shares issued and outstanding at December 31, 2014 and 7,500,000 shares issued and outstanding at December 31, 2013 | 75 | 75 |
Additional paid-in capital | 148,258 | 148,078 |
Retained earnings | 4,799 | 17,695 |
Accumulated other comprehensive income (loss) | 6,641 | -5,033 |
Total CHMI Stockholders' Equity | 159,773 | 160,815 |
Non-controlling interests in operating partnership | 545 | 307 |
Total Stockholders' Equity | 160,318 | 161,122 |
Total Liabilities and Stockholders' Equity | $531,926 | $427,398 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
Statement of Financial Position [Abstract] | ||
Preferred stock, par value | $0.01 | $0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 0 | 0 |
Preferred stock, shares outstanding | 0 | 0 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 7,509,543 | 7,500,000 |
Common stock, shares outstanding | 7,509,543 | 7,500,000 |
Consolidated_Statements_of_Inc
Consolidated Statements of Income (USD $) | 2 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Income Statement [Abstract] | |||||||||||
Interest income | $6,569 | $6,244 | $6,137 | $6,011 | $5,475 | $24,961 | $5,475 | ||||
Interest expense | 1,190 | 1,164 | 1,006 | 947 | 867 | 4,307 | 867 | ||||
Net interest income | 5,379 | 5,080 | 5,131 | 5,064 | 4,608 | 20,654 | 4,608 | ||||
Other income (loss) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Realized gain (loss) on RMBS, net | 166 | 48 | 75 | -349 | -527 | -60 | -527 | ||||
Realized gain (loss) on derivatives, net | -1,359 | -1,025 | -187 | -72 | 59 | -2,643 | 59 | ||||
Unrealized gain (loss) on derivatives, net | -2,441 | 2,025 | -2,705 | -3,443 | 2,747 | -6,564 | 2,747 | ||||
Unrealized gain (loss) on investments in Excess MSRs | -536 | -2,050 | -1,648 | 670 | 15,647 | -3,564 | 15,647 | ||||
Total Income | 1,209 | 4,078 | 666 | 1,870 | 22,534 | 7,823 | 22,534 | ||||
Expenses | |||||||||||
General and administrative expense | 25 | 1,191 | 743 | 641 | 453 | 609 | 36 | 36 | 35 | 3,028 | 716 |
Management fee to affiliate | 682 | 520 | 679 | 679 | 616 | 2,560 | 616 | ||||
Total Expenses | 25 | 1,873 | 1,263 | 1,320 | 1,132 | 1,225 | 36 | 36 | 35 | 5,588 | 1,332 |
Income (Loss) Before Income Taxes | -25 | -664 | 2,815 | -654 | 738 | 21,309 | -36 | -36 | -35 | 2,235 | 21,202 |
(Benefit from) provision for corporate business taxes | -146 | 1 | 2 | 3 | -140 | ||||||
Net Income (Loss) | -25 | -518 | 2,814 | -656 | 735 | 21,309 | -36 | -36 | -35 | 2,375 | 21,202 |
Net (income) loss allocated to LTIP - OP Units | 5 | -26 | 3 | -4 | -107 | -22 | -107 | ||||
Net Income (Loss) Applicable to Common Stockholders | ($25) | ($513) | $2,788 | ($653) | $731 | $21,202 | ($36) | ($36) | ($35) | $2,353 | $21,095 |
Net income (Loss) Per Share of Common Stock | |||||||||||
Basic | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Diluted | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||
Basic | 1,000 | 7,508,549 | 7,506,560 | 7,504,572 | 7,502,505 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,505,546 | 1,688,275 |
Diluted | 1,000 | 7,509,543 | 7,509,543 | 7,509,543 | 7,506,680 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,508,827 | 1,688,275 |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (USD $) | 2 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | ($25) | $2,375 | $21,202 |
Other comprehensive income (loss): | |||
Net unrealized gain (loss) on RMBS | 11,674 | -5,033 | |
Other comprehensive income (loss) | 11,674 | -5,033 | |
Comprehensive income (loss) | ($25) | $14,049 | $16,169 |
Consolidated_Statements_of_Cha
Consolidated Statements of Changes in Stockholders' Equity (USD $) | Total | Common Stock [Member] | Additional Paid-In Capital [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Retained Earnings (Deficit) [Member] | Non-Controlling Interest in Operating Partnership [Member] | |
Beginning Balance, Shares at Oct. 31, 2012 | |||||||
Issuance of common stock, net of offering costs | $1,000 | $0 | [1] | $1,000 | |||
Issuance of common stock, net of offering costs, Shares | 1,000 | ||||||
Net income | -25,000 | -25,000 | |||||
Ending Balance at Dec. 31, 2012 | -24,000 | 0 | [1] | 1,000 | -25,000 | ||
Ending Balance, Shares at Dec. 31, 2012 | 1,000 | ||||||
Repurchase of common stock | -1,000 | -1,000 | |||||
Repurchase of common stock, Shares | -1,000 | ||||||
Issuance of common stock, net of offering costs | 148,153,000 | 75,000 | 148,078,000 | ||||
Issuance of common stock, net of offering costs, Shares | 7,500,000 | ||||||
Net income | 21,202,000 | 21,095,000 | 107,000 | ||||
Other comprehensive income (loss) | -5,033,000 | -5,033,000 | |||||
LTIP-OP Unit awards | 200,000 | 200,000 | |||||
Common dividends declared | -3,375,000 | -3,375,000 | |||||
Ending Balance at Dec. 31, 2013 | 161,122,000 | 75,000 | 148,078,000 | -5,033,000 | 17,695,000 | 307,000 | |
Ending Balance, Shares at Dec. 31, 2013 | 7,500,000 | 7,500,000 | |||||
Repurchase of common stock, Shares | -1,000 | ||||||
Issuance of common stock, net of offering costs | 180,000 | 0 | [2] | 180,000 | |||
Issuance of common stock, net of offering costs, Shares | 9,543 | ||||||
Net income | 2,375,000 | 2,353,000 | 22,000 | ||||
Other comprehensive income (loss) | 11,674,000 | 11,674,000 | |||||
LTIP-OP Unit awards | 320,000 | 320,000 | |||||
Distribution paid on LTIP-OP Units | -104,000 | -104,000 | |||||
Common dividends declared | -15,249,000 | -15,249,000 | |||||
Ending Balance at Dec. 31, 2014 | $160,318,000 | $75,000 | $148,258,000 | $6,641,000 | $4,799,000 | $545,000 | |
Ending Balance, Shares at Dec. 31, 2014 | 7,509,543 | 7,509,543 | |||||
[1] | de minimis ($10 rounds to $0) | ||||||
[2] | de minimis ($115 rounds to $0) |
Consolidated_Statements_of_Cha1
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Stockholders' Equity [Abstract] | ||
Common stock dividends per share declared | $2.03 | $0.45 |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Cash Flows From Operating Activities | ||
Net income (loss) | $2,375 | $21,202 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Change in fair value of investments in Excess MSRs | 3,564 | -15,647 |
Accretion of premium and other amortization | 2,058 | 217 |
Realized (gain) loss on RMBS, net | 60 | 527 |
Unrealized (gain) loss on derivatives, net | 6,564 | -2,747 |
Realized (gain) loss on derivatives, net | 2,643 | -59 |
LTIP-OP Unit awards | 320 | 200 |
Changes in: | ||
Receivables from unsettled trades | 6,930 | -7,239 |
Other assets | -414 | -4,106 |
Due to affiliate | 153 | 616 |
Accrued expenses and other liabilities | 718 | 956 |
Net cash provided by (used in) operating activities | 24,971 | -6,080 |
Cash Flows From Investing Activities | ||
Purchase of RMBS | -202,679 | -416,695 |
Acquisition of Excess MSRs | -2,181 | -98,968 |
Proceeds from sale of RMBS | 57,511 | 121,785 |
Purchase of derivatives | -1,585 | -1,842 |
Sale of derivatives | 157 | |
Principal paydown of Excess MSRs | 17,601 | 4,309 |
Principal paydown of RMBS | 25,369 | 2,155 |
Net cash provided by (used in) investing activities | -105,807 | -389,256 |
Cash Flows From Financing Activities | ||
Repayments of repurchase agreements | -1,410,035 | -379,838 |
Margin deposits under repurchase agreements | -3,203 | -3,744 |
Borrowings under repurchase agreements | 1,510,859 | 641,140 |
Issuance of common stock, net of offering costs | 180 | 148,152 |
LTIP-OP Units distributions paid | -104 | |
Dividends paid | -14,789 | |
Net cash provided by (used in) financing activities | 82,908 | 405,710 |
Net Increase (Decrease) in Cash and Cash Equivalents | 2,072 | 10,374 |
Cash and Cash Equivalents, Beginning of Period | 10,375 | 1 |
Cash and Cash Equivalents, End of Period | 12,447 | 10,375 |
Supplemental Disclosure of Cash Flow Information | ||
Cash paid during the period for interest expense | 3,867 | 178 |
Dividends declared but not paid | $3,830 | $3,375 |
Organization_and_Operations
Organization and Operations | 12 Months Ended |
Dec. 31, 2014 | |
Accounting Policies [Abstract] | |
Organization and Operations | Note 1 — Organization and Operations |
Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company” or “CHMI”) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. Under the Company’s charter, at December 31, 2012, CHMI was authorized to issue 1,000 shares of common stock. On June 6, 2013, the Company amended and restated its charter and increased its authorized capitalization. Accordingly, at December 31, 2013, the Company was authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share. CHMI commenced operations on or about October 9, 2013. | |
The accompanying consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership LP, Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, CHMI Insurance Company, LLC and CHMI Solutions, Inc. (“Solutions”), (formerly CHMI Solutions, LLC). | |
On October 9, 2013, the Company completed an initial public offering (the “IPO”) of 6,500,000 shares of common stock and a concurrent private placement of 1,000,000 shares of common stock. The IPO and concurrent private placement resulted in the sale of 7,500,000 shares of common stock, at a price per share of $20.00. The net proceeds to the Company from the IPO and the concurrent private placement were approximately $148.1 million, after deducting offering-related expenses payable by the Company. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO were used to invest in excess mortgage servicing rights on residential mortgage loans (“Excess MSRs”) and Agency residential mortgage-backed securities (“RMBS” or “securities”). | |
Prior to the IPO, the Company was a development stage company that had not commenced operations other than the organization of the Company. The Company completed the IPO and concurrent private placement on October 9, 2013, at which time the Company commenced operations. | |
Prior to the IPO, the sole stockholder of the Company was Stanley Middleman. On December 4, 2012, Mr. Middleman made a $1,000 initial capital contribution to CHMI in exchange for 1,000 shares of common stock, and, on October 9, 2013, CHMI repurchased these shares from Mr. Middleman for $1,000. | |
The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company which is controlled by Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. | |
The Company was taxed for U.S. federal income tax purposes as a Subchapter C corporation for the two month period from October 31, 2012 (date of inception) to December 31, 2012. On February 13, 2013, the Company elected to be taxed for U.S. federal income tax purposes as a Subchapter S corporation effective January 1, 2013, and, as such, all federal tax liabilities were the responsibility of the sole stockholder. In anticipation of the IPO, the Company elected to revoke its Subchapter S election on October 2, 2013 and has elected to be taxed as a real estate investment trust (“REIT”), as defined under the Internal Revenue Service Code of 1986, as amended, (the “Code”) for U.S. federal income tax purposes commencing with the year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes. |
Basis_of_Presentation_and_Sign
Basis of Presentation and Significant Accounting Policies | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
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”). The consolidated financial statements include the accounts of CHMI and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. CHMI 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. | |||||||||||||
Emerging Growth Company Status | |||||||||||||
On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard. | |||||||||||||
Use of Estimates | |||||||||||||
The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of fair value of RMBS, Excess MSRs, derivatives and credit losses including the period of time during which the Company anticipates an increase in the fair values of securities sufficient to recover unrealized losses on those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reporting period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature; actual results could differ from its estimates and differences may be material. | |||||||||||||
Risks and Uncertainties | |||||||||||||
In the normal course of business, CHMI encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on CHMI’s investments in RMBS, Excess MSRs 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, Excess MSRs and derivatives due to changes in interest rates, spreads or other market factors. | |||||||||||||
Additionally, CHMI 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. | |||||||||||||
Additionally, CHMI is subject to significant tax risks. If CHMI were to fail to qualify as a REIT in any taxable year, CHMI would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, CHMI 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 – CHMI classifies its investments in RMBS as securities available for sale. Although CHMI generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income, to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below. | |||||||||||||
Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of RMBS, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing providers and other applicable market data. The Company’s application of ASC 820 guidance is discussed in further detail at Note 9. | |||||||||||||
Investment securities transactions are recorded on the trade date. Purchases of newly-issued securities are recorded when all significant uncertainties regarding the characteristics of the securities are removed, generally shortly before settlement date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS purchased or sold in the year ended December 31, 2014 were settled. | |||||||||||||
Revenue Recognition – Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately $1.3 million in interest income is receivable at December 31, 2014, and is classified as “Receivables and other assets” on the consolidated balance sheet. | |||||||||||||
Impairment – CHMI evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the security is adjusted. However, if an entity does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI should be separated into (i) the estimated amount relating to credit loss, or credit component, and (ii) the amount relating to all other factors, or non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. | |||||||||||||
Investments in Excess MSRs | |||||||||||||
Classification – Upon acquisition, CHMI elected the fair value option to record its investments in Excess MSRs in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, CHMI records a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs, management used an internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (see Note 9). | |||||||||||||
Revenue Recognition – Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period would be measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded on the income statement as “Unrealized gain (loss) on investments in excess mortgage servicing rights.” 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 Excess MSRs and, therefore, may differ from their effective yields. Approximately $2.7 million in Excess MSR cash flow is receivable at December 31, 2014, and is classified as “Receivables and other assets” on the consolidated balance sheet. | |||||||||||||
Derivatives and Hedging Activities | |||||||||||||
Derivative transactions include swaps, swaptions, treasury futures and TBAs. Swaps and swaptions are entered into by CHMI solely for interest rate risk management purposes. TBAs are used for duration risk and basis risk management purposes. The decision of whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs among others. In determining whether to economically hedge a risk, CHMI may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by CHMI. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. | |||||||||||||
CHMI’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. CHMI reduces such risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. Finally, CHMI’s interest rate swaps are required to be cleared on an exchange, which further mitigates but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties. | |||||||||||||
Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheet and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under contracts may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. CHMI reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value is reflected on a net counterparty basis when CHMI believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8. | |||||||||||||
Revenue Recognition – With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized and unrealized gains (losses) on derivatives, net” in the consolidated statements of income. These derivatives may, to some extent, be economically effective as hedges. | |||||||||||||
Cash and Cash Equivalents and Restricted Cash | |||||||||||||
CHMI considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against CHMI’s derivatives and/or repurchase agreements. | |||||||||||||
Due to Affiliate | |||||||||||||
This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. | |||||||||||||
Income Taxes | |||||||||||||
As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its net taxable income to stockholders and does not engage in prohibited transactions. The Company intends to comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. For the taxable years ended December 31, 2014 and 2013, the Company qualified to be taxed as a REIT for US federal income tax purposes. | |||||||||||||
The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company classifies interest and penalties on material uncertain tax positions, if any, as interest expense and operating expense, respectively, in its consolidated statements of income. The Company has not incurred any interest or penalties. | |||||||||||||
Effective January 1, 2014, Solutions has elected to be taxed as a corporation for Federal income tax purposes; prior to this date, Solutions was a disregarded entity for Federal income tax purposes. Solutions has jointly elected with the Company, the ultimate beneficial owner of Solutions, to be treated as a taxable REIT subsidiary. | |||||||||||||
The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company records interest and penalties related to income taxes within the provision for income taxes in the statement of income. | |||||||||||||
Realized Gain (Loss) on RMBS and Derivatives, Net | |||||||||||||
The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): | |||||||||||||
Year Ended | Two Month Period | ||||||||||||
December 31, | October 31, 2012 | ||||||||||||
(date of inception) to | |||||||||||||
2014 | 2013 | December 31, 2013 | |||||||||||
Realized gain (loss) on RMBS, net | |||||||||||||
Gain on RMBS | $ | 303 | $ | 116 | $ | — | |||||||
Loss on RMBS | (363 | ) | (643 | ) | — | ||||||||
Net realized gain (loss) on RMBS | (60 | ) | (527 | ) | — | ||||||||
Realized gain (loss) on derivatives, net | (2,643 | ) | 59 | — | |||||||||
Unrealized gain (loss) on derivatives, net | (6,564 | ) | 2,747 | — | |||||||||
Total | $ | (9,267 | ) | $ | 2,279 | $ | — | ||||||
Repurchase Agreements and Interest Expense | |||||||||||||
CHMI finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. | |||||||||||||
Dividends Payable | |||||||||||||
Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on the accounting date, which causes an offsetting reduction in retained earnings. | |||||||||||||
Comprehensive Income | |||||||||||||
Comprehensive income is defined as the change in equity of a business enterprise during a period from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For CHMI’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. | |||||||||||||
Offering Costs | |||||||||||||
Offering costs of approximately $1.9 million incurred in connection with the Company’s IPO and concurrent private placement were reflected as a reduction of additional paid-in-capital. Costs incurred which were not directly associated with the completion of the IPO and concurrent private placement were expensed as incurred. Offering costs incurred in connection with the IPO and concurrent private placement included, among others, the fees and disbursements of the Company’s counsel, the costs of printing the prospectus for the IPO, the fees paid to apply to list the Company’s common stock and all filing fees paid in connection with the IPO. However, the manager agreed to pay the underwriting discounts and commissions and a structuring fee of 0.375% of the gross proceeds of the IPO and concurrent private placement without reimbursement from the Company. | |||||||||||||
Offering costs of approximately $154,000 incurred in connection with the preparation and filing of the Company’s shelf registration statement on Form S-3 and the resale shelf registration statement on Form S-3 covering the shares of the Company’s common stock acquired on the concurrent private placement in 2013, each of which was declared effective on December 3, 2014 were expensed in December 2014. Offering costs included, among others, the fees and disbursements of the Company’s external counsel, and the costs of printing. | |||||||||||||
Recent Accounting Pronouncements | |||||||||||||
Offsetting Assets and Liabilities – In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-11, Disclosures about Offsetting Assets and Liabilities, which amends ASC 210, Balance Sheet. The amendments in ASU 2011-11 enhance disclosures required by U.S. GAAP by requiring improved information about financial instruments and derivative instruments that are either (1) offset in accordance with ASC 210, Balance Sheet or ASC 815, Other Presentation Matters or (2) subject to an enforceable master netting arrangement or similar agreement. ASU 2011-11 is effective for the first interim or annual period beginning on or after January 1, 2013. In January 2013, the FASB issued ASU 2013-01, Balance Sheet: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of ASU 2011-11 to certain derivatives, repurchase agreements and securities lending arrangements. ASU 2013-01 is also effective for the first interim or annual period beginning on or after January 1, 2013. Adopting both ASU 2011-11 and ASU 2013-01 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share, but did impact financial statement disclosures – refer to Note 8. | |||||||||||||
Comprehensive Income – In February 2013, the FASB issued ASU 2013-02, Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income, which amends ASC 320, Comprehensive Income. ASU 2013-02 provides disclosure guidance on amounts reclassified out of Accumulated Other Comprehensive Income by component. The new guidance does not change the requirement to present items of net income and OCI and totals for net income, OCI and comprehensive income in a single continuous statement or two consecutive statements. ASU 2013-02 is effective for the first interim or annual period beginning on or after December 15, 2012. Adopting ASU 2013-02 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Liabilities – In March 2013, the FASB issued ASU 2013-04, Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date, which amends ASC 405, Liabilities. ASU 2013-04 requires additional disclosures about joint and several liability arrangements and requires the Company to measure obligations resulting from joint and several liability arrangements as the sum of the amount the Company agreed to pay on the basis of its arrangement among its co-obligors and any additional amount the Company expects to pay on behalf of its co-obligors. ASU 2013-04 is effective for the fiscal years and interim periods beginning after December 15, 2013. Adopting ASU 2013-04 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Presentation of an Unrecognized Tax Benefit – In July 2013, the FASB issued ASU 2013-11, Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists, which amends ASC 740, Income Taxes. ASU 2013-11 requires an entity to present an unrecognized tax benefit as a reduction of a deferred tax asset for a net operating loss (“NOL”) carryforward or similar tax loss or tax credit carryforward, rather than as a liability when (1) the uncertain tax position would not reduce the NOL or other carryforward under the tax law of the applicable jurisdiction, and (2) the entity intends to use the deferred tax asset for that purpose. ASU 2013-11 does not require any new recurring disclosures. It is effective prospectively for fiscal years, and interim periods within those years, beginning on or after December 15, 2013, with early adoption permitted. Adopting ASU 2013-11 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Revenue Recognition – In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers, which supersedes the revenue recognition requirements in ASC 606, Revenue Recognition, and most industry-specific guidance throughout the Industry Topics of the Codification. The core principle of ASU 2014-09 is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. ASU 2014-09 is effective for fiscal years and interim periods beginning after December 15, 2016 and early adoption is not permitted. Management is evaluating the impact of ASU 2014-09; however, it is not expected to have a significant impact on the Company’s financial condition, results of operations or earnings per share. | |||||||||||||
Transfers and Servicing – In June 2014, the FASB issued ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, which amends ASC 860, Transfers and Servicing. ASU 2014-11, which affects all entities that enter into repurchase-to-maturity transactions or repurchase financings, requires two accounting changes. First, ASU 2014-11 changes the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, ASU 2014-11 requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, which will result in secured borrowing accounting for the repurchase agreement. ASU 2014-11 also requires disclosures for certain transactions comprising (1) a transfer of a financial asset accounted for as a sale and (2) an agreement with the same transferee entered into in contemplation of the initial transfer that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. For those transactions outstanding at the reporting date, the transferor is required to disclose additional information by type of transaction. ASU 2014-11 also requires certain disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings. The accounting changes in ASU 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. For public business entities, the disclosure for certain transactions accounted for as a sale is required to be presented for interim and annual periods beginning after December 15, 2014, and the disclosure for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions accounted for as secured borrowings is required to be presented for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015, with early adoption prohibited. Currently, management does not anticipate that the adoption of ASU 2014-11 will have a material impact on the consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Stock Compensation – In June 2014, the FASB issued ASU 2014-12, Accounting for Share-Based Payments When the Terms of an Award Provide that a Performance Target Could be Achieved After the Requisite Service Period, which amends ASC 718, Compensation – Stock Compensation. ASU 2014-12 requires that a performance target that affects vesting and that could be achieved after the requisite service period be treated as a performance condition. A reporting entity should apply existing guidance in ASC 718 as it relates to awards with performance conditions that affect vesting to account for such awards. As such, the performance target should not be reflected in estimating the grant-date fair value of the award. Compensation cost should be recognized in the period in which it becomes probable that the performance target will be achieved and should represent the compensation cost attributable to the period(s) for which the requisite service has already been rendered. If the performance target becomes probable of being achieved before the end of the requisite service period, the remaining unrecognized compensation cost should be recognized prospectively over the remaining requisite service period. The total amount of compensation cost recognized during and after the requisite service period should reflect the number of awards that are expected to vest and should be adjusted to reflect those awards that ultimately vest. The requisite service period ends when the employee can cease rendering service and still be eligible to vest in the award if the performance target is achieved. As indicated in the definition of vest, the stated vesting period (which includes the period in which the performance target could be achieved) may differ from the requisite service period. ASU 2014-12 is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015, with early adoption permitted. Currently, management does not anticipate that the adoption of ASU 2014-12 will have a material impact on the consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Going Concern – In August 2014, the FASB issued ASU 2014-15, Disclosures of Uncertainties about an Entity’s Ability to Continue as a Going Concern, which amends ASC Subtopic 205-40, Presentation of Financial Statements – Going Concern. ASU 2014-15 provides guidance in GAAP about management’s responsibility to evaluate whether there are conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern within one year after the date that the financial statements are issued and to provide related footnote disclosures of the relevant facts and circumstances. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter, with early adoption permitted. Currently, management does not anticipate that the adoption of ASU 2014-15 will have a material impact on the consolidated financial condition, results of operations or earnings per share. |
Segment_Reporting
Segment Reporting | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||
Segment Reporting | Note 3 — Segment Reporting | ||||||||||||||||
The Company conducts its business through the following segments: (i) investments in RMBS; and (ii) investments in Servicing Related Assets. “All Other” consists primarily of general and administrative expenses including fees to the directors, and management fees pursuant to the Management Agreement (see Note 7). For segment reporting purposes, CHMI does not allocate interest income on short-term investments or general and administrative expenses. | |||||||||||||||||
Summary financial data on CHMI’s segments is given below, together with a reconciliation to the same data for CHMI as a whole (dollars in thousands): | |||||||||||||||||
Servicing | RMBS | All Other | Total | ||||||||||||||
Related | |||||||||||||||||
Assets | |||||||||||||||||
Income Statement | |||||||||||||||||
Year Ended December 31, 2014 | |||||||||||||||||
Interest income | $ | 14,318 | $ | 10,643 | $ | — | $ | 24,961 | |||||||||
Interest expense | — | 4,307 | — | 4,307 | |||||||||||||
Net interest income | 14,318 | 6,336 | — | 20,654 | |||||||||||||
Other income | (3,564 | ) | (9,267 | ) | — | (12,831 | ) | ||||||||||
Other operating expenses | — | — | 5,588 | 5,588 | |||||||||||||
(Benefit from) provision for corporate business taxes | (140 | ) | — | — | (140 | ) | |||||||||||
Net income (loss) | $ | 10,894 | $ | (2,931 | ) | $ | (5,588 | ) | $ | 2,375 | |||||||
Year Ended December 31, 2013 | |||||||||||||||||
Interest income | $ | 3,552 | $ | 1,923 | $ | — | (A) | $ | 5,475 | ||||||||
Interest expense | — | 867 | — | 867 | |||||||||||||
Net interest income | 3,552 | 1,056 | — | 4,608 | |||||||||||||
Other income | 15,647 | 2,279 | — | 17,926 | |||||||||||||
Other operating expenses | — | — | 1,332 | 1,332 | |||||||||||||
Corporate business taxes | — | — | — | — | |||||||||||||
Net income (loss) | $ | 19,199 | $ | 3,335 | $ | (1,332 | ) | $ | 21,202 | ||||||||
Two Month Period October 31, 2012 (date of inception) to December 31, 2012 | |||||||||||||||||
Other operating expenses | $ | — | $ | — | $ | 25 | $ | 25 | |||||||||
Corporate business taxes | — | — | — | — | |||||||||||||
Net income (loss) | $ | — | $ | — | $ | (25 | ) | $ | (25 | ) | |||||||
Balance Sheet | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Investments | $ | 91,322 | $ | 416,003 | $ | — | $ | 507,325 | |||||||||
Other assets | 2,713 | 8,920 | 12,968 | 24,601 | |||||||||||||
Total assets | 94,035 | 424,923 | 12,968 | 531,926 | |||||||||||||
Debt | — | 362,126 | — | 362,126 | |||||||||||||
Other liabilities | — | 4,319 | 5,163 | 9,482 | |||||||||||||
Total liabilities | — | 366,445 | 5,163 | 371,608 | |||||||||||||
GAAP book value | $ | 94,035 | $ | 58,478 | $ | 7,805 | $ | 160,318 | |||||||||
December 31, 2013 | |||||||||||||||||
Investments | $ | 110,306 | $ | 286,979 | $ | — | $ | 397,285 | |||||||||
Other assets | 2,828 | 16,494 | 10,791 | 30,113 | |||||||||||||
Total assets | 113,134 | 303,473 | 10,791 | 427,398 | |||||||||||||
Debt | — | 261,302 | — | 261,302 | |||||||||||||
Other liabilities | — | 690 | 4,284 | 4,974 | |||||||||||||
Total liabilities | — | 261,992 | 4,284 | 266,276 | |||||||||||||
GAAP book value | $ | 113,134 | $ | 41,481 | $ | 6,507 | $ | 161,122 | |||||||||
(A) | de minimis ($192 rounds to $0) |
Investments_in_RMBS
Investments in RMBS | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||
Investments in RMBS | Note 4 — Investments in RMBS | ||||||||||||||||||||||||||||||||||||||||
The following is a summary of CHMI’s RMBS at December 31, 2014 and 2013, all of which are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired, for which there was none for the current year-ended (dollars in thousands): | |||||||||||||||||||||||||||||||||||||||||
Available for Sale Securities | |||||||||||||||||||||||||||||||||||||||||
At December 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Gross Unrealized | Number | Weighted Average | |||||||||||||||||||||||||||||||||||||
Face | Book | Gains | Losses | Carrying | of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||
Value | Value | Value(A) | Securities | (Years)(C) | |||||||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 267,516 | $ | 263,924 | $ | 4,674 | $ | (10 | ) | $ | 268,588 | 33 | (B) | 3.89 | % | 3.51 | % | 24 | |||||||||||||||||||||||
Freddie Mac | 144,064 | 138,333 | 2,143 | — | 140,476 | 17 | (B) | 3.75 | % | 2.99 | % | 23 | |||||||||||||||||||||||||||||
CMOs | 25,964 | 7,105 | — | (166 | ) | 6,939 | 4 | Unrated | 4.18 | % | 12.65 | % | 14 | ||||||||||||||||||||||||||||
Total/Weighted Average | $ | 437,544 | $ | 409,362 | $ | 6,817 | $ | (176 | ) | $ | 416,003 | 54 | 3.85 | % | 3.49 | % | 23 | ||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Gross Unrealized | Number | Weighted Average | |||||||||||||||||||||||||||||||||||||
Face | Book | Gains | Losses | Carrying | of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||
Value | Value | Value(A) | Securities | (Years)(C) | |||||||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 173,015 | $ | 179,556 | $ | — | $ | (2,800 | ) | $ | 176,756 | 18 | (B) | 3.86 | % | 3.61 | % | 25 | |||||||||||||||||||||||
Freddie Mac | 109,431 | 112,456 | — | (2,233 | ) | 110,223 | 11 | (B) | 3.62 | % | 3.22 | % | 24 | ||||||||||||||||||||||||||||
Total/Weighted Average | $ | 282,446 | $ | 292,012 | $ | — | $ | (5,033 | ) | $ | 286,979 | 29 | 3.77 | % | 3.46 | % | 24 | ||||||||||||||||||||||||
(A) | See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. | ||||||||||||||||||||||||||||||||||||||||
(B) | CHMI used an implied AAA rating for the FNMA/FHLMC securities. | ||||||||||||||||||||||||||||||||||||||||
(C) | The weighted average maturity is based on the timing of expected principal reduction on the assets. No individual security matures within 10 years. | ||||||||||||||||||||||||||||||||||||||||
At December 31, 2014 and 2013, the Company pledged investments with a carrying value of approximately $380.7 million and $261.3 million, respectively as collateral for repurchase agreements. At December 31, 2014, 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. | |||||||||||||||||||||||||||||||||||||||||
Unrealized losses that are considered other-than-temporary are recognized currently in earnings. During the year ended December 31, 2014 and 2013, CHMI recorded no other-than-temporary impairment charges (“OTTI”). Based on management’s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on CHMI’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. CHMI performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads, or certain macroeconomic events, which did not directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of CHMI’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, the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. In connection with the above, the Company weighs the fact that all of its investments in RMBS are guaranteed by government agencies. | |||||||||||||||||||||||||||||||||||||||||
These factors include underlying loan default expectations and loss severities, which are analyzed in connection with a particular security’s credit support, as well as prepayment rates. The result of this evaluation is considered when determining management’s estimate of cash flows and in relation to the amount of the unrealized loss and the period elapsed since it was incurred. Significant judgment is required in this analysis. The following tables summarize CHMI’s securities in an unrealized loss position as of December 31, 2014 (dollars in thousands): | |||||||||||||||||||||||||||||||||||||||||
Securities in an Unrealized Loss Position | |||||||||||||||||||||||||||||||||||||||||
At December 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Book | Gross | Carrying | Number | Weighted Average | |||||||||||||||||||||||||||||||||||
Face | Value | Unrealized | Value(A) | of | |||||||||||||||||||||||||||||||||||||
Value | Losses | Securities | Rating | Coupon | Yield | Maturity | |||||||||||||||||||||||||||||||||||
(Years)(C) * | |||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 35,404 | $ | 16,946 | $ | (176 | ) | $ | 16,770 | 5 | (B) | 3.78 | % | 7.21 | % | 23 | |||||||||||||||||||||||||
Twelve or More Months | — | — | — | — | — | — | % | — | % | — | |||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 35,404 | $ | 16,946 | $ | (176 | ) | $ | 16,770 | 5 | 3.78 | % | 7.21 | % | 23 | ||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Book | Gross | Carrying | Number | Weighted Average | |||||||||||||||||||||||||||||||||||
Face | Value | Unrealized | Value(A) | of | |||||||||||||||||||||||||||||||||||||
Value | Losses | Securities | Rating | Coupon | Yield | Maturity | |||||||||||||||||||||||||||||||||||
(Years)(C)* | |||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 282,446 | $ | 292,012 | $ | (5,033 | ) | $ | 286,979 | 29 | (B) | 3.77 | % | 3.46 | % | 24 | |||||||||||||||||||||||||
Twelve or More Months | — | — | — | — | — | — | % | — | % | — | |||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 282,446 | $ | 292,012 | $ | (5,033 | ) | $ | 286,979 | 29 | 3.77 | % | 3.46 | % | 24 | ||||||||||||||||||||||||||
(A) | See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. | ||||||||||||||||||||||||||||||||||||||||
(B) | CHMI used an implied AAA rating for the FNMA/FHLMC securities. | ||||||||||||||||||||||||||||||||||||||||
(C) | The weighted average maturity is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||||||||
* | The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. |
Investments_in_Excess_MSRs
Investments in Excess MSRs | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Investments in Excess MSRs | Note 5 — Investments in Excess MSRs | ||||||||||||||||||||||||
In October 2013, CHMI entered into an agreement (“MSR Agreement 1”) with Freedom Mortgage Corporation (“Freedom Mortgage”), a leading residential mortgage servicer wholly-owned by the sole shareholder of the Manager, to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on a pool of government sponsored enterprise residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an outstanding principal balance of approximately $10.0 billion (“MSR Pool 1”). Freedom Mortgage is entitled to receive an initial weighted average total mortgage servicing amount of approximately 28 basis points (“bps”) on the performing unpaid principal balance, as well as any ancillary income from MSR Pool 1. Pursuant to MSR Agreement 1, Freedom Mortgage performs all servicing functions and advancing functions related to MSR Pool 1 for a basic fee (the contractual amount the service is entitled to for performing the servicing duties) of 8 bps. Therefore, the remainder, or “excess mortgage servicing amount” is initially equal to a weighted average of 20 bps. | |||||||||||||||||||||||||
CHMI acquired the right to receive 85% of the excess mortgage servicing amount on MSR Pool 1 and, subject to certain limitations and pursuant to a loan replacement agreement (the “MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on certain future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in MSR Pool l (which loans then become part of MSR Pool 1) for approximately $60.6 million. Freedom Mortgage has co-invested, pari passu with CHMI, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retains the ancillary income and the servicing obligations and liabilities. If Freedom Mortgage is terminated as the servicer, CHMI’s right to receive its portion of the excess mortgage servicing amount is also terminated. To the extent that Freedom Mortgage is terminated as the servicer and receives a termination payment, CHMI is entitled to a pro rata share, or 85%, of such termination payment. | |||||||||||||||||||||||||
The value, and absolute amount, of recapture activity tends to vary inversely with the direction of interest rates. When interest rates are falling, recapture rates tend to be higher due to increased opportunities for borrowers to refinance. As interest rates increase, however, there is likely to be less recapture activity. | |||||||||||||||||||||||||
In October 2013, CHMI entered into an agreement (“MSR Agreement 2”) with Freedom Mortgage to invest with Freedom Mortgage. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of government sponsored enterprise residential Ginnie Mae-eligible VA hybrid adjustable rate mortgages with an outstanding principal balance of approximately $10.7 billion (“MSR Pool 2”). Freedom Mortgage is entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing unpaid principal balance, as well as any ancillary income from MSR Pool 2. Pursuant to MSR Agreement 2, Freedom Mortgage performs all servicing functions and advancing functions related to MSR Pool 2 for a basic fee (the contractual amount the service is entitled to for performing the servicing duties) of 10 bps. Therefore, the remainder, or “excess mortgage servicing amount” is initially equal to a weighted average of 34 bps. | |||||||||||||||||||||||||
CHMI acquired the right to receive 50% of the excess mortgage servicing amount on MSR Pool 2 and, subject to certain limitations and pursuant to a loan replacement agreement (the “MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on certain future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in MSR Pool 2 (which loans then become part of MSR Pool 2) for approximately $38.4 million. Freedom Mortgage has co-invested, pari passu with CHMI, in 50% of the Excess MSRs. Freedom Mortgage, as servicer, also retains the ancillary income and the servicing obligations and liabilities. If Freedom Mortgage is terminated as the servicer, CHMI’s right to receive its portion of the excess mortgage servicing amount is also terminated. To the extent that Freedom Mortgage is terminated as the servicer and receives a termination payment, CHMI is entitled to a pro rata share, or 50%, of such termination payment. | |||||||||||||||||||||||||
Upon completion of our initial public offering and the concurrent private placement, we also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage. On February 28, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. | |||||||||||||||||||||||||
On March 31, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. | |||||||||||||||||||||||||
On June 30, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013. | |||||||||||||||||||||||||
The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as “Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Pool 2014—Recapture Agreement.” | |||||||||||||||||||||||||
The following is a summary of the Company’s Excess MSRs (dollars in thousands): | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Unpaid | Amortized | Carrying | Weighted | Weighted | Changes in | ||||||||||||||||||||
Principal | Cost Basis(A) | Value(B) | Average | Average | Fair Value | ||||||||||||||||||||
Balance | Coupon | Maturity | Recorded in | ||||||||||||||||||||||
(Years)(C) | Other Income | ||||||||||||||||||||||||
(Loss)(D) | |||||||||||||||||||||||||
Pool 1 | $ | 8,715,747 | $ | 47,741 | $ | 54,187 | 3.51 | % | 27 | $ | (2,889 | ) | |||||||||||||
Pool 1 - Recapture Agreement | — | 2,900 | 611 | (371 | ) | ||||||||||||||||||||
Pool 2 | 8,475,975 | 24,025 | 33,676 | 2.77 | % | 27.8 | 2,011 | ||||||||||||||||||
Pool 2 - Recapture Agreement | — | 2,554 | 1,262 | (1,882 | ) | ||||||||||||||||||||
Pool 2014 | 308,562 | 2,019 | 1,586 | 3.71 | % | 28.4 | (433 | ) | |||||||||||||||||
Pool 2014 - Recapture Agreement | — | — | — | — | |||||||||||||||||||||
Total | $ | 17,500,284 | $ | 79,239 | $ | 91,322 | 3.16 | % | 27.4 | $ | (3,564 | ) | |||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Unpaid | Amortized | Carrying | Weighted | Weighted | Changes in | ||||||||||||||||||||
Principal | Cost Basis(A) | Value(B) | Average | Average | Fair Value | ||||||||||||||||||||
Balance | Coupon | Maturity | Recorded in | ||||||||||||||||||||||
(Years)(C) | Other Income | ||||||||||||||||||||||||
(Loss)(D) | |||||||||||||||||||||||||
Pool 1 | $ | 9,823,250 | $ | 55,793 | $ | 65,128 | 3.51 | % | 27.9 | $ | 9,335 | ||||||||||||||
Pool 1 - Recapture Agreement | 2,900 | 982 | (1,918 | ) | |||||||||||||||||||||
Pool 2 | 10,226,679 | 33,410 | 41,050 | 2.64 | % | 28.3 | 7,640 | ||||||||||||||||||
Pool 2 - Recapture Agreement | 2,554 | 3,146 | 590 | ||||||||||||||||||||||
Total | $ | 20,049,929 | $ | 94,657 | $ | 110,306 | 3.07 | % | 28.1 | $ | 15,647 | ||||||||||||||
(A) | The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||
(B) | Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). | ||||||||||||||||||||||||
(C) | The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. | ||||||||||||||||||||||||
(D) | The portion of the change in fair value of the recapture agreement relating to loans recaptured as of December 31, 2013 is reflected in the respective pool. | ||||||||||||||||||||||||
The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Excess MSRs: | |||||||||||||||||||||||||
State | Percentage of Total Outstanding | ||||||||||||||||||||||||
Unpaid Principal Balance | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
California | 13.3 | % | |||||||||||||||||||||||
Texas | 10.1 | % | |||||||||||||||||||||||
Florida | 6.9 | % | |||||||||||||||||||||||
Virginia | 6.5 | % | |||||||||||||||||||||||
North Carolina | 5.7 | % | |||||||||||||||||||||||
Georgia | 5.3 | % | |||||||||||||||||||||||
Washington | 5.1 | % | |||||||||||||||||||||||
All other | 47.1 | % | |||||||||||||||||||||||
Total | 100 | % | |||||||||||||||||||||||
State | Percentage of Total Outstanding | ||||||||||||||||||||||||
Unpaid Principal Balance | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
California | 14.4 | % | |||||||||||||||||||||||
Texas | 10 | % | |||||||||||||||||||||||
Florida | 6.9 | % | |||||||||||||||||||||||
Virginia | 6.6 | % | |||||||||||||||||||||||
North Carolina | 5.6 | % | |||||||||||||||||||||||
Georgia | 5.3 | % | |||||||||||||||||||||||
Washington | 5.2 | % | |||||||||||||||||||||||
Colorado | 5 | % | |||||||||||||||||||||||
All other | 41 | % | |||||||||||||||||||||||
Total | 100 | % | |||||||||||||||||||||||
Geographic concentrations of investments expose CHMI to the risk of economic downturns within the relevant states. Any such downturn in a state where CHMI holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on CHMI’s Excess MSRs. |
Equity_and_Earnings_per_Share
Equity and Earnings per Share | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Equity [Abstract] | |||||||||||||||||
Equity and Earnings per Share | Note 6 — Equity and Earnings per Share | ||||||||||||||||
Equity Incentive Plan | |||||||||||||||||
During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (“2013 Plan”). The 2013 Plan provides for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Company’s operating partnership, Cherry Hill Operating Partnership, LP (the “Operating Partnership”). | |||||||||||||||||
The following tables present certain information about the Company’s 2013 Plan as of December 31, 2014 and 2013: | |||||||||||||||||
Equity Incentive Plan Information | |||||||||||||||||
As of December 31, 2014 | |||||||||||||||||
Number of Securities Issued or to | Number of Securities Remaining Available | ||||||||||||||||
be Issued Upon Exercise of | For Future Issuance Under Equity | ||||||||||||||||
Outstanding Options, Warrants | Compensation Plans | ||||||||||||||||
and Rights | |||||||||||||||||
Equity compensation Plans Approved By Securityholders | 1,421,607 | ||||||||||||||||
LTIP-OP Units | 68,850 | ||||||||||||||||
Shares of Common Stock | 9,543 | ||||||||||||||||
Equity Compensation Plans Not Approved By Securityholders | |||||||||||||||||
As of December 31, 2013 | |||||||||||||||||
Number of Securities Issued or to | Number of Securities Remaining Available | ||||||||||||||||
be Issued Upon Exercise of | For Future Issuance Under Equity | ||||||||||||||||
Outstanding Options, Warrants | Compensation Plans | ||||||||||||||||
and Rights | |||||||||||||||||
Equity compensation Plans Approved By Securityholders | 1,462,500 | ||||||||||||||||
LTIP-OP Units | 37,500 | ||||||||||||||||
Equity Compensation Plans Not Approved By Securityholders | — | ||||||||||||||||
LTIP-OP Units (sometimes referred to as profits interest units) are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Company’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption/exchange rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis. As of December 31, 2014, 1,421,607 shares remain for future issuance under the 2013 Plan. | |||||||||||||||||
During 2013 the board of directors approved a grant of 37,500 LTIP-OP Units upon the completion of the Company’s IPO on October 9, 2013 (the “grant date”). Of the total 37,500 LTIP-OP Units granted, 7,500 were granted to the Company’s independent directors, which vested immediately, and 30,000 LTIP-OP Units were granted to the Company’s executive officers and certain employees of Freedom Mortgage, which vest ratably over the first three year anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the offering price of the Company’s common stock on the grant date (IPO date) of $20.00. The aggregate grant date fair value of the total 37,500 LTIP-OP Units was $750,000. | |||||||||||||||||
On June 10, 2014, the Company granted 31,350 LTIP-OP Units to ten individuals who regularly perform services for the Company through the Manager. The LTIP-OP Units vest ratably over the first three anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the grant date of $19.33. The aggregate grant date fair value of the total 31,350 LTIP-OP Units was approximately $606,000. | |||||||||||||||||
As of December 31, 2014, 17,500 LTIP-OP Units have vested. The Company recognized approximately $320,000 and $200,000 in share-based compensation expense in the years ended December 31, 2014 and 2013, respectively. There was approximately $838,000 of total unrecognized share-based compensation expense as of December 31, 2014, related to the 51,350 non-vested LTIP-OP Units. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated income statement. | |||||||||||||||||
On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Equity Incentive Plan 530 shares of common stock (for a total of 1,590 shares), which were fully vested on the date of grant, and 2,651 restricted shares of common stock (for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. They are no longer subject to forfeiture and are vested. | |||||||||||||||||
Non-Controlling Interests in Operating Partnership | |||||||||||||||||
Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to LTIP-OP Units in the Operating Partnership held by parties other than the Company. | |||||||||||||||||
Certain individuals own LTIP-OP Units in the Operating Partnership. 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 Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied in shares of common stock, cash, or a combination thereof, at the Company’s option, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Units holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased. | |||||||||||||||||
As of December 31, 2014, the non-controlling interest holders in the Operating Partnership owned 68,850 LTIP-OP Units, or 0.9% of the Operating Partnership. Pursuant to ASC 810, Consolidation, changes in a parent’s ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the non-controlling interest will be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the Company. | |||||||||||||||||
Earnings per Share | |||||||||||||||||
The Company is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares. During 2014, the Company had no dilutive common stock equivalents. | |||||||||||||||||
The following table presents basic net earnings per share of common stock for the years ended December 31, 2014 and 2013, and for the two month period from October 31, 2012 (date of inception) to December 31, 2012 (dollars in thousands, except per share data): | |||||||||||||||||
Year Ended | Two Month Period | ||||||||||||||||
December 31, | Ended December 31, | ||||||||||||||||
2014 | 2013 | 2012 | |||||||||||||||
Numerator: | |||||||||||||||||
Net income attributable to common stockholders and participating securities for basic earnings per share | $ | 2,375 | $ | 21,202 | $ | (25 | ) | ||||||||||
Net income allocable to common stockholders | $ | 2,353 | $ | 21,095 | $ | (25 | ) | ||||||||||
Denominator: | |||||||||||||||||
Weighted average common shares outstanding | 7,505,546 | 1,688,275 | 1,000 | ||||||||||||||
Weighted average diluted shares outstanding | 7,508,827 | 1,688,275 | 1,000 | ||||||||||||||
Basic and Dilutive: | |||||||||||||||||
Basic earnings per share | $ | 0.31 | $ | 12.5 | $ | (25.00 | ) | ||||||||||
Diluted earnings per share | $ | 0.31 | $ | 12.5 | $ | (25.00 | ) | ||||||||||
There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented. | |||||||||||||||||
Common Stock Offerings | |||||||||||||||||
In October 2013, the Company issued 7,500,000 shares of its common stock in its initial public offering and a concurrent private placement at a price of $20.00 per share for net proceeds of approximately $148.1 million. | |||||||||||||||||
Offering costs of approximately $154,000 incurred in connection with the preparation and filing of the Company’s shelf registration statement on Form S-3 and the resale shelf registration statement on Form S-3 covering the shares of the Company’s common stock acquired on the concurrent private placement in 2013, each of which was declared effective on December 3, 2014 were expensed in December 2014. Offering costs included, among others, the fees and disbursements of the Company’s external counsel, and the costs of printing. | |||||||||||||||||
Purchases of Equity Securities by the Issuer and Affiliated Purchasers | |||||||||||||||||
For the years ended December 31, 2014 and 2013, we repurchased shares of our common stock as follows: | |||||||||||||||||
Period | Total Number of | Average Price Paid | Total Number of | Maximum Approximate | |||||||||||||
Shares Purchased | Per Share | Shares Purchased as | Dollar Value of Shares | ||||||||||||||
Part of Publicity | that May Yet Be | ||||||||||||||||
Announced Plans of | Purchased Under the | ||||||||||||||||
Programs | Plan or Program | ||||||||||||||||
2013 | 1,000 | (A) | $ | 1 | — | — | |||||||||||
2014 | — | — | — | — | |||||||||||||
Total | 1,000 | $ | 1 | — | — | ||||||||||||
(A) | In connection with our initial capitalization, our non-executive Chairman of the Board, Stanley Middleman, purchased 1,000 shares of our common stock for total cash consideration of $1,000. On October 9, 2013, we repurchased these shares from Mr. Middleman for $1,000. |
Transactions_with_Affiliates_a
Transactions with Affiliates and Affiliated Entities | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
Text Block [Abstract] | |||||||||||||
Transactions with Affiliates and Affiliated Entities | Note 7 — Transactions with Affiliates and Affiliated Entities | ||||||||||||
Manager | |||||||||||||
CHMI has entered into a management agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations (the “Management Agreement”). The Management Agreement requires the Manager to manage CHMI’s business affairs in conformity with the policies and the investment guidelines that are approved and monitored by the Company’s board of directors. The Management Agreement will remain in full force until October 9, 2016 and provides for automatically renewing one-year terms thereafter subject to certain termination rights. The Manager’s performance is reviewed annually and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of CHMI’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of CHMI’s assets and provides certain advisory, administrative and managerial services in connection with the operations of CHMI. For performing these services, CHMI pays the Manager a quarterly management fee equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement, calculated and payable quarterly in arrears. | |||||||||||||
The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. CHMI is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided. All of CHMI’s executive officers and the officers of the Manager are also officers or employees of Freedom Mortgage. As a result, the Management Agreement between CHMI and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to CHMI as if it had been negotiated with an unaffiliated third party. Both the Manager and Freedom Mortgage are controlled by Mr. Stanley Middleman. | |||||||||||||
From October 31, 2012 (date of inception) to December 31, 2012, and for the nine months ended September 30, 2013, CHMI shared office space with Freedom Mortgage. In accordance with the Management Agreement between CHMI and the Manager, for the period indicated above, the Manager did not allocate rent, overhead, reimbursable executives’ salaries, or other miscellaneous office expenses to CHMI, as it had not commenced operations as of September 30, 2013 and had not generated revenue during the period. The Manager commenced allocating expenses to the Company in October 2013, the first month during which the Company commenced operations. | |||||||||||||
The Management Agreement provides that CHMI will reimburse the Manager for various expenses incurred by the Manager or its officers, and agents on CHMI’s behalf, including costs of legal, accounting, tax, administrative and other similar services rendered for CHMI by providers retained by the Manager “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): | |||||||||||||
Two Month Period | |||||||||||||
Year Ended | October 31, 2012 | ||||||||||||
December 31, | (date of inception) to | ||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||
Management fees | $ | 2,150 | $ | 549 | $ | — | |||||||
Expense reimbursement | 410 | 67 | — | ||||||||||
Total | $ | 2,560 | $ | 616 | $ | — | |||||||
Other Affiliated Entities | |||||||||||||
See Note 5 for a discussion of the co-investments in Excess MSRs with Freedom Mortgage. |
Derivative_Instruments
Derivative Instruments | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Derivative Instruments | Note 8 — Derivative Instruments | ||||||||||||||||||||||||
Interest Rate Swap Agreements, Swaptions and TBAs | |||||||||||||||||||||||||
In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements. These agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as hedging instruments. | |||||||||||||||||||||||||
In order to help mitigate duration risk and basis risk management, the Company utilizes forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are “to-be-announced” (TBAs). Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date. | |||||||||||||||||||||||||
The following table summarizes the outstanding notional amounts of derivative instruments as of December 31, 2014 and 2013 (dollars in thousands): | |||||||||||||||||||||||||
Non-hedge derivatives | December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Notional amount of interest rate swaps | $ | 224,100 | $ | 171,700 | |||||||||||||||||||||
Notional amount of swaptions | 105,000 | 125,000 | |||||||||||||||||||||||
Notional amount of TBAs, net | — | 4,800 | |||||||||||||||||||||||
Notional amount of Treasury Futures | 8,000 | — | |||||||||||||||||||||||
Total notional amount | $ | 337,100 | $ | 301,500 | |||||||||||||||||||||
The following table presents information about the Company’s interest rate swap agreements as of December 31, 2014 and 2013 (dollars in thousands): | |||||||||||||||||||||||||
Weighted | Notional | Weighted | Weighted | Weighted | |||||||||||||||||||||
Average | Amount | Average Pay | Average | Average Years | |||||||||||||||||||||
Maturity | Rate | Receive Rate | to Maturity | ||||||||||||||||||||||
December 31, 2014 | 2020 | $ | 224,100 | 1.84 | % | 0.23 | % | 5.4 | |||||||||||||||||
December 31, 2013 | 2020 | $ | 171,700 | 1.95 | % | 0.24 | % | 6.7 | |||||||||||||||||
Offsetting Assets and Liabilities | |||||||||||||||||||||||||
The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA. Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and treasury futures assets and liabilities on a gross basis in its consolidated balance sheets. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements subject to master netting arrangements on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets. | |||||||||||||||||||||||||
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of December 31, 2014 and 2013 (dollars in thousands): | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Gross | Gross | Net Amounts | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
Amounts of | Amounts | of Assets | in the Consolidated | ||||||||||||||||||||||
Recognized | Offset in the | Presented in | Balance Sheet | ||||||||||||||||||||||
Assets or | Consolidated | the | |||||||||||||||||||||||
Liabilities | Balance | Consolidated | |||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | Financial | Cash | |||||||||||||||||||||||
Instruments | Collateral | ||||||||||||||||||||||||
Received | |||||||||||||||||||||||||
(Pledged) | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Interest rate swaps | $ | 46 | $ | — | $ | 46 | $ | (46 | ) | $ | — | $ | — | ||||||||||||
Swaptions | 291 | — | 291 | (291 | ) | — | — | ||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Treasury futures | 5 | — | 5 | (5 | ) | (89 | ) | ||||||||||||||||||
Total Assets | $ | 342 | $ | — | $ | 342 | $ | (342 | ) | $ | (89 | ) | $ | — | |||||||||||
Liabilities | |||||||||||||||||||||||||
Repurchase agreements | $ | 362,126 | $ | — | $ | 362,126 | $ | (359,270 | ) | $ | (2,856 | ) | $ | — | |||||||||||
Interest rate swaps | 4,045 | — | 4,045 | (43 | ) | (4,002 | ) | — | |||||||||||||||||
Swaptions | — | — | — | — | — | — | |||||||||||||||||||
TBAs | 43 | — | 43 | (43 | ) | — | — | ||||||||||||||||||
Treasury futures | — | ||||||||||||||||||||||||
Total Liabilities | $ | 366,214 | $ | — | $ | 366,214 | $ | (359,356 | ) | $ | (6,858 | ) | $ | — | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Gross | Gross | Net Amounts | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | of Assets | in the Consolidated | ||||||||||||||||||||||
Recognized | Offset in the | Presented in | Balance Sheet | ||||||||||||||||||||||
Assets | Consolidated | the | |||||||||||||||||||||||
Balance | Consolidated | ||||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||||
Instruments | Collateral | ||||||||||||||||||||||||
Received | |||||||||||||||||||||||||
(Pledged) | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Interest rate swaps | $ | 2,531 | $ | — | $ | 2,531 | $ | (2,531 | ) | $ | — | $ | — | ||||||||||||
Swaptions | 2,082 | — | 2,082 | (2,082 | ) | — | — | ||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Total Assets | $ | 4,613 | $ | — | $ | 4,613 | $ | (4,613 | ) | $ | — | $ | — | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Repurchase agreements | $ | 261,302 | $ | — | $ | 261,302 | $ | (257,558 | ) | $ | (3,744 | ) | $ | — | |||||||||||
Interest rate swaps | 592 | — | 592 | (592 | ) | — | — | ||||||||||||||||||
Swaptions | — | — | — | — | — | — | |||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Total Liabilities | $ | 261,894 | $ | — | $ | 261,894 | $ | (258,150 | ) | $ | (3,744 | ) | $ | — | |||||||||||
The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income as of December 31, 2014 and 2013 (dollars in thousands): | |||||||||||||||||||||||||
Year Ended | Two Month Period | ||||||||||||||||||||||||
December 31, | October 31, 2012 | ||||||||||||||||||||||||
(date of inception) to | |||||||||||||||||||||||||
Non-Hedge Derivatives | Income Statement Location | 2014 | 2013 | 31-Dec-12 | |||||||||||||||||||||
Interest rate swaps | Realized gain/(loss) on derivative assets | $ | (686 | ) | $ | 53 | $ | — | |||||||||||||||||
Swaptions | Realized gain/(loss) on derivative assets | (1,910 | ) | — | — | ||||||||||||||||||||
TBAs | Realized gain/(loss) on derivative assets | 60 | 17 | — | |||||||||||||||||||||
Treasury futures | Realized gain/(loss) on derivative assets | (107 | ) | (11 | ) | — | |||||||||||||||||||
Total | $ | (2,643 | ) | $ | 59 | $ | — |
Fair_Value
Fair Value | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Fair Value | Note 9 – Fair Value | ||||||||||||||||
Fair Value Measurements | |||||||||||||||||
ASC 820, Fair Value Measurements and Disclosure, (“ASC 820”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. | |||||||||||||||||
ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels | |||||||||||||||||
Level 1 | Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. | ||||||||||||||||
Level 2 | Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. | ||||||||||||||||
Level 3 | Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. | ||||||||||||||||
Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. | |||||||||||||||||
RMBS | |||||||||||||||||
The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheet. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at December 31, 2014. | |||||||||||||||||
Excess MSRs | |||||||||||||||||
The Company holds a portfolio of Excess MSRs that are reported at fair value on the consolidated balance sheet. Although Excess MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its Excess MSRs as Level 3 fair value assets at December 31, 2014. | |||||||||||||||||
Derivative Instruments | |||||||||||||||||
The Company may enter into a variety of derivative financial instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions TBAs and treasury futures. The Company utilizes third-party pricing providers to value its financial derivative instruments. The Company classified 100% of the derivative instruments as Level 2 fair value assets and liabilities at December 31, 2014. | |||||||||||||||||
The Company also enters into certain other derivative financial instruments, such as interest rate futures and TBAs. These instruments are similar in form to the Company’s RMBS available for sale securities and the Company utilizes a pricing service to value TBAs. | |||||||||||||||||
The Company has netting arrangements in place with certain derivative counterparties pursuant to standard documentation developed by the ISDA. Additionally, both the Company and the counterparties are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis (dollars in thousands). | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Carrying Value | ||||||||||||||
Assets | |||||||||||||||||
RMBS | |||||||||||||||||
Fannie Mae | $ | — | $ | 268,588 | $ | — | $ | 268,588 | |||||||||
Freddie Mac | — | 140,476 | — | 140,476 | |||||||||||||
CMOs | — | 6,939 | — | 6,939 | |||||||||||||
RMBS total | — | 416,003 | — | 416,003 | |||||||||||||
Derivative assets | |||||||||||||||||
Interest rate swaps | — | 46 | — | 46 | |||||||||||||
Interest rate swaptions | — | 291 | — | 291 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Treasury Futures | — | 5 | — | 5 | |||||||||||||
Derivative assets total | — | 342 | — | 342 | |||||||||||||
Excess MSRs | — | — | 91,322 | 91,322 | |||||||||||||
Total Assets | $ | — | $ | 416,345 | $ | 91,322 | $ | 507,667 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | |||||||||||||||||
Interest rate swaps | — | 4,045 | — | 4,045 | |||||||||||||
TBAs | — | 43 | — | 43 | |||||||||||||
Treasury Futures | — | — | — | — | |||||||||||||
Derivative liabilities total | — | 4,088 | — | 4,088 | |||||||||||||
Total Liabilities | $ | — | $ | 4,088 | $ | — | $ | 4,088 | |||||||||
At December 31, 2013 | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Carrying Value | ||||||||||||||
Assets | |||||||||||||||||
RMBS | |||||||||||||||||
Fannie Mae | $ | — | $ | 176,756 | $ | — | $ | 176,756 | |||||||||
Freddie Mac | — | 110,223 | — | 110,223 | |||||||||||||
CMOs | — | — | — | — | |||||||||||||
RMBS total | — | 286,979 | — | 286,979 | |||||||||||||
Derivative assets | |||||||||||||||||
Interest rate swaps | — | 2,531 | — | 2,531 | |||||||||||||
Interest rate swaptions | — | 2,082 | — | 2,082 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Derivative assets total | — | 4,613 | — | 4,613 | |||||||||||||
Excess MSRs | — | — | 110,306 | 110,306 | |||||||||||||
Total Assets | $ | — | $ | 291,592 | $ | 110,306 | $ | 401,898 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | |||||||||||||||||
Interest rate swaps | — | 592 | — | 592 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Derivative liabilities total | — | 592 | — | 592 | |||||||||||||
Total Liabilities | $ | — | $ | 592 | $ | — | $ | 592 | |||||||||
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 December 31, 2014, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. | |||||||||||||||||
Level 3 Assets and Liabilities | |||||||||||||||||
The valuation of Level 3 instruments requires significant judgment by the third-party pricing providers and/or management. The third-party pricing providers and/or 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 the third-party pricing provider in the absence of market information. Assumptions used by the third-party pricing provider due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The Company’s management reviews all valuations that are based on pricing information received from a third-party pricing provider. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. | |||||||||||||||||
In connection with the above, CHMI estimates the fair value of its Excess MSRs based on internal pricing models rather than quotations, and compares these internal models against models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of December 31, 2014 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 (Excess MSRs) measured at fair value on a recurring basis (dollars in thousands). | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Level 3 (A) | |||||||||||||||||
Pool 1 | Pool 2 | Pool 2014 | Total | ||||||||||||||
Balance at December 31, 2013 | $ | 66,110 | $ | 44,196 | $ | — | $ | 110,306 | |||||||||
Unrealized gain included in Net Income | (3,260 | ) | 129 | (433 | ) | (3,564 | ) | ||||||||||
Purchases and principal paydowns | |||||||||||||||||
Purchases | — | — | 2,181 | 2,181 | |||||||||||||
Proceeds from principal paydowns | (8,052 | ) | (9,387 | ) | (162 | ) | (17,601 | ) | |||||||||
Balance at December 31, 2014 | $ | 54,798 | $ | 34,938 | $ | 1,586 | $ | 91,322 | |||||||||
At December 31, 2013 | |||||||||||||||||
Level 3 (A) | |||||||||||||||||
Pool 1 | Pool 2 | Total | |||||||||||||||
Balance at December 31, 2012 | $ | — | $ | — | $ | — | |||||||||||
Gain Included in Net Income | 7,417 | 8,230 | 15,647 | ||||||||||||||
Purchases and principal paydowns | |||||||||||||||||
Purchases | 60,561 | 38,407 | 98,968 | ||||||||||||||
Proceeds from principal paydowns | (1,868 | ) | (2,441 | ) | (4,309 | ) | |||||||||||
Balance at December 31, 2013 | $ | 66,110 | $ | 44,196 | $ | 110,306 | |||||||||||
(A) | Includes the recapture agreement for each respective pool. | ||||||||||||||||
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Excess MSRs classified as Level 3 fair value assets at December 31, 2014 (dollars in thousands): | |||||||||||||||||
Excess MSR Information | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted | |||||||||||||
Average | |||||||||||||||||
Pool 1 | $ | 54,798 | Discounted cash flow | Constant prepayment speed | 6.2% - 12.8% | 10.4 | % | ||||||||||
Uncollected Payments | 2.8% - 7.0% | 6.3 | % | ||||||||||||||
Discount rate | — | 12.2 | % | ||||||||||||||
Pool 2 | $ | 34,938 | Discounted cash flow | Constant prepayment speed | 11.9% - 21.9% | 16.7 | % | ||||||||||
Uncollected Payments | 9.6% - 15.2% | 13.7 | % | ||||||||||||||
Discount rate | — | 17.3 | % | ||||||||||||||
Pool 2014 | $ | 1,586 | Discounted cash flow | Constant prepayment speed | 8.7% - 15.4% | 12.3 | % | ||||||||||
Uncollected Payments | 2.7% - 6.0% | 5.4 | % | ||||||||||||||
Discount rate | — | 11.8 | % | ||||||||||||||
TOTAL | $ | 91,322 | Discounted cash flow | ||||||||||||||
At December 31, 2013 | |||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted | |||||||||||||
Average | |||||||||||||||||
Pool 1 | $ | 66,110 | Discounted cash flow | Constant prepayment speed | 4.8% - 9.6% | 7.4 | % | ||||||||||
Uncollected Payments | 2.0% - 7.0% | 6.2 | % | ||||||||||||||
Discount rate | — | 14.3 | % | ||||||||||||||
Pool 2 | $ | 44,196 | Discounted cash flow | Constant prepayment speed | 9.7% - 23.6% | 18 | % | ||||||||||
Uncollected Payments | 2.0% - 12.0% | 9.2 | % | ||||||||||||||
Discount rate | — | 18.4 | % | ||||||||||||||
TOTAL | $ | 110,306 | Discounted cash flow | ||||||||||||||
(A) | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. | ||||||||||||||||
Fair Value of Financial Instruments | |||||||||||||||||
In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. | |||||||||||||||||
• | RMBS available for sale securities, Excess MSRs, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote. | ||||||||||||||||
• | Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. | ||||||||||||||||
• | The carrying value of repurchase agreements that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term. |
Commitments_and_Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 10 — Commitments and Contingencies |
The following represents commitments and contingencies of the Company as of December 31, 2014: | |
Management Agreement | |
CHMI pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the Management Fee, refer to Note 7. | |
Legal and Regulatory | |
From time to time the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimable. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements, and, therefore, no accrual is required as of December 31, 2014. | |
Commitments to Purchase RMBS | |
In 2014, the Company entered into forward TBA purchase commitments with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the underlying mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade is not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date. At December 31, 2014, the Company is not obligated to purchase any securities and is obligated to sell approximately $43,000 of Fannie Mae securities. | |
Acknowledgement Agreement | |
In order to acquire Excess MSRs related to FHA and VA mortgage loans that have been pooled into securities guaranteed by Ginnie Mae, we must enter into an acknowledgment agreement with Ginnie Mae and the Ginnie Mae-approved issuer/servicer for the mortgage loans if we want to have Ginnie Mae acknowledge our interest in the relevant mortgage loans. Under that agreement, if the issuer/servicer fails to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, we would be obligated to make that payment even though the payment may relate to loans for which we do not own any Excess MSRs. | |
Our failure to make that payment could result in liability to Ginnie Mae for any losses or claims that it suffers as a result. In addition, under an acknowledgment agreement with Fannie Mae or Freddie Mac, we could be exposed to potential liability in the event of a payment default by an approved seller/servicer. However, the amount of the potential liability to Fannie Mae or Freddie Mac would be limited to the mortgage loans in the servicing portfolio identified in the acknowledgment agreement. | |
Management has determined, as of December 31, 2014, the risk of material loss to be remote and thus no liability has been accrued. |
Repurchase_Agreements
Repurchase Agreements | 12 Months Ended | ||||||||
Dec. 31, 2014 | |||||||||
Banking and Thrift [Abstract] | |||||||||
Repurchase Agreements | Note 11 – Repurchase Agreements | ||||||||
At December 31, 2014, the Company had outstanding approximately $362.1 million of repurchase agreements with a weighted average borrowing rate of 0.38%, after giving effect to the Company’s interest rate swaps, and weight average remaining maturities of 63 days. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4). | |||||||||
The amount of collateral at December 31, 2014 and 2013, including cash, was $383.5 million and $275.6 million, respectively. | |||||||||
At December 31, 2014 and 2013, the repurchase agreements had the following remaining maturities and weighted average rates (dollars in thousands): | |||||||||
Repurchase Agreements | |||||||||
At December 31, 2014 | |||||||||
Repurchase Agreements | Weighted Average Rate | ||||||||
Less than one month | $ | 78,988 | 0.38 | % | |||||
One to three months | 208,533 | 0.38 | % | ||||||
Greater than three months | 74,605 | 0.38 | % | ||||||
Total/Weighted Average | $ | 362,126 | 0.38 | % | |||||
At December 31, 2013 | |||||||||
Repurchase Agreements | Weighted Average Rate | ||||||||
Less than one month | $ | 134,001 | 0.39 | % | |||||
One to three months | 127,301 | 0.4 | % | ||||||
Greater than three months | — | — | |||||||
Total/Weighted Average | $ | 261,302 | 0.39 | % |
Summarized_Quarterly_Results
Summarized Quarterly Results | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||
Summarized Quarterly Results | Note 12 – Summarized Quarterly Results (Unaudited) | ||||||||||||||||
The following tables present information about the Company’s quarterly operating results (dollars in thousands): | |||||||||||||||||
2014 | |||||||||||||||||
December 31, | September 30, | June 30, | March 31, | ||||||||||||||
Income | |||||||||||||||||
Interest income | $ | 6,569 | $ | 6,244 | $ | 6,137 | $ | 6,011 | |||||||||
Interest expense | 1,190 | 1,164 | 1,006 | 947 | |||||||||||||
Net interest income | 5,379 | 5,080 | 5,131 | 5,064 | |||||||||||||
Other income (loss) | |||||||||||||||||
Realized gain (loss) on RMBS, net | 166 | 48 | 75 | (349 | ) | ||||||||||||
Realized gain (loss) on derivatives, net | (1,359 | ) | (1,025 | ) | (187 | ) | (72 | ) | |||||||||
Unrealized gain (loss) on derivatives, net | (2,441 | ) | 2,025 | (2,705 | ) | (3,443 | ) | ||||||||||
Change in fair value of investments in excess mortgage servicing rights | (536 | ) | (2,050 | ) | (1,648 | ) | 670 | ||||||||||
Total Income | 1,209 | 4,078 | 666 | 1,870 | |||||||||||||
Expenses | |||||||||||||||||
General and administrative expense | 1,191 | 743 | 641 | 453 | |||||||||||||
Management fee to affiliate | 682 | 520 | 679 | 679 | |||||||||||||
Total Expenses | 1,873 | 1,263 | 1,320 | 1,132 | |||||||||||||
Income (Loss) Before Income Taxes | (664 | ) | 2,815 | (654 | ) | 738 | |||||||||||
(Benefit from) provision for corporate business taxes | (146 | ) | 1 | 2 | 3 | ||||||||||||
Net Income (Loss) | (518 | ) | 2,814 | (656 | ) | 735 | |||||||||||
Net income allocated to LTIP-OP Units | 5 | (26 | ) | 3 | (4 | ) | |||||||||||
Income Applicable to Common Stockholders | $ | (513 | ) | $ | 2,788 | $ | (653 | ) | $ | 731 | |||||||
Income (Loss) Per Share of Common Stock | |||||||||||||||||
Basic | $ | (0.07 | ) | $ | 0.37 | $ | (0.09 | ) | $ | 0.1 | |||||||
Diluted | $ | (0.07 | ) | $ | 0.37 | $ | (0.09 | ) | $ | 0.1 | |||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||||||
Basic | 7,508,549 | 7,506,560 | 7,504,572 | 7,502,505 | |||||||||||||
Diluted | 7,509,543 | 7,509,543 | 7,509,543 | 7,506,680 | |||||||||||||
2013 | |||||||||||||||||
December 31, | September 30, | June 30, | March 31, | ||||||||||||||
Income | |||||||||||||||||
Interest income | $ | 5,475 | $ | — | $ | — | $ | — | |||||||||
Interest expense | 867 | — | — | — | |||||||||||||
Net interest income | 4,608 | — | — | — | |||||||||||||
Other income (loss) | |||||||||||||||||
Realized gain (loss) on RMBS, net | (527 | ) | — | — | — | ||||||||||||
Realized gain on derivatives, net | 59 | — | — | — | |||||||||||||
Unrealized gain (loss) on derivatives, net | 2,747 | — | — | — | |||||||||||||
Change in fair value of investments in excess mortgage servicing rights | 15,647 | — | — | — | |||||||||||||
Total Income | 22,534 | — | — | — | |||||||||||||
Expenses | |||||||||||||||||
General and administrative expense | 609 | 36 | 36 | 35 | |||||||||||||
Management fee to affiliate | 616 | — | — | — | |||||||||||||
Total Expenses | 1,225 | 36 | 36 | 35 | |||||||||||||
Income (Loss) Before Income Taxes | 21,309 | (36 | ) | (36 | ) | (35 | ) | ||||||||||
(Benefit from) provision for corporate business taxes | — | — | — | — | |||||||||||||
Net Income (Loss) | 21,309 | (36 | ) | (36 | ) | (35 | ) | ||||||||||
Net income allocated to LTIP-OP Units | (107 | ) | — | — | — | ||||||||||||
Income Applicable to Common Stockholders | $ | 21,202 | $ | (36 | ) | $ | (36 | ) | $ | (35 | ) | ||||||
Income (Loss) Per Share of Common Stock | |||||||||||||||||
Basic | $ | 3.14 | $ | (36.00 | ) | $ | (36.00 | ) | $ | (35.00 | ) | ||||||
Diluted | $ | 3.14 | $ | (36.00 | ) | $ | (36.00 | ) | $ | (35.00 | ) | ||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||||||
Basic | 6,750,100 | 1,000 | 1,000 | 1,000 | |||||||||||||
Diluted | 6,750,100 | 1,000 | 1,000 | 1,000 |
Income_Taxes
Income Taxes | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||||||
Income Taxes | Note 13 – Income Taxes | ||||||||||||||||||||||||
For the period October 31, 2012 (date of inception) to December 31, 2012, the Company was taxable as a corporation and, as such, was subject to federal, state and local taxation. The Company incurred certain expenses during the period but had not commenced operations. The Company recorded a deferred tax asset of $10,000 related to these start-up expenses. Given that the Company was in its first year of operations and did not expected to realize the benefits of the deferred tax asset, management concluded that a full valuation allowance was required. | |||||||||||||||||||||||||
On January 1, 2013, the Company elected to be taxed as a Subchapter S corporation and, as such, all federal tax liabilities are the responsibility of the Company’s sole stockholder, Mr. Stanley Middleman. The Company had no state and local income tax liability for the period that it was taxed as a Subchapter S corporation. On October 2, 2013, the Company elected to revoke its Subchapter S election and elected to be taxed as a REIT under the Code for US federal income tax purposes for its year ended December 31, 2013. | |||||||||||||||||||||||||
As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its net taxable income to stockholders and does not engage in prohibited transactions. The Company intends to comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. For the taxable years ended December 31, 2014 and 2013, the Company qualified to be taxed as a REIT for US federal income tax purposes. | |||||||||||||||||||||||||
The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company classifies interest and penalties on material uncertain tax positions, if any, as interest expense and operating expense, respectively, in its consolidated statements of income. The Company has not incurred any interest or penalties. | |||||||||||||||||||||||||
Effective January 1, 2014, Solutions has elected to be taxed as a corporation for Federal income tax purposes; prior to this date, Solutions was a disregarded entity for Federal income tax purposes. Solutions has jointly elected with the Company, the ultimate beneficial owner of Solutions, to be treated as a taxable REIT subsidiary. Solutions files a separate tax return and is fully taxed as a standalone U.S. C-Corporation. | |||||||||||||||||||||||||
The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company records interest and penalties related to income taxes within the provision for income taxes in the statement of income. | |||||||||||||||||||||||||
The components of the Company’s income tax expense are as follows for the periods indicated below: | |||||||||||||||||||||||||
Two Month Period | |||||||||||||||||||||||||
Year Ended December 31, | October 31, 2012 | ||||||||||||||||||||||||
(date of inception) to | |||||||||||||||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||||||||||||||
Current federal income tax expense (benefit) | $ | — | $ | — | $ | — | |||||||||||||||||||
Current state income tax expense (benefit) | 6 | — | — | ||||||||||||||||||||||
Deferred federal income tax expense (benefit) | (124 | ) | — | — | |||||||||||||||||||||
Deferred state income tax expense (benefit) | (22 | ) | — | — | |||||||||||||||||||||
Total Income Tax Expense (Benefit) | $ | (140 | ) | $ | — | $ | — | ||||||||||||||||||
The following is a reconciliation of the statutory federal rate to the effective rate, for the years ended December 31, 2014 and 2013 and the two month period October 31, 2012 (date of inception) to December 31, 2012: | |||||||||||||||||||||||||
Two Month Period October 31, 2012 | |||||||||||||||||||||||||
Year Ended December 31, | (date of inception) to | ||||||||||||||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||||||||||||||
$ | % | $ | % | $ | % | ||||||||||||||||||||
Computed income tax expense at federal rate | $ | 824 | 35 | % | $ | 7,383 | 35 | % | $ | — | — | % | |||||||||||||
State taxes, net of federal benefit, if applicable | 92 | 3.9 | % | — | — | % | — | — | % | ||||||||||||||||
Permanent differences in taxable income from GAAP net income | 4,874 | 207.2 | % | (6,071 | ) | (28.8 | %) | — | — | % | |||||||||||||||
REIT income not subject to tax | (5,930 | ) | (252.0 | %) | (1,312 | ) | (6.2 | %) | — | — | % | ||||||||||||||
(Benefit from) provision for income taxes/Effective Tax Rate(A) | $ | (140 | ) | (5.9 | %) | $ | — | — | % | $ | — | — | % | ||||||||||||
(A) | The (benefit from) provision for income taxes is recorded at the taxable subsidiary level. | ||||||||||||||||||||||||
The Company’s consolidated balance sheets, at December 31, 2014 and 2013, contain the following current and deferred tax liabilities and assets, which are recorded at the taxable REIT subsidiary level: | |||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Income taxes (payable) receivable | |||||||||||||||||||||||||
Federal income taxes (payable) receivable | $ | — | $ | — | |||||||||||||||||||||
State and local income taxes (payable) receivable | — | — | |||||||||||||||||||||||
Income taxes (payable) receivable, net | — | — | |||||||||||||||||||||||
Deferred tax assets (liabilities) | |||||||||||||||||||||||||
Deferred tax asset | 146 | — | |||||||||||||||||||||||
Deferred tax liability | — | — | |||||||||||||||||||||||
Total net deferred tax assets (liabilities) | 146 | — | |||||||||||||||||||||||
Total tax assets and liabilities, net | $ | 146 | $ | — | |||||||||||||||||||||
The deferred tax asset described above primarily consisted of net operating loss carryforwards and acquisition related costs capitalized for tax purposes. Solutions’ federal and state net operating loss carryforwards are approximately $154,000 and are available to offset future taxable income and expire in 2034. Management has determined that it is more likely than not that all of Solutions’ deferred tax assets will be realized in the future. Accordingly, no valuation allowance has been established at December 31, 2014. The deferred tax asset is included in Receivables and other assets in the consolidated balance sheets. | |||||||||||||||||||||||||
Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. |
Subsequent_Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 14 – Subsequent Events |
On February 10, 2015, Solutions signed a definitive agreement to purchase the stock of Aurora Financial Group, Inc. (Aurora), a licensed mortgage origination and servicing company. Aurora is an approved issuer of Government National Mortgage Association (Ginnie Mae) and an approved seller/servicer for Federal National Mortgage Association (Fannie Mae) and Federal Home Loan Mortgage Corporation (Freddie Mac). Aurora, at December 31, 2014 owns servicing rights on approximately $700 million of Fannie Mae and Freddie Mac RMBS. | |
The closing is contingent on several conditions, including obtaining regulatory and agency approvals. If the acquisition of Aurora does not close for any reason by June 30, 2015, Aurora is obligated to sell its servicing portfolio to Freedom Mortgage Corporation at the price set forth in Solutions’ agreement with Aurora. In turn, Freedom Mortgage Corporation is obligated to repay Solutions for the $360,121 down payment it made to Seller. | |
The Company has evaluated subsequent events for recognition and disclosure through March 12, 2015 the date the financial statements were available to be issued. Based on this evaluation, the Company has determined that no additional events are required to be recognized or disclosed in the financial statements |
Basis_of_Presentation_and_Sign1
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
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”). The consolidated financial statements include the accounts of CHMI and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. CHMI 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. | |||||||||||||
Emerging Growth Company Status | Emerging Growth Company Status | ||||||||||||
On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard. | |||||||||||||
Use of Estimates | Use of Estimates | ||||||||||||
The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of fair value of RMBS, Excess MSRs, derivatives and credit losses including the period of time during which the Company anticipates an increase in the fair values of securities sufficient to recover unrealized losses on those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reporting period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature; actual results could differ from its estimates and differences may be material. | |||||||||||||
Risks and Uncertainties | Risks and Uncertainties | ||||||||||||
In the normal course of business, CHMI encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on CHMI’s investments in RMBS, Excess MSRs 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, Excess MSRs and derivatives due to changes in interest rates, spreads or other market factors. | |||||||||||||
Additionally, CHMI 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. | |||||||||||||
Additionally, CHMI is subject to significant tax risks. If CHMI were to fail to qualify as a REIT in any taxable year, CHMI would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, CHMI 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 – CHMI classifies its investments in RMBS as securities available for sale. Although CHMI generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income, to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below. | |||||||||||||
Fair value is determined under the guidance of ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of RMBS, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing providers and other applicable market data. The Company’s application of ASC 820 guidance is discussed in further detail at Note 9. | |||||||||||||
Investment securities transactions are recorded on the trade date. Purchases of newly-issued securities are recorded when all significant uncertainties regarding the characteristics of the securities are removed, generally shortly before settlement date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS purchased or sold in the year ended December 31, 2014 were settled. | |||||||||||||
Revenue Recognition – Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately $1.3 million in interest income is receivable at December 31, 2014, and is classified as “Receivables and other assets” on the consolidated balance sheet. | |||||||||||||
Impairment – CHMI evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the security is adjusted. However, if an entity does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI should be separated into (i) the estimated amount relating to credit loss, or credit component, and (ii) the amount relating to all other factors, or non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. | |||||||||||||
Investments in Excess MSRs | Investments in Excess MSRs | ||||||||||||
Classification – Upon acquisition, CHMI elected the fair value option to record its investments in Excess MSRs in order to provide users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, CHMI records a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs, management used an internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (see Note 9). | |||||||||||||
Revenue Recognition – Excess MSRs are aggregated into pools as applicable; each pool of Excess MSRs is accounted for in the aggregate. Interest income for Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which will be recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the interest income recognized for a reporting period would be measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis is recorded on the income statement as “Unrealized gain (loss) on investments in excess mortgage servicing rights.” 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 Excess MSRs and, therefore, may differ from their effective yields. Approximately $2.7 million in Excess MSR cash flow is receivable at December 31, 2014, and is classified as “Receivables and other assets” on the consolidated balance sheet. | |||||||||||||
Derivatives and Hedging Activities | Derivatives and Hedging Activities | ||||||||||||
Derivative transactions include swaps, swaptions, treasury futures and TBAs. Swaps and swaptions are entered into by CHMI solely for interest rate risk management purposes. TBAs are used for duration risk and basis risk management purposes. The decision of whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs among others. In determining whether to economically hedge a risk, CHMI may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by CHMI. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. | |||||||||||||
CHMI’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. CHMI reduces such risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. Finally, CHMI’s interest rate swaps are required to be cleared on an exchange, which further mitigates but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties. | |||||||||||||
Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheet and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under contracts may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. CHMI reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value is reflected on a net counterparty basis when CHMI believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8. | |||||||||||||
Revenue Recognition – With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized and unrealized gains (losses) on derivatives, net” in the consolidated statements of income. These derivatives may, to some extent, be economically effective as hedges. | |||||||||||||
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash | ||||||||||||
CHMI considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against CHMI’s derivatives and/or repurchase agreements. | |||||||||||||
Due to Affiliate | Due to Affiliate | ||||||||||||
This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. | |||||||||||||
Income Taxes | Income Taxes | ||||||||||||
As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its net taxable income to stockholders and does not engage in prohibited transactions. The Company intends to comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. For the taxable years ended December 31, 2014 and 2013, the Company qualified to be taxed as a REIT for US federal income tax purposes. | |||||||||||||
The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company classifies interest and penalties on material uncertain tax positions, if any, as interest expense and operating expense, respectively, in its consolidated statements of income. The Company has not incurred any interest or penalties. | |||||||||||||
Effective January 1, 2014, Solutions has elected to be taxed as a corporation for Federal income tax purposes; prior to this date, Solutions was a disregarded entity for Federal income tax purposes. Solutions has jointly elected with the Company, the ultimate beneficial owner of Solutions, to be treated as a taxable REIT subsidiary. | |||||||||||||
The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company records interest and penalties related to income taxes within the provision for income taxes in the statement of income. | |||||||||||||
Realized Gain (Loss) on RMBS and Derivatives, Net | Realized Gain (Loss) on RMBS and Derivatives, Net | ||||||||||||
The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): | |||||||||||||
Year Ended | Two Month Period | ||||||||||||
December 31, | October 31, 2012 | ||||||||||||
(date of inception) to | |||||||||||||
2014 | 2013 | December 31, 2013 | |||||||||||
Realized gain (loss) on RMBS, net | |||||||||||||
Gain on RMBS | $ | 303 | $ | 116 | $ | — | |||||||
Loss on RMBS | (363 | ) | (643 | ) | — | ||||||||
Net realized gain (loss) on RMBS | (60 | ) | (527 | ) | — | ||||||||
Realized gain (loss) on derivatives, net | (2,643 | ) | 59 | — | |||||||||
Unrealized gain (loss) on derivatives, net | (6,564 | ) | 2,747 | — | |||||||||
Total | $ | (9,267 | ) | $ | 2,279 | $ | — | ||||||
Repurchase Agreements and Interest Expense | Repurchase Agreements and Interest Expense | ||||||||||||
CHMI finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis. | |||||||||||||
Dividends Payable | Dividends Payable | ||||||||||||
Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on the accounting date, which causes an offsetting reduction in retained earnings. | |||||||||||||
Comprehensive Income | Comprehensive Income | ||||||||||||
Comprehensive income is defined as the change in equity of a business enterprise during a period from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For CHMI’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. | |||||||||||||
Offering Costs | Offering Costs | ||||||||||||
Offering costs of approximately $1.9 million incurred in connection with the Company’s IPO and concurrent private placement were reflected as a reduction of additional paid-in-capital. Costs incurred which were not directly associated with the completion of the IPO and concurrent private placement were expensed as incurred. Offering costs incurred in connection with the IPO and concurrent private placement included, among others, the fees and disbursements of the Company’s counsel, the costs of printing the prospectus for the IPO, the fees paid to apply to list the Company’s common stock and all filing fees paid in connection with the IPO. However, the manager agreed to pay the underwriting discounts and commissions and a structuring fee of 0.375% of the gross proceeds of the IPO and concurrent private placement without reimbursement from the Company. | |||||||||||||
Offering costs of approximately $154,000 incurred in connection with the preparation and filing of the Company’s shelf registration statement on Form S-3 and the resale shelf registration statement on Form S-3 covering the shares of the Company’s common stock acquired on the concurrent private placement in 2013, each of which was declared effective on December 3, 2014 were expensed in December 2014. Offering costs included, among others, the fees and disbursements of the Company’s external counsel, and the costs of printing. | |||||||||||||
Recent Accounting Pronouncements | Recent Accounting Pronouncements | ||||||||||||
Offsetting Assets and Liabilities – In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-11, Disclosures about Offsetting Assets and Liabilities, which amends ASC 210, Balance Sheet. The amendments in ASU 2011-11 enhance disclosures required by U.S. GAAP by requiring improved information about financial instruments and derivative instruments that are either (1) offset in accordance with ASC 210, Balance Sheet or ASC 815, Other Presentation Matters or (2) subject to an enforceable master netting arrangement or similar agreement. ASU 2011-11 is effective for the first interim or annual period beginning on or after January 1, 2013. In January 2013, the FASB issued ASU 2013-01, Balance Sheet: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of ASU 2011-11 to certain derivatives, repurchase agreements and securities lending arrangements. ASU 2013-01 is also effective for the first interim or annual period beginning on or after January 1, 2013. Adopting both ASU 2011-11 and ASU 2013-01 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share, but did impact financial statement disclosures – refer to Note 8. | |||||||||||||
Comprehensive Income – In February 2013, the FASB issued ASU 2013-02, Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income, which amends ASC 320, Comprehensive Income. ASU 2013-02 provides disclosure guidance on amounts reclassified out of Accumulated Other Comprehensive Income by component. The new guidance does not change the requirement to present items of net income and OCI and totals for net income, OCI and comprehensive income in a single continuous statement or two consecutive statements. ASU 2013-02 is effective for the first interim or annual period beginning on or after December 15, 2012. Adopting ASU 2013-02 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Liabilities – In March 2013, the FASB issued ASU 2013-04, Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date, which amends ASC 405, Liabilities. ASU 2013-04 requires additional disclosures about joint and several liability arrangements and requires the Company to measure obligations resulting from joint and several liability arrangements as the sum of the amount the Company agreed to pay on the basis of its arrangement among its co-obligors and any additional amount the Company expects to pay on behalf of its co-obligors. ASU 2013-04 is effective for the fiscal years and interim periods beginning after December 15, 2013. Adopting ASU 2013-04 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Presentation of an Unrecognized Tax Benefit – In July 2013, the FASB issued ASU 2013-11, Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists, which amends ASC 740, Income Taxes. ASU 2013-11 requires an entity to present an unrecognized tax benefit as a reduction of a deferred tax asset for a net operating loss (“NOL”) carryforward or similar tax loss or tax credit carryforward, rather than as a liability when (1) the uncertain tax position would not reduce the NOL or other carryforward under the tax law of the applicable jurisdiction, and (2) the entity intends to use the deferred tax asset for that purpose. ASU 2013-11 does not require any new recurring disclosures. It is effective prospectively for fiscal years, and interim periods within those years, beginning on or after December 15, 2013, with early adoption permitted. Adopting ASU 2013-11 did not have any impact on the Company’s consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Revenue Recognition – In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers, which supersedes the revenue recognition requirements in ASC 606, Revenue Recognition, and most industry-specific guidance throughout the Industry Topics of the Codification. The core principle of ASU 2014-09 is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. ASU 2014-09 is effective for fiscal years and interim periods beginning after December 15, 2016 and early adoption is not permitted. Management is evaluating the impact of ASU 2014-09; however, it is not expected to have a significant impact on the Company’s financial condition, results of operations or earnings per share. | |||||||||||||
Transfers and Servicing – In June 2014, the FASB issued ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, which amends ASC 860, Transfers and Servicing. ASU 2014-11, which affects all entities that enter into repurchase-to-maturity transactions or repurchase financings, requires two accounting changes. First, ASU 2014-11 changes the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, ASU 2014-11 requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, which will result in secured borrowing accounting for the repurchase agreement. ASU 2014-11 also requires disclosures for certain transactions comprising (1) a transfer of a financial asset accounted for as a sale and (2) an agreement with the same transferee entered into in contemplation of the initial transfer that results in the transferor retaining substantially all of the exposure to the economic return on the transferred financial asset throughout the term of the transaction. For those transactions outstanding at the reporting date, the transferor is required to disclose additional information by type of transaction. ASU 2014-11 also requires certain disclosures for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions that are accounted for as secured borrowings. The accounting changes in ASU 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. For public business entities, the disclosure for certain transactions accounted for as a sale is required to be presented for interim and annual periods beginning after December 15, 2014, and the disclosure for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions accounted for as secured borrowings is required to be presented for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015, with early adoption prohibited. Currently, management does not anticipate that the adoption of ASU 2014-11 will have a material impact on the consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Stock Compensation – In June 2014, the FASB issued ASU 2014-12, Accounting for Share-Based Payments When the Terms of an Award Provide that a Performance Target Could be Achieved After the Requisite Service Period, which amends ASC 718, Compensation – Stock Compensation. ASU 2014-12 requires that a performance target that affects vesting and that could be achieved after the requisite service period be treated as a performance condition. A reporting entity should apply existing guidance in ASC 718 as it relates to awards with performance conditions that affect vesting to account for such awards. As such, the performance target should not be reflected in estimating the grant-date fair value of the award. Compensation cost should be recognized in the period in which it becomes probable that the performance target will be achieved and should represent the compensation cost attributable to the period(s) for which the requisite service has already been rendered. If the performance target becomes probable of being achieved before the end of the requisite service period, the remaining unrecognized compensation cost should be recognized prospectively over the remaining requisite service period. The total amount of compensation cost recognized during and after the requisite service period should reflect the number of awards that are expected to vest and should be adjusted to reflect those awards that ultimately vest. The requisite service period ends when the employee can cease rendering service and still be eligible to vest in the award if the performance target is achieved. As indicated in the definition of vest, the stated vesting period (which includes the period in which the performance target could be achieved) may differ from the requisite service period. ASU 2014-12 is effective for annual periods and interim periods within those annual periods beginning after December 15, 2015, with early adoption permitted. Currently, management does not anticipate that the adoption of ASU 2014-12 will have a material impact on the consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Going Concern – In August 2014, the FASB issued ASU 2014-15, Disclosures of Uncertainties about an Entity’s Ability to Continue as a Going Concern, which amends ASC Subtopic 205-40, Presentation of Financial Statements – Going Concern. ASU 2014-15 provides guidance in GAAP about management’s responsibility to evaluate whether there are conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern within one year after the date that the financial statements are issued and to provide related footnote disclosures of the relevant facts and circumstances. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and for annual periods and interim periods thereafter, with early adoption permitted. Currently, management does not anticipate that the adoption of ASU 2014-15 will have a material impact on the consolidated financial condition, results of operations or earnings per share. | |||||||||||||
Consolidation | Pursuant to ASC 810, Consolidation, changes in a parent’s ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. | ||||||||||||
Earnings per Share | In accordance with ASC 260, Earnings Per Share, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares. During 2014, the Company had no dilutive common stock equivalents. |
Basis_of_Presentation_and_Sign2
Basis of Presentation and Significant Accounting Policies (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
Accounting Policies [Abstract] | |||||||||||||
Summary of Gains and Losses on Sale of RMBS and Derivatives | The following table presents gains and losses on sales of RMBS and derivatives for the periods indicated (dollars in thousands): | ||||||||||||
Year Ended | Two Month Period | ||||||||||||
December 31, | October 31, 2012 | ||||||||||||
(date of inception) to | |||||||||||||
2014 | 2013 | December 31, 2013 | |||||||||||
Realized gain (loss) on RMBS, net | |||||||||||||
Gain on RMBS | $ | 303 | $ | 116 | $ | — | |||||||
Loss on RMBS | (363 | ) | (643 | ) | — | ||||||||
Net realized gain (loss) on RMBS | (60 | ) | (527 | ) | — | ||||||||
Realized gain (loss) on derivatives, net | (2,643 | ) | 59 | — | |||||||||
Unrealized gain (loss) on derivatives, net | (6,564 | ) | 2,747 | — | |||||||||
Total | $ | (9,267 | ) | $ | 2,279 | $ | — |
Segment_Reporting_Tables
Segment Reporting (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||
Summary of Financial Data on CHMI's Segments with Reconciliation | Summary financial data on CHMI’s segments is given below, together with a reconciliation to the same data for CHMI as a whole (dollars in thousands): | ||||||||||||||||
Servicing | RMBS | All Other | Total | ||||||||||||||
Related | |||||||||||||||||
Assets | |||||||||||||||||
Income Statement | |||||||||||||||||
Year Ended December 31, 2014 | |||||||||||||||||
Interest income | $ | 14,318 | $ | 10,643 | $ | — | $ | 24,961 | |||||||||
Interest expense | — | 4,307 | — | 4,307 | |||||||||||||
Net interest income | 14,318 | 6,336 | — | 20,654 | |||||||||||||
Other income | (3,564 | ) | (9,267 | ) | — | (12,831 | ) | ||||||||||
Other operating expenses | — | — | 5,588 | 5,588 | |||||||||||||
(Benefit from) provision for corporate business taxes | (140 | ) | — | — | (140 | ) | |||||||||||
Net income (loss) | $ | 10,894 | $ | (2,931 | ) | $ | (5,588 | ) | $ | 2,375 | |||||||
Year Ended December 31, 2013 | |||||||||||||||||
Interest income | $ | 3,552 | $ | 1,923 | $ | — | (A) | $ | 5,475 | ||||||||
Interest expense | — | 867 | — | 867 | |||||||||||||
Net interest income | 3,552 | 1,056 | — | 4,608 | |||||||||||||
Other income | 15,647 | 2,279 | — | 17,926 | |||||||||||||
Other operating expenses | — | — | 1,332 | 1,332 | |||||||||||||
Corporate business taxes | — | — | — | — | |||||||||||||
Net income (loss) | $ | 19,199 | $ | 3,335 | $ | (1,332 | ) | $ | 21,202 | ||||||||
Two Month Period October 31, 2012 (date of inception) to December 31, 2012 | |||||||||||||||||
Other operating expenses | $ | — | $ | — | $ | 25 | $ | 25 | |||||||||
Corporate business taxes | — | — | — | — | |||||||||||||
Net income (loss) | $ | — | $ | — | $ | (25 | ) | $ | (25 | ) | |||||||
Balance Sheet | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Investments | $ | 91,322 | $ | 416,003 | $ | — | $ | 507,325 | |||||||||
Other assets | 2,713 | 8,920 | 12,968 | 24,601 | |||||||||||||
Total assets | 94,035 | 424,923 | 12,968 | 531,926 | |||||||||||||
Debt | — | 362,126 | — | 362,126 | |||||||||||||
Other liabilities | — | 4,319 | 5,163 | 9,482 | |||||||||||||
Total liabilities | — | 366,445 | 5,163 | 371,608 | |||||||||||||
GAAP book value | $ | 94,035 | $ | 58,478 | $ | 7,805 | $ | 160,318 | |||||||||
December 31, 2013 | |||||||||||||||||
Investments | $ | 110,306 | $ | 286,979 | $ | — | $ | 397,285 | |||||||||
Other assets | 2,828 | 16,494 | 10,791 | 30,113 | |||||||||||||
Total assets | 113,134 | 303,473 | 10,791 | 427,398 | |||||||||||||
Debt | — | 261,302 | — | 261,302 | |||||||||||||
Other liabilities | — | 690 | 4,284 | 4,974 | |||||||||||||
Total liabilities | — | 261,992 | 4,284 | 266,276 | |||||||||||||
GAAP book value | $ | 113,134 | $ | 41,481 | $ | 6,507 | $ | 161,122 | |||||||||
(A) | de minimis ($192 rounds to $0) |
Investments_in_RMBS_Tables
Investments in RMBS (Tables) | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||
Summary of CHMI's RMBS Investments | The following is a summary of CHMI’s RMBS at December 31, 2014 and 2013, all of which are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired, for which there was none for the current year-ended (dollars in thousands): | ||||||||||||||||||||||||||||||||||||||||
Available for Sale Securities | |||||||||||||||||||||||||||||||||||||||||
At December 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Gross Unrealized | Number | Weighted Average | |||||||||||||||||||||||||||||||||||||
Face | Book | Gains | Losses | Carrying | of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||
Value | Value | Value(A) | Securities | (Years)(C) | |||||||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 267,516 | $ | 263,924 | $ | 4,674 | $ | (10 | ) | $ | 268,588 | 33 | (B) | 3.89 | % | 3.51 | % | 24 | |||||||||||||||||||||||
Freddie Mac | 144,064 | 138,333 | 2,143 | — | 140,476 | 17 | (B) | 3.75 | % | 2.99 | % | 23 | |||||||||||||||||||||||||||||
CMOs | 25,964 | 7,105 | — | (166 | ) | 6,939 | 4 | Unrated | 4.18 | % | 12.65 | % | 14 | ||||||||||||||||||||||||||||
Total/Weighted Average | $ | 437,544 | $ | 409,362 | $ | 6,817 | $ | (176 | ) | $ | 416,003 | 54 | 3.85 | % | 3.49 | % | 23 | ||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Gross Unrealized | Number | Weighted Average | |||||||||||||||||||||||||||||||||||||
Face | Book | Gains | Losses | Carrying | of | Rating | Coupon | Yield | Maturity | ||||||||||||||||||||||||||||||||
Value | Value | Value(A) | Securities | (Years)(C) | |||||||||||||||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 173,015 | $ | 179,556 | $ | — | $ | (2,800 | ) | $ | 176,756 | 18 | (B) | 3.86 | % | 3.61 | % | 25 | |||||||||||||||||||||||
Freddie Mac | 109,431 | 112,456 | — | (2,233 | ) | 110,223 | 11 | (B) | 3.62 | % | 3.22 | % | 24 | ||||||||||||||||||||||||||||
Total/Weighted Average | $ | 282,446 | $ | 292,012 | $ | — | $ | (5,033 | ) | $ | 286,979 | 29 | 3.77 | % | 3.46 | % | 24 | ||||||||||||||||||||||||
(A) | See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. | ||||||||||||||||||||||||||||||||||||||||
(B) | CHMI used an implied AAA rating for the FNMA/FHLMC securities. | ||||||||||||||||||||||||||||||||||||||||
(C) | The weighted average maturity is based on the timing of expected principal reduction on the assets. No individual security matures within 10 years. | ||||||||||||||||||||||||||||||||||||||||
Summary of CHMI's Securities in an Unrealized Loss Position | The following tables summarize CHMI’s securities in an unrealized loss position as of December 31, 2014 (dollars in thousands): | ||||||||||||||||||||||||||||||||||||||||
Securities in an Unrealized Loss Position | |||||||||||||||||||||||||||||||||||||||||
At December 31, 2014 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Book | Gross | Carrying | Number | Weighted Average | |||||||||||||||||||||||||||||||||||
Face | Value | Unrealized | Value(A) | of | |||||||||||||||||||||||||||||||||||||
Value | Losses | Securities | Rating | Coupon | Yield | Maturity | |||||||||||||||||||||||||||||||||||
(Years)(C) * | |||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 35,404 | $ | 16,946 | $ | (176 | ) | $ | 16,770 | 5 | (B) | 3.78 | % | 7.21 | % | 23 | |||||||||||||||||||||||||
Twelve or More Months | — | — | — | — | — | — | % | — | % | — | |||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 35,404 | $ | 16,946 | $ | (176 | ) | $ | 16,770 | 5 | 3.78 | % | 7.21 | % | 23 | ||||||||||||||||||||||||||
At December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||
Asset Type | Original | Book | Gross | Carrying | Number | Weighted Average | |||||||||||||||||||||||||||||||||||
Face | Value | Unrealized | Value(A) | of | |||||||||||||||||||||||||||||||||||||
Value | Losses | Securities | Rating | Coupon | Yield | Maturity | |||||||||||||||||||||||||||||||||||
(Years)(C)* | |||||||||||||||||||||||||||||||||||||||||
Less than Twelve Months | $ | 282,446 | $ | 292,012 | $ | (5,033 | ) | $ | 286,979 | 29 | (B) | 3.77 | % | 3.46 | % | 24 | |||||||||||||||||||||||||
Twelve or More Months | — | — | — | — | — | — | % | — | % | — | |||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 282,446 | $ | 292,012 | $ | (5,033 | ) | $ | 286,979 | 29 | 3.77 | % | 3.46 | % | 24 | ||||||||||||||||||||||||||
(A) | See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities. | ||||||||||||||||||||||||||||||||||||||||
(B) | CHMI used an implied AAA rating for the FNMA/FHLMC securities. | ||||||||||||||||||||||||||||||||||||||||
(C) | The weighted average maturity is based on the timing of expected principal reduction on the assets. | ||||||||||||||||||||||||||||||||||||||||
* | The Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. |
Investments_in_Excess_MSRs_Tab
Investments in Excess MSRs (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Summary of Company's Excess MSRs | The following is a summary of the Company’s Excess MSRs (dollars in thousands): | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Unpaid | Amortized | Carrying | Weighted | Weighted | Changes in | ||||||||||||||||||||
Principal | Cost Basis(A) | Value(B) | Average | Average | Fair Value | ||||||||||||||||||||
Balance | Coupon | Maturity | Recorded in | ||||||||||||||||||||||
(Years)(C) | Other Income | ||||||||||||||||||||||||
(Loss)(D) | |||||||||||||||||||||||||
Pool 1 | $ | 8,715,747 | $ | 47,741 | $ | 54,187 | 3.51 | % | 27 | $ | (2,889 | ) | |||||||||||||
Pool 1 - Recapture Agreement | — | 2,900 | 611 | (371 | ) | ||||||||||||||||||||
Pool 2 | 8,475,975 | 24,025 | 33,676 | 2.77 | % | 27.8 | 2,011 | ||||||||||||||||||
Pool 2 - Recapture Agreement | — | 2,554 | 1,262 | (1,882 | ) | ||||||||||||||||||||
Pool 2014 | 308,562 | 2,019 | 1,586 | 3.71 | % | 28.4 | (433 | ) | |||||||||||||||||
Pool 2014 - Recapture Agreement | — | — | — | — | |||||||||||||||||||||
Total | $ | 17,500,284 | $ | 79,239 | $ | 91,322 | 3.16 | % | 27.4 | $ | (3,564 | ) | |||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Unpaid | Amortized | Carrying | Weighted | Weighted | Changes in | ||||||||||||||||||||
Principal | Cost Basis(A) | Value(B) | Average | Average | Fair Value | ||||||||||||||||||||
Balance | Coupon | Maturity | Recorded in | ||||||||||||||||||||||
(Years)(C) | Other Income | ||||||||||||||||||||||||
(Loss)(D) | |||||||||||||||||||||||||
Pool 1 | $ | 9,823,250 | $ | 55,793 | $ | 65,128 | 3.51 | % | 27.9 | $ | 9,335 | ||||||||||||||
Pool 1 - Recapture Agreement | 2,900 | 982 | (1,918 | ) | |||||||||||||||||||||
Pool 2 | 10,226,679 | 33,410 | 41,050 | 2.64 | % | 28.3 | 7,640 | ||||||||||||||||||
Pool 2 - Recapture Agreement | 2,554 | 3,146 | 590 | ||||||||||||||||||||||
Total | $ | 20,049,929 | $ | 94,657 | $ | 110,306 | 3.07 | % | 28.1 | $ | 15,647 | ||||||||||||||
(A) | The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. | ||||||||||||||||||||||||
(B) | Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). | ||||||||||||||||||||||||
(C) | The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. | ||||||||||||||||||||||||
(D) | The portion of the change in fair value of the recapture agreement relating to loans recaptured as of December 31, 2013 is reflected in the respective pool. | ||||||||||||||||||||||||
Summary of Geographic Distribution for States Representing 5% or Greater of Underlying Residential Mortgage Loans of Excess MSRs | The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Excess MSRs: | ||||||||||||||||||||||||
State | Percentage of Total Outstanding | ||||||||||||||||||||||||
Unpaid Principal Balance | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
California | 13.3 | % | |||||||||||||||||||||||
Texas | 10.1 | % | |||||||||||||||||||||||
Florida | 6.9 | % | |||||||||||||||||||||||
Virginia | 6.5 | % | |||||||||||||||||||||||
North Carolina | 5.7 | % | |||||||||||||||||||||||
Georgia | 5.3 | % | |||||||||||||||||||||||
Washington | 5.1 | % | |||||||||||||||||||||||
All other | 47.1 | % | |||||||||||||||||||||||
Total | 100 | % | |||||||||||||||||||||||
State | Percentage of Total Outstanding | ||||||||||||||||||||||||
Unpaid Principal Balance | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
California | 14.4 | % | |||||||||||||||||||||||
Texas | 10 | % | |||||||||||||||||||||||
Florida | 6.9 | % | |||||||||||||||||||||||
Virginia | 6.6 | % | |||||||||||||||||||||||
North Carolina | 5.6 | % | |||||||||||||||||||||||
Georgia | 5.3 | % | |||||||||||||||||||||||
Washington | 5.2 | % | |||||||||||||||||||||||
Colorado | 5 | % | |||||||||||||||||||||||
All other | 41 | % | |||||||||||||||||||||||
Total | 100 | % |
Equity_and_Earnings_per_Share_
Equity and Earnings per Share (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Equity [Abstract] | |||||||||||||||||
Information about Company's 2013 Plan | The following tables present certain information about the Company’s 2013 Plan as of December 31, 2014 and 2013: | ||||||||||||||||
Equity Incentive Plan Information | |||||||||||||||||
As of December 31, 2014 | |||||||||||||||||
Number of Securities Issued or to | Number of Securities Remaining Available | ||||||||||||||||
be Issued Upon Exercise of | For Future Issuance Under Equity | ||||||||||||||||
Outstanding Options, Warrants | Compensation Plans | ||||||||||||||||
and Rights | |||||||||||||||||
Equity compensation Plans Approved By Securityholders | 1,421,607 | ||||||||||||||||
LTIP-OP Units | 68,850 | ||||||||||||||||
Shares of Common Stock | 9,543 | ||||||||||||||||
Equity Compensation Plans Not Approved By Securityholders | |||||||||||||||||
As of December 31, 2013 | |||||||||||||||||
Number of Securities Issued or to | Number of Securities Remaining Available | ||||||||||||||||
be Issued Upon Exercise of | For Future Issuance Under Equity | ||||||||||||||||
Outstanding Options, Warrants | Compensation Plans | ||||||||||||||||
and Rights | |||||||||||||||||
Equity compensation Plans Approved By Securityholders | 1,462,500 | ||||||||||||||||
LTIP-OP Units | 37,500 | ||||||||||||||||
Equity Compensation Plans Not Approved By Securityholders | — | ||||||||||||||||
Schedule of Basic Net Earnings per Share of Common Stock | The following table presents basic net earnings per share of common stock for the years ended December 31, 2014 and 2013, and for the two month period from October 31, 2012 (date of inception) to December 31, 2012 (dollars in thousands, except per share data): | ||||||||||||||||
Year Ended | Two Month Period | ||||||||||||||||
December 31, | Ended December 31, | ||||||||||||||||
2014 | 2013 | 2012 | |||||||||||||||
Numerator: | |||||||||||||||||
Net income attributable to common stockholders and participating securities for basic earnings per share | $ | 2,375 | $ | 21,202 | $ | (25 | ) | ||||||||||
Net income allocable to common stockholders | $ | 2,353 | $ | 21,095 | $ | (25 | ) | ||||||||||
Denominator: | |||||||||||||||||
Weighted average common shares outstanding | 7,505,546 | 1,688,275 | 1,000 | ||||||||||||||
Weighted average diluted shares outstanding | 7,508,827 | 1,688,275 | 1,000 | ||||||||||||||
Basic and Dilutive: | |||||||||||||||||
Basic earnings per share | $ | 0.31 | $ | 12.5 | $ | (25.00 | ) | ||||||||||
Diluted earnings per share | $ | 0.31 | $ | 12.5 | $ | (25.00 | ) | ||||||||||
Summary of Repurchased Shares of Common Stock | For the years ended December 31, 2014 and 2013, we repurchased shares of our common stock as follows: | ||||||||||||||||
Period | Total Number of | Average Price Paid | Total Number of | Maximum Approximate | |||||||||||||
Shares Purchased | Per Share | Shares Purchased as | Dollar Value of Shares | ||||||||||||||
Part of Publicity | that May Yet Be | ||||||||||||||||
Announced Plans of | Purchased Under the | ||||||||||||||||
Programs | Plan or Program | ||||||||||||||||
2013 | 1,000 | (A) | $ | 1 | — | — | |||||||||||
2014 | — | — | — | — | |||||||||||||
Total | 1,000 | $ | 1 | — | — | ||||||||||||
(A) | In connection with our initial capitalization, our non-executive Chairman of the Board, Stanley Middleman, purchased 1,000 shares of our common stock for total cash consideration of $1,000. On October 9, 2013, we repurchased these shares from Mr. Middleman for $1,000. |
Transactions_with_Affiliates_a1
Transactions with Affiliates and Affiliated Entities (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2014 | |||||||||||||
Text Block [Abstract] | |||||||||||||
Reimbursement of Expenses Incurred | “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): | ||||||||||||
Two Month Period | |||||||||||||
Year Ended | October 31, 2012 | ||||||||||||
December 31, | (date of inception) to | ||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||
Management fees | $ | 2,150 | $ | 549 | $ | — | |||||||
Expense reimbursement | 410 | 67 | — | ||||||||||
Total | $ | 2,560 | $ | 616 | $ | — |
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Summary of Outstanding Notional Amounts of Derivative Instruments | The following table summarizes the outstanding notional amounts of derivative instruments as of December 31, 2014 and 2013 (dollars in thousands): | ||||||||||||||||||||||||
Non-hedge derivatives | December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Notional amount of interest rate swaps | $ | 224,100 | $ | 171,700 | |||||||||||||||||||||
Notional amount of swaptions | 105,000 | 125,000 | |||||||||||||||||||||||
Notional amount of TBAs, net | — | 4,800 | |||||||||||||||||||||||
Notional amount of Treasury Futures | 8,000 | — | |||||||||||||||||||||||
Total notional amount | $ | 337,100 | $ | 301,500 | |||||||||||||||||||||
Summary of Information about Company's Interest Rate Swap Agreements | The following table presents information about the Company’s interest rate swap agreements as of December 31, 2014 and 2013 (dollars in thousands): | ||||||||||||||||||||||||
Weighted | Notional | Weighted | Weighted | Weighted | |||||||||||||||||||||
Average | Amount | Average Pay | Average | Average Years | |||||||||||||||||||||
Maturity | Rate | Receive Rate | to Maturity | ||||||||||||||||||||||
December 31, 2014 | 2020 | $ | 224,100 | 1.84 | % | 0.23 | % | 5.4 | |||||||||||||||||
December 31, 2013 | 2020 | $ | 171,700 | 1.95 | % | 0.24 | % | 6.7 | |||||||||||||||||
Summary of Assets and Liabilities Subject to Master Netting Arrangements or Similar Agreements | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of December 31, 2014 and 2013 (dollars in thousands): | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Gross | Gross | Net Amounts | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
Amounts of | Amounts | of Assets | in the Consolidated | ||||||||||||||||||||||
Recognized | Offset in the | Presented in | Balance Sheet | ||||||||||||||||||||||
Assets or | Consolidated | the | |||||||||||||||||||||||
Liabilities | Balance | Consolidated | |||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | Financial | Cash | |||||||||||||||||||||||
Instruments | Collateral | ||||||||||||||||||||||||
Received | |||||||||||||||||||||||||
(Pledged) | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Interest rate swaps | $ | 46 | $ | — | $ | 46 | $ | (46 | ) | $ | — | $ | — | ||||||||||||
Swaptions | 291 | — | 291 | (291 | ) | — | — | ||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Treasury futures | 5 | — | 5 | (5 | ) | (89 | ) | ||||||||||||||||||
Total Assets | $ | 342 | $ | — | $ | 342 | $ | (342 | ) | $ | (89 | ) | $ | — | |||||||||||
Liabilities | |||||||||||||||||||||||||
Repurchase agreements | $ | 362,126 | $ | — | $ | 362,126 | $ | (359,270 | ) | $ | (2,856 | ) | $ | — | |||||||||||
Interest rate swaps | 4,045 | — | 4,045 | (43 | ) | (4,002 | ) | — | |||||||||||||||||
Swaptions | — | — | — | — | — | — | |||||||||||||||||||
TBAs | 43 | — | 43 | (43 | ) | — | — | ||||||||||||||||||
Treasury futures | — | ||||||||||||||||||||||||
Total Liabilities | $ | 366,214 | $ | — | $ | 366,214 | $ | (359,356 | ) | $ | (6,858 | ) | $ | — | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Gross | Gross | Net Amounts | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | of Assets | in the Consolidated | ||||||||||||||||||||||
Recognized | Offset in the | Presented in | Balance Sheet | ||||||||||||||||||||||
Assets | Consolidated | the | |||||||||||||||||||||||
Balance | Consolidated | ||||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||||
Instruments | Collateral | ||||||||||||||||||||||||
Received | |||||||||||||||||||||||||
(Pledged) | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||
Interest rate swaps | $ | 2,531 | $ | — | $ | 2,531 | $ | (2,531 | ) | $ | — | $ | — | ||||||||||||
Swaptions | 2,082 | — | 2,082 | (2,082 | ) | — | — | ||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Total Assets | $ | 4,613 | $ | — | $ | 4,613 | $ | (4,613 | ) | $ | — | $ | — | ||||||||||||
Liabilities | |||||||||||||||||||||||||
Repurchase agreements | $ | 261,302 | $ | — | $ | 261,302 | $ | (257,558 | ) | $ | (3,744 | ) | $ | — | |||||||||||
Interest rate swaps | 592 | — | 592 | (592 | ) | — | — | ||||||||||||||||||
Swaptions | — | — | — | — | — | — | |||||||||||||||||||
TBAs | — | — | — | — | — | — | |||||||||||||||||||
Total Liabilities | $ | 261,894 | $ | — | $ | 261,894 | $ | (258,150 | ) | $ | (3,744 | ) | $ | — | |||||||||||
Summary of Realized Gain (Loss) Related to Derivatives | The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income as of December 31, 2014 and 2013 (dollars in thousands): | ||||||||||||||||||||||||
Year Ended | Two Month Period | ||||||||||||||||||||||||
December 31, | October 31, 2012 | ||||||||||||||||||||||||
(date of inception) to | |||||||||||||||||||||||||
Non-Hedge Derivatives | Income Statement Location | 2014 | 2013 | 31-Dec-12 | |||||||||||||||||||||
Interest rate swaps | Realized gain/(loss) on derivative assets | $ | (686 | ) | $ | 53 | $ | — | |||||||||||||||||
Swaptions | Realized gain/(loss) on derivative assets | (1,910 | ) | — | — | ||||||||||||||||||||
TBAs | Realized gain/(loss) on derivative assets | 60 | 17 | — | |||||||||||||||||||||
Treasury futures | Realized gain/(loss) on derivative assets | (107 | ) | (11 | ) | — | |||||||||||||||||||
Total | $ | (2,643 | ) | $ | 59 | $ | — |
Fair_Value_Tables
Fair Value (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Fair Value Disclosures [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 (dollars in thousands). | ||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Carrying Value | ||||||||||||||
Assets | |||||||||||||||||
RMBS | |||||||||||||||||
Fannie Mae | $ | — | $ | 268,588 | $ | — | $ | 268,588 | |||||||||
Freddie Mac | — | 140,476 | — | 140,476 | |||||||||||||
CMOs | — | 6,939 | — | 6,939 | |||||||||||||
RMBS total | — | 416,003 | — | 416,003 | |||||||||||||
Derivative assets | |||||||||||||||||
Interest rate swaps | — | 46 | — | 46 | |||||||||||||
Interest rate swaptions | — | 291 | — | 291 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Treasury Futures | — | 5 | — | 5 | |||||||||||||
Derivative assets total | — | 342 | — | 342 | |||||||||||||
Excess MSRs | — | — | 91,322 | 91,322 | |||||||||||||
Total Assets | $ | — | $ | 416,345 | $ | 91,322 | $ | 507,667 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | |||||||||||||||||
Interest rate swaps | — | 4,045 | — | 4,045 | |||||||||||||
TBAs | — | 43 | — | 43 | |||||||||||||
Treasury Futures | — | — | — | — | |||||||||||||
Derivative liabilities total | — | 4,088 | — | 4,088 | |||||||||||||
Total Liabilities | $ | — | $ | 4,088 | $ | — | $ | 4,088 | |||||||||
At December 31, 2013 | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Carrying Value | ||||||||||||||
Assets | |||||||||||||||||
RMBS | |||||||||||||||||
Fannie Mae | $ | — | $ | 176,756 | $ | — | $ | 176,756 | |||||||||
Freddie Mac | — | 110,223 | — | 110,223 | |||||||||||||
CMOs | — | — | — | — | |||||||||||||
RMBS total | — | 286,979 | — | 286,979 | |||||||||||||
Derivative assets | |||||||||||||||||
Interest rate swaps | — | 2,531 | — | 2,531 | |||||||||||||
Interest rate swaptions | — | 2,082 | — | 2,082 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Derivative assets total | — | 4,613 | — | 4,613 | |||||||||||||
Excess MSRs | — | — | 110,306 | 110,306 | |||||||||||||
Total Assets | $ | — | $ | 291,592 | $ | 110,306 | $ | 401,898 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | |||||||||||||||||
Interest rate swaps | — | 592 | — | 592 | |||||||||||||
TBAs | — | — | — | — | |||||||||||||
Derivative liabilities total | — | 592 | — | 592 | |||||||||||||
Total Liabilities | $ | — | $ | 592 | $ | — | $ | 592 | |||||||||
Company's Level 3 Assets (Excess MSRs) Measured at Fair Value on Recurring Basis | The tables below present the reconciliation for the Company’s Level 3 assets (Excess MSRs) measured at fair value on a recurring basis (dollars in thousands). | ||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Level 3 (A) | |||||||||||||||||
Pool 1 | Pool 2 | Pool 2014 | Total | ||||||||||||||
Balance at December 31, 2013 | $ | 66,110 | $ | 44,196 | $ | — | $ | 110,306 | |||||||||
Unrealized gain included in Net Income | (3,260 | ) | 129 | (433 | ) | (3,564 | ) | ||||||||||
Purchases and principal paydowns | |||||||||||||||||
Purchases | — | — | 2,181 | 2,181 | |||||||||||||
Proceeds from principal paydowns | (8,052 | ) | (9,387 | ) | (162 | ) | (17,601 | ) | |||||||||
Balance at December 31, 2014 | $ | 54,798 | $ | 34,938 | $ | 1,586 | $ | 91,322 | |||||||||
At December 31, 2013 | |||||||||||||||||
Level 3 (A) | |||||||||||||||||
Pool 1 | Pool 2 | Total | |||||||||||||||
Balance at December 31, 2012 | $ | — | $ | — | $ | — | |||||||||||
Gain Included in Net Income | 7,417 | 8,230 | 15,647 | ||||||||||||||
Purchases and principal paydowns | |||||||||||||||||
Purchases | 60,561 | 38,407 | 98,968 | ||||||||||||||
Proceeds from principal paydowns | (1,868 | ) | (2,441 | ) | (4,309 | ) | |||||||||||
Balance at December 31, 2013 | $ | 66,110 | $ | 44,196 | $ | 110,306 | |||||||||||
(A) | Includes the recapture agreement for each respective pool. | ||||||||||||||||
Significant Unobservable Inputs Used in Fair Value Measurement | The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Excess MSRs classified as Level 3 fair value assets at December 31, 2014 (dollars in thousands): | ||||||||||||||||
Excess MSR Information | |||||||||||||||||
At December 31, 2014 | |||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted | |||||||||||||
Average | |||||||||||||||||
Pool 1 | $ | 54,798 | Discounted cash flow | Constant prepayment speed | 6.2% - 12.8% | 10.4 | % | ||||||||||
Uncollected Payments | 2.8% - 7.0% | 6.3 | % | ||||||||||||||
Discount rate | — | 12.2 | % | ||||||||||||||
Pool 2 | $ | 34,938 | Discounted cash flow | Constant prepayment speed | 11.9% - 21.9% | 16.7 | % | ||||||||||
Uncollected Payments | 9.6% - 15.2% | 13.7 | % | ||||||||||||||
Discount rate | — | 17.3 | % | ||||||||||||||
Pool 2014 | $ | 1,586 | Discounted cash flow | Constant prepayment speed | 8.7% - 15.4% | 12.3 | % | ||||||||||
Uncollected Payments | 2.7% - 6.0% | 5.4 | % | ||||||||||||||
Discount rate | — | 11.8 | % | ||||||||||||||
TOTAL | $ | 91,322 | Discounted cash flow | ||||||||||||||
At December 31, 2013 | |||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input (A) | Range | Weighted | |||||||||||||
Average | |||||||||||||||||
Pool 1 | $ | 66,110 | Discounted cash flow | Constant prepayment speed | 4.8% - 9.6% | 7.4 | % | ||||||||||
Uncollected Payments | 2.0% - 7.0% | 6.2 | % | ||||||||||||||
Discount rate | — | 14.3 | % | ||||||||||||||
Pool 2 | $ | 44,196 | Discounted cash flow | Constant prepayment speed | 9.7% - 23.6% | 18 | % | ||||||||||
Uncollected Payments | 2.0% - 12.0% | 9.2 | % | ||||||||||||||
Discount rate | — | 18.4 | % | ||||||||||||||
TOTAL | $ | 110,306 | Discounted cash flow | ||||||||||||||
(A) | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. |
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 12 Months Ended | ||||||||
Dec. 31, 2014 | |||||||||
Banking and Thrift [Abstract] | |||||||||
Remaining Maturities and Weighted Average Rates | At December 31, 2014 and 2013, the repurchase agreements had the following remaining maturities and weighted average rates (dollars in thousands): | ||||||||
Repurchase Agreements | |||||||||
At December 31, 2014 | |||||||||
Repurchase Agreements | Weighted Average Rate | ||||||||
Less than one month | $ | 78,988 | 0.38 | % | |||||
One to three months | 208,533 | 0.38 | % | ||||||
Greater than three months | 74,605 | 0.38 | % | ||||||
Total/Weighted Average | $ | 362,126 | 0.38 | % | |||||
At December 31, 2013 | |||||||||
Repurchase Agreements | Weighted Average Rate | ||||||||
Less than one month | $ | 134,001 | 0.39 | % | |||||
One to three months | 127,301 | 0.4 | % | ||||||
Greater than three months | — | — | |||||||
Total/Weighted Average | $ | 261,302 | 0.39 | % |
Summarized_Quarterly_Results_T
Summarized Quarterly Results (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||
Summary of Company's Quarterly Operating Results | The following tables present information about the Company’s quarterly operating results (dollars in thousands): | ||||||||||||||||
2014 | |||||||||||||||||
December 31, | September 30, | June 30, | March 31, | ||||||||||||||
Income | |||||||||||||||||
Interest income | $ | 6,569 | $ | 6,244 | $ | 6,137 | $ | 6,011 | |||||||||
Interest expense | 1,190 | 1,164 | 1,006 | 947 | |||||||||||||
Net interest income | 5,379 | 5,080 | 5,131 | 5,064 | |||||||||||||
Other income (loss) | |||||||||||||||||
Realized gain (loss) on RMBS, net | 166 | 48 | 75 | (349 | ) | ||||||||||||
Realized gain (loss) on derivatives, net | (1,359 | ) | (1,025 | ) | (187 | ) | (72 | ) | |||||||||
Unrealized gain (loss) on derivatives, net | (2,441 | ) | 2,025 | (2,705 | ) | (3,443 | ) | ||||||||||
Change in fair value of investments in excess mortgage servicing rights | (536 | ) | (2,050 | ) | (1,648 | ) | 670 | ||||||||||
Total Income | 1,209 | 4,078 | 666 | 1,870 | |||||||||||||
Expenses | |||||||||||||||||
General and administrative expense | 1,191 | 743 | 641 | 453 | |||||||||||||
Management fee to affiliate | 682 | 520 | 679 | 679 | |||||||||||||
Total Expenses | 1,873 | 1,263 | 1,320 | 1,132 | |||||||||||||
Income (Loss) Before Income Taxes | (664 | ) | 2,815 | (654 | ) | 738 | |||||||||||
(Benefit from) provision for corporate business taxes | (146 | ) | 1 | 2 | 3 | ||||||||||||
Net Income (Loss) | (518 | ) | 2,814 | (656 | ) | 735 | |||||||||||
Net income allocated to LTIP-OP Units | 5 | (26 | ) | 3 | (4 | ) | |||||||||||
Income Applicable to Common Stockholders | $ | (513 | ) | $ | 2,788 | $ | (653 | ) | $ | 731 | |||||||
Income (Loss) Per Share of Common Stock | |||||||||||||||||
Basic | $ | (0.07 | ) | $ | 0.37 | $ | (0.09 | ) | $ | 0.1 | |||||||
Diluted | $ | (0.07 | ) | $ | 0.37 | $ | (0.09 | ) | $ | 0.1 | |||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||||||
Basic | 7,508,549 | 7,506,560 | 7,504,572 | 7,502,505 | |||||||||||||
Diluted | 7,509,543 | 7,509,543 | 7,509,543 | 7,506,680 | |||||||||||||
2013 | |||||||||||||||||
December 31, | September 30, | June 30, | March 31, | ||||||||||||||
Income | |||||||||||||||||
Interest income | $ | 5,475 | $ | — | $ | — | $ | — | |||||||||
Interest expense | 867 | — | — | — | |||||||||||||
Net interest income | 4,608 | — | — | — | |||||||||||||
Other income (loss) | |||||||||||||||||
Realized gain (loss) on RMBS, net | (527 | ) | — | — | — | ||||||||||||
Realized gain on derivatives, net | 59 | — | — | — | |||||||||||||
Unrealized gain (loss) on derivatives, net | 2,747 | — | — | — | |||||||||||||
Change in fair value of investments in excess mortgage servicing rights | 15,647 | — | — | — | |||||||||||||
Total Income | 22,534 | — | — | — | |||||||||||||
Expenses | |||||||||||||||||
General and administrative expense | 609 | 36 | 36 | 35 | |||||||||||||
Management fee to affiliate | 616 | — | — | — | |||||||||||||
Total Expenses | 1,225 | 36 | 36 | 35 | |||||||||||||
Income (Loss) Before Income Taxes | 21,309 | (36 | ) | (36 | ) | (35 | ) | ||||||||||
(Benefit from) provision for corporate business taxes | — | — | — | — | |||||||||||||
Net Income (Loss) | 21,309 | (36 | ) | (36 | ) | (35 | ) | ||||||||||
Net income allocated to LTIP-OP Units | (107 | ) | — | — | — | ||||||||||||
Income Applicable to Common Stockholders | $ | 21,202 | $ | (36 | ) | $ | (36 | ) | $ | (35 | ) | ||||||
Income (Loss) Per Share of Common Stock | |||||||||||||||||
Basic | $ | 3.14 | $ | (36.00 | ) | $ | (36.00 | ) | $ | (35.00 | ) | ||||||
Diluted | $ | 3.14 | $ | (36.00 | ) | $ | (36.00 | ) | $ | (35.00 | ) | ||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||||||
Basic | 6,750,100 | 1,000 | 1,000 | 1,000 | |||||||||||||
Diluted | 6,750,100 | 1,000 | 1,000 | 1,000 |
Income_Taxes_Tables
Income Taxes (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||||||
Components of Income Tax Expense | The components of the Company’s income tax expense are as follows for the periods indicated below: | ||||||||||||||||||||||||
Two Month Period | |||||||||||||||||||||||||
Year Ended December 31, | October 31, 2012 | ||||||||||||||||||||||||
(date of inception) to | |||||||||||||||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||||||||||||||
Current federal income tax expense (benefit) | $ | — | $ | — | $ | — | |||||||||||||||||||
Current state income tax expense (benefit) | 6 | — | — | ||||||||||||||||||||||
Deferred federal income tax expense (benefit) | (124 | ) | — | — | |||||||||||||||||||||
Deferred state income tax expense (benefit) | (22 | ) | — | — | |||||||||||||||||||||
Total Income Tax Expense (Benefit) | $ | (140 | ) | $ | — | $ | — | ||||||||||||||||||
Reconciliation of Statutory Federal Rate to Effective Rate | The following is a reconciliation of the statutory federal rate to the effective rate, for the years ended December 31, 2014 and 2013 and the two month period October 31, 2012 (date of inception) to December 31, 2012: | ||||||||||||||||||||||||
Two Month Period October 31, 2012 | |||||||||||||||||||||||||
Year Ended December 31, | (date of inception) to | ||||||||||||||||||||||||
2014 | 2013 | December 31, 2012 | |||||||||||||||||||||||
$ | % | $ | % | $ | % | ||||||||||||||||||||
Computed income tax expense at federal rate | $ | 824 | 35 | % | $ | 7,383 | 35 | % | $ | — | — | % | |||||||||||||
State taxes, net of federal benefit, if applicable | 92 | 3.9 | % | — | — | % | — | — | % | ||||||||||||||||
Permanent differences in taxable income from GAAP net income | 4,874 | 207.2 | % | (6,071 | ) | (28.8 | %) | — | — | % | |||||||||||||||
REIT income not subject to tax | (5,930 | ) | (252.0 | %) | (1,312 | ) | (6.2 | %) | — | — | % | ||||||||||||||
(Benefit from) provision for income taxes/Effective Tax Rate(A) | $ | (140 | ) | (5.9 | %) | $ | — | — | % | $ | — | — | % | ||||||||||||
(A) | The (benefit from) provision for income taxes is recorded at the taxable subsidiary level. | ||||||||||||||||||||||||
Summary of Current and Deferred Tax Liabilities and Assets | The Company’s consolidated balance sheets, at December 31, 2014 and 2013, contain the following current and deferred tax liabilities and assets, which are recorded at the taxable REIT subsidiary level: | ||||||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
Income taxes (payable) receivable | |||||||||||||||||||||||||
Federal income taxes (payable) receivable | $ | — | $ | — | |||||||||||||||||||||
State and local income taxes (payable) receivable | — | — | |||||||||||||||||||||||
Income taxes (payable) receivable, net | — | — | |||||||||||||||||||||||
Deferred tax assets (liabilities) | |||||||||||||||||||||||||
Deferred tax asset | 146 | — | |||||||||||||||||||||||
Deferred tax liability | — | — | |||||||||||||||||||||||
Total net deferred tax assets (liabilities) | 146 | — | |||||||||||||||||||||||
Total tax assets and liabilities, net | $ | 146 | $ | — |
Organization_and_Operations_Ad
Organization and Operations - Additional Information (Detail) (USD $) | 0 Months Ended | 1 Months Ended | 2 Months Ended | 12 Months Ended | 0 Months Ended | |
Oct. 09, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 04, 2012 | |
Organization And Basis Of Presentation [Line Items] | ||||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | ||||
Preferred stock, shares authorized | 100,000,000 | 100,000,000 | ||||
Common stock, shares issued | 1,000 | 7,509,543 | 7,500,000 | |||
Common stock, par value | $0.01 | $0.01 | ||||
Preferred stock, par value | $0.01 | $0.01 | ||||
Date of commencement of operations | 9-Oct-13 | |||||
Common stock issued, shares | 7,500,000 | 7,500,000 | ||||
Common stock issued through initial public offering and concurrent private placement, price per share | $20 | |||||
Net proceeds from IPO and concurrent private placement | $148,100,000 | $1,000 | $180,000 | $148,153,000 | ||
Date of conducting IPO and concurrent private placement of common stock | 9-Oct-13 | |||||
Amount of repurchased shares | 1,000 | |||||
IPO [Member] | ||||||
Organization And Basis Of Presentation [Line Items] | ||||||
Common stock issued, shares | 6,500,000 | |||||
Private Placement [Member] | ||||||
Organization And Basis Of Presentation [Line Items] | ||||||
Common stock issued, shares | 1,000,000 | |||||
Stanley Middleman [Member] | ||||||
Organization And Basis Of Presentation [Line Items] | ||||||
Common stock issued, shares | 1,000 | |||||
Initial capital contribution by sole stockholder to CHMI | 1,000 | |||||
Amount of repurchased shares | $1,000 |
Basis_of_Presentation_and_Sign3
Basis of Presentation and Significant Accounting Policies - Additional Information (Detail) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Significant Accounting Policies [Line Items] | ||
Number of taxable years for disqualified from treatment as a REIT | 4 years | |
Income receivable | $4,556,000 | $4,142,000 |
Minimum percentage of net taxable income for distribution | 90.00% | |
Short-term debt, expiration period | 1 year | |
Interest rates of borrowings under repurchase agreements, description | Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. | |
Minimum percentage of REIT taxable income required for distribution | 90.00% | |
Expenses related to IPO incurred by the Manager | 1,900,000 | |
Percentage of underwriting discounts and commissions and structuring fee | 0.38% | |
Common stock offering costs | 154,000 | |
Agency RMBS Interest Income Identified as Receivable [Member] | ||
Significant Accounting Policies [Line Items] | ||
Income receivable | 1,300,000 | |
Excess Mortgage Servicing Rights Income Identified as Receivable [Member] | ||
Significant Accounting Policies [Line Items] | ||
Income receivable | $2,700,000 | |
Minimum [Member] | ||
Significant Accounting Policies [Line Items] | ||
Consolidate percentage of investment on entities | 50.00% | |
Maximum [Member] | ||
Significant Accounting Policies [Line Items] | ||
Period of short-term investment | 90 days |
Basis_of_Presentation_and_Sign4
Basis of Presentation and Significant Accounting Policies - Summary of Gains and Losses on Sale of RMBS and Derivatives (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Accounting Policies [Abstract] | |||||||
Gain on RMBS | $303 | $116 | |||||
Loss on RMBS | -363 | -643 | |||||
Net realized gain (loss) on RMBS | 166 | 48 | 75 | -349 | -527 | -60 | -527 |
Realized gain (loss) on derivatives, net | -1,359 | -1,025 | -187 | -72 | 59 | -2,643 | 59 |
Unrealized gain (loss) on derivatives, net | -2,441 | 2,025 | -2,705 | -3,443 | 2,747 | -6,564 | 2,747 |
Total | ($9,267) | $2,279 |
Segment_Reporting_Summary_of_F
Segment Reporting - Summary of Financial Data on CHMI's Segments with Reconciliation (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | |
Segment Reporting Information [Line Items] | ||||||||
Interest income | $24,961,000 | $5,475,000 | ||||||
Interest expense | 1,190,000 | 1,164,000 | 1,006,000 | 947,000 | 867,000 | 4,307,000 | 867,000 | |
Net interest income | 20,654,000 | 4,608,000 | ||||||
Other income | -12,831,000 | 17,926,000 | ||||||
Other operating expenses | 25,000 | 5,588,000 | 1,332,000 | |||||
(Benefit from) provision for corporate business taxes | -146,000 | 1,000 | 2,000 | 3,000 | -140,000 | |||
Net income (loss) | -25,000 | 2,375,000 | 21,202,000 | |||||
Investments | 507,325,000 | 397,285,000 | 507,325,000 | 397,285,000 | ||||
Other assets | 24,601,000 | 30,113,000 | 24,601,000 | 30,113,000 | ||||
Total Assets | 531,926,000 | 427,398,000 | 531,926,000 | 427,398,000 | ||||
Debt | 362,126,000 | 261,302,000 | 362,126,000 | 261,302,000 | ||||
Other liabilities | 9,482,000 | 4,974,000 | 9,482,000 | 4,974,000 | ||||
Total Liabilities | 371,608,000 | 266,276,000 | 371,608,000 | 266,276,000 | ||||
GAAP book value | 160,318,000 | 161,122,000 | 160,318,000 | 161,122,000 | ||||
Servicing Related Assets [Member] | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 14,318,000 | 3,552,000 | ||||||
Net interest income | 14,318,000 | 3,552,000 | ||||||
Other income | -3,564,000 | 15,647,000 | ||||||
(Benefit from) provision for corporate business taxes | -140,000 | |||||||
Net income (loss) | 10,894,000 | 19,199,000 | ||||||
Investments | 91,322,000 | 110,306,000 | 91,322,000 | 110,306,000 | ||||
Other assets | 2,713,000 | 2,828,000 | 2,713,000 | 2,828,000 | ||||
Total Assets | 94,035,000 | 113,134,000 | 94,035,000 | 113,134,000 | ||||
GAAP book value | 94,035,000 | 113,134,000 | 94,035,000 | 113,134,000 | ||||
RMBS [Member] | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 10,643,000 | 1,923,000 | ||||||
Interest expense | 4,307,000 | 867,000 | ||||||
Net interest income | 6,336,000 | 1,056,000 | ||||||
Other income | -9,267,000 | 2,279,000 | ||||||
Net income (loss) | -2,931,000 | 3,335,000 | ||||||
Investments | 416,003,000 | 286,979,000 | 416,003,000 | 286,979,000 | ||||
Other assets | 8,920,000 | 16,494,000 | 8,920,000 | 16,494,000 | ||||
Total Assets | 424,923,000 | 303,473,000 | 424,923,000 | 303,473,000 | ||||
Debt | 362,126,000 | 261,302,000 | 362,126,000 | 261,302,000 | ||||
Other liabilities | 4,319,000 | 690,000 | 4,319,000 | 690,000 | ||||
Total Liabilities | 366,445,000 | 261,992,000 | 366,445,000 | 261,992,000 | ||||
GAAP book value | 58,478,000 | 41,481,000 | 58,478,000 | 41,481,000 | ||||
Other Segments [Member] | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 192 | |||||||
Other operating expenses | 25,000 | 5,588,000 | 1,332,000 | |||||
Net income (loss) | -25,000 | -5,588,000 | -1,332,000 | |||||
Other assets | 12,968,000 | 10,791,000 | 12,968,000 | 10,791,000 | ||||
Total Assets | 12,968,000 | 10,791,000 | 12,968,000 | 10,791,000 | ||||
Other liabilities | 5,163,000 | 4,284,000 | 5,163,000 | 4,284,000 | ||||
Total Liabilities | 5,163,000 | 4,284,000 | 5,163,000 | 4,284,000 | ||||
GAAP book value | $7,805,000 | $6,507,000 | $7,805,000 | $6,507,000 |
Segment_Reporting_Summary_of_F1
Segment Reporting - Summary of Financial Data on CHMI's Segments with Reconciliation (Parenthetical) (Detail) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Segment Reporting Information [Line Items] | ||
Interest income | $24,961,000 | $5,475,000 |
Other Segments [Member] | ||
Segment Reporting Information [Line Items] | ||
Interest income | $192 |
Investments_in_RMBS_Summary_of
Investments in RMBS - Summary of CHMI's RMBS Investments (Detail) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Security | Security | |
Schedule of Available-for-sale Securities [Line Items] | ||
Original Face Value | $437,544 | |
Quantity | 282,446 | |
Book Value | 409,362 | 292,012 |
Gross Unrealized Gains | 6,817 | |
Gross Unrealized Losses | -176 | -5,033 |
Carrying Value | 416,003 | 286,979 |
Number of Securities | 54 | 29 |
Weighted Average Coupon | 3.85% | 3.77% |
Weighted Average Yield | 3.49% | 3.46% |
Weighted Average Maturity (Years) | 23 years | 24 years |
CMOs [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Original Face Value | 25,964 | |
Book Value | 7,105 | |
Gross Unrealized Losses | -166 | |
Carrying Value | 6,939 | |
Number of Securities | 4 | |
Weighted Average Rating | Unrated | |
Weighted Average Coupon | 4.18% | |
Weighted Average Yield | 12.65% | |
Weighted Average Maturity (Years) | 14 years | |
RMBS [Member] | Fannie Mae [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Original Face Value | 267,516 | |
Quantity | 173,015 | |
Book Value | 263,924 | 179,556 |
Gross Unrealized Gains | 4,674 | |
Gross Unrealized Losses | -10 | -2,800 |
Carrying Value | 268,588 | 176,756 |
Number of Securities | 33 | 18 |
Weighted Average Rating | (B) | (B) |
Weighted Average Coupon | 3.89% | 3.86% |
Weighted Average Yield | 3.51% | 3.61% |
Weighted Average Maturity (Years) | 24 years | 25 years |
RMBS [Member] | Freddie Mac [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Original Face Value | 144,064 | |
Quantity | 109,431 | |
Book Value | 138,333 | 112,456 |
Gross Unrealized Gains | 2,143 | |
Gross Unrealized Losses | -2,233 | |
Carrying Value | $140,476 | $110,223 |
Number of Securities | 17 | 11 |
Weighted Average Rating | (B) | (B) |
Weighted Average Coupon | 3.75% | 3.62% |
Weighted Average Yield | 2.99% | 3.22% |
Weighted Average Maturity (Years) | 23 years | 24 years |
Investments_in_RMBS_Summary_of1
Investments in RMBS - Summary of CHMI's RMBS Investments (Parenthetical) (Detail) (Maximum [Member]) | 12 Months Ended |
Dec. 31, 2014 | |
Maximum [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Available for sale securities, maturity period | 10 years |
Investments_in_RMBS_Additional
Investments in RMBS - Additional Information (Detail) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Collateral for repurchase agreements | $362,126,000 | $261,302,000 |
CHMI recorded other-than-temporary impairment charges | 0 | 0 |
RMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Collateral for repurchase agreements | $380,700,000 | $261,300,000 |
Investments_in_RMBS_Summary_of2
Investments in RMBS - Summary of CHMI's Securities in an Unrealized Loss Position (Detail) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Security | Security | |
Available For Sale Securities Continuous Unrealized Loss Position [Line Items] | ||
Original Face Value | $437,544 | |
Book Value | 409,362 | 292,012 |
Gross Unrealized Losses | -176 | -5,033 |
Carrying Value | 416,003 | 286,979 |
Number of Securities | 54 | 29 |
Weighted Average Coupon | 3.85% | 3.77% |
Weighted Average Yield | 3.49% | 3.46% |
Weighted Average Maturity (Years) | 23 years | 24 years |
Unrealized Loss Positions [Member] | ||
Available For Sale Securities Continuous Unrealized Loss Position [Line Items] | ||
Original Face Value | 35,404 | 282,446 |
Book Value | 16,946 | 292,012 |
Gross Unrealized Losses | -176 | -5,033 |
Carrying Value | 16,770 | 286,979 |
Number of Securities | 5 | 29 |
Weighted Average Coupon | 3.78% | 3.77% |
Weighted Average Yield | 7.21% | 3.46% |
Weighted Average Maturity (Years) | 23 years | 24 years |
Less than Twelve Months [Member] | Unrealized Loss Positions [Member] | ||
Available For Sale Securities Continuous Unrealized Loss Position [Line Items] | ||
Original Face Value | 35,404 | 282,446 |
Book Value | 16,946 | 292,012 |
Gross Unrealized Losses | -176 | -5,033 |
Carrying Value | $16,770 | $286,979 |
Number of Securities | 5 | 29 |
Weighted Average Rating | (B) | (B) |
Weighted Average Coupon | 3.78% | 3.77% |
Weighted Average Yield | 7.21% | 3.46% |
Weighted Average Maturity (Years) | 23 years | 24 years |
Investments_in_Excess_MSRs_Add
Investments in Excess MSRs - Additional Information (Detail) (USD $) | 12 Months Ended | 0 Months Ended | ||||
Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Feb. 28, 2014 | Dec. 31, 2013 | Oct. 31, 2013 | |
Investment In Excess Mortgage Servicing Rights [Line Items] | ||||||
Mortgage loans with an outstanding principal balance | $17,500,284,000 | $20,049,929,000 | ||||
Excess mortgage servicing amount, in basis points | 3.16% | 3.07% | ||||
State Concentration | 100.00% | 100.00% | ||||
Minimum [Member] | ||||||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||||||
State Concentration | 5.00% | |||||
Excess MSR Pool 1 [Member] | ||||||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||||||
Mortgage loans with an outstanding principal balance | 8,715,747,000 | 9,823,250,000 | 10,000,000,000 | |||
Weighted average mortgage servicing amount on unpaid balance, in basis points | 0.28% | |||||
Contractual amount for performing servicing functions, in basis points | 0.08% | |||||
Excess mortgage servicing amount, in basis points | 3.51% | 3.51% | 0.20% | |||
Excess mortgage servicing amount | 85.00% | |||||
Refinancings of loans in MSR Pool l | 60,600,000 | |||||
Percentage of freedom to co-invest in excess MSRs, pari passu | 15.00% | |||||
Entitled to a pro rata share | 85.00% | |||||
Excess MSR Pool 2 [Member] | ||||||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||||||
Mortgage loans with an outstanding principal balance | 8,475,975,000 | 10,226,679,000 | 10,700,000,000 | |||
Weighted average mortgage servicing amount on unpaid balance, in basis points | 0.44% | |||||
Contractual amount for performing servicing functions, in basis points | 0.10% | |||||
Excess mortgage servicing amount, in basis points | 2.77% | 2.64% | 0.34% | |||
Excess mortgage servicing amount | 50.00% | |||||
Refinancings of loans in MSR Pool l | 38,400,000 | |||||
Percentage of freedom to co-invest in excess MSRs, pari passu | 50.00% | |||||
Entitled to a pro rata share | 50.00% | |||||
Freedom Mortgage Excess Service Right [Member] | ||||||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||||||
Aggregate unpaid principal balance | 98,100,000 | 159,800,000 | 76,800,000 | |||
Excess mortgage servicing acquired, percentage | 85.00% | 71.00% | 85.00% | |||
Excess mortgage servicing acquired, amount | $661,000 | $946,000 | $567,000 |
Investments_in_Excess_MSRs_Sum
Investments in Excess MSRs - Summary of Company's Excess MSRs (Detail) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Oct. 31, 2013 |
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Unpaid Principal Balance | $17,500,284 | $20,049,929 | |
Securities in an Unrealized Loss Position, Amortized Cost Basis | 79,239 | 94,657 | |
Securities in an Unrealized Loss Position, Carrying Value | 91,322 | 110,306 | |
Securities in an Unrealized Loss Position, Weighted Average Coupon | 3.16% | 3.07% | |
Securities in an Unrealized Loss Position, Weighted Average Maturity (Years) | 27 years 4 months 24 days | 28 years 1 month 6 days | |
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | -3,564 | 15,647 | |
Excess MSR Pool 1 [Member] | |||
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Unpaid Principal Balance | 8,715,747 | 9,823,250 | 10,000,000 |
Securities in an Unrealized Loss Position, Amortized Cost Basis | 47,741 | 55,793 | |
Securities in an Unrealized Loss Position, Carrying Value | 54,187 | 65,128 | |
Securities in an Unrealized Loss Position, Weighted Average Coupon | 3.51% | 3.51% | 0.20% |
Securities in an Unrealized Loss Position, Weighted Average Maturity (Years) | 27 years | 27 years 10 months 24 days | |
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | -2,889 | 9,335 | |
MSR Pool 1 - Recapture Agreement [Member] | |||
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Amortized Cost Basis | 2,900 | 2,900 | |
Securities in an Unrealized Loss Position, Carrying Value | 611 | 982 | |
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | -371 | -1,918 | |
Excess MSR Pool 2 [Member] | |||
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Unpaid Principal Balance | 8,475,975 | 10,226,679 | 10,700,000 |
Securities in an Unrealized Loss Position, Amortized Cost Basis | 24,025 | 33,410 | |
Securities in an Unrealized Loss Position, Carrying Value | 33,676 | 41,050 | |
Securities in an Unrealized Loss Position, Weighted Average Coupon | 2.77% | 2.64% | 0.34% |
Securities in an Unrealized Loss Position, Weighted Average Maturity (Years) | 27 years 9 months 18 days | 28 years 3 months 18 days | |
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | 2,011 | 7,640 | |
MSR Pool 2 - Recapture Agreement [Member] | |||
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Amortized Cost Basis | 2,554 | 2,554 | |
Securities in an Unrealized Loss Position, Carrying Value | 1,262 | 3,146 | |
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | -1,882 | 590 | |
Excess Mortgage Service Rights Pool 2014 [Member] | |||
Investment In Excess Mortgage Servicing Rights [Line Items] | |||
Securities in an Unrealized Loss Position, Unpaid Principal Balance | 308,562 | ||
Securities in an Unrealized Loss Position, Amortized Cost Basis | 2,019 | ||
Securities in an Unrealized Loss Position, Carrying Value | 1,586 | ||
Securities in an Unrealized Loss Position, Weighted Average Coupon | 3.71% | ||
Securities in an Unrealized Loss Position, Weighted Average Maturity (Years) | 28 years 4 months 24 days | ||
Securities in an Unrealized Loss Position, Changes in Fair Value Recorded in Other Income (Loss) | ($433) |
Investments_in_Excess_MSRs_Sum1
Investments in Excess MSRs - Summary of Geographic Distribution for States Representing 5% or Greater of Underlying Residential Mortgage Loans of Excess MSRs (Detail) | Dec. 31, 2014 | Dec. 31, 2013 |
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 100.00% | 100.00% |
California [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 13.30% | 14.40% |
Texas [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 10.10% | 10.00% |
Florida [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 6.90% | 6.90% |
Virginia [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 6.50% | 6.60% |
North Carolina [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 5.70% | 5.60% |
Georgia [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 5.30% | 5.30% |
Washington [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 5.10% | 5.20% |
Colorado [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 5.00% | |
All Other [Member] | ||
Investment In Excess Mortgage Servicing Rights [Line Items] | ||
State Concentration | 47.10% | 41.00% |
Equity_and_Earnings_per_Share_1
Equity and Earnings per Share - Information about Company's 2013 Plan (Detail) (2013 Equity Compensation Plans Approved by Security Holders [Member]) | Dec. 31, 2014 | Dec. 31, 2013 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans | 1,421,607 | 1,462,500 |
Long Term Incentive Plan Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of Securities Issued or to be Issued Upon Exercise of Outstanding Options, Warrants and Rights | 68,850 | 37,500 |
Common Stock [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of Securities Issued or to be Issued Upon Exercise of Outstanding Options, Warrants and Rights | 9,543 |
Equity_and_Earnings_per_Share_2
Equity and Earnings per Share - Equity Incentive Plan - Additional Information (Detail) (USD $) | 0 Months Ended | 12 Months Ended | 0 Months Ended | ||
Dec. 31, 2014 | Jun. 10, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Jan. 27, 2014 | |
Individual | |||||
Long Term Incentive Plan Units [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 31,350 | 37,500 | |||
Number of anniversaries years of the grant date | 3 years | 3 years | |||
Aggregate grant date fair value LTIP-OP units | $606,000 | $750,000 | |||
Price of the Company's common stock on the grant date | $19.33 | $20 | |||
Number of individuals granted units under the plan | 10 | ||||
LTIP-OP unit vested | 17,500 | ||||
Share-based compensation expense recognized | 320,000 | 200,000 | |||
Share-based compensation expense related to non-vested | 51,350 | 51,350 | |||
Unrecognized share-based compensation expense | $838,000 | $838,000 | |||
Period of unrecognized share-based compensation expense expected to vest | 3 years | ||||
Long Term Incentive Plan Units [Member] | Directors [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 7,500 | ||||
Long Term Incentive Plan Units [Member] | Executive Officers [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 30,000 | ||||
2013 Plan [Member] | Long Term Incentive Plan Units [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Number of share equivalent to unit awarded | 1 | ||||
Shares remaining for future issuance | 1,421,607 | 1,421,607 | |||
2013 Equity Incentive Plan [Member] | Common Stock [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 1,590 | ||||
2013 Equity Incentive Plan [Member] | Common Stock [Member] | Directors [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 530 | ||||
2013 Equity Incentive Plan [Member] | Restricted Common Stock [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 7,953 | ||||
Forfeiture period of restricted shares | 1 year | ||||
2013 Equity Incentive Plan [Member] | Restricted Common Stock [Member] | Directors [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Aggregate grant date fair value | 2,651 |
Equity_and_Earnings_per_Share_3
Equity and Earnings per Share - Non-Controlling Interests in Operating Partnership - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2014 | |
Noncontrolling Interest [Line Items] | |
Shares redemption description | One share of the Company's common stock, or cash equal to the fair value of a share of the Company's common stock at the time of redemption, for each LTIP-OP Unit |
Long Term Incentive Plan Units [Member] | |
Noncontrolling Interest [Line Items] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership | 68,850 |
Percentage of operating partnership | 0.90% |
Equity_and_Earnings_per_Share_4
Equity and Earnings per Share - Schedule of Basic Net Earnings per Share of Common Stock (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Numerator: | |||||||||||
Net income attributable to common stockholders and participating securities for basic earnings per share | ($25) | $2,375 | $21,202 | ||||||||
Net income allocable to common stockholders | ($25) | ($513) | $2,788 | ($653) | $731 | $21,202 | ($36) | ($36) | ($35) | $2,353 | $21,095 |
Denominator: | |||||||||||
Weighted average common shares outstanding | 1,000 | 7,508,549 | 7,506,560 | 7,504,572 | 7,502,505 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,505,546 | 1,688,275 |
Weighted average diluted shares outstanding | 1,000 | 7,509,543 | 7,509,543 | 7,509,543 | 7,506,680 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,508,827 | 1,688,275 |
Basic and Dilutive: | |||||||||||
Basic earnings per share | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Diluted earnings per share | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Equity_and_Earnings_per_Share_5
Equity and Earnings per Share - Earnings per Share - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |
Anti-dilutive securities | 0 |
Equity_and_Earnings_per_Share_6
Equity and Earnings per Share - Common Stock Offerings - Additional Information (Detail) (USD $) | 0 Months Ended | 1 Months Ended | 2 Months Ended | 12 Months Ended | |
Oct. 09, 2013 | Oct. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |
Earnings Per Share [Abstract] | |||||
Number of shares in common stock in a public & private offering | 7,500,000 | 7,500,000 | |||
Common stock per share price | $20 | ||||
Net proceeds of share amount | $148,100,000 | $1,000 | $180,000 | $148,152,000 | |
Common stock offering costs | $154,000 |
Equity_and_Earnings_per_Share_7
Equity and Earnings per Share - Summary of Repurchased Shares of Common Stock (Detail) (USD $) | 12 Months Ended |
Dec. 31, 2014 | |
Equity, Class of Treasury Stock [Line Items] | |
Total Number of Shares Purchased | 1,000 |
Average Price Paid Per Share | $1 |
Total Number of Shares Purchased as Part of Publicity Announced Plans of Programs | 0 |
Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Program | $0 |
2013 [Member] | |
Equity, Class of Treasury Stock [Line Items] | |
Total Number of Shares Purchased | 1,000 |
Average Price Paid Per Share | $1 |
Total Number of Shares Purchased as Part of Publicity Announced Plans of Programs | 0 |
Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Program | 0 |
2014 [Member] | |
Equity, Class of Treasury Stock [Line Items] | |
Total Number of Shares Purchased as Part of Publicity Announced Plans of Programs | 0 |
Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Program | $0 |
Equity_and_Earnings_per_Share_8
Equity and Earnings per Share - Summary of Repurchased Shares of Common Stock (Parenthetical) (Detail) (USD $) | 0 Months Ended | 1 Months Ended | 12 Months Ended | |
Oct. 09, 2013 | Oct. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2014 | |
Equity, Class of Treasury Stock [Line Items] | ||||
Number of purchased share | 7,500,000 | 7,500,000 | ||
Repurchased shares, value | $1,000 | |||
Non-Executive Chairman [Member] | ||||
Equity, Class of Treasury Stock [Line Items] | ||||
Number of purchased share | 1,000 | |||
Total cash consideration | 1,000 | |||
Repurchased shares, value | 1,000 |
Transactions_with_Affiliates_a2
Transactions with Affiliates and Affiliated Entities - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2014 | |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |
Renew of management agreement subject to termination | 1 year |
Manager termination description | The Managerbs performance is reviewed annually and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. |
Percentage of annual management fee paid equal to gross equity | 1.50% |
Transactions_with_Affiliates_a3
Transactions with Affiliates and Affiliated Entities - Reimbursement of Expenses Incurred (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Investments in and Advances to Affiliates, Schedule of Investments [Abstract] | |||||||
Management fees | $2,150 | $549 | |||||
Expense reimbursement | 410 | 67 | |||||
Total | $682 | $520 | $679 | $679 | $616 | $2,560 | $616 |
Derivative_Instruments_Summary
Derivative Instruments - Summary of Outstanding Notional Amounts of Derivative Instruments (Detail) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $224,100,000 | $171,700,000 |
Not Designated as Hedging Instrument [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 337,100,000 | 301,500,000 |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 224,100,000 | 171,700,000 |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaptions [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 105,000,000 | 125,000,000 |
Not Designated as Hedging Instrument [Member] | TBAs [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 4,800,000 | |
Not Designated as Hedging Instrument [Member] | Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $8,000,000 |
Derivative_Instruments_Summary1
Derivative Instruments - Summary of Information about Company's Interest Rate Swap Agreements (Detail) (Interest Rate Swaps [Member], USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Weighted Average Maturity | 2020 | 2020 |
Notional Amount | $224,100,000 | $171,700,000 |
Weighted Average Pay Rate | 1.84% | 1.95% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | 5 years 4 months 24 days | 6 years 8 months 12 days |
Derivative_Instruments_Summary2
Derivative Instruments - Summary of Assets and Liabilities Subject to Master Netting Arrangements or Similar Agreements (Detail) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets or Liabilities | $342 | $4,613 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 342 | 4,613 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -342 | -4,613 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received | -89 | |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets or Liabilities | 366,214 | 261,894 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 4,088 | 592 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -359,356 | -258,150 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | -6,858 | -3,744 |
Net Amount | 0 | 0 |
Repurchase Agreements [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets or Liabilities | 362,126 | 261,302 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 362,126 | 261,302 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -359,270 | -257,558 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | -2,856 | -3,744 |
Net Amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets or Liabilities | 46 | 2,531 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 46 | 2,531 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -46 | -2,531 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets or Liabilities | 4,045 | 592 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 4,045 | 592 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -43 | -592 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received (Pledged) | -4,002 | |
Net Amount | 0 | 0 |
Interest Rate Swaptions [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets or Liabilities | 291 | 2,082 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 291 | 2,082 |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -291 | -2,082 |
Net Amount | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amount | 0 | 0 |
TBAs [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets or Liabilities | 43 | |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 43 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -43 | |
Net Amount | 0 | 0 |
Treasury Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Gross Amounts of Recognized Assets or Liabilities | 5 | |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 5 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Financial Instruments | -5 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet in Cash Collateral Received | -89 | |
Net Amount | 0 | |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | |
Net Amount | $0 |
Derivative_Instruments_Summary3
Derivative Instruments - Summary of Realized Gain (Loss) Related to Derivatives (Detail) (Not Designated as Hedging Instrument [Member], USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | ($2,643) | $59 |
Realized Gain/(Loss) on Derivative Assets [Member] | Interest Rate Swaps [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | -686 | 53 |
Realized Gain/(Loss) on Derivative Assets [Member] | Interest Rate Swaptions [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | -1,910 | |
Realized Gain/(Loss) on Derivative Assets [Member] | TBAs [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | 60 | 17 |
Realized Gain/(Loss) on Derivative Assets [Member] | Treasury Futures [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain/(loss) on derivatives | ($107) | ($11) |
Fair_Value_Additional_Informat
Fair Value - Additional Information (Detail) | Dec. 31, 2014 |
Fair Value, Inputs, Level 2 [Member] | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Percentage of MSR classified as fair value assets | 100.00% |
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% |
Fair Value, Inputs, Level 3 [Member] | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Percentage of MSR classified as fair value assets | 100.00% |
Fair_Value_Companys_Assets_and
Fair Value - Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets | ||
Total Assets | $531,926 | $427,398 |
Liabilities | ||
Total Liabilities | 371,608 | 266,276 |
Fair Value, Measurements, Recurring [Member] | ||
Assets | ||
Total Assets | 507,667 | 401,898 |
Liabilities | ||
Total Liabilities | 4,088 | 592 |
Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | ||
Assets | ||
Total Assets | 268,588 | 176,756 |
Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | ||
Assets | ||
Total Assets | 140,476 | 110,223 |
Fair Value, Measurements, Recurring [Member] | CMOs [Member] | ||
Assets | ||
Total Assets | 6,939 | |
Fair Value, Measurements, Recurring [Member] | RMBS [Member] | ||
Assets | ||
Total Assets | 416,003 | 286,979 |
Fair Value, Measurements, Recurring [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 342 | 4,613 |
Fair Value, Measurements, Recurring [Member] | Excess Mortgage Servicing Right [Member] | ||
Assets | ||
Total Assets | 91,322 | 110,306 |
Fair Value, Measurements, Recurring [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 4,088 | 592 |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 46 | 2,531 |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 4,045 | 592 |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 291 | 2,082 |
Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 43 | |
Fair Value, Measurements, Recurring [Member] | Treasury Futures [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 5 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Assets | ||
Total Assets | 416,345 | 291,592 |
Liabilities | ||
Total Liabilities | 4,088 | 592 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Fannie Mae [Member] | ||
Assets | ||
Total Assets | 268,588 | 176,756 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Freddie Mac [Member] | ||
Assets | ||
Total Assets | 140,476 | 110,223 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | CMOs [Member] | ||
Assets | ||
Total Assets | 6,939 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | RMBS [Member] | ||
Assets | ||
Total Assets | 416,003 | 286,979 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 342 | 4,613 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 4,088 | 592 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swaps [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 46 | 2,531 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swaps [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 4,045 | 592 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swaptions [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 291 | 2,082 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBAs [Member] | Derivative Liabilities [Member] | ||
Liabilities | ||
Total Liabilities | 43 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Treasury Futures [Member] | Derivative Assets [Member] | ||
Assets | ||
Total Assets | 5 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Assets | ||
Total Assets | 91,322 | 110,306 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Right [Member] | ||
Assets | ||
Total Assets | $91,322 | $110,306 |
Fair_Value_Companys_Level_3_As
Fair Value - Company's Level 3 Assets (Excess MSRs) Measured at Fair Value on Recurring Basis (Detail) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $110,306,000 | |
Purchases and principal paydowns | ||
Purchases | 2,181,000 | 98,968,000 |
Ending balance | 91,322,000 | 110,306,000 |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | 110,306,000 | |
Unrealized gain included in Net Income | -3,564,000 | 15,647,000 |
Purchases and principal paydowns | ||
Purchases | 2,181,000 | 98,968,000 |
Proceeds from principal paydowns | -17,601,000 | -4,309,000 |
Ending balance | 91,322,000 | 110,306,000 |
Excess MSR Pool 1 [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | 66,110,000 | |
Unrealized gain included in Net Income | -3,260,000 | 7,417,000 |
Purchases and principal paydowns | ||
Purchases | 60,561,000 | |
Proceeds from principal paydowns | -8,052,000 | -1,868,000 |
Ending balance | 54,798,000 | 66,110,000 |
Excess MSR Pool 2 [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | 44,196,000 | |
Unrealized gain included in Net Income | 129,000 | 8,230,000 |
Purchases and principal paydowns | ||
Purchases | 38,407,000 | |
Proceeds from principal paydowns | -9,387,000 | -2,441,000 |
Ending balance | 34,938,000 | 44,196,000 |
Excess Mortgage Service Rights Pool 2014 [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Unrealized gain included in Net Income | -433,000 | |
Purchases and principal paydowns | ||
Purchases | 2,181,000 | |
Proceeds from principal paydowns | -162,000 | |
Ending balance | $1,586,000 |
Fair_Value_Significant_Unobser
Fair Value - Significant Unobservable Inputs Used in Fair Value Measurement (Detail) (Fair Value, Inputs, Level 3 [Member], Discounted Cash Flow [Member], USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value | $91,322 | $110,306 |
Valuation Technique | Discounted cash flow | Discounted cash flow |
Excess Mortgage Service Right Pool One [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value | 54,798 | 66,110 |
Valuation Technique | Discounted cash flow | Discounted cash flow |
Excess Mortgage Service Right Pool Two [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value | 34,938 | 44,196 |
Valuation Technique | Discounted cash flow | Discounted cash flow |
Excess Mortgage Service Rights Pool 2014 [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value | $1,586 | |
Valuation Technique | Discounted cash flow | |
Minimum [Member] | Excess Mortgage Service Right Pool One [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 6.20% | 4.80% |
Uncollected Payments | 2.80% | 2.00% |
Minimum [Member] | Excess Mortgage Service Right Pool Two [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 11.90% | 9.70% |
Uncollected Payments | 9.60% | 2.00% |
Minimum [Member] | Excess Mortgage Service Rights Pool 2014 [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 8.70% | |
Uncollected Payments | 2.70% | |
Maximum [Member] | Excess Mortgage Service Right Pool One [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 12.80% | 9.60% |
Uncollected Payments | 7.00% | 7.00% |
Maximum [Member] | Excess Mortgage Service Right Pool Two [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 21.90% | 23.60% |
Uncollected Payments | 15.20% | 12.00% |
Maximum [Member] | Excess Mortgage Service Rights Pool 2014 [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 15.40% | |
Uncollected Payments | 6.00% | |
Weighted Average [Member] | Excess Mortgage Service Right Pool One [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 10.40% | 7.40% |
Uncollected Payments | 6.30% | 6.20% |
Discount rate | 12.20% | 14.30% |
Weighted Average [Member] | Excess Mortgage Service Right Pool Two [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 16.70% | 18.00% |
Uncollected Payments | 13.70% | 9.20% |
Discount rate | 17.30% | 18.40% |
Weighted Average [Member] | Excess Mortgage Service Rights Pool 2014 [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 12.30% | |
Uncollected Payments | 5.40% | |
Discount rate | 11.80% |
Commitments_and_Contingencies_
Commitments and Contingencies - Additional Information (Detail) (USD $) | 12 Months Ended |
Dec. 31, 2014 | |
Contingencies And Commitments [Line Items] | |
CHMI pays the Manager a quarterly management fee equal to the product of one | 1.50% |
Accruals of legal and regulatory claims | $0 |
Fannie Mae [Member] | |
Contingencies And Commitments [Line Items] | |
Securities obligated to sell | $43,000 |
Repurchase_Agreements_Addition
Repurchase Agreements - Additional Information (Detail) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Brokers and Dealers [Abstract] | ||
Repurchase agreements outstanding | $362.10 | |
Weighted average borrowing rate | 0.38% | |
Weighted average of remaining maturities days | 63 days | |
Amount of collateral including cash | $383.50 | $275.60 |
Repurchase_Agreements_Remainin
Repurchase Agreements - Remaining Maturities and Weighted Average Rates (Detail) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Brokers and Dealers [Abstract] | ||
Less than one month, Repurchase Agreements | $78,988 | $134,001 |
One to three months, Repurchase Agreements | 208,533 | 127,301 |
Greater than three months, Repurchase Agreements | 74,605 | |
Total Repurchase Agreements | $362,126 | $261,302 |
Less than one month, Weighted Average Rate | 0.38% | 0.39% |
One to three months, Weighted Average Rate | 0.38% | 0.40% |
Greater than three months, Weighted Average Rate | 0.38% | |
Weighted Average Rate | 0.38% | 0.39% |
Summarized_Quarterly_Results_S
Summarized Quarterly Results - Summary of Company's Quarterly Operating Results (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $6,569 | $6,244 | $6,137 | $6,011 | $5,475 | $24,961 | $5,475 | ||||
Interest expense | 1,190 | 1,164 | 1,006 | 947 | 867 | 4,307 | 867 | ||||
Net interest income | 5,379 | 5,080 | 5,131 | 5,064 | 4,608 | 20,654 | 4,608 | ||||
Other income (loss) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Realized gain (loss) on RMBS, net | 166 | 48 | 75 | -349 | -527 | -60 | -527 | ||||
Realized gain (loss) on derivatives, net | -1,359 | -1,025 | -187 | -72 | 59 | -2,643 | 59 | ||||
Unrealized gain (loss) on derivatives, net | -2,441 | 2,025 | -2,705 | -3,443 | 2,747 | -6,564 | 2,747 | ||||
Change in fair value of investments in excess mortgage servicing rights | -536 | -2,050 | -1,648 | 670 | 15,647 | -3,564 | 15,647 | ||||
Total Income | 1,209 | 4,078 | 666 | 1,870 | 22,534 | 7,823 | 22,534 | ||||
Expenses | |||||||||||
General and administrative expense | 25 | 1,191 | 743 | 641 | 453 | 609 | 36 | 36 | 35 | 3,028 | 716 |
Management fee to affiliate | 682 | 520 | 679 | 679 | 616 | 2,560 | 616 | ||||
Total Expenses | 25 | 1,873 | 1,263 | 1,320 | 1,132 | 1,225 | 36 | 36 | 35 | 5,588 | 1,332 |
Income (Loss) Before Income Taxes | -25 | -664 | 2,815 | -654 | 738 | 21,309 | -36 | -36 | -35 | 2,235 | 21,202 |
(Benefit from) provision for corporate business taxes | -146 | 1 | 2 | 3 | -140 | ||||||
Net income (loss) | -25 | -518 | 2,814 | -656 | 735 | 21,309 | -36 | -36 | -35 | 2,375 | 21,202 |
Net income allocated to LTIP-OP Units | 5 | -26 | 3 | -4 | -107 | -22 | -107 | ||||
Income Applicable to Common Stockholders | ($25) | ($513) | $2,788 | ($653) | $731 | $21,202 | ($36) | ($36) | ($35) | $2,353 | $21,095 |
Income (Loss) Per Share of Common Stock | |||||||||||
Basic | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Diluted | ($25) | ($0.07) | $0.37 | ($0.09) | $0.10 | $3.14 | ($36) | ($36) | ($35) | $0.31 | $12.50 |
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||
Basic | 1,000 | 7,508,549 | 7,506,560 | 7,504,572 | 7,502,505 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,505,546 | 1,688,275 |
Diluted | 1,000 | 7,509,543 | 7,509,543 | 7,509,543 | 7,506,680 | 6,750,100 | 1,000 | 1,000 | 1,000 | 7,508,827 | 1,688,275 |
Income_Taxes_Additional_Inform
Income Taxes - Additional Information (Detail) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Jan. 01, 2013 | |
Income Taxes [Line Items] | ||
Deferred tax assets related to start-up expenses | $10,000 | |
Minimum percentage of net taxable income for distribution | 90.00% | |
Deferred tax asset, federal and state net operating loss carryforwards | 154,000 | |
Net operating loss carryforwards, expiration year | 2034 | |
Valuation allowance | 0 | |
Accrued penalties or Interest | 0 | |
S Corporation [Member] | ||
Income Taxes [Line Items] | ||
State and local income tax liability | $0 |
Income_Taxes_Components_of_Inc
Income Taxes - Components of Income Tax Expense (Detail) (USD $) | 2 Months Ended | 3 Months Ended | 12 Months Ended | ||||
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Income Tax Disclosure [Abstract] | |||||||
Current federal income tax expense (benefit) | $0 | $0 | $0 | ||||
Current state income tax expense (benefit) | 6 | ||||||
Deferred federal income tax expense (benefit) | -124 | ||||||
Deferred state income tax expense (benefit) | -22 | ||||||
Total Income Tax Expense (Benefit) | ($146) | $1 | $2 | $3 | ($140) |
Income_Taxes_Reconciliation_of
Income Taxes - Reconciliation of Statutory Federal Rate to Effective Rate (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Income Tax Disclosure [Abstract] | ||||||
Computed income tax expense at federal rate | $824 | $7,383 | ||||
State taxes, net of federal benefit, if applicable | 92 | |||||
Permanent differences in taxable income from GAAP net income | 4,874 | -6,071 | ||||
REIT income not subject to tax | -5,930 | -1,312 | ||||
Total Income Tax Expense (Benefit) | ($146) | $1 | $2 | $3 | ($140) | |
Computed income tax expense at federal rate | 35.00% | 35.00% | ||||
State taxes, net of federal benefit, if applicable | 3.90% | |||||
Permanent differences in taxable income from GAAP net income | 207.20% | -28.80% | ||||
REIT income not subject to tax | -252.00% | -6.20% | ||||
(Benefit from) provision for income taxes/Effective Tax Rate | -5.90% |
Income_Taxes_Summary_of_Curren
Income Taxes - Summary of Current and Deferred Tax Liabilities and Assets (Detail) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Income taxes (payable) receivable | ||
Federal income taxes (payable) receivable | $0 | $0 |
State and local income taxes (payable) receivable | 0 | 0 |
Income taxes (payable) receivable, net | 0 | 0 |
Deferred tax assets (liabilities) | ||
Deferred tax asset | 146 | |
Deferred tax liability | 0 | 0 |
Total net deferred tax assets (liabilities) | 146 | |
Total tax assets and liabilities, net | $146 |
Subsequent_Events_Additional_I
Subsequent Events - Additional Information (Detail) (Aurora Financial Group, Inc [Member], USD $) | 12 Months Ended | 0 Months Ended |
Dec. 31, 2014 | Feb. 10, 2015 | |
Subsequent Event [Line Items] | ||
Mortgage servicing right, amount | $700,000,000 | |
Freedom Mortgage Corporation [Member] | ||
Subsequent Event [Line Items] | ||
Mortgage servicing right, transaction due date | 30-Jun-15 | |
Mortgage servicing right, description | If the acquisition of Aurora does not close for any reason by June 30, 2015, Aurora is obligated to sell its servicing portfolio to Freedom Mortgage Corporation at the price set forth in Solutions' agreement with Aurora. | |
Subsequent Event [Member] | Freedom Mortgage Corporation [Member] | ||
Subsequent Event [Line Items] | ||
Mortgage servicing right, down payment amount | $360,121 |
Uncategorized_Items
Uncategorized Items | 11/1/2012 - 12/31/2012 |
USD ($) | |
[us-gaap_CashAndCashEquivalentsPeriodIncreaseDecrease] | 1,000 |
[us-gaap_IncreaseDecreaseInAccruedLiabilitiesAndOtherOperatingLiabilities] | 25,000 |
[us-gaap_NetCashProvidedByUsedInFinancingActivitiesContinuingOperations] | 1,000 |