Maryland
|
001-36099
|
46-1315605
|
(State or other jurisdiction of incorporation)
|
Commission File Number:
|
(IRS Employer Identification No.)
|
☐
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
|
☐ |
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
|
☐ |
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
|
☐ |
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which
registered
|
Common Stock, $0.01 par value
|
CHMI
|
NYSE
|
8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value
|
CHMI-PRA
|
NYSE
|
8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable
|
CHMI-PRB
|
NYSE
|
Item 8.01.
|
Other Events.
|
Item 9.01. |
Financial Statements and Exhibits.
|
99.1
|
Consolidated Financial Statements and Notes thereto updated to correct immaterial errors (which replaces and supersedes Part I, Item 1 of the Quarterly Form on 10-Q filed with the SEC on August 10, 2020).
|
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
|
||
By:
|
/s/ Michael Hutchby
|
|
Michael Hutchby
|
||
Date: December 2, 2020
|
Chief Financial Officer
|
Exhibit
Number
|
Description
|
|
Consolidated Financial Statements and Notes thereto updated to correct immaterial errors (which replaces and supersedes Part I, Item 1 of the Quarterly Form on 10-Q filed with the SEC on August 10, 2020).
|
||
104
|
Cover Page Interactive Data File - cover page XBRL tags are embedded within the Inline XBRL document.
|
Item 1. |
Consolidated Financial Statements
|
|
(unaudited)
June 30, 2020
|
December 31, 2019
|
||||||
Assets
|
||||||||
RMBS, available-for-sale (including pledged assets of $1,444,649 and $2,419,539, respectively)
|
$
|
1,548,144
|
$
|
2,508,360
|
||||
Investments in Servicing Related Assets at fair value (including pledged assets of $177,261 and $291,111, respectively)
|
177,261
|
291,111
|
||||||
Cash and cash equivalents
|
94,473
|
24,671
|
||||||
Restricted cash
|
33,371
|
67,037
|
||||||
Derivative assets
|
33,411
|
18,289
|
||||||
Receivables and other assets
|
42,601
|
35,097
|
||||||
Total Assets
|
$
|
1,929,261
|
$
|
2,944,565
|
||||
Liabilities and Stockholders’ Equity
|
||||||||
Liabilities
|
||||||||
Repurchase agreements
|
$
|
1,395,317
|
$
|
2,337,638
|
||||
Derivative liabilities
|
19,313
|
12,337
|
||||||
Notes payable
|
131,780
|
166,989
|
||||||
Dividends payable
|
6,720
|
8,768
|
||||||
Due to affiliates
|
3,469
|
3,589
|
||||||
Payables for unsettled trades
|
35,898
|
-
|
||||||
Accrued expenses and other liabilities
|
4,835
|
15,869
|
||||||
Total Liabilities
|
$
|
1,597,332
|
$
|
2,545,190
|
||||
Stockholders’ Equity
|
||||||||
Series A Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of June 30, 2020 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 2019, liquidation preference of $69,541 as of June 30, 2020 and liquidation preference of $69,541 as of December 31, 2019
|
$
|
67,213
|
$
|
67,213
|
||||
Series B Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of June 30, 2020 and 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of December 31, 2019, liquidation preference of $50,000 as of June 30, 2020 and liquidation preference of $50,000 as of December 31, 2019
|
48,068
|
48,068
|
||||||
Common stock, $0.01 par value per share,500,000,000 shares authorized and 17,076,858 shares issued and outstanding as of June 30, 2020 and 500,000,000 shares authorized and 16,660,655 shares issued and outstanding as of December 31, 2019
|
175
|
170
|
||||||
Additional paid-in capital
|
300,908
|
299,180
|
||||||
Accumulated Deficit
|
(135,974
|
)
|
(59,451
|
)
|
||||
Accumulated other comprehensive income
|
49,569
|
41,414
|
||||||
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity
|
$
|
329,959
|
$
|
396,594
|
||||
Non-controlling interests in Operating Partnership
|
1,970
|
2,781
|
||||||
Total Stockholders’ Equity
|
$
|
331,929
|
$
|
399,375
|
||||
Total Liabilities and Stockholders’ Equity
|
$
|
1,929,261
|
$
|
2,944,565
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Income
|
||||||||||||||||
Interest income
|
$
|
10,132
|
$
|
17,216
|
$
|
30,381
|
$
|
34,185
|
||||||||
Interest expense
|
3,425
|
11,707
|
15,716
|
22,451
|
||||||||||||
Net interest income
|
6,707
|
5,509
|
14,665
|
11,734
|
||||||||||||
Servicing fee income
|
18,032
|
18,362
|
37,551
|
35,550
|
||||||||||||
Servicing costs
|
6,594
|
4,103
|
12,434
|
7,924
|
||||||||||||
Net servicing income
|
11,438
|
14,259
|
25,117
|
27,626
|
||||||||||||
Other income (loss)
|
||||||||||||||||
Realized loss on RMBS, available-for-sale, net
|
(1,769
|
)
|
-
|
(19,312
|
)
|
-
|
||||||||||
Realized loss on investments in MSRs, net
|
(11,347
|
)
|
-
|
(11,347
|
)
|
-
|
||||||||||
Realized gain (loss) on derivatives, net
|
4,558
|
(365
|
)
|
(14,198
|
)
|
(7,841
|
)
|
|||||||||
Realized loss on acquired assets, net
|
(548
|
)
|
-
|
(502
|
)
|
-
|
||||||||||
Unrealized gain (loss) on derivatives, net
|
(4,581
|
)
|
(3,819
|
)
|
47,619
|
(12,091
|
)
|
|||||||||
Unrealized loss on investments in Servicing Related Assets
|
(17,025
|
)
|
(44,042
|
)
|
(110,878
|
)
|
(71,217
|
)
|
||||||||
Total Loss
|
(12,567
|
)
|
(28,458
|
)
|
(68,836
|
)
|
(51,789
|
)
|
||||||||
Expenses
|
||||||||||||||||
General and administrative expense
|
1,420
|
1,138
|
4,176
|
2,101
|
||||||||||||
Management fee to affiliate
|
1,974
|
1,934
|
3,939
|
3,743
|
||||||||||||
Total Expenses
|
3,394
|
3,072
|
8,115
|
5,844
|
||||||||||||
Loss Before Income Taxes
|
(15,961
|
)
|
(31,530
|
)
|
(76,951
|
)
|
(57,633
|
)
|
||||||||
Benefit from corporate business taxes
|
(3,278
|
)
|
(3,053
|
)
|
(15,432
|
)
|
(6,772
|
)
|
||||||||
Net Loss
|
(12,683
|
)
|
(28,477
|
)
|
(61,519
|
)
|
(50,861
|
)
|
||||||||
Net loss allocated to noncontrolling interests in Operating Partnership
|
227
|
460
|
1,137
|
829
|
||||||||||||
Dividends on preferred stock
|
2,461
|
2,593
|
4,920
|
4,434
|
||||||||||||
Net Loss Applicable to Common Stockholders
|
$
|
(14,917
|
)
|
$
|
(30,610
|
)
|
$
|
(65,302
|
)
|
$
|
(54,466
|
)
|
||||
Net Loss Per Share of Common Stock
|
||||||||||||||||
Basic
|
$
|
(0.88
|
)
|
$
|
(1.82
|
)
|
$
|
(3.90
|
)
|
$
|
(3.26
|
)
|
||||
Diluted
|
$
|
(0.88
|
)
|
$
|
(1.82
|
)
|
$
|
(3.90
|
)
|
$
|
(3.26
|
)
|
||||
Weighted Average Number of Shares of Common Stock Outstanding
|
||||||||||||||||
Basic
|
16,882,077
|
16,776,472
|
16,746,758
|
16,708,471
|
||||||||||||
Diluted
|
16,895,408
|
16,789,261
|
16,759,818
|
16,721,260
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Net loss
|
$
|
(12,683
|
)
|
$
|
(28,477
|
)
|
$
|
(61,519
|
)
|
$
|
(50,861
|
)
|
||||
Other comprehensive income (loss):
|
||||||||||||||||
Net unrealized gain (loss) on RMBS
|
14,017
|
25,536
|
(11,157
|
)
|
57,517
|
|||||||||||
Reclassification of net realized gain on RMBS included in earnings
|
1,769
|
-
|
19,312
|
-
|
||||||||||||
Other comprehensive income
|
15,786
|
25,536
|
8,155
|
57,517
|
||||||||||||
Comprehensive income (loss)
|
$
|
3,103
|
$
|
(2,941
|
)
|
$
|
(53,364
|
)
|
$
|
6,656
|
||||||
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership
|
66
|
(50
|
)
|
(986
|
)
|
108
|
||||||||||
Dividends on preferred stock
|
2,461
|
2,593
|
4,920
|
4,434
|
||||||||||||
Comprehensive income (loss) attributable to common stockholders
|
$
|
576
|
$
|
(5,484
|
)
|
$
|
(57,298
|
)
|
$
|
2,114
|
|
Common
Stock
Shares
|
Common
Stock
Amount
|
Preferred
Stock
Shares
|
Preferred
Stock
Amount
|
Additional
Paid-in
Capital
|
Accumulated
Other
Comprehensive
Income (Loss)
|
Retained
Earnings
(Deficit)
|
Non-
Controlling
Interest in
Operating
Partnership
|
Total
Stockholders’
Equity
|
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
Balance, December 31, 2018
|
16,652,170
|
$
|
167
|
2,718,206
|
$
|
65,639
|
$
|
298,614
|
$
|
(38,400
|
)
|
$
|
29,632
|
$
|
3,191
|
$
|
358,843
|
|||||||||||||||||||
Issuance of common stock
|
6,000
|
-
|
-
|
-
|
132
|
-
|
-
|
-
|
132
|
|||||||||||||||||||||||||||
Issuance of preferred stock
|
-
|
-
|
2,049,480
|
49,360
|
-
|
-
|
-
|
-
|
49,360
|
|||||||||||||||||||||||||||
Conversion of OP units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(103
|
)
|
(103
|
)
|
|||||||||||||||||||||||||
Net Loss before dividends on preferred stock
|
-
|
-
|
-
|
-
|
-
|
-
|
(22,015
|
)
|
(369
|
)
|
(22,384
|
)
|
||||||||||||||||||||||||
Other Comprehensive Income
|
-
|
-
|
-
|
-
|
-
|
31,981
|
-
|
-
|
31,981
|
|||||||||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
265
|
265
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(134
|
)
|
(134
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $0.49 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,156
|
)
|
-
|
(8,156
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,419
|
)
|
-
|
(1,419
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $0.3667 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(422
|
)
|
-
|
(422
|
)
|
|||||||||||||||||||||||||
Balance, March 31, 2019
|
16,658,170
|
$
|
167
|
4,767,686
|
$
|
114,999
|
$
|
298,746
|
$
|
(6,419
|
)
|
$
|
(2,380
|
)
|
$
|
2,850
|
$
|
407,963
|
||||||||||||||||||
Issuance of common stock
|
238,435
|
3
|
-
|
-
|
3,885
|
-
|
-
|
-
|
3,888
|
|||||||||||||||||||||||||||
Issuance of preferred stock
|
-
|
-
|
13,949
|
282
|
-
|
-
|
-
|
-
|
282
|
|||||||||||||||||||||||||||
Net Loss before dividends on preferred stock
|
-
|
-
|
-
|
-
|
-
|
-
|
(28,017
|
)
|
(460
|
)
|
(28,477
|
)
|
||||||||||||||||||||||||
Other Comprehensive Income
|
-
|
-
|
-
|
-
|
-
|
25,536
|
-
|
-
|
25,536
|
|||||||||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
251
|
251
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(135
|
)
|
(135
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $0.49 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,290
|
)
|
-
|
(8,290
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,428
|
)
|
-
|
(1,428
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,164
|
)
|
-
|
(1,164
|
)
|
|||||||||||||||||||||||||
Balance, June 30, 2019
|
16,896,605
|
$
|
170
|
4,781,635
|
$
|
115,281
|
$
|
302,631
|
$
|
19,117
|
$
|
(41,279
|
)
|
$
|
2,506
|
$
|
398,426
|
|||||||||||||||||||
Balance, December 31, 2019
|
16,660,655
|
$
|
170
|
4,781,635
|
$
|
115,281
|
$
|
299,180
|
$
|
41,414
|
$
|
(59,451
|
)
|
$
|
2,781
|
$
|
399,375
|
|||||||||||||||||||
Issuance of common stock
|
9,500
|
-
|
-
|
-
|
124
|
-
|
-
|
-
|
124
|
|||||||||||||||||||||||||||
Repurchase of common stock
|
(142,531
|
)
|
-
|
-
|
-
|
(1,748
|
)
|
-
|
-
|
-
|
(1,748
|
)
|
||||||||||||||||||||||||
Conversion of OP units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(76
|
)
|
(76
|
)
|
|||||||||||||||||||||||||
Net Loss before dividends on preferred stock
|
-
|
-
|
-
|
-
|
-
|
-
|
(47,926
|
)
|
(910
|
)
|
(48,836
|
)
|
||||||||||||||||||||||||
Other Comprehensive Income (loss)
|
-
|
-
|
-
|
-
|
-
|
(7,631
|
)
|
-
|
-
|
(7,631
|
)
|
|||||||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
264
|
264
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(108
|
)
|
(108
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $0.40 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(6,611
|
)
|
-
|
(6,611
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,428
|
)
|
-
|
(1,428
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,031
|
)
|
-
|
(1,031
|
)
|
|||||||||||||||||||||||||
Balance, March 31, 2020
|
16,527,624
|
$
|
170
|
4,781,635
|
$
|
115,281
|
$
|
297,556
|
$
|
33,783
|
$
|
(116,447
|
)
|
$
|
1,951
|
$
|
332,294
|
|||||||||||||||||||
Issuance of common stock
|
549,234
|
5
|
-
|
-
|
3,352
|
-
|
-
|
-
|
3,357
|
|||||||||||||||||||||||||||
Net Income before dividends on preferred stock
|
-
|
-
|
-
|
-
|
-
|
-
|
(12,456
|
)
|
(227
|
)
|
(12,683
|
)
|
||||||||||||||||||||||||
Other Comprehensive Income
|
-
|
-
|
-
|
-
|
-
|
15,786
|
-
|
-
|
15,786
|
|||||||||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
307
|
307
|
|||||||||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(61
|
)
|
(61
|
)
|
|||||||||||||||||||||||||
Common dividends declared, $0.27 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(4,610
|
)
|
-
|
(4,610
|
)
|
|||||||||||||||||||||||||
Preferred Series A dividends declared, $0.5125 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,430
|
)
|
-
|
(1,430
|
)
|
|||||||||||||||||||||||||
Preferred Series B dividends declared, $0.5156 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(1,031
|
)
|
-
|
(1,031
|
)
|
|||||||||||||||||||||||||
Balance, June 30, 2020
|
17,076,858
|
$
|
175
|
4,781,635
|
$
|
115,281
|
$
|
300,908
|
$
|
49,569
|
$
|
(135,974
|
)
|
$
|
1,970
|
$
|
331,929
|
|
Six Months Ended June 30,
|
|||||||
|
2020
|
2019
|
||||||
Cash Flows From Operating Activities
|
||||||||
Net loss
|
$
|
(61,519
|
)
|
$
|
(50,861
|
)
|
||
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
|
||||||||
Realized loss on RMBS, available-for-sale, net
|
19,312
|
-
|
||||||
Unrealized loss on investments in Servicing Related Assets
|
110,878
|
71,217
|
||||||
Realized loss on investments in MSRs, net
|
11,347
|
-
|
||||||
Realized loss on acquired assets, net
|
502
|
-
|
||||||
Realized loss on derivatives, net
|
14,198
|
7,841
|
||||||
Unrealized (gain) loss on derivatives, net
|
(47,619
|
)
|
12,091
|
|||||
Realized gain on TBA dollar rolls, net
|
(1,927
|
)
|
(643
|
)
|
||||
Amortization of premiums on RMBS, available-for-sale
|
7,470
|
4,794
|
||||||
Amortization of deferred financing costs
|
288
|
501
|
||||||
LTIP-OP Unit awards
|
571
|
516
|
||||||
Changes in:
|
||||||||
Receivables and other assets, net
|
(7,435
|
)
|
(1,488
|
)
|
||||
Due to affiliates
|
(120
|
)
|
643
|
|||||
Accrued interest on derivatives, net
|
(3,025
|
)
|
(3,105
|
)
|
||||
Dividends payable
|
(2,048
|
)
|
(1,478
|
)
|
||||
Accrued expenses and other liabilities, net
|
(11,034
|
)
|
(3,810
|
)
|
||||
Net cash provided by operating activities
|
$
|
29,839
|
$
|
36,218
|
||||
Cash Flows From Investing Activities
|
||||||||
Purchase of RMBS
|
(580,466
|
)
|
(423,208
|
)
|
||||
Principal paydown of RMBS
|
151,507
|
93,701
|
||||||
Proceeds from sale of RMBS
|
1,406,447
|
-
|
||||||
Proceeds from sale of MSRs
|
15,831
|
-
|
||||||
Acquisition of MSRs
|
(24,783
|
)
|
(50,009
|
)
|
||||
Purchase of derivatives
|
(890
|
)
|
(393
|
)
|
||||
Proceeds from settlement of derivatives
|
42,567
|
7,470
|
||||||
Net cash provided by (used in) investing activities
|
$
|
1,010,213
|
$
|
(372,439
|
)
|
|||
Cash Flows From Financing Activities
|
||||||||
Borrowings under repurchase agreements
|
4,510,387
|
3,454,895
|
||||||
Repayments of repurchase agreements
|
(5,452,707
|
)
|
(3,110,976
|
)
|
||||
Proceeds from derivative financing
|
(11,446
|
)
|
(16,566
|
)
|
||||
Proceeds from bank loans
|
18,204
|
10,782
|
||||||
Principal paydown of bank loans
|
(53,701
|
)
|
(16,799
|
)
|
||||
Dividends paid
|
(16,141
|
)
|
(20,879
|
)
|
||||
LTIP-OP Units distributions paid
|
(169
|
)
|
(269
|
)
|
||||
Conversion of OP units
|
(76
|
)
|
(103
|
)
|
||||
Issuance of common stock, net of offering costs
|
3,481
|
4,020
|
||||||
Issuance of preferred stock, net of offering costs
|
-
|
49,642
|
||||||
Repurchase of common stock
|
(1,748
|
)
|
-
|
|||||
Net cash provided by (used in) financing activities
|
$
|
(1,003,916
|
)
|
$
|
353,747
|
|||
Net Increase in Cash, Cash Equivalents and Restricted Cash
|
$
|
36,136
|
$
|
17,526
|
||||
Cash, Cash Equivalents and Restricted Cash, Beginning of Period
|
91,708
|
40,019
|
||||||
Cash, Cash Equivalents and Restricted Cash, End of Period
|
$
|
127,844
|
$
|
57,545
|
||||
Supplemental Disclosure of Cash Flow Information
|
||||||||
Cash paid during the period for interest expense
|
$
|
15,429
|
$
|
21,948
|
||||
Cash paid during the period for income taxes
|
5
|
213
|
||||||
Supplemental Schedule of Non-Cash Investing and Financing Activities
|
||||||||
Dividends declared but not paid
|
$
|
6,720
|
$
|
10,369
|
||||
Purchase of RMBS, settled after period end
|
35,898
|
-
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Realized gain (loss) on RMBS, net
|
||||||||||||||||
Gain on RMBS
|
$
|
513
|
$
|
-
|
$
|
18,663
|
$
|
-
|
||||||||
Loss on RMBS
|
(2,282
|
)
|
-
|
(37,975
|
)
|
-
|
||||||||||
Net realized gain (loss) on RMBS
|
(1,769
|
)
|
-
|
(19,312
|
)
|
-
|
||||||||||
Realized gain (loss) on derivatives, net
|
4,558
|
(365
|
)
|
(14,198
|
)
|
(7,841
|
)
|
|||||||||
Unrealized gain (loss) on derivatives, net
|
(4,581
|
)
|
(3,819
|
)
|
47,619
|
(12,091
|
)
|
|||||||||
Realized loss on investments in MSRs, net
|
(11,347
|
)
|
-
|
(11,347
|
)
|
-
|
||||||||||
Unrealized loss on investments in Servicing Related Assets
|
(17,025
|
)
|
(44,042
|
)
|
(110,878
|
)
|
(71,217
|
)
|
||||||||
Realized gain (loss) on acquired assets, net
|
(548
|
)
|
-
|
(502
|
)
|
-
|
||||||||||
Total
|
$
|
(30,712
|
)
|
$
|
(48,226
|
)
|
$
|
(108,618
|
)
|
$
|
(91,149
|
)
|
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
||||||||||||
Income Statement
|
||||||||||||||||
Three Months Ended June 30, 2020
|
||||||||||||||||
Interest income
|
$
|
479
|
$
|
9,653
|
$
|
-
|
$
|
10,132
|
||||||||
Interest expense
|
438
|
2,987
|
-
|
3,425
|
||||||||||||
Net interest income
|
41
|
6,666
|
-
|
6,707
|
||||||||||||
Servicing fee income
|
18,032
|
-
|
-
|
18,032
|
||||||||||||
Servicing costs
|
6,594
|
-
|
-
|
6,594
|
||||||||||||
Net servicing income
|
11,438
|
-
|
-
|
11,438
|
||||||||||||
Other expense
|
(25,044
|
)
|
(5,668
|
)
|
-
|
(30,712
|
)
|
|||||||||
Other operating expenses
|
1,135
|
-
|
2,259
|
3,394
|
||||||||||||
Benefit from corporate business taxes
|
(3,278
|
)
|
-
|
-
|
(3,278
|
)
|
||||||||||
Net Income (Loss)
|
$
|
(11,422
|
)
|
$
|
998
|
$
|
(2,259
|
)
|
$
|
(12,683
|
)
|
|||||
|
||||||||||||||||
Three Months Ended June 30, 2019
|
||||||||||||||||
Interest income
|
$
|
214
|
$
|
17,002
|
$
|
-
|
$
|
17,216
|
||||||||
Interest expense
|
446
|
11,261
|
-
|
11,707
|
||||||||||||
Net interest income (expense)
|
(232
|
)
|
5,741
|
-
|
5,509
|
|||||||||||
Servicing fee income
|
18,362
|
-
|
-
|
18,362
|
||||||||||||
Servicing costs
|
4,103
|
-
|
-
|
4,103
|
||||||||||||
Net servicing income
|
14,259
|
-
|
-
|
14,259
|
||||||||||||
Other expense
|
(29,136
|
)
|
(19,090
|
)
|
-
|
(48,226
|
)
|
|||||||||
Other operating expenses
|
388
|
-
|
2,684
|
3,072
|
||||||||||||
Benefit from corporate business taxes
|
(3,053
|
)
|
-
|
-
|
(3,053
|
)
|
||||||||||
Net Loss
|
$
|
(12,444
|
)
|
$
|
(13,349
|
)
|
$
|
(2,684
|
)
|
$
|
(28,477
|
)
|
||||
Six Months Ended June 30, 2020
|
||||||||||||||||
Interest income
|
$
|
2,120
|
$
|
28,261
|
$
|
-
|
$
|
30,381
|
||||||||
Interest expense
|
2,147
|
13,569
|
-
|
15,716
|
||||||||||||
Net interest income (expense)
|
(27
|
)
|
14,692
|
-
|
14,665
|
|||||||||||
Servicing fee income
|
37,551
|
-
|
-
|
37,551
|
||||||||||||
Servicing costs
|
12,434
|
-
|
-
|
12,434
|
||||||||||||
Net servicing income
|
25,117
|
-
|
-
|
25,117
|
||||||||||||
Other expense
|
(103,116
|
)
|
(5,502
|
)
|
-
|
(108,618
|
)
|
|||||||||
Other operating expenses
|
1,735
|
-
|
6,380
|
8,115
|
||||||||||||
Benefit from corporate business taxes
|
(15,432
|
)
|
-
|
-
|
(15,432
|
)
|
||||||||||
Net Income (Loss)
|
$
|
(64,329
|
)
|
$
|
9,190
|
$
|
(6,380
|
)
|
$
|
(61,519
|
)
|
|||||
Six Months Ended June 30, 2019
|
||||||||||||||||
Interest income
|
$
|
472
|
$
|
33,713
|
$
|
-
|
$
|
34,185
|
||||||||
Interest expense
|
1,634
|
20,817
|
-
|
22,451
|
||||||||||||
Net interest income (expense)
|
(1,162
|
)
|
12,896
|
-
|
11,734
|
|||||||||||
Servicing fee income
|
35,550
|
-
|
-
|
35,550
|
||||||||||||
Servicing costs
|
7,924
|
-
|
-
|
7,924
|
||||||||||||
Net servicing income
|
27,626
|
-
|
-
|
27,626
|
||||||||||||
Other expense
|
(54,103
|
)
|
(37,046
|
)
|
-
|
(91,149
|
)
|
|||||||||
Other operating expenses
|
880
|
-
|
4,964
|
5,844
|
||||||||||||
Benefit from corporate business taxes
|
(6,772
|
)
|
-
|
-
|
(6,772
|
)
|
||||||||||
Net Loss
|
$
|
(21,747
|
)
|
$
|
(24,150
|
)
|
$
|
(4,964
|
)
|
$
|
(50,861
|
)
|
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
||||||||||||
Balance Sheet
|
||||||||||||||||
June 30, 2020
|
||||||||||||||||
Investments
|
$
|
177,261
|
$
|
1,548,144
|
$
|
-
|
$
|
1,725,405
|
||||||||
Other assets
|
68,400
|
40,420
|
95,036
|
203,856
|
||||||||||||
Total assets
|
245,661
|
1,588,564
|
95,036
|
1,929,261
|
||||||||||||
Debt
|
131,780
|
1,395,317
|
-
|
1,527,097
|
||||||||||||
Other liabilities
|
3,377
|
55,668
|
11,190
|
70,235
|
||||||||||||
Total liabilities
|
135,157
|
1,450,985
|
11,190
|
1,597,332
|
||||||||||||
Book value
|
$
|
110,504
|
$
|
137,579
|
$
|
83,846
|
$
|
331,929
|
December 31, 2019
|
||||||||||||||||
Investments
|
$
|
291,111
|
$
|
2,508,360
|
$
|
-
|
$
|
2,799,471
|
||||||||
Other assets
|
39,742
|
80,207
|
25,145
|
145,094
|
||||||||||||
Total assets
|
330,853
|
2,588,567
|
25,145
|
2,944,565
|
||||||||||||
Debt
|
166,989
|
2,337,638
|
-
|
2,504,627
|
||||||||||||
Other liabilities
|
10,043
|
16,503
|
14,017
|
40,563
|
||||||||||||
Total liabilities
|
177,032
|
2,354,141
|
14,017
|
2,545,190
|
||||||||||||
Book value
|
$
|
153,821
|
$
|
234,426
|
$
|
11,128
|
$
|
399,375
|
|
Gross Unrealized
|
Weighted Average
|
|||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
1,146,830
|
$
|
996,086
|
$
|
34,271
|
$
|
(12
|
)
|
$
|
1,030,345
|
115
|
(B)
|
3.54
|
%
|
3.39
|
%
|
27
|
|||||||||||||||||||
Freddie Mac
|
517,393
|
479,329
|
15,264
|
(4
|
)
|
494,589
|
48
|
(B)
|
3.29
|
%
|
3.16
|
%
|
28
|
||||||||||||||||||||||||
CMOs
|
17,450
|
13,215
|
140
|
(312
|
)
|
13,043
|
8
|
(B)
|
3.85
|
%
|
4.16
|
%
|
11
|
||||||||||||||||||||||||
Private Label MBS
|
22,000
|
9,828
|
339
|
-
|
10,167
|
5
|
(B)
|
4.09
|
%
|
4.09
|
%
|
28
|
|||||||||||||||||||||||||
Total/Weighted Average
|
$
|
1,703,673
|
$
|
1,498,458
|
$
|
50,014
|
$
|
(328
|
)
|
$
|
1,548,144
|
176
|
|
3.46
|
%
|
3.33
|
%
|
27
|
|
Gross Unrealized
|
Weighted Average
|
|||||||||||||||||||||||||||||||||||
Asset Type
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
1,878,229
|
$
|
1,596,288
|
$
|
23,636
|
$
|
(691
|
)
|
$
|
1,619,233
|
198
|
(B)
|
3.80
|
%
|
3.65
|
%
|
27
|
|||||||||||||||||||
Freddie Mac
|
824,991
|
715,892
|
12,204
|
(245
|
)
|
727,851
|
88
|
(B)
|
3.72
|
%
|
3.59
|
%
|
28
|
||||||||||||||||||||||||
CMOs
|
127,229
|
123,053
|
6,030
|
-
|
129,083
|
30
|
(B)
|
5.28
|
%
|
5.26
|
%
|
11
|
|||||||||||||||||||||||||
Private Label MBS
|
50,500
|
31,595
|
598
|
-
|
32,193
|
11
|
(B)
|
4.06
|
%
|
4.06
|
%
|
29
|
|||||||||||||||||||||||||
Total/Weighted Average
|
$
|
2,880,949
|
$
|
2,466,828
|
$
|
42,468
|
$
|
(936
|
)
|
$
|
2,508,360
|
327
|
|
3.85
|
%
|
3.72
|
%
|
26
|
(A) |
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately 53.5% of which, by unpaid principal balance (“UPB”), are unrated or rated below investment grade at June 30, 2020 by at least one NRSRO. Private label RMBS are rated investment grade or better by at least one NRSRO as of June 30, 2020.
|
(C) |
The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
|
(D) |
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
Gross Unrealized
|
Weighted Average
|
|||||||||||||||||||||||||||||||||||
Years to Maturity
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
1-5 Years
|
$
|
3,500
|
$
|
1,674
|
$
|
34
|
$
|
-
|
$
|
1,708
|
2
|
(B)
|
4.43
|
%
|
4.73
|
%
|
4
|
||||||||||||||||||||
5-10 Years
|
5,500
|
3,638
|
105
|
-
|
3,743
|
2
|
(B)
|
4.58
|
%
|
4.88
|
%
|
8
|
|||||||||||||||||||||||||
Over 10 Years
|
1,694,673
|
1,493,146
|
49,875
|
(328
|
)
|
1,542,693
|
172
|
(B)
|
3.46
|
%
|
3.33
|
%
|
28
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
1,703,673
|
$
|
1,498,458
|
$
|
50,014
|
$
|
(328
|
)
|
$
|
1,548,144
|
176
|
|
3.46
|
%
|
3.33
|
%
|
27
|
|
Gross Unrealized
|
Weighted Average
|
|||||||||||||||||||||||||||||||||||
Years to Maturity
|
Original
Face
Value
|
Book
Value
|
Gains
|
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
1-5 Years
|
$
|
1,500
|
$
|
895
|
$
|
64
|
$
|
-
|
$
|
959
|
1
|
(B)
|
6.34
|
%
|
6.34
|
%
|
4
|
||||||||||||||||||||
5-10 Years
|
64,579
|
61,935
|
4,153
|
-
|
66,088
|
13
|
(B)
|
5.85
|
%
|
5.81
|
%
|
9
|
|||||||||||||||||||||||||
Over 10 Years
|
2,814,870
|
2,403,998
|
38,251
|
(936
|
)
|
2,441,313
|
313
|
(B)
|
3.80
|
%
|
3.66
|
%
|
27
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
2,880,949
|
$
|
2,466,828
|
$
|
42,468
|
$
|
(936
|
)
|
$
|
2,508,360
|
327
|
|
3.85
|
%
|
3.72
|
%
|
26
|
(A) |
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately 53.5% of which, by UPB, are unrated or rated below investment grade at June 30, 2020 by at least one NRSRO. Private label RMBS are rated investment grade or better by at least one NRSRO as of June 30, 2020.
|
(C) |
The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
|
(D) |
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
Weighted Average
|
||||||||||||||||||||||||||||||||
Duration in
Loss Position
|
Original
Face
Value
|
Book
Value
|
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||
Less than Twelve Months
|
$
|
39,415
|
$
|
40,896
|
$
|
(328
|
)
|
$
|
40,568
|
8
|
(B)
|
3.14
|
%
|
3.04
|
%
|
26
|
|||||||||||||||||
Total/Weighted Average
|
$
|
39,415
|
$
|
40,896
|
$
|
(328
|
)
|
$
|
40,568
|
8
|
|
3.14
|
%
|
3.04
|
%
|
26
|
|
Weighted Average
|
||||||||||||||||||||||||||||||||
Duration in
Loss Position
|
Original
Face
Value
|
Book
Value
|
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||
Less than Twelve Months
|
$
|
55,588
|
$
|
55,429
|
$
|
(105
|
)
|
$
|
55,324
|
5
|
(B)
|
3.70
|
%
|
3.53
|
%
|
29
|
|||||||||||||||||
Twelve or More Months
|
169,346
|
131,540
|
(831
|
)
|
130,709
|
23
|
(B)
|
3.76
|
%
|
3.54
|
%
|
25
|
|||||||||||||||||||||
Total/Weighted Average
|
$
|
224,934
|
$
|
186,969
|
$
|
(936
|
)
|
$
|
186,033
|
28
|
|
3.74
|
%
|
3.54
|
%
|
26
|
(A) |
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately 53.5% of which, by UPB, are unrated or rated below investment grade at June 30, 2020 by at least one NRSRO. The Company’s private label RMBS are rated investment grade or better by at least one NRSRO as of June 30, 2020.
|
(C) |
The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
|
(D) |
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
|
Unpaid
Principal
Balance
|
Cost Basis
|
Carrying
Value(A)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(B)
|
Year to Date
Changes in
Fair Value
Recorded in
Other Income
(Loss)
|
||||||||||||||||||
MSRs
|
||||||||||||||||||||||||
Conventional
|
$
|
24,126,677
|
$
|
288,139
|
(C)
|
$
|
177,261
|
4.16%
|
26.4
|
$
|
(110,878)
|
|||||||||||||
MSR Total/Weighted Average
|
$
|
24,126,677
|
$
|
288,139
|
$
|
177,261
|
4.16%
|
26.4
|
$
|
(110,878)
|
|
Unpaid
Principal
Balance
|
Cost Basis
|
Carrying
Value(A)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(B)
|
Year to Date
Changes in
Fair Value
Recorded in
Other Income
(Loss)
|
||||||||||||||||||
MSRs
|
||||||||||||||||||||||||
Conventional
|
$
|
26,142,780
|
$
|
357,667
|
(C)
|
$
|
263,357
|
4.27%
|
26.8
|
$
|
(94,310)
|
|||||||||||||
Government
|
2,925,346
|
40,216
|
(C)
|
27,754
|
3.37%
|
25.8
|
(12,462)
|
|||||||||||||||||
MSR Total/Weighted Average
|
$
|
29,068,126
|
$
|
397,883
|
$
|
291,111
|
4.18%
|
26.7
|
$
|
(106,772)
|
(A) |
Carrying value approximates the fair value of the pools (see Note 9).
|
(B) |
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
|
(C) |
Cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns of the underlying mortgage loans.
|
|
Percentage of Total Outstanding
Unpaid Principal Balance
|
|||
California
|
12.7
|
%
|
||
Texas
|
6.3
|
%
|
||
Maryland
|
6.1
|
%
|
||
New York
|
5.9
|
%
|
||
Virginia
|
5.5
|
%
|
||
All other
|
63.5
|
%
|
||
Total
|
100.0
|
%
|
|
Percentage of Total Outstanding
Unpaid Principal Balance
|
|||
California
|
13.4
|
%
|
||
Texas
|
6.2
|
%
|
||
Maryland
|
5.6
|
%
|
||
New York
|
5.1
|
%
|
||
Virginia
|
5.1
|
%
|
||
All other
|
64.6
|
%
|
||
Total
|
100.0
|
%
|
|
LTIP-OP Units
|
Shares of Common Stock
|
Number of
Securities Remaining
Available For
Future Issuance
Under Equity
|
Weighted
Average
Issuance
|
||||||||||||||||||||||||
|
Issued
|
Forfeited
|
Converted
|
Issued
|
Forfeited
|
Compensation Plans
|
Price
|
|||||||||||||||||||||
December 31, 2018
|
(223,900
|
)
|
916
|
12,917
|
(57,875
|
)
|
3,155
|
1,235,213
|
||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(66,375
|
)
|
-
|
-
|
-
|
(66,375
|
)
|
$
|
17.64
|
|||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
-
|
-
|
6,000
|
(6,000
|
)
|
-
|
-
|
$
|
17.23
|
|||||||||||||||||||
March 31, 2019
|
(290,275
|
)
|
916
|
18,917
|
(63,875
|
)
|
3,155
|
1,168,838
|
||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
-
|
-
|
-
|
(12,789
|
)
|
-
|
(12,789
|
)
|
$
|
16.42
|
||||||||||||||||||
June 30, 2019
|
(290,275
|
)
|
916
|
18,917
|
(76,664
|
)
|
3,155
|
1,156,049
|
||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
-
|
-
|
-
|
$
|
16.68
|
|||||||||||||||||||||||
December 31, 2019
|
(290,275
|
)
|
916
|
18,917
|
(76,664
|
)
|
3,155
|
1,156,049
|
||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(41,900
|
)
|
-
|
-
|
-
|
-
|
(41,900
|
)
|
$
|
14.55
|
||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
-
|
-
|
9,500
|
(9,500
|
)
|
-
|
-
|
$
|
8.01
|
|||||||||||||||||||
March 31, 2020
|
(332,175
|
)
|
916
|
28,417
|
(86,164
|
)
|
3,155
|
1,114,149
|
||||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
(9,672
|
)
|
-
|
-
|
-
|
-
|
(9,672
|
)
|
$
|
6.27
|
||||||||||||||||||
Number of securities issued or to be issued upon exercise
|
-
|
-
|
-
|
(22,224
|
)
|
-
|
(22,224
|
)
|
$
|
9.18
|
||||||||||||||||||
June 30, 2020
|
(341,847
|
)
|
916
|
28,417
|
(108,388
|
)
|
3,155
|
1,082,253
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Numerator:
|
||||||||||||||||
Net loss
|
$
|
(12,683
|
)
|
$
|
(28,477
|
)
|
$
|
(61,519
|
)
|
$
|
(50,861
|
)
|
||||
Net loss allocated to noncontrolling interests in Operating Partnership
|
227
|
460
|
1,137
|
829
|
||||||||||||
Dividends on preferred stock
|
2,461
|
2,593
|
4,920
|
4,434
|
||||||||||||
Net loss applicable to common stockholders
|
$
|
(14,917
|
)
|
$
|
(30,610
|
)
|
$
|
(65,302
|
)
|
$
|
(54,466
|
)
|
||||
Denominator:
|
||||||||||||||||
Weighted average common shares outstanding
|
16,882,077
|
16,776,472
|
16,746,758
|
16,708,471
|
||||||||||||
Weighted average diluted shares outstanding
|
16,895,408
|
16,789,261
|
16,759,818
|
16,721,260
|
||||||||||||
Basic and Diluted EPS:
|
||||||||||||||||
Basic
|
$
|
(0.88
|
)
|
$
|
(1.82
|
)
|
$
|
(3.90
|
)
|
$
|
(3.26
|
)
|
||||
Diluted
|
$
|
(0.88
|
)
|
$
|
(1.82
|
)
|
$
|
(3.90
|
)
|
$
|
(3.26
|
)
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Management fees
|
$
|
1,736
|
$
|
1,696
|
$
|
3,463
|
$
|
3,267
|
||||||||
Compensation reimbursement
|
238
|
238
|
476
|
476
|
||||||||||||
Total
|
$
|
1,974
|
$
|
1,934
|
$
|
3,939
|
$
|
3,743
|
Derivatives
|
June 30, 2020
|
December 31, 2019
|
||||||
Notional amount of interest rate swaps
|
$
|
1,622,700
|
$
|
2,355,850
|
||||
Notional amount of swaptions
|
60,000
|
40,000
|
||||||
Notional amount of TBAs, net
|
(33,000
|
)
|
140,300
|
|||||
Notional amount of Treasury futures
|
483,500
|
310,300
|
||||||
Total notional amount
|
$
|
2,133,200
|
$
|
2,846,450
|
|
Notional
Amount
|
Weighted
Average Pay
Rate
|
Weighted
Average
Receive Rate
|
Weighted
Average
Years to
Maturity
|
||||||||||||
June 30, 2020
|
$
|
1,622,700
|
0.73
|
%
|
0.94
|
%
|
6.0
|
|||||||||
December 31, 2019
|
2,355,850
|
1.70
|
%
|
1.92
|
%
|
5.3
|
|
Notional
Amount
|
Weighted
Average Pay
Rate
|
Weighted
Average
Receive Rate(A)
|
Weighted
Average
Years to
Maturity
|
|||||
June 30, 2020
|
$
|
60,000
|
1.67
|
%
|
LIBOR-BBA
|
%
|
10.8
|
||
December 31, 2019
|
40,000
|
2.38
|
%
|
LIBOR-BBA
|
%
|
10.7
|
(A) |
Floats in accordance with LIBOR.
|
Maturity
|
Notional
Amount -
Long
Positions
|
Notional
Amount -
Short
Positions
|
Net Notional
Amount
|
Fair Value
|
||||||||||||
5 years
|
$
|
315,300
|
$
|
-
|
$
|
315,300
|
1,404
|
|||||||||
10 years
|
168,200
|
-
|
168,200
|
1,025
|
||||||||||||
Total
|
$
|
483,500
|
$
|
-
|
$
|
483,500
|
2,429
|
Maturity
|
Notional
Amount -
Long
Positions
|
Notional
Amount -
Short
Positions
|
Net Notional
Amount
|
Fair Value
|
||||||||||||
5 years
|
$
|
262,800
|
$
|
-
|
$
|
262,800
|
(1,009
|
)
|
||||||||
10 years
|
47,500
|
-
|
47,500
|
(764
|
)
|
|||||||||||
Total
|
$
|
310,300
|
$
|
-
|
$
|
310,300
|
(1,774
|
)
|
|
Three Months Ended June 30,
|
Six Months Ended June 30,
|
|||||||||||||||
Derivatives
|
Consolidated Statements of Loss Location
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Interest rate swaps
|
Realized gain (loss) on derivatives, net
|
$
|
(6,759
|
)
|
$
|
(5,558
|
)
|
$
|
(54,624
|
)
|
$
|
(13,582
|
)
|
||||
Swaptions
|
Realized gain (loss) on derivatives, net
|
(212
|
)
|
(382
|
)
|
(212
|
)
|
(1,144
|
)
|
||||||||
TBAs
|
Realized gain (loss) on derivatives, net
|
(115
|
)
|
1,307
|
344
|
1,087
|
|||||||||||
Treasury futures
|
Realized gain (loss) on derivatives, net
|
11,644
|
4,268
|
40,294
|
5,798
|
||||||||||||
Total
|
|
$
|
4,558
|
$
|
(365
|
)
|
$
|
(14,198
|
)
|
$
|
(7,841
|
)
|
|
Net Amounts
of Assets and
|
Gross Amounts Not Offset in the
Consolidated Balance Sheet
|
||||||||||||||||||||||
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Liabilities
Presented in
the
Consolidated
Balance Sheet
|
Financial
Instruments
|
Cash
Collateral
Received
(Pledged)
|
Net Amount
|
|||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
30,438
|
$
|
-
|
$
|
30,438
|
$
|
(30,438
|
)
|
$
|
-
|
$
|
-
|
|||||||||||
Interest rate swaptions
|
245
|
-
|
245
|
(245
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
896
|
(597
|
)
|
299
|
(299
|
)
|
-
|
-
|
||||||||||||||||
Treasury futures
|
2,429
|
-
|
2,429
|
9,324
|
(11,753
|
)
|
-
|
|||||||||||||||||
Total Assets
|
$
|
34,008
|
$
|
(597
|
)
|
$
|
33,411
|
$
|
(21,658
|
)
|
$
|
(11,753
|
)
|
$
|
-
|
|||||||||
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
1,395,317
|
$
|
-
|
$
|
1,395,317
|
$
|
(1,373,699
|
)
|
$
|
(21,618
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
19,313
|
-
|
19,313
|
(19,313
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
597
|
(597
|
)
|
-
|
-
|
-
|
-
|
|||||||||||||||||
Total Liabilities
|
$
|
1,415,227
|
$
|
(597
|
)
|
$
|
1,414,630
|
$
|
(1,393,012
|
)
|
$
|
(21,618
|
)
|
$
|
-
|
|
Net Amounts
of Assets and
|
Gross Amounts Not Offset in the
Consolidated Balance Sheet
|
||||||||||||||||||||||
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Liabilities
Presented in
the
Consolidated
Balance Sheet
|
Financial
Instruments
|
Cash
Collateral
Received
(Pledged)
|
Net Amount
|
|||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
17,921
|
$
|
-
|
$
|
17,921
|
$
|
(17,921
|
)
|
$
|
-
|
$
|
-
|
|||||||||||
Interest rate swaptions
|
368
|
-
|
368
|
(368
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
2,297
|
(2,297
|
)
|
-
|
-
|
-
|
-
|
|||||||||||||||||
Total Assets
|
$
|
20,586
|
$
|
(2,297
|
)
|
$
|
18,289
|
$
|
(18,289
|
)
|
$
|
-
|
$
|
-
|
||||||||||
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
2,337,638
|
$
|
-
|
$
|
2,337,638
|
$
|
(2,276,251
|
)
|
$
|
(61,387
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
10,140
|
-
|
10,140
|
(10,140
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
2,720
|
(2,297
|
)
|
423
|
(423
|
)
|
-
|
-
|
||||||||||||||||
Treasury futures
|
1,774
|
-
|
1,774
|
3,876
|
(5,650
|
)
|
-
|
|||||||||||||||||
Total Liabilities
|
$
|
2,352,272
|
$
|
(2,297
|
)
|
$
|
2,349,975
|
$
|
(2,282,938
|
)
|
$
|
(67,037
|
)
|
$
|
-
|
● |
Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.
|
● |
Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.
|
● |
Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.
|
|
Level 1
|
Level 2
|
Level 3
|
Carrying Value
|
||||||||||||
Assets
|
||||||||||||||||
RMBS
|
||||||||||||||||
Fannie Mae
|
$
|
-
|
$
|
1,030,345
|
$
|
-
|
$
|
1,030,345
|
||||||||
Freddie Mac
|
-
|
494,589
|
-
|
494,589
|
||||||||||||
CMOs
|
-
|
13,043
|
-
|
13,043
|
||||||||||||
Private Label MBS
|
-
|
10,167
|
-
|
10,167
|
||||||||||||
RMBS total
|
-
|
1,548,144
|
-
|
1,548,144
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
-
|
30,438
|
-
|
30,438
|
||||||||||||
Interest rate swaptions
|
-
|
245
|
-
|
245
|
||||||||||||
TBAs
|
-
|
299
|
-
|
299
|
||||||||||||
Treasury futures
|
-
|
2,429
|
-
|
2,429
|
||||||||||||
Derivative assets total
|
-
|
33,411
|
-
|
33,411
|
||||||||||||
Servicing related assets
|
-
|
-
|
177,261
|
177,261
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
1,581,555
|
$
|
177,261
|
$
|
1,758,816
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
-
|
19,313
|
-
|
19,313
|
||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
||||||||||||
Treasury futures
|
-
|
-
|
-
|
-
|
||||||||||||
Derivative liabilities total
|
-
|
19,313
|
-
|
19,313
|
||||||||||||
Total Liabilities
|
$
|
-
|
$
|
19,313
|
$
|
-
|
$
|
19,313
|
|
Level 1
|
Level 2
|
Level 3
|
Carrying Value
|
||||||||||||
Assets
|
||||||||||||||||
RMBS
|
||||||||||||||||
Fannie Mae
|
$
|
-
|
$
|
1,619,233
|
$
|
-
|
$
|
1,619,233
|
||||||||
Freddie Mac
|
-
|
727,851
|
-
|
727,851
|
||||||||||||
CMOs
|
-
|
129,083
|
-
|
129,083
|
||||||||||||
Private Label MBS
|
-
|
32,193
|
-
|
32,193
|
||||||||||||
RMBS total
|
-
|
2,508,360
|
-
|
2,508,360
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
-
|
17,921
|
-
|
17,921
|
||||||||||||
Interest rate swaptions
|
-
|
368
|
-
|
368
|
||||||||||||
Derivative assets total
|
-
|
18,289
|
-
|
18,289
|
||||||||||||
Servicing related assets
|
-
|
-
|
291,111
|
291,111
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
2,526,649
|
$
|
291,111
|
$
|
2,817,760
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
-
|
10,140
|
-
|
10,140
|
||||||||||||
TBAs
|
-
|
423
|
-
|
423
|
||||||||||||
Treasury futures
|
-
|
1,774
|
-
|
1,774
|
||||||||||||
Derivative liabilities total
|
-
|
12,337
|
-
|
12,337
|
||||||||||||
Total Liabilities
|
$
|
-
|
$
|
12,337
|
$
|
-
|
$
|
12,337
|
|
Level 3 (A)
|
|||
|
MSRs
|
|||
Balance at December 31, 2019
|
$
|
291,111
|
||
Purchases, sales and principal paydowns:
|
||||
Purchases
|
25,677
|
|||
Sales
|
(27,754
|
)
|
||
Other changes (B)
|
(895
|
)
|
||
Purchases, sales and principal paydowns:
|
$
|
(2,972
|
)
|
|
Changes in Fair Value due to:
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
(50,365
|
)
|
||
Other changes in fair value (C)
|
(60,513
|
)
|
||
Unrealized loss included in Net Loss
|
$
|
(110,878
|
)
|
|
Balance at June 30, 2020
|
$
|
177,261
|
|
Level 3 (A)
|
|||
|
MSRs
|
|||
Balance at December 31, 2018
|
$
|
294,907
|
||
Purchases, sales and principal paydowns:
|
||||
Purchases
|
104,969
|
|||
Other changes (B)
|
(1,993
|
)
|
||
Purchases, sales and principal paydowns:
|
$
|
102,976
|
||
Changes in Fair Value due to:
|
||||
Changes in valuation inputs or assumptions used in valuation model
|
(43,737
|
)
|
||
Other changes in fair value (C)
|
(63,035
|
)
|
||
Unrealized loss included in Net Loss
|
$
|
(106,772
|
)
|
|
Balance at December 31, 2019
|
$
|
291,111
|
(A) |
Includes any recaptured loans obtained via the recapture agreements in place.
|
(B) |
Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
|
(C) |
Represents changes due to realization of expected cash flows and estimated MSR runoff.
|
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average
|
|||||||
MSRs
|
|
|
|
|
|
|||||||
Conventional
|
$
|
177,261
|
Discounted cash flow
|
Constant prepayment speed
|
6.5% - 41.5
|
%
|
17.6
|
%
|
||||
|
|
|
Uncollected payments
|
0.4% - 0.8
|
%
|
0.7
|
%
|
|||||
|
|
|
Discount rate
|
|
6.1
|
%
|
||||||
|
|
|
Annual cost to service, per loan
|
|
$
|
76
|
||||||
TOTAL
|
$
|
177,261
|
|
|
|
|
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average (B)
|
|||||||
MSRs
|
|
|
|
|
|
|||||||
Conventional
|
$
|
263,357
|
Discounted cash flow
|
Constant prepayment speed
|
7.8% -21.1
|
%
|
13.2
|
%
|
||||
|
|
|
Uncollected payments
|
0.4% - 0.8
|
%
|
0.7
|
%
|
|||||
|
|
|
Discount rate
|
|
7.3
|
%
|
||||||
|
|
|
Annual cost to service, per loan
|
|
$
|
73
|
||||||
Government
|
$
|
27,754
|
Discounted cash flow
|
Constant prepayment speed
|
6.5% -19.5
|
%
|
13.6
|
%
|
||||
|
|
|
Uncollected payments
|
2.2% - 9.0
|
%
|
2.8
|
%
|
|||||
|
|
|
Discount rate
|
|
9.4
|
%
|
||||||
|
|
|
Annual cost to service, per loan
|
|
$
|
112
|
||||||
TOTAL
|
$
|
291,111
|
|
|
|
|
(A) |
Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
|
(B) |
Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.
|
● |
RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote.
|
● |
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.
|
● |
The carrying value of repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term.
|
|
Repurchase
Agreements
|
Weighted Average
Rate
|
||||||
Less than one month
|
$
|
385,573
|
0.63
|
%
|
||||
One to three months
|
938,842
|
0.30
|
%
|
|||||
Greater than three months
|
70,902
|
0.34
|
%
|
|||||
Total/Weighted Average
|
$
|
1,395,317
|
0.39
|
%
|
|
Repurchase
Agreements |
Weighted Average
Rate
|
||||||
Less than one month
|
$
|
928,646
|
2.24
|
%
|
||||
One to three months
|
1,231,422
|
1.94
|
%
|
|||||
Greater than three months
|
177,570
|
1.98
|
%
|
|||||
Total/Weighted Average
|
$
|
2,337,638
|
2.06
|
%
|
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025
|
Total
|
|||||||||||||||||||||
MSR Revolver
|
||||||||||||||||||||||||||||
Borrowings under MSR Revolver Facility
|
$
|
-
|
$
|
55,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
55,000
|
||||||||||||||
Fannie Mae MSR Financing Facility
|
||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility
|
$
|
-
|
$
|
77,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
77,000
|
||||||||||||||
Total
|
$
|
-
|
$
|
132,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
132,000
|
|
2020
|
2021
|
2022
|
2023
|
2024
|
2025
|
Total
|
|||||||||||||||||||||
MSR Term Facility
|
||||||||||||||||||||||||||||
Borrowings under MSR Term Facility
|
$
|
2,000
|
$
|
2,000
|
$
|
10,996
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
14,996
|
||||||||||||||
MSR Revolver
|
||||||||||||||||||||||||||||
Borrowings under MSR Revolver Facility
|
$
|
-
|
$
|
55,500
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
55,500
|
||||||||||||||
Fannie Mae MSR Financing Facility
|
||||||||||||||||||||||||||||
Borrowings under Fannie Mae MSR Financing Facility
|
$
|
-
|
$
|
97,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
97,000
|
||||||||||||||
Total
|
$
|
2,000
|
$
|
154,500
|
$
|
10,996
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
167,496
|
|
June 30, 2020
|
December 31, 2019
|
||||||
Servicing advances
|
$
|
11,353
|
$
|
16,647
|
||||
Interest receivable
|
4,255
|
8,222
|
||||||
Deferred tax receivable
|
18,191
|
2,757
|
||||||
Repurchased loans held for sale
|
1,689
|
3,839
|
||||||
Other receivables
|
7,113
|
3,632
|
||||||
Total other assets
|
$
|
42,601
|
$
|
35,097
|
|
June 30, 2020
|
December 31, 2019
|
||||||
Accrued interest payable
|
$
|
1,757
|
$
|
10,779
|
||||
Accrued expenses
|
3,078
|
5,090
|
||||||
Total accrued expenses and other liabilities
|
$
|
4,835
|
$
|
15,869
|
|
Six Months Ended June 30,
|
|||||||
|
2020
|
2019
|
||||||
Deferred federal income tax benefit
|
$
|
(14,302
|
)
|
$
|
(5,525
|
)
|
||
Deferred state income tax benefit
|
(1,130
|
)
|
(1,247
|
)
|
||||
Benefit from Corporate Business Taxes
|
$
|
(15,432
|
)
|
$
|
(6,772
|
)
|
|
Six Months Ended June 30,
|
|||||||||||||||
|
2020
|
2019
|
||||||||||||||
Computed income tax expense (benefit) at federal rate
|
$
|
(16,160
|
)
|
21.0
|
%
|
$
|
(12,103
|
)
|
21.0
|
%
|
||||||
State tax benefit, net of federal tax, if applicable
|
(1,130
|
)
|
1.5
|
%
|
(1,247
|
)
|
2.2
|
%
|
||||||||
REIT income not subject to tax (benefit)
|
1,858
|
(2.4
|
)%
|
6,578
|
(11.4
|
)%
|
||||||||||
Benefit from Corporate Business Taxes/Effective Tax Rate(A)
|
$
|
(15,432
|
)
|
20.1
|
%
|
$
|
(6,772
|
)
|
11.8
|
%
|
(A) |
The provision for income taxes is recorded at the TRS level.
|
|
June 30, 2020
|
December 31, 2019
|
||||||
Deferred tax assets
|
||||||||
Deferred tax - mortgage servicing rights
|
$
|
(14,375
|
)
|
$
|
(994
|
)
|
||
Deferred tax - net operating loss
|
(3,816
|
)
|
(1,763
|
)
|
||||
Total net deferred tax assets
|
$
|
(18,191
|
)
|
$
|
(2,757
|
)
|