☒ |
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
☐ |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Maryland
|
46-1315605
|
|
(State or Other Jurisdiction of Incorporation or Organization)
|
(I.R.S. Employer Identification No.)
|
|
301 Harper Drive, Suite 110
Moorestown, New Jersey
|
08057
|
|
(Address of Principal Executive Offices)
|
(Zip Code)
|
Large accelerated filer
|
☐
|
Accelerated filer
|
☒
|
Non-accelerated filer
|
☐ (Do not check if a smaller reporting company)
|
Smaller reporting company
|
☐
|
Page
|
||
3
|
||
PART I.
|
5
|
|
Item 1.
|
5
|
|
5
|
||
6
|
||
7
|
||
8
|
||
9
|
||
10
|
||
Item 2.
|
45
|
|
Item 3.
|
69
|
|
Item 4.
|
74
|
|
PART II.
|
75
|
|
Item 1.
|
75
|
|
Item 1A.
|
76
|
|
Item 2.
|
77
|
|
Item 3.
|
78
|
|
Item 4.
|
79
|
|
Item 5.
|
80
|
|
Item 6.
|
81
|
• |
the Company’s investment objectives and business strategy;
|
• |
the Company’s ability to raise capital through the sale of its equity and debt securities;
|
• |
the Company’s ability to obtain future financing arrangements and refinance existing financing arrangements as they mature;
|
• |
the Company’s expected leverage;
|
• |
the Company’s expected investments;
|
• |
the Company’s ability to execute its prime mortgage loan strategy and its ability to finance this asset class;
|
• |
the Company’s ability to acquire excess mortgage servicing rights (“Excess MSRs”) and mortgage servicing rights (“MSRs” and together with Excess MSRs, “Servicing Related Assets”);
|
• |
estimates or statements relating to, and the Company’s ability to make, future distributions;
|
• |
the Company’s ability to compete in the marketplace;
|
• |
market, industry and economic trends;
|
• |
recent market developments and actions taken and to be taken by the U.S. Government, the U.S. Treasury and the Board of Governors of the Federal Reserve System, Fannie Mae, Freddie Mac, Ginnie Mae and the U.S. Securities and Exchange Commission (“SEC”);
|
• |
mortgage loan modification programs and future legislative actions;
|
• |
the Company’s ability to maintain its qualification as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”);
|
• |
the Company’s ability to maintain its exclusion from registration as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”);
|
• |
projected capital and operating expenditures;
|
• |
availability of investment opportunities in mortgage-related, real estate-related and other securities;
|
• |
availability of qualified personnel;
|
• |
prepayment rates; and
|
• |
projected default rates.
|
• |
the factors discussed under “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q and “Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015;
|
• |
general volatility of the capital markets;
|
• |
changes in the Company’s investment objectives and business strategy;
|
• |
availability, terms and deployment of capital;
|
• |
availability of suitable investment opportunities;
|
• |
the Company’s dependence on its external manager, Cherry Hill Mortgage Management, LLC (“the Manager”), and the Company’s ability to find a suitable replacement if the Company or the Manager were to terminate the management agreement the Company has entered into with the Manager;
|
• |
changes in the Company’s assets, interest rates or the general economy;
|
• |
increased rates of default and/or decreased recovery rates on the Company’s investments;
|
• |
changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;
|
• |
limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code and its exclusion from registration as an investment company under the Investment Company Act; and
|
• |
the degree and nature of the Company’s competition, including competition for its targeted assets.
|
(unaudited)
September 30, 2016
|
December 31, 2015
|
|||||||
Assets
|
||||||||
RMBS, available-for-sale
|
$
|
533,066
|
$
|
508,242
|
||||
Investments in Servicing Related Assets at fair value
|
92,932
|
97,803
|
||||||
Cash and cash equivalents
|
12,586
|
10,603
|
||||||
Restricted cash
|
16,014
|
9,942
|
||||||
Derivative assets
|
173
|
422
|
||||||
Receivables and other assets
|
10,035
|
9,328
|
||||||
Total Assets
|
$
|
664,806
|
$
|
636,340
|
||||
Liabilities and Stockholders’ Equity
|
||||||||
Liabilities
|
||||||||
Repurchase agreements
|
$
|
466,209
|
$
|
385,560
|
||||
Federal Home Loan Bank advances
|
-
|
62,250
|
||||||
Derivative liabilities
|
7,228
|
4,595
|
||||||
Notes payable
|
21,856
|
24,313
|
||||||
Dividends payable
|
3,687
|
3,684
|
||||||
Due to affiliates
|
1,410
|
998
|
||||||
Payables for unsettled trades
|
5,380
|
-
|
||||||
Accrued expenses and other liabilities
|
6,543
|
2,603
|
||||||
Total Liabilities
|
$
|
512,313
|
$
|
484,003
|
||||
Stockholders’ Equity
|
||||||||
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of September 30, 2016 and December, 31, 2015
|
$
|
-
|
$
|
-
|
||||
Common stock, $0.01 par value, 500,000,000 shares authorized and 7,525,348 shares issued and outstanding as of September 30, 2016 and 500,000,000 shares authorized and 7,519,038 shares issued and outstanding as of December, 31, 2015
|
75
|
75
|
||||||
Additional paid-in capital
|
148,432
|
148,332
|
||||||
Retained earnings (deficit)
|
(9,262
|
)
|
3,133
|
|||||
Accumulated other comprehensive income (loss)
|
11,970
|
(197
|
)
|
|||||
Total CHMI Stockholders’ Equity
|
$
|
151,215
|
$
|
151,343
|
||||
Non-controlling interests in operating partnership
|
1,278
|
994
|
||||||
Total Stockholders’ Equity
|
$
|
152,493
|
$
|
152,337
|
||||
Total Liabilities and Stockholders’ Equity
|
$
|
664,806
|
$
|
636,340
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Income
|
||||||||||||||||
Interest income
|
$
|
7,157
|
$
|
5,813
|
$
|
19,480
|
$
|
19,728
|
||||||||
Interest expense
|
1,877
|
1,643
|
5,419
|
4,224
|
||||||||||||
Net interest income
|
5,280
|
4,170
|
14,061
|
15,504
|
||||||||||||
Servicing fee income
|
2,365
|
463
|
5,434
|
619
|
||||||||||||
Servicing costs
|
641
|
366
|
1,544
|
460
|
||||||||||||
Net servicing income (loss)
|
1,724
|
97
|
3,890
|
159
|
||||||||||||
Other income (loss)
|
||||||||||||||||
Realized gain (loss) on RMBS, net
|
770
|
269
|
1,325
|
461
|
||||||||||||
Realized gain (loss) on derivatives, net
|
(2,147
|
)
|
(947
|
)
|
(3,907
|
)
|
(2,241
|
)
|
||||||||
Realized gain (loss) on acquired assets, net
|
-
|
-
|
-
|
174
|
||||||||||||
Unrealized gain (loss) on derivatives, net
|
3,199
|
(4,986
|
)
|
(3,227
|
)
|
(4,693
|
)
|
|||||||||
Unrealized gain (loss) on investments in Excess MSRs
|
117
|
(2,059
|
)
|
(2,339
|
)
|
(1,238
|
)
|
|||||||||
Unrealized gain (loss) on investments in MSRs
|
(1,847
|
)
|
(541
|
)
|
(7,155
|
)
|
(563
|
)
|
||||||||
Total Income
|
7,096
|
(3,997
|
)
|
2,648
|
7,563
|
|||||||||||
Expenses
|
||||||||||||||||
General and administrative expense
|
864
|
622
|
2,494
|
1,998
|
||||||||||||
Management fee to affiliate
|
802
|
690
|
2,182
|
2,070
|
||||||||||||
Total Expenses
|
1,666
|
1,312
|
4,676
|
4,068
|
||||||||||||
Income (Loss) Before Income Taxes
|
5,430
|
(5,309
|
)
|
(2,028
|
)
|
3,495
|
||||||||||
Provision for corporate business taxes
|
(89
|
)
|
(139
|
)
|
(669
|
)
|
(209
|
)
|
||||||||
Net Income (Loss)
|
5,519
|
(5,170
|
)
|
(1,359
|
)
|
3,704
|
||||||||||
Net (income) loss allocated to noncontrolling interests
|
(76
|
)
|
46
|
21
|
(35
|
)
|
||||||||||
Net Income (Loss) Applicable to Common Stockholders
|
$
|
5,443
|
$
|
(5,124
|
)
|
$
|
(1,338
|
)
|
$
|
3,669
|
||||||
Net income (Loss) Per Share of Common Stock
|
||||||||||||||||
Basic
|
$
|
0.72
|
$
|
(0.68
|
)
|
$
|
(0.18
|
)
|
$
|
0.49
|
||||||
Diluted
|
$
|
0.72
|
$
|
(0.68
|
)
|
$
|
(0.18
|
)
|
$
|
0.49
|
||||||
Weighted Average Number of Shares of Common Stock Outstanding
|
||||||||||||||||
Basic
|
7,511,653
|
7,509,543
|
7,510,246
|
7,509,543
|
||||||||||||
Diluted
|
7,528,188
|
7,511,653
|
7,522,614
|
7,510,246
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Net income (loss)
|
$
|
5,519
|
$
|
(5,170
|
)
|
$
|
(1,359
|
)
|
$
|
3,704
|
||||||
Other comprehensive income (loss):
|
||||||||||||||||
Net unrealized gain (loss) on RMBS
|
1,110
|
3,363
|
13,492
|
(126
|
)
|
|||||||||||
Reclassification of net realized (gain) loss on RMBS in earnings
|
(770
|
)
|
(269
|
)
|
(1,325
|
)
|
(461
|
)
|
||||||||
Other comprehensive income (loss)
|
340
|
3,094
|
12,167
|
(587
|
)
|
|||||||||||
Comprehensive income (loss)
|
$
|
5,859
|
$
|
(2,076
|
)
|
$
|
10,808
|
$
|
3,117
|
|||||||
Comprehensive income (loss) attributable to noncontrolling interests
|
98
|
(18
|
)
|
168
|
30
|
|||||||||||
Comprehensive income (loss) attributable to common stockholders
|
$
|
5,761
|
$
|
(2,058
|
)
|
$
|
10,640
|
$
|
3,087
|
Common
Stock Shares |
Common
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, 2014
|
7,509,543
|
$
|
75
|
$
|
148,258
|
$
|
6,641
|
$
|
4,799
|
$
|
545
|
$
|
160,318
|
|||||||||||||||
Issuance of common stock
|
9,495
|
-
|
(A)
|
37
|
-
|
-
|
-
|
37
|
||||||||||||||||||||
Net Income
|
-
|
-
|
-
|
-
|
3,669
|
35
|
3,704
|
|||||||||||||||||||||
Other Comprehensive Income
|
-
|
-
|
-
|
(587
|
)
|
-
|
-
|
(587
|
)
|
|||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
308
|
308
|
|||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
(104
|
)
|
(104
|
)
|
|||||||||||||||||||
Common dividends declared, $1.49 per share
|
-
|
-
|
-
|
-
|
(11,195
|
)
|
-
|
(11,195
|
)
|
|||||||||||||||||||
Balance, September 30, 2015
|
7,519,038
|
$
|
75
|
$
|
148,295
|
$
|
6,054
|
$
|
(2,727
|
)
|
$
|
784
|
$
|
152,481
|
||||||||||||||
Balance, December 31, 2015
|
7,519,038
|
$
|
75
|
$
|
148,332
|
$
|
(197
|
)
|
$
|
3,133
|
$
|
994
|
$
|
152,337
|
||||||||||||||
Issuance of common stock
|
6,310
|
-
|
(B)
|
100
|
-
|
-
|
-
|
100
|
||||||||||||||||||||
Net Income
|
-
|
-
|
-
|
-
|
(1,338
|
)
|
(21
|
)
|
(1,359
|
)
|
||||||||||||||||||
Other Comprehensive Income
|
-
|
-
|
-
|
12,167
|
-
|
-
|
12,167
|
|||||||||||||||||||||
LTIP-OP Unit awards
|
-
|
-
|
-
|
-
|
-
|
475
|
475
|
|||||||||||||||||||||
Distribution paid on LTIP-OP Units
|
-
|
-
|
-
|
-
|
-
|
(170
|
)
|
(170
|
)
|
|||||||||||||||||||
Common dividends declared, $1.47 per share
|
-
|
-
|
-
|
-
|
(11,057
|
)
|
-
|
(11,057
|
)
|
|||||||||||||||||||
Balance, September 30, 2016
|
7,525,348
|
$
|
75
|
$
|
148,432
|
$
|
11,970
|
$
|
(9,262
|
)
|
$
|
1,278
|
$
|
152,493
|
(A) |
de minimis ($95.00 rounds to $0.00).
|
(B) |
de minimis ($63.00 rounds to $0.00).
|
Nine Months Ended September 30,
|
||||||||
2016
|
2015
|
|||||||
Cash Flows From Operating Activities
|
||||||||
Net income (loss)
|
$
|
(1,359
|
)
|
$
|
3,704
|
|||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||||
Realized (gain) loss on RMBS, net
|
(1,325
|
)
|
(461
|
)
|
||||
Other-than-temporary impairment | (173 | ) | - | |||||
Realized gain on bargain purchase
|
-
|
(174
|
)
|
|||||
Accretion of premium and other amortization
|
2,849
|
2,515
|
||||||
Change in fair value of investments in Servicing Related Assets
|
9,494
|
1,801
|
||||||
Unrealized (gain) loss on derivatives, net
|
3,227
|
4,693
|
||||||
Realized (gain) loss on derivatives, net
|
3,907
|
2,241
|
||||||
LTIP-OP Unit awards
|
475
|
308
|
||||||
Changes in:
|
||||||||
Receivables from unsettled trades
|
-
|
309
|
||||||
Receivables and other assets
|
(707
|
)
|
2,257
|
|||||
Due to affiliate
|
412
|
16
|
||||||
Payables for unsettled trades
|
5,380
|
-
|
||||||
Accrued expenses and other liabilities
|
3,943
|
(685
|
)
|
|||||
Net cash provided by (used in) operating activities
|
$
|
26,123
|
$
|
16,524
|
||||
Cash Flows From Investing Activities
|
||||||||
Purchase of RMBS
|
(131,045
|
)
|
(255,493
|
)
|
||||
Principal paydown of RMBS
|
39,144
|
33,164
|
||||||
Proceeds from sale of RMBS
|
77,893
|
55,607
|
||||||
Acquisition of Excess MSRs
|
-
|
-
|
||||||
Principal paydown of Excess MSRs
|
10,731
|
11,036
|
||||||
Aurora acquisition, net of cash received
|
-
|
(3,839
|
)
|
|||||
Acquisition of MSRs
|
(15,354
|
)
|
-
|
|||||
Purchase of derivatives
|
(4,252
|
)
|
(2,423
|
)
|
||||
Sale of derivatives
|
-
|
206
|
||||||
Purchases of Federal Home Loan Bank stock
|
-
|
(3,031
|
)
|
|||||
Net cash provided by (used in) investing activities
|
$
|
(22,883
|
)
|
$
|
(164,773
|
)
|
||
Cash Flows From Financing Activities
|
||||||||
Changes in restricted cash
|
(6,072
|
)
|
(8,163
|
)
|
||||
Borrowings under repurchase agreements
|
1,539,150
|
1,228,129
|
||||||
Repayments of repurchase agreements
|
(1,458,501
|
)
|
(1,149,523
|
)
|
||||
Proceeds from Federal Home Loan Bank advances
|
7,000
|
95,050
|
||||||
Repayments of Federal Home Loan Bank advances
|
(69,250
|
)
|
(27,700
|
)
|
||||
Proceeds from bank loans
|
-
|
25,000
|
||||||
Principal paydown of bank loans
|
(2,457
|
)
|
(2,923
|
)
|
||||
Dividends paid
|
(11,057
|
)
|
(11,340
|
)
|
||||
LTIP-OP Units distributions paid
|
(170
|
)
|
(104
|
)
|
||||
Issuance of common stock, net of offering costs
|
100
|
37
|
||||||
Net cash provided by (used in) financing activities
|
$
|
(1,257
|
)
|
$
|
148,463
|
|||
Net Increase (Decrease) in Cash and Cash Equivalents
|
$
|
1,983
|
$
|
214
|
||||
Cash and Cash Equivalents, Beginning of Period
|
10,603
|
12,447
|
||||||
Cash and Cash Equivalents, End of Period
|
$
|
12,586
|
$
|
12,661
|
||||
Supplemental Disclosure of Cash Flow Information
|
||||||||
Cash paid during the period for interest expense
|
$
|
4,853
|
$
|
3,254
|
||||
Dividends declared but not paid
|
$
|
3,687
|
$
|
3,684
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Realized gain (loss) on RMBS, net
|
||||||||||||||||
Gain on RMBS
|
$
|
943
|
$
|
272
|
$
|
1,498
|
$
|
595
|
||||||||
Loss on RMBS
|
(173
|
)
|
(3
|
)
|
(173
|
)
|
(134
|
)
|
||||||||
Net realized gain (loss) on RMBS
|
770
|
269
|
1,325
|
461
|
||||||||||||
Realized gain (loss) on derivatives, net
|
(2,147
|
)
|
(947
|
)
|
(3,907
|
)
|
(2,241
|
)
|
||||||||
Unrealized gain (loss) on derivatives, net
|
3,199
|
(4,986
|
)
|
(3,227
|
)
|
(4,693
|
)
|
|||||||||
Total
|
$
|
1,822
|
$
|
(5,664
|
)
|
$
|
(5,809
|
)
|
$
|
(6,473
|
)
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Income Statement
|
||||||||||||||||
Three Months Ended September 30, 2016
|
||||||||||||||||
Interest income
|
$
|
3,200
|
$
|
3,957
|
$
|
-
|
$
|
7,157
|
||||||||
Interest expense
|
320
|
1,557
|
-
|
1,877
|
||||||||||||
Net interest income
|
2,880
|
2,400
|
-
|
5,280
|
||||||||||||
Servicing fee income
|
2,365
|
-
|
-
|
2,365
|
||||||||||||
Servicing costs
|
641
|
-
|
-
|
641
|
||||||||||||
Net servicing income
|
1,724
|
-
|
-
|
1,724
|
||||||||||||
Other income
|
(1,730
|
)
|
1,822
|
-
|
92
|
|||||||||||
Other operating expenses
|
-
|
-
|
1,666
|
1,666
|
||||||||||||
(Benefit from) provision for corporate business taxes
|
(89
|
)
|
-
|
-
|
(89
|
)
|
||||||||||
Net income (loss)
|
$
|
2,963
|
$
|
4,222
|
$
|
(1,666
|
)
|
$
|
5,519
|
|||||||
Three Months Ended September 30, 2015
|
||||||||||||||||
Interest income
|
$
|
2,411
|
$
|
3,402
|
$
|
-
|
$
|
5,813
|
||||||||
Interest expense
|
177
|
1,466
|
-
|
1,643
|
||||||||||||
Net interest income
|
2,234
|
1,936
|
-
|
4,170
|
||||||||||||
Servicing fee income
|
463
|
-
|
-
|
463
|
||||||||||||
Servicing costs
|
366
|
-
|
-
|
366
|
||||||||||||
Net servicing income
|
97
|
-
|
-
|
97
|
||||||||||||
Other income
|
(2,600
|
)
|
(5,664
|
)
|
-
|
(8,264
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
1,312
|
1,312
|
||||||||||||
(Benefit from) provision for corporate business taxes
|
(139
|
)
|
-
|
-
|
(139
|
)
|
||||||||||
Net income (loss)
|
$
|
(130
|
)
|
$
|
(3,728
|
)
|
$
|
(1,312
|
)
|
$
|
(5,170
|
)
|
||||
Nine Months Ended September 30, 2016
|
||||||||||||||||
Interest income
|
$
|
7,729
|
$
|
11,751
|
$
|
-
|
$
|
19,480
|
||||||||
Interest expense
|
993
|
4,426
|
-
|
5,419
|
||||||||||||
Net interest income
|
6,736
|
7,325
|
-
|
14,061
|
||||||||||||
Servicing fee income
|
5,434
|
-
|
-
|
5,434
|
||||||||||||
Servicing costs
|
1,544
|
-
|
-
|
1,544
|
||||||||||||
Net servicing income
|
3,890
|
-
|
-
|
3,890
|
||||||||||||
Other income
|
(9,494
|
)
|
(5,809
|
)
|
-
|
(15,303
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
4,676
|
4,676
|
||||||||||||
(Benefit from) provision for corporate business taxes
|
(669
|
)
|
-
|
-
|
(669
|
)
|
||||||||||
Net income (loss)
|
$
|
1,801
|
$
|
1,516
|
$
|
(4,676
|
)
|
$
|
(1,359
|
)
|
||||||
Nine Months Ended September 30, 2015
|
||||||||||||||||
Interest income
|
$
|
9,921
|
$
|
9,807
|
$
|
-
|
$
|
19,728
|
||||||||
Interest expense
|
196
|
4,028
|
-
|
4,224
|
||||||||||||
Net interest income
|
9,725
|
5,779
|
-
|
15,504
|
||||||||||||
Servicing fee income
|
619
|
-
|
-
|
619
|
||||||||||||
Servicing costs
|
460
|
-
|
-
|
460
|
||||||||||||
Net servicing income
|
159
|
-
|
-
|
159
|
||||||||||||
Other income
|
(1,627
|
)
|
(6,473
|
)
|
-
|
(8,100
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
4,068
|
4,068
|
||||||||||||
(Benefit from) provision for corporate business taxes
|
(209
|
)
|
-
|
-
|
(209
|
)
|
||||||||||
Net income (loss)
|
$
|
8,466
|
$
|
(694
|
)
|
$
|
(4,068
|
)
|
$
|
3,704
|
Balance Sheet
|
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
||||||||||||
December 31, 2015
|
||||||||||||||||
Investments
|
$
|
97,803
|
$
|
508,242
|
$
|
-
|
$
|
606,045
|
||||||||
Other assets
|
3,562
|
13,984
|
12,749
|
30,295
|
||||||||||||
Total assets
|
101,365
|
522,226
|
12,749
|
636,340
|
||||||||||||
Debt
|
24,313
|
447,810
|
-
|
472,123
|
||||||||||||
Other liabilities
|
1,883
|
4,903
|
5,094
|
11,880
|
||||||||||||
Total liabilities
|
26,196
|
452,713
|
5,094
|
484,003
|
||||||||||||
GAAP book value
|
$
|
75,169
|
$
|
69,513
|
$
|
7,655
|
$
|
152,337
|
||||||||
September 30, 2016
|
||||||||||||||||
Investments
|
$
|
92,932
|
$
|
533,066
|
$
|
-
|
$
|
625,998
|
||||||||
Other assets
|
4,567
|
19,818
|
14,423
|
38,808
|
||||||||||||
Total assets
|
97,499
|
552,884
|
14,423
|
664,806
|
||||||||||||
Debt
|
21,856
|
466,209
|
-
|
488,065
|
||||||||||||
Other liabilities
|
5,325
|
13,382
|
5,541
|
24,248
|
||||||||||||
Total liabilities
|
27,181
|
479,591
|
5,541
|
512,313
|
||||||||||||
GAAP book value
|
$
|
70,318
|
$
|
73,293
|
$
|
8,882
|
$
|
152,493
|
Asset Type
|
Original
Face Value |
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
|||||||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
357,551
|
$
|
320,539
|
$
|
6,975
|
$
|
(29
|
)
|
$
|
327,485
|
51
|
(B)
|
3.69
|
%
|
3.36
|
%
|
23
|
|||||||||||||||||||
Freddie Mac
|
204,067
|
185,673
|
4,471
|
(9
|
)
|
190,135
|
24
|
(B)
|
3.59
|
%
|
3.47
|
%
|
25
|
||||||||||||||||||||||||
CMOs
|
25,396
|
14,908
|
538
|
-
|
15,446
|
7
|
Unrated
|
3.77
|
%
|
5.19
|
%
|
11
|
|||||||||||||||||||||||||
Total/Weighted Average
|
$
|
587,014
|
$
|
521,120
|
$
|
11,984
|
$
|
(38
|
)
|
$
|
533,066
|
82
|
|
3.65
|
%
|
3.46
|
%
|
24
|
Asset Type
|
Original
Face
Value
|
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
|||||||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
329,767
|
$
|
308,367
|
$
|
1,961
|
$
|
(1,556
|
)
|
$
|
308,772
|
44
|
(B)
|
3.77
|
%
|
3.59
|
%
|
24
|
|||||||||||||||||||
Freddie Mac
|
208,154
|
193,567
|
821
|
(977
|
)
|
193,411
|
24
|
(B)
|
3.61
|
%
|
3.48
|
%
|
24
|
||||||||||||||||||||||||
CMOs
|
16,646
|
6,493
|
-
|
(434
|
)
|
6,059
|
4
|
Unrated
|
4.55
|
%
|
7.39
|
%
|
10
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
554,567
|
$
|
508,427
|
$
|
2,782
|
$
|
(2,967
|
)
|
$
|
508,242
|
72
|
|
3.72
|
%
|
3.60
|
%
|
23
|
(A) |
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities.
|
(C) |
The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
|
(D) |
The weighted average stated maturity.
|
Asset Type
|
Original
Face
Value |
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
Less than 1 Year
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
-
|
|
-
|
%
|
-
|
%
|
-
|
|||||||||||||||
1-5 Years
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
%
|
-
|
%
|
-
|
|||||||||||||||||||||
5-10 Years
|
3,500
|
3,500
|
181
|
-
|
3,681
|
2
|
(B)
|
4.71
|
%
|
5.08
|
%
|
8
|
||||||||||||||||||||
Over 10 Years
|
583,514
|
517,620
|
11,803
|
(38
|
)
|
529,385
|
80
|
(B)
|
3.65
|
%
|
3.45
|
%
|
24
|
|||||||||||||||||||
Total/Weighted Average
|
$
|
587,014
|
$
|
521,120
|
$
|
11,984
|
$
|
(38
|
)
|
$
|
533,066
|
82
|
|
3.65
|
%
|
3.46
|
%
|
24
|
Asset Type
|
Original
Face
Value |
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
|||||||||||||||||||||||||||
Less than 1 Year
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
-
|
|
-
|
-
|
-
|
|||||||||||||||||
1-5 Years
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||||||||||
5-10 Years
|
5,500
|
5,553
|
-
|
(216
|
)
|
5,337
|
3
|
(B)
|
4.76
|
%
|
4.96
|
%
|
9
|
|||||||||||||||||||
Over 10 Years
|
549,067
|
502,874
|
2,782
|
(2,751
|
)
|
502,905
|
69
|
(B)
|
3.71
|
%
|
3.59
|
%
|
24
|
|||||||||||||||||||
Total/Weighted Average
|
$
|
554,567
|
$
|
508,427
|
$
|
2,782
|
$
|
(2,967
|
)
|
$
|
508,242
|
72
|
|
3.72
|
%
|
3.60
|
%
|
23
|
(A) |
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities.
|
(C) |
The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
|
(D) |
The weighted average stated maturity.
|
Asset Type
|
Original
Face Value |
Book
Value |
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Weighted Average | |||||||||||||||||||||||||||
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||
Less than Twelve Months
|
$
|
29,111
|
$
|
31,136
|
$
|
(38
|
)
|
$
|
31,098
|
4
|
(B)
|
3.59
|
%
|
1.68
|
%
|
30
|
|||||||||||||||||
Twelve or More Months
|
-
|
-
|
-
|
-
|
-
|
(B)
|
-
|
%
|
-
|
%
|
-
|
||||||||||||||||||||||
Total/Weighted Average
|
$
|
29,111
|
$
|
31,136
|
$
|
(38
|
)
|
$
|
31,098
|
4
|
|
3.59
|
%
|
1.68
|
%
|
30
|
Asset Type
|
Original
Face Value |
Book
Value |
Gross
Unrealized
Losses
|
Carrying
Value(A)
|
Number of
Securities
|
Weighted Average | |||||||||||||||||||||||||||
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||
Less than Twelve Months
|
$
|
271,585
|
$
|
274,996
|
$
|
(2,749
|
)
|
$
|
272,247
|
39
|
(B)
|
3.65
|
%
|
3.48
|
%
|
24
|
|||||||||||||||||
Twelve or More Months
|
11,146
|
940
|
(218
|
)
|
722
|
1
|
(B)
|
3.00
|
%
|
25.37
|
%
|
17
|
|||||||||||||||||||||
Total/Weighted Average
|
$
|
282,731
|
$
|
275,936
|
$
|
(2,967
|
)
|
$
|
272,969
|
40
|
|
3.65
|
%
|
3.55
|
%
|
24
|
(A) |
See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities.
|
(B) |
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated.
|
(C) |
The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
|
(D) |
The weighted average stated maturity. 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.
|
Unpaid
Principal
Balance
|
Amortized
Cost Basis(A)
|
Carrying
Value(B)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(C)
|
Changes in
Fair Value
Recorded in
Other Income
(Loss)(D)
|
|||||||||||||||||||
Excess MSR Pool 1
|
$
|
6,514,661
|
$
|
33,089
|
$
|
33,294
|
3.49
|
%
|
25.4
|
$
|
(3,149
|
)
|
||||||||||||
Excess MSR Pool 1 - Recapture Agreement
|
-
|
1,657
|
1,676
|
1,583
|
||||||||||||||||||||
Excess MSR Pool 2
|
6,330,278
|
20,100
|
27,881
|
2.90
|
%
|
26.4
|
(1,441
|
)
|
||||||||||||||||
Excess MSR Pool 2 - Recapture Agreement
|
-
|
1,336
|
971
|
699
|
||||||||||||||||||||
Excess MSR Pool 2014
|
225,390
|
1,360
|
1,150
|
3.60
|
%
|
26.7
|
(31
|
)
|
||||||||||||||||
Excess MSR Pool 2014 - Recapture Agreement
|
-
|
-
|
-
|
-
|
||||||||||||||||||||
MSRs (E)
|
3,425,629
|
35,115
|
27,960
|
3.82
|
23.9
|
(7,155
|
)
|
|||||||||||||||||
Total
|
$
|
16,495,958
|
$
|
92,657
|
$
|
92,932
|
3.33
|
%
|
25.5
|
$
|
(9,494
|
)
|
Unpaid
Principal
Balance
|
Amortized
Cost Basis(A)
|
Carrying
Value(B)
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
(Years)(C)
|
Changes in
Fair Value
Recorded in
Other Income
(Loss)(D)
|
|||||||||||||||||||
Excess MSR Pool 1
|
$
|
7,416,465
|
$
|
39,483
|
$
|
42,837
|
3.51
|
%
|
26.0
|
$
|
(2,822
|
)
|
||||||||||||
Excess MSR Pool 1 - Recapture Agreement
|
-
|
2,209
|
645
|
-
|
-
|
331
|
||||||||||||||||||
Excess MSR Pool 2
|
7,279,706
|
23,116
|
32,338
|
2.78
|
%
|
27.1
|
2,626
|
|||||||||||||||||
Excess MSR Pool 2 - Recapture Agreement
|
-
|
1,780
|
716
|
-
|
-
|
(324
|
)
|
|||||||||||||||||
Excess MSR Pool 2014
|
265,890
|
1,685
|
1,506
|
3.65
|
%
|
27.4
|
170
|
|||||||||||||||||
Excess MSR Pool 2014 - Recapture Agreement
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
MSRs (E)
|
2,016,351
|
20,884
|
19,761
|
3.76
|
%
|
22.7
|
(1,123
|
)
|
||||||||||||||||
Total
|
$
|
16,978,412
|
$
|
89,157
|
$
|
97,803
|
3.23
|
%
|
26.1
|
$
|
(1,142
|
)
|
(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 September 30, 2016 and December 31, 2015 is reflected in the respective pool.
|
(E) |
MSR cost basis consists of the carrying value of the prior period, adjusted for any acquisitions made during the current period.
|
Percentage of Total Outstanding
Unpaid Principal Balance |
||||
California
|
11.3
|
%
|
||
Texas
|
8.9
|
%
|
||
Florida
|
6.4
|
%
|
||
Virginia
|
5.4
|
%
|
||
All other
|
68.0
|
%
|
||
Total
|
100.0
|
%
|
Percentage of Total Outstanding
Unpaid Principal Balance |
||||
California
|
12.3
|
%
|
||
Texas
|
9.4
|
%
|
||
Florida
|
6.5
|
%
|
||
Virginia
|
6.0
|
%
|
||
North Carolina
|
5.2
|
%
|
||
Washington
|
5.1
|
%
|
||
Georgia
|
5.0
|
%
|
||
All other
|
50.5
|
%
|
||
Total
|
100.0
|
%
|
Number of Securities Issued
or to be Issued Upon
Exercise
|
Number of Securities
Remaining Available For
Future Issuance Under
Equity Compensation Plans
|
|||||||
Equity compensation Plans Approved By Shareholders
|
1,335,218
|
|||||||
LTIP-OP Units
|
140,350
|
|||||||
Forfeited LTIP-OP Units
|
(916
|
)
|
||||||
Shares of Common Stock
|
28,503
|
|||||||
Forfeited Shares of Common Stock
|
(3,155
|
)
|
||||||
Equity Compensation Plans Not Approved By Shareholders
|
-
|
-
|
Number of Securities Issued
or to be Issued Upon
Exercise
|
Number of Securities
Remaining Available For
Future Issuance Under
Equity Compensation Plans
|
|||||||
Equity compensation Plans Approved By Shareholders
|
1,377,112
|
|||||||
LTIP-OP Units
|
103,850
|
|||||||
Shares of Common Stock
|
19,038
|
|||||||
Equity Compensation Plans Not Approved By Shareholders
|
-
|
-
|
Grant Date
|
Number of Grantees
|
Stock Price on Grant Date
|
Number of Units Granted
|
Aggregate Fair Market Value
|
||||||||||||
June 15, 2016
|
14
|
$
|
15.85
|
36,500
|
$
|
579
|
||||||||||
September 9, 2015
|
12
|
$
|
15.80
|
35,000
|
$
|
553
|
||||||||||
June 10, 2014
|
10
|
$
|
19.33
|
31,350
|
$
|
606
|
||||||||||
October 9, 2013
|
11
|
$
|
20.00
|
37,500
|
$
|
750
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Numerator:
|
||||||||||||||||
Net income attributable to common stockholders and participating securities
|
$
|
5,519
|
$
|
(5,170
|
)
|
$
|
(1,359
|
)
|
$
|
3,704
|
||||||
Net income allocable to common stockholders
|
$
|
5,443
|
$
|
(5,124
|
)
|
$
|
(1,338
|
)
|
$
|
3,669
|
||||||
Denominator:
|
||||||||||||||||
Weighted average common shares outstanding
|
7,511,653
|
7,509,543
|
7,510,246
|
7,509,543
|
||||||||||||
Weighted average diluted shares outstanding
|
7,528,188
|
7,511,653
|
7,522,614
|
7,510,246
|
||||||||||||
Basic and Dilutive:
|
||||||||||||||||
Basic earnings per share
|
$
|
0.72
|
$
|
(0.68
|
)
|
$
|
(0.18
|
)
|
$
|
0.49
|
||||||
Diluted earnings per share
|
$
|
0.72
|
$
|
(0.68
|
)
|
$
|
(0.18
|
)
|
$
|
0.49
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Management fees
|
$
|
611
|
$
|
560
|
$
|
1,731
|
$
|
1,680
|
||||||||
Compensation reimbursement
|
191
|
130
|
451
|
390
|
||||||||||||
Total
|
$
|
802
|
$
|
690
|
$
|
2,182
|
$
|
2,070
|
Non-hedge derivatives
|
September 30, 2016
|
December 31, 2015
|
||||||
Notional amount of interest rate swaps
|
$
|
335,750
|
$
|
300,300
|
||||
Notional amount of swaptions
|
75,000
|
85,000
|
||||||
Notional amount of TBAs, net
|
-
|
-
|
||||||
Notional amount of Treasury Futures
|
35,600
|
-
|
||||||
Total notional amount
|
$
|
446,350
|
$
|
385,300
|
Notional
Amount
|
Weighted
Average Pay
Rate
|
Weighted
Average
Receive Rate
|
Weighted
Average Years
to Maturity
|
|||||||||||||
September 30, 2016
|
$
|
335,750
|
1.43
|
%
|
0.77
|
%
|
3.5
|
|||||||||
December 31, 2015
|
$
|
300,300
|
1.71
|
%
|
0.37
|
%
|
4.3
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||||
Non-Hedge Derivatives
|
Income Statement Location
|
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Interest rate swaps
|
Realized gain/(loss) on derivatives, net
|
$
|
(1,208
|
)
|
$
|
(304
|
)
|
$
|
(2,956
|
)
|
$
|
(1,241
|
)
|
|||||
Swaptions
|
Realized gain/(loss) on derivatives, net
|
(433
|
)
|
(525
|
)
|
(573
|
)
|
(461
|
)
|
|||||||||
TBAs
|
Realized gain/(loss) on derivatives, net
|
52
|
(90
|
)
|
26
|
(166
|
)
|
|||||||||||
Treasury futures
|
Realized gain/(loss) on derivatives, net
|
(558
|
)
|
(28
|
)
|
(404
|
)
|
(373
|
)
|
|||||||||
Total
|
|
$
|
(2,147
|
)
|
$
|
(947
|
)
|
$
|
(3,907
|
)
|
$
|
(2,241
|
)
|
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Net Amounts
of Assets
Presented in
the
Consolidated
Balance Sheet
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheet
|
Net Amount
|
||||||||||||||||||||
Financial
Instruments
|
Cash
Collateral
Received
(Pledged)
|
|||||||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
99
|
$
|
-
|
$
|
99
|
$
|
(99
|
)
|
$
|
-
|
$
|
-
|
|||||||||||
Swaptions
|
65
|
-
|
65
|
(65
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
Treasury futures
|
9
|
-
|
9
|
(9
|
)
|
(376
|
)
|
|||||||||||||||||
Total Assets
|
$
|
173
|
$
|
-
|
$
|
173
|
$
|
(173
|
)
|
$
|
(376
|
)
|
$
|
-
|
||||||||||
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
466,209
|
$
|
-
|
$
|
466,209
|
$
|
(458,881
|
)
|
$
|
(7,328
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
7,220
|
-
|
7,220
|
-
|
(7,220
|
)
|
-
|
|||||||||||||||||
Swaptions
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
TBAs
|
8
|
-
|
8
|
(8
|
)
|
-
|
-
|
|||||||||||||||||
Treasury futures
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
Total Liabilities
|
$
|
473,437
|
$
|
-
|
$
|
473,437
|
$
|
(458,889
|
)
|
$
|
(14,548
|
)
|
$
|
-
|
Gross
Amounts of
Recognized
Assets or
Liabilities
|
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
|
Net Amounts
of Assets
Presented in
the
Consolidated
Balance
Sheet
|
Gross Amounts Not Offset in
the Consolidated Balance
Sheet
|
Net Amount
|
||||||||||||||||||||
Financial
Instruments
|
Cash
Collateral
Received
(Pledged)
|
|||||||||||||||||||||||
Assets
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
51
|
$
|
-
|
$
|
51
|
$
|
(51
|
)
|
$
|
-
|
$
|
-
|
|||||||||||
Swaptions
|
371
|
-
|
371
|
(371
|
)
|
-
|
-
|
|||||||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
Treasury futures
|
-
|
-
|
-
|
-
|
(84
|
)
|
||||||||||||||||||
Total Assets
|
$
|
422
|
$
|
-
|
$
|
422
|
$
|
(422
|
)
|
$
|
(84
|
)
|
$
|
-
|
||||||||||
Liabilities
|
||||||||||||||||||||||||
Repurchase agreements
|
$
|
385,560
|
$
|
-
|
$
|
385,560
|
$
|
(381,386
|
)
|
$
|
(4,174
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
4,595
|
-
|
4,595
|
-
|
(4,595
|
)
|
-
|
|||||||||||||||||
Swaptions
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
Treasury futures
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||
Total Liabilities
|
$
|
390,155
|
$
|
-
|
$
|
390,155
|
$
|
(381,386
|
)
|
$
|
(8,769
|
)
|
$
|
-
|
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
|
$
|
-
|
$
|
327,485
|
$
|
-
|
$
|
327,485
|
||||||||
Freddie Mac
|
-
|
190,135
|
-
|
190,135
|
||||||||||||
CMOs
|
-
|
15,446
|
-
|
15,446
|
||||||||||||
RMBS total
|
-
|
533,066
|
-
|
533,066
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
-
|
99
|
-
|
99
|
||||||||||||
Interest rate swaptions
|
-
|
65
|
-
|
65
|
||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
||||||||||||
Treasury Futures
|
-
|
9
|
-
|
9
|
||||||||||||
Derivative assets total
|
-
|
173
|
-
|
173
|
||||||||||||
Servicing related assets
|
-
|
-
|
92,932
|
92,932
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
533,239
|
$
|
92,932
|
$
|
626,171
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
-
|
7,220
|
-
|
7,220
|
||||||||||||
TBAs
|
-
|
8
|
-
|
8
|
||||||||||||
Treasury Futures
|
-
|
-
|
-
|
-
|
||||||||||||
Derivative liabilities total
|
-
|
7,228
|
-
|
7,228
|
||||||||||||
Total Liabilities
|
$
|
-
|
$
|
7,228
|
$
|
-
|
$
|
7,228
|
Level 1
|
Level 2
|
Level 3
|
Carrying Value
|
|||||||||||||
Assets
|
||||||||||||||||
RMBS
|
||||||||||||||||
Fannie Mae
|
$
|
-
|
$
|
308,772
|
$
|
-
|
$
|
308,772
|
||||||||
Freddie Mac
|
-
|
193,411
|
-
|
193,411
|
||||||||||||
CMOs
|
-
|
6,059
|
-
|
6,059
|
||||||||||||
RMBS total
|
-
|
508,242
|
-
|
508,242
|
||||||||||||
Derivative assets
|
||||||||||||||||
Interest rate swaps
|
-
|
51
|
-
|
51
|
||||||||||||
Interest rate swaptions
|
-
|
371
|
-
|
371
|
||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
||||||||||||
Treasury Futures
|
-
|
-
|
-
|
-
|
||||||||||||
Derivative assets total
|
-
|
422
|
-
|
422
|
||||||||||||
Servicing related assets
|
-
|
-
|
97,803
|
97,803
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
508,664
|
$
|
97,803
|
$
|
606,467
|
||||||||
Liabilities
|
||||||||||||||||
Derivative liabilities
|
||||||||||||||||
Interest rate swaps
|
-
|
4,595
|
-
|
4,595
|
||||||||||||
TBAs
|
-
|
-
|
-
|
-
|
||||||||||||
Treasury Futures
|
-
|
-
|
-
|
-
|
||||||||||||
Derivative liabilities total
|
-
|
4,595
|
-
|
4,595
|
||||||||||||
Total Liabilities
|
$
|
-
|
$
|
4,595
|
$
|
-
|
$
|
4,595
|
Level 3 (A)
|
||||||||||||||||||||
Pool 1
|
Pool 2
|
Excess MSR Pool 2014
|
MSRs
|
Total
|
||||||||||||||||
Balance at December 31, 2015
|
$
|
43,482
|
$
|
33,054
|
$
|
1,506
|
$
|
19,761
|
$
|
97,803
|
||||||||||
Purchases and principal paydowns
|
||||||||||||||||||||
Purchases
|
-
|
-
|
-
|
15,354
|
15,354
|
|||||||||||||||
Proceeds from principal paydowns
|
(6,946
|
)
|
(3,460
|
)
|
(325
|
)
|
-
|
(10,731
|
)
|
|||||||||||
Changes in fair value due to:
|
||||||||||||||||||||
Mark to market gain (loss)
|
(1,566
|
)
|
(742
|
)
|
(31
|
)
|
(4,321
|
)
|
(6,660
|
)
|
||||||||||
Amortization of MSRs
|
-
|
-
|
-
|
(2,834
|
)
|
(2,834
|
)
|
|||||||||||||
Unrealized gain (loss) included in Net Income
|
$
|
(1,566
|
)
|
$
|
(742
|
)
|
$
|
(31
|
)
|
$
|
(7,155
|
)
|
$
|
(9,494
|
)
|
|||||
Balance at September 30, 2016
|
$
|
34,970
|
$
|
28,852
|
$
|
1,150
|
$
|
27,960
|
$
|
92,932
|
Level 3 (A)
|
||||||||||||||||||||
Pool 1
|
Pool 2
|
Excess MSR Pool 2014
|
MSRs
|
Total
|
||||||||||||||||
Balance at December 31, 2014
|
$
|
54,798
|
$
|
34,938
|
$
|
1,586
|
$
|
-
|
$
|
91,322
|
||||||||||
Purchases and principal paydowns
|
||||||||||||||||||||
Purchases
|
-
|
-
|
-
|
20,884
|
20,884
|
|||||||||||||||
Proceeds from principal paydowns
|
(8,825
|
)
|
(4,186
|
)
|
(250
|
)
|
-
|
(13,261
|
)
|
|||||||||||
Changes in fair value due to:
|
||||||||||||||||||||
Mark to market gain (loss)
|
(2,491
|
)
|
2,302
|
170
|
(567
|
)
|
(586
|
)
|
||||||||||||
Amortization of MSRs
|
-
|
-
|
-
|
(556
|
)
|
(556
|
)
|
|||||||||||||
Unrealized gain (loss) included in Net Income
|
$
|
(2,491
|
)
|
$
|
2,302
|
$
|
170
|
$
|
(1,123
|
)
|
$
|
(1,142
|
)
|
|||||||
Balance at December 31, 2015
|
$
|
43,482
|
$
|
33,054
|
$
|
1,506
|
$
|
19,761
|
$
|
97,803
|
(A) |
Includes the recapture agreement for each respective pool.
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average
|
|||||||||||
Excess MSR Pool 1
|
$
|
34,970
|
Discounted cash flow
|
Constant prepayment speed
|
6.2% - 24.4
|
%
|
13.9
|
%
|
|||||||
Uncollected Payments
|
3.4% - 7.0
|
%
|
6.3
|
%
|
|||||||||||
|
Discount rate
|
12.3
|
%
|
||||||||||||
Excess MSR Pool 2
|
$
|
28,852
|
Discounted cash flow
|
Constant prepayment speed
|
9.0% - 37.6
|
%
|
16.7
|
%
|
|||||||
|
Uncollected Payments
|
8.6% - 13.4
|
%
|
12.1
|
%
|
||||||||||
Discount rate
|
16.4
|
%
|
|||||||||||||
Excess MSR Pool 2014
|
$
|
1,150
|
Discounted cash flow
|
Constant prepayment speed
|
5.7% - 29.1
|
%
|
13.4
|
%
|
|||||||
Uncollected Payments
|
5.5% - 8.4
|
%
|
7.9
|
%
|
|||||||||||
|
Discount rate
|
12.3
|
%
|
||||||||||||
MSRs
|
$
|
27,960
|
Discounted cash flow
|
Constant prepayment speed
|
5.3% - 20.3
|
%
|
13.9
|
%
|
|||||||
|
Uncollected payments
|
0.7% - 1.4
|
%
|
1.2
|
%
|
||||||||||
Discount rate
|
9.3
|
%
|
|||||||||||||
|
Annual cost to service, per loan
|
$
|
63
|
||||||||||||
TOTAL
|
$
|
92,932
|
Discounted cash flow
|
Fair Value
|
Valuation Technique
|
Unobservable Input (A)
|
Range
|
Weighted
Average
|
|||||||||||
Excess MSR Pool 1
|
$
|
43,482
|
Discounted cash flow
|
Constant prepayment speed
|
4.0% - 19.0
|
%
|
10.5
|
%
|
|||||||
Uncollected Payments
|
2.9% - 7.0
|
%
|
6.2
|
%
|
|||||||||||
|
Discount rate
|
12.3
|
%
|
||||||||||||
Excess MSR Pool 2
|
$
|
33,054
|
Discounted cash flow
|
Constant prepayment speed
|
8.3% - 42.3
|
%
|
14.9
|
%
|
|||||||
|
Uncollected Payments
|
10.4% - 13.9
|
%
|
13.0
|
%
|
||||||||||
Discount rate
|
16.7
|
%
|
|||||||||||||
Excess MSR Pool 2014
|
$
|
1,506
|
Discounted cash flow
|
Constant prepayment speed
|
3.9% - 22.3
|
%
|
11.2
|
%
|
|||||||
Uncollected Payments
|
5.9% - 7.1
|
%
|
6.8
|
%
|
|||||||||||
|
Discount rate
|
11.9
|
%
|
||||||||||||
MSRs
|
$
|
19,761
|
Discounted cash flow
|
Constant prepayment speed
|
0.0% - 13.8
|
%
|
9.7
|
%
|
|||||||
|
Uncollected payments
|
1.2% - 3.4
|
%
|
1.6
|
%
|
||||||||||
Discount rate
|
8.3
|
%
|
|||||||||||||
|
Annual cost to service, per loan
|
$
|
73
|
||||||||||||
TOTAL
|
$
|
97,803
|
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 uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
|
• |
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 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.
|
RMBS Market Value
|
Repurchase Agreements
|
Weighted Average Rate
|
||||||||||
Less than one month
|
$
|
200,165
|
$
|
193,310
|
0.79
|
%
|
||||||
One to three months
|
208,226
|
200,781
|
0.75
|
%
|
||||||||
Greater than three months
|
75,879
|
72,118
|
0.82
|
%
|
||||||||
Total/Weighted Average
|
$
|
484,270
|
$
|
466,209
|
0.78
|
%
|
RMBS Market Value
|
Repurchase Agreements
|
Weighted Average Rate
|
||||||||||
Less than one month
|
$
|
97,283
|
$
|
93,926
|
0.55
|
%
|
||||||
One to three months
|
295,534
|
284,687
|
0.56
|
%
|
||||||||
Greater than three months
|
7,029
|
6,947
|
0.52
|
%
|
||||||||
Total/Weighted Average
|
$
|
399,846
|
$
|
385,560
|
0.56
|
%
|
Federal Home Loan Bank
Advances
|
Weighted Average Rate
|
|||||||
Less than one month
|
$
|
15,000
|
0.44
|
%
|
||||
One to three months
|
-
|
-
|
%
|
|||||
Greater than three months
|
47,250
|
0.57
|
%
|
|||||
Total/Weighted Average Federal Home Loan Bank Advances
|
$
|
62,250
|
0.54
|
%
|
2016
|
2017
|
2018
|
2019
|
2020
|
Total
|
|||||||||||||||||||
Term Loan
|
||||||||||||||||||||||||
Borrowings under Term Loan facility
|
$
|
515
|
$
|
2,131
|
$
|
2,253
|
$
|
2,382
|
$
|
14,575
|
$
|
21,856
|
2016
|
2017
|
2018
|
2019
|
2020
|
Total
|
|||||||||||||||||||
Term Loan
|
||||||||||||||||||||||||
Borrowings under Term Loan facility
|
$
|
1,958
|
$
|
2,074
|
$
|
2,192
|
$
|
2,317
|
$
|
15,762
|
$
|
24,303
|
September 30, 2016
|
December 31, 2015
|
|||||||
Excess servicing income receivable
|
$
|
1,943
|
$
|
2,159
|
||||
Servicing advances
|
891
|
787
|
||||||
Interest receivable
|
1,562
|
1,497
|
||||||
Federal Home Loan Bank stock
|
3,261
|
3,261
|
||||||
Deferred tax receivable
|
874
|
203
|
||||||
Other receivables
|
1,504
|
1,421
|
||||||
Total other assets
|
$
|
10,035
|
$
|
9,328
|
Nine Months Ended September 30,
|
||||||||
2016
|
2015
|
|||||||
Current federal income tax expense
|
$
|
-
|
$
|
-
|
||||
Current state income tax expense
|
-
|
-
|
||||||
Deferred federal income tax expense (benefit)
|
(602
|
)
|
(188
|
)
|
||||
Deferred state income tax expense (benefit)
|
(67
|
)
|
(21
|
)
|
||||
Total Income Tax Expense
|
$
|
(669
|
)
|
$
|
(209
|
)
|
Nine Months Ended September 30,
|
||||||||||||||||
2016
|
2015
|
|||||||||||||||
Computed income tax (benefit) expense at federal rate
|
$
|
(710
|
)
|
35.0
|
%
|
$
|
1,223
|
35.0
|
%
|
|||||||
State taxes, net of federal benefit, if applicable
|
(67
|
)
|
3.3
|
%
|
136
|
3.9
|
%
|
|||||||||
Permanent differences in taxable income from GAAP pre-tax income
|
-
|
-
|
%
|
-
|
-
|
%
|
||||||||||
REIT income not subject to tax
|
108
|
(5.3
|
)%
|
(1,568
|
)
|
(44.9
|
)%
|
|||||||||
(Benefit from) Provision for Income Taxes/Effective Tax Rate(A)
|
$
|
(669
|
)
|
33.0
|
%
|
$
|
(209
|
)
|
(6.0
|
)%
|
(A) |
The provision for income taxes is recorded at the TRS level.
|
Nine Months Ended September 30,
|
||||||||
2016
|
2015
|
|||||||
Income taxes (payable) receivable
|
||||||||
Federal income taxes (payable) receivable
|
$
|
-
|
$
|
-
|
||||
State and local income taxes (payable) receivable
|
-
|
-
|
||||||
Income taxes (payable) receivable, net
|
$
|
-
|
$
|
-
|
September 30, 2016
|
December 31, 2015
|
|||||||
Deferred tax assets (liabilities)
|
||||||||
Deferred tax asset - organizational expenses
|
$
|
59
|
$
|
72
|
||||
Deferred tax asset - mortgage servicing rights
|
503
|
(121
|
)
|
|||||
Deferred tax asset - net operating loss
|
312
|
252
|
||||||
Total net deferred tax assets (liabilities)
|
$
|
874
|
$
|
203
|
Nine Months Ended
September 30,
|
||||
2015
|
||||
Revenue
|
$
|
7,503
|
||
Earnings (loss)
|
$
|
3,563
|
||
Earnings (Loss) Per Share of Common Stock
|
||||
Basic
|
$
|
0.47
|
||
Diluted
|
$
|
0.47
|
||
Weighted Average Number of Shares of Common Stock Outstanding
|
||||
Basic
|
7,509,543
|
|||
Diluted
|
7,510,246
|
Quarter Ended
|
Average
Asset Yield |
Average
Cost of Funds |
Average Net
Interest Rate Spread |
|||||||||
September 30, 2016
|
3.46
|
%
|
1.44
|
%
|
2.02
|
%
|
||||||
June 30, 2016
|
3.39
|
%
|
1.62
|
%
|
1.77
|
%
|
||||||
March 31, 2016
|
3.56
|
%
|
1.70
|
%
|
1.86
|
%
|
||||||
December 31, 2015
|
3.60
|
%
|
1.89
|
%
|
1.71
|
%
|
||||||
September 30, 2015
|
3.01
|
%
|
1.93
|
%
|
1.08
|
%
|
||||||
June 30, 2015
|
3.63
|
%
|
1.96
|
%
|
1.67
|
%
|
||||||
March 31, 2015
|
3.83
|
%
|
1.92
|
%
|
1.91
|
%
|
||||||
December 31, 2014
|
3.70
|
%
|
1.99
|
%
|
1.71
|
%
|
||||||
September 30, 2014
|
3.61
|
%
|
2.00
|
%
|
1.61
|
%
|
||||||
June 30, 2014
|
3.62
|
%
|
2.00
|
%
|
1.62
|
%
|
||||||
March 31, 2014
|
3.56
|
%
|
2.10
|
%
|
1.46
|
%
|
||||||
December 31, 2013
|
3.48
|
%
|
2.10
|
%
|
1.38
|
%
|
||||||
September 30, 2013
|
-
|
-
|
-
|
• |
the interest expense associated with our borrowings to increase;
|
• |
the value of our assets to fluctuate;
|
• |
the coupons on any adjustable-rate and hybrid RMBS we may own to reset, although on a delayed basis, to higher interest rates;
|
• |
prepayments on our RMBS to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; and
|
• |
Conversely, decreases in interest rates, in general, may over time cause:
|
• |
prepayments on our RMBS to increase, thereby accelerating the amortization of our purchase premiums and the accretion of our purchase discounts;
|
• |
the interest expense associated with our borrowings to decrease;
|
• |
the value of our assets to fluctuate;
|
• |
to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to increase; and
|
• |
coupons on any adjustable-rate and hybrid RMBS assets we may own to reset, although on a delayed basis, to lower interest rates.
|
• |
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.
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Income
|
||||||||||||||||
Interest income
|
$
|
7,157
|
$
|
5,813
|
$
|
19,480
|
$
|
19,728
|
||||||||
Interest expense
|
1,877
|
1,643
|
5,419
|
4,224
|
||||||||||||
Net Interest Income
|
5,280
|
4,170
|
14,061
|
15,504
|
||||||||||||
Servicing fee income
|
2,365
|
463
|
5,434
|
619
|
||||||||||||
Servicing costs
|
641
|
366
|
1,544
|
460
|
||||||||||||
Net servicing income
|
1,724
|
97
|
3,890
|
159
|
||||||||||||
Other Income (Loss)
|
||||||||||||||||
Realize gain (loss) on RMBS, net
|
770
|
269
|
1,325
|
461
|
||||||||||||
Realized gain (loss) on derivatives, net
|
(2,147
|
)
|
(947
|
)
|
(3,907
|
)
|
(2,241
|
)
|
||||||||
Realized gain (loss) on acquired assets, net
|
-
|
-
|
-
|
174
|
||||||||||||
Unrealized gain (loss) on derivatives, net
|
3,199
|
(4,986
|
)
|
(3,227
|
)
|
(4,693
|
)
|
|||||||||
Unrealized gain (loss) on Excess MSRs
|
117
|
(2,059
|
)
|
(2,339
|
)
|
(1,238
|
)
|
|||||||||
Unrealized gain (loss) on investments in MSRs
|
(1,847
|
)
|
(541
|
)
|
(7,155
|
)
|
(563
|
)
|
||||||||
Total Income
|
7,096
|
(3,997
|
)
|
2,648
|
7,563
|
|||||||||||
Expenses
|
||||||||||||||||
General and administrative expense
|
864
|
622
|
2,494
|
1,998
|
||||||||||||
Management fee to affiliate
|
802
|
690
|
2,182
|
2,070
|
||||||||||||
Total Expenses
|
1,666
|
1,312
|
4,676
|
4,068
|
||||||||||||
Income (Loss) Before Income Taxes
|
5,430
|
(5,309
|
)
|
(2,028
|
)
|
3,495
|
||||||||||
(Benefit from) provision for corporate business taxes
|
(89
|
)
|
(139
|
)
|
(669
|
)
|
(209
|
)
|
||||||||
Net Income (Loss)
|
5,519
|
(5,170
|
)
|
(1,359
|
)
|
3,704
|
||||||||||
Net income allocated to LTIP - OP Units
|
(76
|
)
|
46
|
21
|
(35
|
)
|
||||||||||
Net income (loss) Applicable to Common Stockholders
|
$
|
5,443
|
$
|
(5,124
|
)
|
$
|
(1,338
|
)
|
$
|
3,669
|
Three Months Ended September 30, 2016
|
||||||||||||||||
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Interest income
|
$
|
3,200
|
$
|
3,957
|
$
|
-
|
$
|
7,157
|
||||||||
Interest expense
|
320
|
1,557
|
-
|
1,877
|
||||||||||||
Net interest income
|
2,880
|
2,400
|
-
|
5,280
|
||||||||||||
Servicing fee income
|
2,365
|
-
|
-
|
2,365
|
||||||||||||
Servicing costs
|
641
|
-
|
-
|
641
|
||||||||||||
Net servicing income
|
1,724
|
-
|
-
|
1,724
|
||||||||||||
Other income
|
(1,730
|
)
|
1,822
|
-
|
92
|
|||||||||||
Other operating expenses
|
-
|
-
|
1,666
|
1,666
|
||||||||||||
Corporate business taxes
|
(89
|
)
|
-
|
-
|
(89
|
)
|
||||||||||
Net income (loss)
|
$
|
2,963
|
$
|
4,222
|
$
|
(1,666
|
)
|
$
|
5,519
|
Three Months Ended September 30, 2015
|
||||||||||||||||
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Interest income
|
$
|
2,411
|
$
|
3,402
|
$
|
-
|
$
|
5,813
|
||||||||
Interest expense
|
177
|
1,466
|
-
|
1,643
|
||||||||||||
Net interest income
|
2,234
|
1,936
|
-
|
4,170
|
||||||||||||
Servicing fee income
|
463
|
-
|
-
|
463
|
||||||||||||
Servicing costs
|
366
|
-
|
-
|
366
|
||||||||||||
Net servicing income
|
97
|
-
|
-
|
97
|
||||||||||||
Other income
|
(2,600
|
)
|
(5,664
|
)
|
-
|
(8,264
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
1,312
|
1,312
|
||||||||||||
Corporate business taxes
|
(139
|
)
|
-
|
-
|
(139
|
)
|
||||||||||
Net income (loss)
|
$
|
(130
|
)
|
$
|
(3,728
|
)
|
$
|
(1,312
|
)
|
$
|
(5,170
|
)
|
Nine Months Ended September 30, 2016
|
||||||||||||||||
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Interest income
|
$
|
7,729
|
$
|
11,751
|
$
|
-
|
$
|
19,480
|
||||||||
Interest expense
|
993
|
4,426
|
-
|
5,419
|
||||||||||||
Net interest income
|
6,736
|
7,325
|
-
|
14,061
|
||||||||||||
Servicing fee income
|
5,434
|
-
|
-
|
5,434
|
||||||||||||
Servicing costs
|
1,544
|
-
|
-
|
1,544
|
||||||||||||
Net servicing income
|
3,890
|
-
|
-
|
3,890
|
||||||||||||
Other income
|
(9,494
|
)
|
(5,809
|
)
|
-
|
(15,303
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
4,676
|
4,676
|
||||||||||||
Corporate business taxes
|
(669
|
)
|
-
|
-
|
(669
|
)
|
||||||||||
Net income (loss)
|
$
|
1,801
|
$
|
1,516
|
$
|
(4,676
|
)
|
$
|
(1,359
|
)
|
Nine Months Ended September 30, 2015
|
||||||||||||||||
Servicing
Related Assets
|
RMBS
|
All Other
|
Total
|
|||||||||||||
Interest income
|
$
|
9,921
|
$
|
9,807
|
$
|
-
|
$
|
19,728
|
||||||||
Interest expense
|
196
|
4,028
|
-
|
4,224
|
||||||||||||
Net interest income
|
9,725
|
5,779
|
-
|
15,504
|
||||||||||||
Servicing fee income
|
619
|
-
|
-
|
619
|
||||||||||||
Servicing costs
|
460
|
-
|
-
|
460
|
||||||||||||
Net servicing income
|
159
|
-
|
-
|
159
|
||||||||||||
Other income
|
(1,627
|
)
|
(6,473
|
)
|
-
|
(8,100
|
)
|
|||||||||
Other operating expenses
|
-
|
-
|
4,068
|
4,068
|
||||||||||||
Corporate business taxes
|
(209
|
)
|
-
|
-
|
(209
|
)
|
||||||||||
Net income (loss)
|
$
|
8,466
|
$
|
(694
|
)
|
$
|
(4,068
|
)
|
$
|
3,704
|
Three Months Ended
September 30, 2016 |
||||
Accumulated other comprehensive gain (loss), June 30, 2016
|
$
|
11,630
|
||
Other comprehensive income (loss)
|
340
|
|||
Accumulated other comprehensive gain (loss), September 30, 2016
|
$
|
11,970
|
Nine Months Ended
September 30, 2016 |
||||
Accumulated other comprehensive gain (loss), December 31, 2015
|
$
|
(197
|
)
|
|
Other comprehensive income (loss)
|
12,167
|
|||
Accumulated other comprehensive gain (loss), September 30, 2016
|
$
|
11,970
|
• |
core earnings; and
|
• |
core earnings attributable to common stockholders, per share.
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Net income (loss)
|
$
|
5,519
|
$
|
(5,170
|
)
|
$
|
(1,359
|
)
|
$
|
3,704
|
||||||
Realized (gain) loss on RMBS, net
|
(770
|
)
|
(269
|
)
|
(1,325
|
)
|
(461
|
)
|
||||||||
Realized (gain) loss on derivatives, net
|
2,147
|
947
|
3,907
|
2,241
|
||||||||||||
Realized (gain) loss on acquired assets, net
|
-
|
-
|
-
|
(174
|
)
|
|||||||||||
Unrealized (gain) loss on derivatives, net
|
(3,199
|
)
|
4,986
|
3,227
|
4,693
|
|||||||||||
Unrealized (gain) loss on investments in Excess MSRs
|
(117
|
)
|
2,059
|
2,339
|
1,238
|
|||||||||||
Unrealized (gain) loss on investments in MSRs
|
1,847
|
541
|
7,155
|
563
|
||||||||||||
Tax (benefit) expense on unrealized (gain) loss on MSRs
|
(91
|
)
|
(216
|
)
|
(624
|
)
|
(276
|
)
|
||||||||
Estimated "catch up" premium amortization (benefit) cost
|
21
|
695
|
1,772
|
(549
|
)
|
|||||||||||
Amortization of MSRs
|
(1,228
|
)
|
-
|
(2,834
|
)
|
-
|
||||||||||
Total core earnings:
|
$
|
4,129
|
$
|
3,573
|
$
|
12,258
|
$
|
10,979
|
||||||||
Core earnings attributable to noncontrolling interests
|
(76
|
)
|
(37
|
)
|
(191
|
)
|
(104
|
)
|
||||||||
Core Earnings Attributable to Common Stockholders
|
$
|
4,053
|
$
|
3,536
|
$
|
12,067
|
$
|
10,875
|
||||||||
Core Earnings Attributable to Common Stockholders, per Share
|
$
|
0.54
|
$
|
0.47
|
$
|
1.60
|
$
|
1.45
|
||||||||
GAAP Net income (Loss) Per Share of Common Stock
|
$
|
0.72
|
$
|
(0.68
|
)
|
$
|
(0.18
|
)
|
$
|
0.49
|
Collateral Characteristics
|
||||||||||||||||||||||||||||||||
Current
Carrying
Amount
|
Original
Principal
Balance
|
Current
Principal
Balance
|
Number of
Loans
|
WA
Coupon
|
WA
Maturity
(months)
|
Weighted
Average
Loan Age
(months)
|
ARMs %(A)
|
|||||||||||||||||||||||||
Excess MSR Pool 1
|
||||||||||||||||||||||||||||||||
Original Pool
|
$
|
26,962
|
$
|
10,026,722
|
$
|
5,522,979
|
30,942
|
3.48
|
%
|
301
|
46
|
0.8
|
%
|
|||||||||||||||||||
Recaptured Loans
|
6,332
|
-
|
991,682
|
5,289
|
3.55
|
%
|
322
|
6
|
0.2
|
%
|
||||||||||||||||||||||
Recapture Agreement
|
1,676
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 1 Total/WA
|
34,970
|
10,026,722
|
6,514,661
|
36,231
|
3.49
|
%
|
305
|
40
|
0.7
|
%
|
||||||||||||||||||||||
Excess MSR Pool 2
|
||||||||||||||||||||||||||||||||
Original Pool
|
13,510
|
10,704,024
|
4,070,984
|
28,601
|
2.49
|
%
|
307
|
51
|
100.0
|
%
|
||||||||||||||||||||||
Recaptured Loans
|
14,371
|
-
|
2,259,294
|
14,399
|
3.64
|
%
|
336
|
12
|
0.1
|
%
|
||||||||||||||||||||||
Recapture Agreement
|
971
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 2 Total/WA
|
28,852
|
10,704,024
|
6,330,278
|
43,000
|
2.90
|
%
|
317
|
37
|
64.3
|
%
|
||||||||||||||||||||||
Excess MSR Pool 2014
|
||||||||||||||||||||||||||||||||
Original Pool
|
634
|
334,672
|
146,804
|
977
|
3.63
|
%
|
316
|
41
|
0.0
|
%
|
||||||||||||||||||||||
Recaptured Loans
|
516
|
-
|
78,586
|
398
|
3.55
|
%
|
326
|
9
|
-
|
|||||||||||||||||||||||
Recapture Agreement
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 2014 Total/WA
|
1,150
|
334,672
|
225,390
|
1,375
|
3.60
|
%
|
320
|
30
|
-
|
%
|
||||||||||||||||||||||
Total/Weighted Average
|
$
|
64,972
|
$
|
21,065,418
|
$
|
13,070,329
|
80,606
|
3.21
|
%
|
311
|
38
|
31.5
|
%
|
Collateral Characteristics
|
||||||||||||||||||||||||||||||||
Current
Carrying
Amount
|
Original
Principal
Balance
|
Current
Principal
Balance
|
Number of
Loans
|
WA
Coupon
|
WA
Maturity
(months)
|
Weighted
Average
Loan Age
(months)
|
ARMs %(A)
|
|||||||||||||||||||||||||
Excess MSR Pool 1
|
||||||||||||||||||||||||||||||||
Original Pool
|
$
|
38,633
|
$
|
10,026,722
|
$
|
6,865,916
|
37,204
|
3.49
|
%
|
311
|
36
|
0.9
|
%
|
|||||||||||||||||||
Recaptured Loans
|
4,204
|
-
|
550,549
|
2,834
|
3.77
|
%
|
331
|
7
|
0.5
|
%
|
||||||||||||||||||||||
Recapture Agreement
|
645
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 1 Total/WA
|
43,482
|
10,026,722
|
7,416,465
|
40,038
|
3.51
|
%
|
312
|
34
|
0.8
|
%
|
||||||||||||||||||||||
Excess MSR Pool 2
|
||||||||||||||||||||||||||||||||
Original Pool
|
17,967
|
10,704,024
|
5,041,239
|
34,109
|
2.35
|
%
|
318
|
41
|
100.0
|
%
|
||||||||||||||||||||||
Recaptured Loans
|
14,371
|
-
|
2,238,467
|
13,832
|
3.74
|
%
|
342
|
9
|
0.1
|
%
|
||||||||||||||||||||||
Recapture Agreement
|
716
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 2 Total/WA
|
33,054
|
10,704,024
|
7,279,706
|
47,941
|
2.78
|
%
|
325
|
31
|
69.3
|
%
|
||||||||||||||||||||||
Excess MSR Pool 2014
|
||||||||||||||||||||||||||||||||
Original Pool
|
947
|
334,672
|
197,900
|
1,242
|
3.65
|
%
|
327
|
30
|
0.0
|
%
|
||||||||||||||||||||||
Recaptured Loans
|
559
|
-
|
67,990
|
321
|
3.65
|
%
|
335
|
9
|
0.0
|
|||||||||||||||||||||||
Recapture Agreement
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
||||||||||||||||||||||||
Excess MSR Pool 2014 Total/WA
|
1,506
|
334,672
|
265,890
|
1,563
|
3.65
|
%
|
329
|
25
|
0.0
|
|||||||||||||||||||||||
Total/Weighted Average
|
$
|
78,042
|
$
|
21,065,418
|
$
|
14,962,061
|
89,542
|
3.16
|
%
|
319
|
32
|
34.1
|
%
|
(A) |
ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs.
|
Collateral Characteristics
|
||||||||||||||||||||||||||||
|
Current
Carrying
Amount
|
Current
Principal
Balance
|
WA Coupon
|
WA
Servicing
Fee
|
WA
Maturity
(months)
|
Weighted
Average
Loan Age
(months)
|
ARMs %(A)
|
|||||||||||||||||||||
MSRs
|
||||||||||||||||||||||||||||
Conventional
|
$
|
27,960
|
$
|
3,425,629
|
3.82
|
%
|
0.25
|
%
|
287
|
28
|
0.1
|
%
|
||||||||||||||||
MSR Total/WA
|
27,960
|
3,425,629
|
3.82
|
%
|
0.25
|
%
|
287
|
28
|
0.1
|
%
|
Collateral Characteristics | ||||||||||||||||||||||||||||
Current
Carrying
Amount
|
Current
Principal
Balance
|
WA Coupon
|
WA
Servicing
Fee
|
WA
Maturity
(months)
|
Weighted
Average
Loan Age
(months)
|
ARMs %(A)
|
||||||||||||||||||||||
MSRs
|
||||||||||||||||||||||||||||
Conventional
|
$
|
19,761
|
$
|
2,016,351
|
3.76
|
%
|
0.25
|
%
|
273
|
31
|
0.2
|
%
|
||||||||||||||||
MSR Total/WA
|
19,761
|
2,016,351
|
3.76
|
%
|
0.25
|
%
|
273
|
31
|
0.2
|
%
|
(A) |
ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs.
|
Asset Type
|
Original
Face Value |
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
|||||||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
357,551
|
$
|
320,539
|
$
|
6,975
|
$
|
(29
|
)
|
$
|
327,485
|
51
|
(B)
|
3.69
|
%
|
3.36
|
%
|
23
|
|||||||||||||||||||
Freddie Mac
|
204,067
|
185,673
|
4,471
|
(9
|
)
|
190,135
|
24
|
(B)
|
3.59
|
%
|
3.47
|
%
|
25
|
||||||||||||||||||||||||
CMOs
|
25,396
|
14,908
|
538
|
-
|
15,446
|
7
|
Unrated
|
3.77
|
%
|
5.19
|
%
|
11
|
|||||||||||||||||||||||||
Total/Weighted Average
|
$
|
587,014
|
$
|
521,120
|
$
|
11,984
|
$
|
(38
|
)
|
$
|
533,066
|
82
|
|
3.65
|
%
|
3.46
|
%
|
24
|
Asset Type
|
Original
Face Value |
Book
Value |
Gross Unrealized
|
Carrying
Value(A)
|
Number
of
Securities
|
Weighted Average
|
|||||||||||||||||||||||||||||||
Gains
|
Losses
|
Rating
|
Coupon
|
Yield(C)
|
Maturity
(Years)(D)
|
||||||||||||||||||||||||||||||||
RMBS
|
|
||||||||||||||||||||||||||||||||||||
Fannie Mae
|
$
|
329,767
|
$
|
308,367
|
$
|
1,961
|
$
|
(1,556
|
)
|
$
|
308,772
|
44
|
(B)
|
3.77
|
%
|
3.59
|
%
|
24
|
|||||||||||||||||||
Freddie Mac
|
208,154
|
193,567
|
821
|
(977
|
)
|
193,411
|
24
|
(B)
|
3.61
|
%
|
3.48
|
%
|
24
|
||||||||||||||||||||||||
CMOs
|
16,646
|
6,493
|
-
|
(434
|
)
|
6,059
|
4
|
Unrated
|
4.55
|
%
|
7.39
|
%
|
10
|
||||||||||||||||||||||||
Total/Weighted Average
|
$
|
554,567
|
$
|
508,427
|
$
|
2,782
|
$
|
(2,967
|
)
|
$
|
508,242
|
72
|
|
3.72
|
%
|
3.60
|
%
|
23
|
(A) |
See “Item 1. Consolidated Financial Statements — Note 9. Fair Value” regarding the estimation of fair value, which is equal to carrying value for all securities.
|
(B) |
We used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated.
|
(C) |
The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
|
(D) |
The weighted average maturity is based on the timing of expected principal reduction on the assets.
|
September 30, 2016
|
December 31, 2015
|
|||||||
Weighted Average Asset Yield
|
2.99
|
%
|
2.61
|
%
|
||||
Weighted Average Interest Expense
|
1.36
|
%
|
1.15
|
%
|
||||
Net Interest Spread
|
1.63
|
%
|
1.46
|
%
|
Quarter Ended
|
Average Monthly
Amount |
Maximum Month-End
Amount
|
Ending
Amount |
|||||||||
September 30, 2016
|
$
|
511,475
|
$
|
537,139
|
$
|
466,209
|
||||||
June 30, 2016
|
$
|
485,476
|
$
|
544,862
|
$
|
456,075
|
||||||
March 31, 2016
|
$
|
406,360
|
$
|
414,153
|
$
|
398,374
|
||||||
December 31, 2015
|
$
|
408,227
|
$
|
443,446
|
$
|
385,560
|
||||||
September 30, 2015
|
$
|
396,013
|
$
|
440,727
|
$
|
440,727
|
||||||
June 30, 2015
|
$
|
382,333
|
$
|
384,386
|
$
|
384,386
|
||||||
March 31, 2015
|
$
|
376,083
|
$
|
377,361
|
$
|
373,868
|
||||||
December 31, 2014
|
$
|
354,878
|
$
|
363,493
|
$
|
362,126
|
||||||
September 30, 2014
|
$
|
315,830
|
$
|
329,239
|
$
|
329,239
|
||||||
June 30, 2014
|
$
|
288,881
|
$
|
293,747
|
$
|
293,747
|
||||||
March 31, 2014
|
$
|
263,505
|
$
|
269,982
|
$
|
269,982
|
||||||
December 31, 2013
|
$
|
267,038
|
$
|
270,555
|
$
|
261,302
|
||||||
September 30, 2013
|
$
|
-
|
$
|
-
|
$
|
-
|
Repurchase Agreements
|
Weighted Average Rate
|
|||||||
Less than one month
|
$
|
193,310
|
0.79
|
%
|
||||
One to three months
|
200,781
|
0.75
|
%
|
|||||
Greater than three months
|
72,118
|
0.82
|
%
|
|||||
Total/Weighted Average
|
$
|
466,209
|
0.78
|
%
|
Repurchase Agreements
|
Weighted Average Rate
|
|||||||
Less than one month
|
$
|
93,926
|
0.55
|
%
|
||||
One to three months
|
284,687
|
0.56
|
%
|
|||||
Greater than three months
|
6,947
|
0.52
|
%
|
|||||
Total/Weighted Average
|
$
|
385,560
|
0.56
|
%
|
Federal Home Loan Bank
advances
|
Weighted Average Rate
|
|||||||
Less than one month
|
$
|
15,000
|
0.44
|
%
|
||||
One to three months
|
-
|
-
|
||||||
Greater than three months
|
47,250
|
0.57
|
%
|
|||||
Total/Weighted Average Federal Home Loan Bank advances
|
$
|
62,250
|
0.54
|
%
|
• |
actual results of operations;
|
• |
our level of retained cash flows;
|
• |
our ability to make additional investments in our target assets;
|
• |
restrictions under Maryland law;
|
• |
any debt service requirements;
|
• |
our taxable income;
|
• |
the annual distribution requirements under the REIT provisions of the Code; and
|
• |
other factors that our board of directors may deem relevant
|
Less than
1 year |
1 to 3
years |
3 to 5
years |
More than
5 years |
Total
|
||||||||||||||||
Repurchase agreements
|
||||||||||||||||||||
Borrowings under repurchase agreements
|
$
|
466,209
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
466,209
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
757
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
757
|
||||||||||
Term Loan
|
||||||||||||||||||||
Borrowings under Term Loan facility
|
$
|
2,102
|
$
|
4,571
|
$
|
15,183
|
$
|
-
|
$
|
21,856
|
||||||||||
Interest on Term Loan borrowings
|
$
|
1,164
|
$
|
1,960
|
$
|
662
|
$
|
-
|
$
|
3,786
|
Less than
1 year |
1 to 3
years |
3 to 5
years |
More than
5 years |
Total
|
||||||||||||||||
Repurchase agreements
|
||||||||||||||||||||
Borrowings under repurchase agreements
|
$
|
385,560
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
385,560
|
||||||||||
Interest on repurchase agreement borrowings(A)
|
$
|
263
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
263
|
||||||||||
Federal Home Loan Bank advances
|
||||||||||||||||||||
Borrowings under FHLBI advances
|
$
|
62,250
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
62,250
|
||||||||||
Interest on FHLBI advance borrowings(A)
|
$
|
92
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
92
|
||||||||||
Term Loan
|
||||||||||||||||||||
Borrowings under Term Loan facility
|
$
|
1,958
|
$
|
6,583
|
$
|
15,762
|
$
|
-
|
$
|
24,303
|
||||||||||
Interest on Term Loan borrowings
|
$
|
1,308
|
$
|
3,215
|
$
|
493
|
$
|
-
|
$
|
5,016
|
(A) |
Interest expense is calculated based on the interest rate in effect at September 30, 2016 and includes all interest expense incurred and expected to be incurred in the future through the contractual maturity of the associated repurchase agreement.
|
(20)%
|
(10)%
|
-%
|
10%
|
20%
|
||||||||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
71,282
|
$
|
67,979
|
$
|
64,971
|
$
|
62,222
|
$
|
59,698
|
||||||||||
Change in FV
|
$
|
6,311
|
$
|
3,008
|
$
|
-
|
$
|
(2,750
|
)
|
$
|
(5,273
|
)
|
||||||||
% Change in FV
|
10
|
%
|
5
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
71,193
|
$
|
67,975
|
$
|
64,971
|
$
|
62,165
|
$
|
59,547
|
||||||||||
Change in FV
|
$
|
6,221
|
$
|
3,003
|
$
|
-
|
$
|
(2,807
|
)
|
$
|
(5,424
|
)
|
||||||||
% Change in FV
|
10
|
%
|
5
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Recapture Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
64,442
|
$
|
64,707
|
$
|
64,971
|
$
|
65,236
|
$
|
65,501
|
||||||||||
Change in FV
|
$
|
(529
|
)
|
$
|
(265
|
)
|
$
|
-
|
$
|
265
|
$
|
529
|
||||||||
% Change in FV
|
(1
|
)%
|
(0
|
)%
|
-
|
0
|
%
|
1
|
%
|
(20)%
|
|
(10)%
|
|
-%
|
|
10%
|
20%
|
|||||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
86,063
|
$
|
81,859
|
$
|
78,042
|
$
|
74,577
|
$
|
71,406
|
||||||||||
Change in FV
|
$
|
8,016
|
$
|
3,812
|
$
|
-
|
$
|
(3,470
|
)
|
$
|
(6,642
|
)
|
||||||||
% Change in FV
|
10
|
%
|
5
|
%
|
-
|
(4
|
)%
|
(9
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
85,033
|
$
|
81,428
|
$
|
78,042
|
$
|
74,886
|
$
|
71,919
|
||||||||||
Change in FV
|
$
|
6,986
|
$
|
3,380
|
$
|
-
|
$
|
(3,162
|
)
|
$
|
(6,128
|
)
|
||||||||
% Change in FV
|
9
|
%
|
4
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Recapture Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
77,775
|
$
|
77,911
|
$
|
78,042
|
$
|
78,184
|
$
|
78,320
|
||||||||||
Change in FV
|
$
|
(272
|
)
|
$
|
(136
|
)
|
$
|
-
|
$
|
136
|
$
|
272
|
||||||||
% Change in FV
|
(0
|
)%
|
(0
|
)%
|
-
|
0
|
%
|
0
|
%
|
(20)%
|
(10)%
|
-%
|
10%
|
20%
|
||||||||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
29,972
|
$
|
28,932
|
$
|
27,960
|
$
|
27,050
|
$
|
26,197
|
||||||||||
Change in FV
|
$
|
2,012
|
$
|
972
|
$
|
-
|
$
|
(910
|
)
|
$
|
(1,763
|
)
|
||||||||
% Change in FV
|
7
|
%
|
3
|
%
|
-
|
(3
|
)%
|
(6
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
31,554
|
$
|
29,671
|
$
|
27,960
|
$
|
26,401
|
$
|
24,976
|
||||||||||
Change in FV
|
$
|
3,593
|
$
|
1,710
|
$
|
-
|
$
|
(1,559
|
)
|
$
|
(2,984
|
)
|
||||||||
% Change in FV
|
13
|
%
|
6
|
%
|
-
|
(6
|
)%
|
(11
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
28,880
|
$
|
28,420
|
$
|
27,960
|
$
|
27,500
|
$
|
27,040
|
||||||||||
Change in FV
|
$
|
920
|
$
|
460
|
$
|
-
|
$
|
(460
|
)
|
$
|
(920
|
)
|
||||||||
% Change in FV
|
3
|
%
|
2
|
%
|
-
|
(2
|
)%
|
(3
|
)%
|
(20)%
|
(10)%
|
-%
|
10%
|
20%
|
||||||||||||||||
Discount Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
21,261
|
$
|
20,486
|
$
|
19,761
|
$
|
19,084
|
$
|
18,450
|
||||||||||
Change in FV
|
$
|
1,500
|
$
|
724
|
$
|
-
|
$
|
(677
|
)
|
$
|
(1,312
|
)
|
||||||||
% Change in FV
|
8
|
%
|
4
|
%
|
-
|
(3
|
)%
|
(7
|
)%
|
|||||||||||
Voluntary Prepayment Rate Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
21,656
|
$
|
20,672
|
$
|
19,761
|
$
|
18,916
|
$
|
18,130
|
||||||||||
Change in FV
|
$
|
1,894
|
$
|
911
|
$
|
-
|
$
|
(845
|
)
|
$
|
(1,631
|
)
|
||||||||
% Change in FV
|
10
|
%
|
5
|
%
|
-
|
(4
|
)%
|
(8
|
)%
|
|||||||||||
Servicing Cost Shift in %
|
||||||||||||||||||||
Estimated FV
|
$
|
20,490
|
$
|
20,126
|
$
|
19,761
|
$
|
19,397
|
$
|
19,033
|
||||||||||
Change in FV
|
$
|
728
|
$
|
364
|
$
|
-
|
$
|
(364
|
)
|
$
|
(728
|
)
|
||||||||
% Change in FV
|
4
|
%
|
2
|
%
|
-
|
(2
|
)%
|
(4
|
)%
|
Fair Value Change
|
||||||||||||||||||||||||
September 30, 2016
|
+25 Bps
|
+50 Bps
|
+75 Bps
|
+100 Bps
|
+150 Bps
|
|||||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps
|
$
|
525,943
|
||||||||||||||||||||||
RMBS Total Return (%)
|
(0.19
|
)%
|
(0.52
|
)%
|
(1.00
|
)%
|
(1.57
|
)%
|
(2.99
|
)%
|
||||||||||||||
RMBS Dollar Return
|
$
|
(1,006
|
)
|
$
|
(2,779
|
)
|
$
|
(5,305
|
)
|
$
|
(8,364
|
)
|
$
|
(15,940
|
)
|
Fair Value Change
|
||||||||||||||||||||||||
December 31, 2015
|
+25 Bps
|
+50 Bps
|
+75 Bps
|
+100 Bps
|
+150 Bps
|
|||||||||||||||||||
RMBS Portfolio
|
||||||||||||||||||||||||
RMBS, available-for-sale, net of swaps
|
$
|
503,697
|
||||||||||||||||||||||
RMBS Total Return (%)
|
(0.49
|
)%
|
(1.07
|
)%
|
(1.74
|
)%
|
(2.47
|
)%
|
(4.04
|
)%
|
||||||||||||||
RMBS Dollar Return
|
$
|
(2,444
|
)
|
$
|
(5,406
|
)
|
$
|
(8,785
|
)
|
$
|
(12,456
|
)
|
$
|
(20,353
|
)
|
Exhibit
Number
|
Description
|
|
31.1*
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
31.2*
|
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
|
32.1*
|
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
32.2*
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
101.INS*
|
XBRL Instance Document
|
|
101.SCH*
|
XBRL Taxonomy Extension Schema
|
|
101.CAL*
|
XBRL Taxonomy Extension Calculation Linkbase
|
|
101.DEF*
|
XBRL Taxonomy Definition Linkbase
|
|
101.LAB*
|
XBRL Taxonomy Extension Label Linkbase
|
|
101.PRE*
|
XBRL Taxonomy Extension Presentation Linkbase
|
* |
Filed herewith.
|
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
|
||
November 9, 2016
|
By:
|
/s/ Jeffrey Lown II
|
Jeffrey Lown II
|
||
President (Principal Executive Officer)
|
||
November 9, 2016
|
By:
|
/s/ Martin J. Levine
|
Martin J. Levine
|
||
Chief Financial Officer, Secretary and Treasurer (Principal Financial Officer)
|
Exhibit
Number
|
Description
|
|
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
||
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
|
||
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
||
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
||
101.INS*
|
XBRL Instance Document
|
|
101.SCH*
|
XBRL Taxonomy Extension Schema
|
|
101.CAL*
|
XBRL Taxonomy Extension Calculation Linkbase
|
|
101.DEF*
|
XBRL Taxonomy Definition Linkbase
|
|
101.LAB*
|
XBRL Taxonomy Extension Label Linkbase
|
|
101.PRE*
|
XBRL Taxonomy Extension Presentation Linkbase
|
* |
Filed herewith.
|
a. |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b. |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
c. |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
a. |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b. |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Jeffrey Lown II
|
|
Jeffrey Lown II
|
||
President
|
||
(Principal Executive Officer)
|
a. |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b. |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
c. |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
a. |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b. |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Martin Levine
|
|
Martin Levine
|
||
Chief Financial Officer, Secretary and Treasurer Officer (Principal Financial Officer)
|
By:
|
/s/ Jeffrey Lown II
|
|
Jeffrey Lown II
|
||
President
|
||
(Principal Executive Officer)
|
By:
|
/s/ Martin Levine
|
|
Martin Levine
|
||
Chief Financial Officer, Secretary and Treasurer (Principal Financial Officer)
|
Document and Entity Information - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Nov. 09, 2016 |
|
Document And Entity Information [Abstract] | ||
Entity Registrant Name | Cherry Hill Mortgage Investment Corporation | |
Entity Central Index Key | 0001571776 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 7,525,348 | |
Document Fiscal Year Focus | 2016 | |
Document Fiscal Period Focus | Q3 | |
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 |
Consolidated Balance Sheets (Parenthetical) - $ / shares |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Stockholders' Equity | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares issued (in shares) | 0 | 0 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 7,525,348 | 7,519,038 |
Common stock, shares outstanding (in shares) | 7,525,348 | 7,519,038 |
Consolidated Statements of Income (Loss) (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|||||
Income | ||||||||
Interest income | $ 7,157 | $ 5,813 | $ 19,480 | $ 19,728 | ||||
Interest expense | 1,877 | 1,643 | 5,419 | 4,224 | ||||
Net interest income | 5,280 | 4,170 | 14,061 | 15,504 | ||||
Servicing fee income | 2,365 | 463 | 5,434 | 619 | ||||
Servicing costs | 641 | 366 | 1,544 | 460 | ||||
Net servicing income (loss) | 1,724 | 97 | 3,890 | 159 | ||||
Other income (loss) | ||||||||
Realized gain (loss) on RMBS, net | 770 | 269 | 1,325 | 461 | ||||
Realized gain (loss) on derivatives, net | (2,147) | (947) | (3,907) | (2,241) | ||||
Realized gain (loss) on acquired assets, net | 0 | 0 | 0 | 174 | ||||
Unrealized gain (loss) on derivatives, net | 3,199 | (4,986) | (3,227) | (4,693) | ||||
Unrealized gain (loss) on investments in Excess MSRs | 117 | (2,059) | (2,339) | (1,238) | ||||
Unrealized gain (loss) on investments in MSRs | (1,847) | (541) | (7,155) | (563) | ||||
Total Income | 7,096 | (3,997) | 2,648 | 7,563 | ||||
Expenses | ||||||||
General and administrative expense | 864 | 622 | 2,494 | 1,998 | ||||
Management fee to affiliate | 802 | 690 | 2,182 | 2,070 | ||||
Total Expenses | 1,666 | 1,312 | 4,676 | 4,068 | ||||
Income (Loss) Before Income Taxes | 5,430 | (5,309) | (2,028) | 3,495 | ||||
Provision for corporate business taxes | (89) | (139) | (669) | [1] | (209) | [1] | ||
Net Income (Loss) | 5,519 | (5,170) | (1,359) | 3,704 | ||||
Net (income) loss allocated to noncontrolling interests | (76) | 46 | 21 | (35) | ||||
Net Income (Loss) Applicable to Common Stockholders | $ 5,443 | $ (5,124) | $ (1,338) | $ 3,669 | ||||
Net income (Loss) Per Share of Common Stock | ||||||||
Basic (in dollars per share) | $ 0.72 | $ (0.68) | $ (0.18) | $ 0.49 | ||||
Diluted (in dollars per share) | $ 0.72 | $ (0.68) | $ (0.18) | $ 0.49 | ||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||||
Basic (in shares) | 7,511,653 | 7,509,543 | 7,510,246 | 7,509,543 | ||||
Diluted (in shares) | 7,528,188 | 7,511,653 | 7,522,614 | 7,510,246 | ||||
|
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract] | ||||
Net income (loss) | $ 5,519 | $ (5,170) | $ (1,359) | $ 3,704 |
Other comprehensive income (loss): | ||||
Net unrealized gain (loss) on RMBS | 1,110 | 3,363 | 13,492 | (126) |
Reclassification of net realized (gain) loss on RMBS in earnings | (770) | (269) | (1,325) | (461) |
Other comprehensive income (loss) | 340 | 3,094 | 12,167 | (587) |
Comprehensive income (loss) | 5,859 | (2,076) | 10,808 | 3,117 |
Comprehensive income (loss) attributable to noncontrolling interests | 98 | (18) | 168 | 30 |
Comprehensive income (loss) attributable to common stockholders | $ 5,761 | $ (2,058) | $ 10,640 | $ 3,087 |
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands |
Common Stock [Member] |
Additional Paid-in Capital [Member] |
Accumulated Other Comprehensive Income (Loss) [Member] |
Retained Earnings (Deficit) [Member] |
Non-Controlling Interest in Operating Partnership [Member] |
Total |
|||||
---|---|---|---|---|---|---|---|---|---|---|---|
Beginning balance at Dec. 31, 2014 | $ 75 | $ 148,258 | $ 6,641 | $ 4,799 | $ 545 | $ 160,318 | |||||
Beginning balance (in shares) at Dec. 31, 2014 | 7,509,543 | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance of common stock | $ 0 | [1] | 37 | 0 | 0 | 0 | 37 | ||||
Issuance of common stock (in shares) | 9,495 | ||||||||||
Net Income | $ 0 | 0 | 0 | 3,669 | 35 | 3,704 | |||||
Other Comprehensive Income | 0 | 0 | (587) | 0 | 0 | (587) | |||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 308 | 308 | |||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | (104) | (104) | |||||
Common dividends declared | 0 | 0 | 0 | (11,195) | 0 | (11,195) | |||||
Ending balance at Sep. 30, 2015 | $ 75 | 148,295 | 6,054 | (2,727) | 784 | 152,481 | |||||
Ending balance (in shares) at Sep. 30, 2015 | 7,519,038 | ||||||||||
Beginning balance at Dec. 31, 2015 | $ 75 | 148,332 | (197) | 3,133 | 994 | $ 152,337 | |||||
Beginning balance (in shares) at Dec. 31, 2015 | 7,519,038 | 7,519,038 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance of common stock | $ 0 | [2] | 100 | 0 | 0 | 0 | $ 100 | ||||
Issuance of common stock (in shares) | 6,310 | ||||||||||
Net Income | $ 0 | 0 | 0 | (1,338) | (21) | (1,359) | |||||
Other Comprehensive Income | 0 | 0 | 12,167 | 0 | 0 | 12,167 | |||||
LTIP-OP Unit awards | 0 | 0 | 0 | 0 | 475 | 475 | |||||
Distribution paid on LTIP-OP Units | 0 | 0 | 0 | 0 | (170) | (170) | |||||
Common dividends declared | 0 | 0 | 0 | (11,057) | 0 | (11,057) | |||||
Ending balance at Sep. 30, 2016 | $ 75 | $ 148,432 | $ 11,970 | $ (9,262) | $ 1,278 | $ 152,493 | |||||
Ending balance (in shares) at Sep. 30, 2016 | 7,525,348 | 7,525,348 | |||||||||
|
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract] | ||
Common dividends declared (in dollars per share) | $ 1.47 | $ 1.49 |
Organization and Operations |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Organization and Operations [Abstract] | |
Organization and Operations | Note 1 — Organization and Operations Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. The accompanying interim 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, Cherry Hill QRS III, LLC, CHMI Insurance Company, LLC (“CHMI Insurance”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”). On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO and the concurrent private placement were used to invest in excess mortgage servicing rights on residential mortgage loans (“Excess MSRs”) and residential mortgage-backed securities (“RMBS” or “securities”), the payment of principal and interest on which is guaranteed by a U.S. government agency or a U.S. government sponsored enterprise (“Agency RMBS”). The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”) which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a REIT, as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes. |
Basis of Presentation and Significant Accounting Policies |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies | Note 2 — Basis of Presentation and Significant Accounting Policies Basis of Accounting The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein. Emerging Growth Company Status On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated 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 Excess MSRs and MSRs (collectively, “Servicing Related Assets”), RMBS, 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 interim 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 the Company’s estimates and differences may be material. Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to significant tax risks. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. Investments in RMBS Classification – The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of 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. 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’s 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 in Note 9. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS sold in the year ended December 31, 2015, were settled prior to year-end. Approximately $5.4 million in Agency RMBS purchased, but not yet settled, was payable at September 30, 2016. 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 on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately $1.5 million in interest income was receivable at September 30, 2016 and December 31, 2015, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. Impairment – The Company 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 the credit component, and (ii) the amount relating to all other factors, or the 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. There were approximately $173,000 of OTTI during the three and nine month periods ended September 30, 2016 and has been classified within "Realized gain (loss) on RMBS, net" on the consolidated statements of income (loss). The Company did not record any OTTI charges during the year ended December 31, 2015. Investments in Excess MSRs Classification – The Company has elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company 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 uses internally developed models that are primarily based on observable market-based inputs but which 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 each pool of Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the pool’s expected excess mortgage servicing amount over the expected life of the underlying mortgages. A change to expected cash flows results in a cumulative retrospective adjustment, which is recorded in the period in which the change occurs. Under the retrospective method, the interest income recognized for a reporting period is 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 MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs and, therefore, may differ from their effective yields. Approximately $1.9 million and $2.2 million in Excess MSR cashflow was receivable at September 30, 2016 and December 31, 2015, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. Investments in MSRs Classification – The Company has elected the fair value option to record its investments in 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 MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. The Company’s MSRs represent the right to service mortgage loans. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. MSRs are reported at fair value on the consolidated balance sheets. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing costs are reported on the consolidated statements of income. In determining the valuation of MSRs, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs (see Note 9). Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Approximately $891,000 in reimbursable servicing advances was receivable at September 30, 2016, and has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 14. Servicing fee income received and servicing costs incurred are reported on the consolidated statements of comprehensive income. The change in fair value from period to period is recorded on the income statement as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used to manage duration risk and basis risk. 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. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. Derivative financial instruments could expose the Company to counterparty risk if the Company’s counterparties become unable to satisfy their respective obligations under the terms of these instruments. The Company reduces, but does not eliminate, its exposure to counterparty risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one counterparty is monitored by the Company. Finally, the Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, the Company’s exposure to counterparty risk. Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheets 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 a contract 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. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company 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. Cash and Cash Equivalents and Restricted Cash The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s derivatives (approximately $7.6 million and $4.6 million at September 30, 2016 and December 31, 2015, respectively), borrowings under its repurchase agreements (approximately $7.3 million and $4.2 million at September 30, 2016 and December 31, 2015, respectively) as well as cash held that relates to outstanding borrowings on a $25 million term loan secured by a pledge of the Company’s existing portfolio of Excess MSRs (“Term Loan”) (approximately $1.1 million at both September 30, 2016 and December 31, 2015). For further information on the restricted cash as it relates to the Term Loan, see Note 13. Due to Affiliates “Due to affiliates” on the balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. Income Taxes The Company has elected to be taxed as a REIT under the Code commencing with its short taxable 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 REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income. The Company accounts for income taxes in accordance with ASC 740, Income Taxes. 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 assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties. 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):
The gain and loss on RMBS presented above represent the amounts reclassified from other comprehensive income (loss) in earnings. Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under uncommitted 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. 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. Federal Home Loan Bank of Indianapolis Advances Advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) were secured by the pledge of Agency RMBS, had varying amortization structures and maturities and bore interest at rates set by FHLBI based on market conditions and a number of criteria, including the size of the transaction and the FHLBI’s cost of funds. Advances were treated as collateralized financing transactions and were carried at their contractual amounts. Interest was recorded at the contractual amount on an accrual basis. See Note 12 for information regarding the regulatory change eliminating our ability to obtain further advances from FHLBI. Dividends Payable Because the Company is organized and operated so as to qualify 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 date the dividend is declared by the Company, which causes an offsetting reduction in retained earnings. Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. Business Combinations Business combinations are accounted for under the acquisition method of accounting in accordance with ASC 805, Business Combinations. Under the acquisition method the acquiring entity in a business combination recognizes 100 percent of the acquired assets and assumed liabilities, regardless of the percentage owned, at their estimated fair values as of the date of acquisition. Any excess of the purchase price over the fair value of net assets and other identifiable intangible assets acquired is recorded as goodwill. To the extent the fair value of net assets acquired, including other identifiable assets, exceeds the purchase price, a bargain purchase gain is recognized. Assets acquired and liabilities assumed from contingencies must also be recognized at fair value, if the fair value can be determined during the measurement period. Results of operations of an acquired business are included in the consolidated statement of income (loss) from the date of acquisition. Acquisition-related costs, including conversion and restructuring charges, are expensed as incurred. We applied this guidance to the Aurora acquisition. Recent Accounting Pronouncements Business Combinations – In September 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-16, Simplifying the Accounting for Measurement-Period Adjustments, which amends ASC 805, Business Combinations. ASU 2015-16 requires that an acquirer recognize adjustments to previously identified provisional amounts in the reporting period in which the adjustment amounts are determined. ASU 2015-16 requires an entity to present separately on the face of the income statement or disclose in the notes the portion of the amount recorded in current-period earnings by line item that would have been recorded in previous reporting periods if the adjustment to the provisional amounts had been recognized as of the acquisition date. For public business entities, ASU 2015-16 is effective for fiscal years beginning after December 15, 2015, including interim periods within those fiscal years. Adoption of ASU 2015-16 did not have a material impact on the consolidated statement of income (loss) 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, 2017. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU 2014-09. Management is currently evaluating the impact ASU 2014-09 may have on its consolidated financial statements. 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. Adoption of ASU 2014-11 did not have a material impact on the consolidated balance sheet, statement of income (loss), 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. Adoption of ASU 2014-12 did not have a material impact on the consolidated balance sheet, statement of income (loss), 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. Management does not expect the adoption of ASU 2014-15 to have an impact on its consolidated financial statements. Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Segment Reporting |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting | Note 3 — Segment Reporting The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other” which consists primarily of general and administrative expenses, including fees to the directors and management fees pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments. Summary financial data on the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):
|
Investments in RMBS |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS | Note 4 — Investments in RMBS All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI. There were approximately $173,000 of OTTI during the three and nine month periods ended September 30, 2016. The Company did not record any OTTI charges during the year ended December 31, 2015. (dollars in thousands): Summary of RMBS Assets As of September 30, 2016
As of December 31, 2015
Summary of RMBS Assets by Maturity As of September 30, 2016
As of December 31, 2015
At September 30, 2016 and December 31, 2015, the Company pledged Agency RMBS investments with a carrying value of approximately $484.3 million and $399.8 million, respectively, as collateral for repurchase agreements. At September 30, 2016, the Company pledged no Agency RMBS investments as collateral for FHLBI advances. At December 31, 2015, the Company pledged Agency RMBS investments with a carrying value of approximately $83.2 million as collateral for FHLBI advances. At September 30, 2016 and December 31, 2015, 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. Based on management’s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads, 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 the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. In connection with the above, the Company weighs the fact that all of its investments in Agency RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities. There were approximately $173,000 of OTTI during the three and nine month periods ended September 30, 2016. The Company did not record any OTTI charges during the year ended December 31, 2015. 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 the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands): RMBS Unrealized Loss Positions As of September 30, 2016
As of December 31, 2015
|
Investments in Servicing Related Assets |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Servicing Related Assets [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Servicing Related Assets | Note 5 — Investments in Servicing Related Assets Excess MSRs In October 2013, the Company entered into an agreement (“Excess MSR Agreement 1”) with Freedom Mortgage to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on the related pool of residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an aggregate unpaid principal balance (“UPB”) of approximately $10.0 billion (“Excess 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 UPB, as well as any ancillary income from Excess MSR Pool 1. Pursuant to Excess MSR Agreement 1, Freedom Mortgage performs all servicing functions and advancing functions related to Excess MSR Pool 1 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 8 bps. The remainder, or “excess mortgage servicing amount,” is initially equal to a weighted average of 20 bps. Pursuant to Excess MSR Agreement 1, the Company acquired the right to receive 85% of the excess mortgage servicing amount on Excess MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in Excess MSR Pool l (which loans then become part of Excess MSR Pool 1) for approximately $60.6 million. Freedom Mortgage has co-invested, pari passu with the Company, 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, the Company’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, the Company 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, the Company entered into an agreement (“Excess MSR Agreement 2”) with Freedom Mortgage to invest with Freedom Mortgage in another pool of Excess MSRs. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of residential Ginnie Mae-eligible VA hybrid adjustable rate mortgage loans with an aggregate UPB of approximately $10.7 billion (“Excess MSR Pool 2”). Freedom Mortgage is entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing UPB, as well as any ancillary income from Excess MSR Pool 2. Pursuant to Excess MSR Agreement 2, Freedom Mortgage performs all servicing functions and advancing functions related to Excess MSR Pool 2 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 10 bps. Therefore, the remainder, or “excess mortgage servicing amount” is initially equal to a weighted average of 34 bps. Pursuant to Excess MSR Agreement 2, the Company acquired the right to receive 50% of the excess mortgage servicing amount on Excess MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represent refinancings of loans in Excess MSR Pool 2 (which loans then become part of Excess MSR Pool 2) for approximately $38.4 million. Freedom Mortgage has co-invested, pari passu with the Company, 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, the Company’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, the Company is entitled to a pro rata share, or 50%, of such termination payment. In October 2013, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage (the “Flow and Bulk Excess MSR Purchase Agreement”). On February 28, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase include recapture provisions that are the same as those in Excess MSR Agreement 1 and Excess MSR Agreement 2. 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 Agreement 1 and Excess MSR Agreement 2. 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 “Excess MSR Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Excess MSR Pool 2014—Recapture Agreement.” MSRs On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million. On June 10, 2015, the Company agreed to transfer the direct servicing of the MSR portfolio to Freedom Mortgage pursuant to a subservicing agreement with Freedom Mortgage. The transfer occurred on September 1, 2015. Pending the transfer, the former servicing employees of Aurora, now employees of Freedom Mortgage, directly serviced the MSR portfolio for Aurora and the servicing was provided at cost pursuant to the Management Agreement with the Manager and the Services Agreement between the Manager and Freedom Mortgage. The cost for such services was included in servicing costs on the consolidated statements of income (loss). Aurora subsequently acquired three portfolios of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate UPB of approximately $3.1 billion as their respective closing dates. In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora's MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement has an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. No refinances or fees were paid during the three and nine month periods ended September 30, 2016. The following is a summary of the Company’s Servicing Related Assets (dollars in thousands): Servicing Related Assets Summary As of September 30, 2016
As of December 31, 2015
The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets: Geographic Concentration of Servicing Related Assets As of September 30, 2016
As of December 31, 2015
Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets. |
Equity and Earnings per Share |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity and Earnings per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity and Earnings per Share | Note 6 — Equity and Earnings per Share Equity Incentive Plan During 2013, the board of directors approved, and the Company’s sole stockholder at the time 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 the dates indicated: Equity Incentive Plan Information As of September 30, 2016
As of December 31, 2015
LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the 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. An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied in 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. The table below sets forth certain information regarding the LTIP-OP Units that have been granted by the board of directors (dollars in thousands, except per share data): LTIP-OP Unit Grant Information
Except for 7,500 LTIP-OP Units that were granted to the Company’s independent directors at the time of the IPO, which vested immediately, LTIP-OP Units 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 initial offering price of the Company’s common stock in the case of the grant to the independent directors and based on the closing price of the Company’s common stock on the applicable grant date in all other cases. As of September 30, 2016, 59,789 LTIP-OP Units have vested. The Company recognized approximately $193,000 and $100,500 in share-based compensation expense in the three month periods ended September 30, 2016 and 2015, respectively. The Company recognized approximately $475,000 and $300,800 in share-based compensation expense in the nine month periods ended September 30, 2016 and 2015, respectively. There was approximately $1.0 million of total unrecognized share-based compensation expense as of September 30, 2016, related to the 79,645 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, pursuant to the 2013 Plan, the Company granted each of the independent directors 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. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. On September 9, 2015, pursuant to the 2013 Plan, the Company granted each of the independent directors 3,165 restricted shares of common stock (for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. On June 15, 2016, pursuant to the 2013 Plan, the Company granted each of the independent directors 3,155 restricted shares of common stock (for a total of 9,465 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. The 3,155 shares granted to Mr. Kislak were forfeited when he resigned as a director of the Company on September 19, 2016. The forfeited shares have been returned to the shares available for future issuance under the 2013 Plan. As of September 30, 2016, 1,335,218 shares of common stock remain available for future issuance under the 2013 Plan. 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. As of September 30, 2016, the non-controlling interest holders in the Operating Partnership owned 139,434 LTIP-OP Units, or approximately 1.9% 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. The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Share Information
There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented. |
Transactions with Affiliates and Affiliated Entities |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Affiliates and Affiliated Entities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Affiliates and Affiliated Entities | Note 7 — Transactions with Affiliates and Affiliated Entities Manager The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. The Management Agreement terminates on October 22, 2020, subject to automatic renewal for successive one-year terms and to certain termination rights. The Manager’s performance is reviewed prior to any renewal and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee, which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the stockholders’ equity (as defined in the Management Agreement). The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided. The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate
Subservicing Agreement Freedom Mortgage is directly servicing the Company’s portfolio of Fannie Mae and Freddie Mac MSRs pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three (3) years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement. Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services, which are included in “Servicing costs” on the consolidated statement of income (loss). Other Transactions with Affiliated Entities The Company, through one of its subsidiaries, has entered into an uncommitted master repurchase agreement with Freedom Mortgage pursuant to which the Company may, from time to time, purchase a newly issued Ginnie Mae RMBS, subject to Freedom Mortgage’s agreement to repurchase the security at a future date, generally no more than 90 days later. The Company simultaneously re-hypothecates the security to one of its counterparties with whom it has a repurchase agreement, for an identical term. For the three month period ended September 30, 2016, the Company earned approximately $610,000 in income and had a corresponding expense of approximately $108,000, which are included in “Interest income” and “Interest expense”, respectively, on the consolidated statement of income (loss). For the nine month period ended September 30, 2016, the Company earned approximately $1.1 million in income and had a corresponding expense of approximately $234,000, which are included in “Interest income” and “Interest expense”, respectively, on the consolidated statement of income (loss). No such related income or expense was earned or incurred during the three and nine month periods ended September 30, 2015. There were no such assets, or related liabilities, as of September 30, 2016 and December 31, 2015. See Note 5 for a discussion of the co-investments in Excess MSRs with Freedom Mortgage, the services provided by Freedom Mortgage during the period prior to transfer to Freedom Mortgage of the direct servicing obligations for the MSRs and the MSR recapture agreement between Aurora and Freedom Mortgage. See Note 10 for a discussion of the Acknowledgement Agreement among the Company, Freedom Mortgage and Ginnie Mae entered into in connection with the co-investments in Excess MSRs. |
Derivative Instruments |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | Note 8 — Derivative Instruments Interest Rate Swap Agreements, Swaptions, TBAs and Treasury Futures In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements. 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 for GAAP purposes. In order to help mitigate duration risk and basis risk management, the Company utilizes Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date. The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):
The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):
The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives
Offsetting Assets and Liabilities The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, 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 the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of September 30, 2016
As of December 31, 2015
|
Fair Value |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Note 9 – Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:
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 sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at September 30, 2016 and December 31, 2015. Excess MSRs The Company holds a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheets. 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 September 30, 2016 and December 31, 2015. MSRs The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at September 30, 2016 and December 31, 2015. Derivative Instruments The Company enters 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 September 30, 2016 and December 31, 2015. Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. Recurring Fair Value Measurements The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands). Recurring Fair Value Measurements As of September 30, 2016
As of December 31, 2015
The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of September 30, 2016 and December 31, 2015, 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 management. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In connection with the above, the Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of September 30, 2016 and December 31, 2015 and do not take into consideration the effects of subsequent changes in market or other factors. The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Level 3 Fair Value Measurements As of September 30, 2016
As of December 31, 2015
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands except per loan figures): Fair Value Measurements As of September 30, 2016
As of December 31, 2015
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.
|
Commitments and Contingencies |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Commitments and Contingencies [Abstract] | |
Commitments and Contingencies | Note 10 — Commitments and Contingencies The following represents commitments and contingencies of the Company as of September 30, 2016 and December 31, 2015: Management Agreement The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the Management Fee, see Note 7. Legal and Regulatory From time to time the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements, and, therefore, no accrual is required as of September 30, 2016 and December 31, 2015. Commitments to Purchase/Sell RMBS As of September 30, 2016 and December 31, 2015, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date. As of September 30, 2016, the Company was obligated to purchase approximately $5.4 million of Fannie Mae securities and was not obligated to sell any securities and has been classified within "payables for unsettled trades" on the consolidated balance sheet. As of December 31, 2015, the Company was not obligated to buy any securities and was obligated to sell less than $1,000 of Fannie Mae securities. Acknowledgement Agreements In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that have been pooled into securities guaranteed by Ginnie Mae, the Company entered into an acknowledgment agreement with Ginnie Mae and Freedom Mortgage. Under that agreement, if Freedom Mortgage fails to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would be obligated to make that payment even though the payment may relate to loans for which the Company does not own any Excess MSRs. The Company’s failure to make that payment could result in liability to Ginnie Mae for any losses or claims that it suffers as a result. Management has determined, as of September 30, 2016, the risk of material loss to be remote and thus no liability has been accrued. In connection with the MSR Financing Facility entered into by Aurora, QRS III and Western Alliance Bank ("WAB"), those parties also entered into an acknowledgement agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge to WAB by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of WAB in those MSRs. See Note 13—Notes Payable for a description of the MSR Financing Facility. |
Repurchase Agreements |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | Note 11 – Repurchase Agreements The Company had outstanding approximately $466.2 million and $385.6 million of repurchase agreements as of September 30, 2016 and December 31, 2015, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 51 days and 47 days as of September 30, 2016 and December 31, 2015, respectively. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4). The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreement Characteristics As of September 30, 2016
As of December 31, 2015
There were no overnight or demand securities as of September 30, 2016 or December 31, 2015. |
FHLBI Advances |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||
FHLBI Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
FHLBI Advances | Note 12 – FHLBI Advances The Company had no outstanding advances from the FHLBI as of September 30, 2016. The Company had approximately $62.3 million of FHLBI advances, with a weighted average borrowing rate of 0.54%, as of December 31, 2015. The Company’s obligations under those advances had a weighted average remaining maturity of 94 days as of December 31, 2015. As a result of Federal Housing Finance Agency (“FHFA”) rulemaking relating to captive insurance companies and their ability to maintain membership in the Federal Home Loan Bank system, the Company’s captive insurance subsidiary is not able to obtain additional advances from the FHLBI as of the date of these financial statements. The outstanding FHLBI advances had the following remaining maturities and weighted average rates as of December 31, 2015 (dollars in thousands): Federal Home Loan Bank Advance Characteristics As of December 31, 2015
|
Notes Payable |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable | Note 13 – Notes Payable At September 30, 2016 and December 31, 2015 the Company had outstanding borrowings of $21.9 million and $24.3 million, respectively, on a $25 million Term Loan. The $25 million Term Loan was fully drawn as of September 30, 2016. The outstanding borrowings bear interest at a weighted average interest rate of 5.57% per annum and are secured by the pledge of the Company’s existing portfolio of Excess MSRs. The principal payments on the borrowings are due monthly, beginning in September 2015, based on a 10-year amortization schedule with a maturity date in April 2020. Prior to September 2015, only interest was payable monthly. In September 2016, Aurora and QRS III entered into a loan and security agreement (the "MSR Financing Facility") with WAB, pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25 million outstanding at any one time. The facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule). At September 30, 2016, no amounts were outstanding under the MSR Financing Facility. The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Long-Term Borrowings Repayment Characteristics As of September 30, 2016
As of December 31, 2015
|
Receivables and Other Assets |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets | Note 14 – Receivables and Other Assets The assets comprising “Receivables and other assets” as of September 30, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands): Receivables and Other Assets
As a condition to membership in the FHLBI, CHMI Insurance was required to purchase and hold a certain amount of FHLBI stock, which was based, in part, upon the outstanding principal balance of advances from the FHLBI. At September 30, 2016, CHMI Insurance had stock in the FHLBI totaling approximately $3.3 million, which is included in Other Assets on the consolidated balance sheet. FHLBI stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLBI. Accordingly, when evaluating FHLBI stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of September 30, 2016, the Company had not recognized an impairment charge related to its FHLBI stock. |
Income Taxes |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes | Note 15 – Income Taxes The Company has elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code. Effective January 1, 2014, CHMI Solutions has elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a taxable REIT subsidiary (“TRS”) of the Company, and all activities conducted through CHMI Solutions and its wholly owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes. The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):
The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):
The Company’s consolidated balance sheets, at September 30, 2016 and December 31, 2015, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):
CHMI Solutions’ federal and state net operating loss carryforwards at September 30, 2016 and December 31, 2015 were approximately $849,000 and $693,000, respectively. As of September 30, 2016, CHMI Solutions had $849,000 of NOL of which, $154,000 expires in 2034, $539,000 expires in 2035 and $156,000 expires in 2036. As of December 31, 2015, CHMI Solutions had $693,000 of NOL of which, $154,000 expires in 2034 and $539,000 expires in 2035. Management has determined that it is more likely than not that all of CHMI Solutions’ deferred tax assets will be realized in the future. Accordingly, no valuation allowance has been established at September 30, 2016 and December 31, 2015. The deferred tax asset is included in “Receivables and other assets” in the consolidated balance sheets. Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. The Company’s 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities. |
Business Combinations |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Combinations [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Combinations | Note 16 – Business Combinations On May 29, 2015 (the acquisition date), CHMI Solutions acquired 100% of the outstanding voting stock of Aurora. The results of Aurora’s operations have been included in the consolidated financial statements since that date. Aurora is a licensed mortgage origination and servicing company. Aurora is a seller/servicer for Fannie Mae and Freddie Mac. The acquisition-date fair value of the consideration transferred totaled approximately $3.9 million, which consisted of cash. Twenty percent (20%) of the consideration was deposited in an escrow account to provide a source of funds for the seller’s indemnification obligations. Transaction-related costs of approximately $95,400 were expensed as incurred as of September 30, 2015, and are included in “General and administrative expenses” on the consolidated income statement. In the Aurora acquisition agreement, the parties agreed to fix the valuation of the MSR portfolio, as a percentage of par, based on third party appraisals obtained at the end of January 2015. The agreement also provided that the UPB of the portfolio would be fixed 90 days after the agreement was signed. Due to the increase in interest rates between January and the closing date at the end of May 2015, the value of the MSR portfolio increased. In addition, the UPB of the portfolio declined between the end of April and the closing date in May. Valuation adjustments for intangible assets and loan loss reserves also contributed to bargain purchase in the amount of approximately $734,000 as of September 30, 2015 and has been classified within "Realized gain (loss) on acquried assets, net" on the consolidated statements of income (loss). The following represents the pro forma consolidated income statement as if Aurora had been included in the consolidated results of the Company for the three and nine month periods ended September 30, 2015 and for the three and nine month periods ending September 30, 2016. The unaudited pro forma information is intended for informational purposes only and is not necessarily indicative of the Company’s future operating results or operating results that would have occurred had the Aurora acquisition been completed at the beginning of 2015. No assumptions have been applied to the pro forma results of operations regarding possible revenue enhancements, expense efficiencies or asset dispositions (dollars in thousands): Pro Forma Consolidated Income Statement
These amounts have been calculated after applying the Company’s accounting policies and adjusting the results of Aurora primarily to reflect the exclusion of the bargain purchase and transaction costs together with the consequential tax effects. |
Subsequent Events |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 17 – Subsequent Events On October 3, 2016, Aurora borrowed approximately $14.1 million under the MSR Financing Facility (see Note 13). Proceeds were used to pay fees incurred in connection with the MSR Financing facility and the remainder to invest in RMBS pending deployment into additional purchases of MSRs. |
Basis of Presentation and Significant Accounting Policies (Policies) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting | Basis of Accounting The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Emerging Growth Company Status | Emerging Growth Company Status On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated 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 Excess MSRs and MSRs (collectively, “Servicing Related Assets”), RMBS, 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 interim 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 the Company’s estimates and differences may be material. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Risks and Uncertainties | Risks and Uncertainties In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing. The Company also is subject to significant tax risks. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS | Investments in RMBS Classification – The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of 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. 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’s 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 in Note 9. Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS sold in the year ended December 31, 2015, were settled prior to year-end. Approximately $5.4 million in Agency RMBS purchased, but not yet settled, was payable at September 30, 2016. 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 on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately $1.5 million in interest income was receivable at September 30, 2016 and December 31, 2015, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. Impairment – The Company 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 the credit component, and (ii) the amount relating to all other factors, or the 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. There were approximately $173,000 of OTTI during the three and nine month periods ended September 30, 2016 and has been classified within "Realized gain (loss) on RMBS, net" on the consolidated statements of income (loss). The Company did not record any OTTI charges during the year ended December 31, 2015. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Excess MSRs | Investments in Excess MSRs Classification – The Company has elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company 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 uses internally developed models that are primarily based on observable market-based inputs but which 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 each pool of Excess MSRs is accreted into interest income on an effective yield or “interest” method, based upon the pool’s expected excess mortgage servicing amount over the expected life of the underlying mortgages. A change to expected cash flows results in a cumulative retrospective adjustment, which is recorded in the period in which the change occurs. Under the retrospective method, the interest income recognized for a reporting period is 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 MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the Excess MSRs and, therefore, may differ from their effective yields. Approximately $1.9 million and $2.2 million in Excess MSR cashflow was receivable at September 30, 2016 and December 31, 2015, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in MSRs | Investments in MSRs Classification – The Company has elected the fair value option to record its investments in 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 MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. The Company’s MSRs represent the right to service mortgage loans. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. MSRs are reported at fair value on the consolidated balance sheets. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing costs are reported on the consolidated statements of income. In determining the valuation of MSRs, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs (see Note 9). Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Approximately $891,000 in reimbursable servicing advances was receivable at September 30, 2016, and has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 14. Servicing fee income received and servicing costs incurred are reported on the consolidated statements of comprehensive income. The change in fair value from period to period is recorded on the income statement as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging Activities | Derivatives and Hedging Activities Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used to manage duration risk and basis risk. 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. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise. Derivative financial instruments could expose the Company to counterparty risk if the Company’s counterparties become unable to satisfy their respective obligations under the terms of these instruments. The Company reduces, but does not eliminate, its exposure to counterparty risk by limiting its counterparties to major financial institutions. In addition, the potential risk of loss with any one counterparty is monitored by the Company. Finally, the Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, the Company’s exposure to counterparty risk. Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheets 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 a contract 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. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company 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. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s derivatives (approximately $7.6 million and $4.6 million at September 30, 2016 and December 31, 2015, respectively), borrowings under its repurchase agreements (approximately $7.3 million and $4.2 million at September 30, 2016 and December 31, 2015, respectively) as well as cash held that relates to outstanding borrowings on a $25 million term loan secured by a pledge of the Company’s existing portfolio of Excess MSRs (“Term Loan”) (approximately $1.1 million at both September 30, 2016 and December 31, 2015). For further information on the restricted cash as it relates to the Term Loan, see Note 13. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Due to Affiliates | Due to Affiliates “Due to affiliates” on the balance sheets represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the Code commencing with its short taxable 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 REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income. The Company accounts for income taxes in accordance with ASC 740, Income Taxes. 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 assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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):
The gain and loss on RMBS presented above represent the amounts reclassified from other comprehensive income (loss) in earnings. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements and Interest Expense | Repurchase Agreements and Interest Expense The Company finances its investments in RMBS with short-term borrowings under uncommitted 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. 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. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank of Indianapolis Advances | Federal Home Loan Bank of Indianapolis Advances Advances from the Federal Home Loan Bank of Indianapolis (“FHLBI”) were secured by the pledge of Agency RMBS, had varying amortization structures and maturities and bore interest at rates set by FHLBI based on market conditions and a number of criteria, including the size of the transaction and the FHLBI’s cost of funds. Advances were treated as collateralized financing transactions and were carried at their contractual amounts. Interest was recorded at the contractual amount on an accrual basis. See Note 12 for information regarding the regulatory change eliminating our ability to obtain further advances from FHLBI. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends Payable | Dividends Payable Because the Company is organized and operated so as to qualify 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 date the dividend is declared by the Company, which causes an offsetting reduction in retained earnings. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive Income | Comprehensive Income Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Combinations | Business Combinations Business combinations are accounted for under the acquisition method of accounting in accordance with ASC 805, Business Combinations. Under the acquisition method the acquiring entity in a business combination recognizes 100 percent of the acquired assets and assumed liabilities, regardless of the percentage owned, at their estimated fair values as of the date of acquisition. Any excess of the purchase price over the fair value of net assets and other identifiable intangible assets acquired is recorded as goodwill. To the extent the fair value of net assets acquired, including other identifiable assets, exceeds the purchase price, a bargain purchase gain is recognized. Assets acquired and liabilities assumed from contingencies must also be recognized at fair value, if the fair value can be determined during the measurement period. Results of operations of an acquired business are included in the consolidated statement of income (loss) from the date of acquisition. Acquisition-related costs, including conversion and restructuring charges, are expensed as incurred. We applied this guidance to the Aurora acquisition. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Recent Accounting Pronouncements | Recent Accounting Pronouncements Business Combinations – In September 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-16, Simplifying the Accounting for Measurement-Period Adjustments, which amends ASC 805, Business Combinations. ASU 2015-16 requires that an acquirer recognize adjustments to previously identified provisional amounts in the reporting period in which the adjustment amounts are determined. ASU 2015-16 requires an entity to present separately on the face of the income statement or disclose in the notes the portion of the amount recorded in current-period earnings by line item that would have been recorded in previous reporting periods if the adjustment to the provisional amounts had been recognized as of the acquisition date. For public business entities, ASU 2015-16 is effective for fiscal years beginning after December 15, 2015, including interim periods within those fiscal years. Adoption of ASU 2015-16 did not have a material impact on the consolidated statement of income (loss) 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, 2017. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU 2014-09. Management is currently evaluating the impact ASU 2014-09 may have on its consolidated financial statements. 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. Adoption of ASU 2014-11 did not have a material impact on the consolidated balance sheet, statement of income (loss), 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. Adoption of ASU 2014-12 did not have a material impact on the consolidated balance sheet, statement of income (loss), 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. Management does not expect the adoption of ASU 2014-15 to have an impact on its consolidated financial statements. |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in Presentation | Changes in Presentation Certain prior period amounts have been reclassified to conform to current period presentation. |
Basis of Presentation and Significant Accounting Policies (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant 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):
|
Segment Reporting (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Financial Data on CHMI's Segments with Reconciliation | Summary financial data on the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):
|
Investments in RMBS (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in RMBS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of RMBS Investments | The Company did not record any OTTI charges during the year ended December 31, 2015. (dollars in thousands): Summary of RMBS Assets As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of RMBS Investments by Maturity | Summary of RMBS Assets by Maturity As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of RMBS Securities in an Unrealized Loss Position | RMBS Unrealized Loss Positions As of September 30, 2016
As of December 31, 2015
|
Investments in Servicing Related Assets (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Servicing Related Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Servicing Related Assets | The following is a summary of the Company’s Servicing Related Assets (dollars in thousands): Servicing Related Assets Summary As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Geographic Concentration of Servicing Related Assets | The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets: Geographic Concentration of Servicing Related Assets As of September 30, 2016
As of December 31, 2015
|
Equity and Earnings per Share (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity and Earnings per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Information about Company's 2013 Plan | The following tables present certain information about the Company’s 2013 Plan as of the dates indicated: Equity Incentive Plan Information As of September 30, 2016
As of December 31, 2015
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Information Regarding the LTIP-OP Units | The table below sets forth certain information regarding the LTIP-OP Units that have been granted by the board of directors (dollars in thousands, except per share data): LTIP-OP Unit Grant Information
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Basic Earnings per Share of Common Stock | The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data): Earnings per Share Information
|
Transactions with Affiliates and Affiliated Entities (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Affiliates and Affiliated Entities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Management Fee to Affiliate | “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands): Management Fee to Affiliate
|
Derivative Instruments (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Outstanding Notional Amounts of Derivative Instruments | The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Information about Company's Interest Rate Swap Agreements | The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Realized Gain (Loss) Related to Derivatives | The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands): Realized Gains (Losses) on Derivatives
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands): Offsetting Assets and Liabilities As of September 30, 2016
As of December 31, 2015
|
Fair Value (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Company's Assets and Liabilities Measured at Fair Value on Recurring Basis | The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands). Recurring Fair Value Measurements As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis | The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands): Level 3 Fair Value Measurements As of September 30, 2016
As of December 31, 2015
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Significant Unobservable Inputs Used in Fair Value Measurement | The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands except per loan figures): Fair Value Measurements As of September 30, 2016
As of December 31, 2015
|
Repurchase Agreements (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements Remaining Maturities and Weighted Average Rates | The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands): Repurchase Agreement Characteristics As of September 30, 2016
As of December 31, 2015
|
FHLBI Advances (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||
FHLBI Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
FHLBI Advances Remaining Maturities and Weighted Average Rates | The outstanding FHLBI advances had the following remaining maturities and weighted average rates as of December 31, 2015 (dollars in thousands): Federal Home Loan Bank Advance Characteristics As of December 31, 2015
|
Notes Payable (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notes Payable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Long-Term Borrowings Remaining Maturities | The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands): Long-Term Borrowings Repayment Characteristics As of September 30, 2016
As of December 31, 2015
|
Receivables and Other Assets (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables and Other Assets | The assets comprising “Receivables and other assets” as of September 30, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands): Receivables and Other Assets
|
Income Taxes (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Taxes [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Income Tax Expense (Benefit) | The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Statutory Federal Rate to Effective Rate | The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Current and Deferred Tax Liabilities and Assets | The Company’s consolidated balance sheets, at September 30, 2016 and December 31, 2015, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):
|
Business Combinations (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aurora Financial Group, Inc [Member] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Acquisition [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Proforma Consolidated Income Statement | No assumptions have been applied to the pro forma results of operations regarding possible revenue enhancements, expense efficiencies or asset dispositions (dollars in thousands): Pro Forma Consolidated Income Statement
|
Organization and Operations (Details) |
9 Months Ended |
---|---|
Sep. 30, 2016 | |
Organization and Operations [Abstract] | |
Date of conducting IPO and concurrent private placement of common stock | Oct. 09, 2013 |
Segment Reporting (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|||||
Segment Reporting Information [Line Items] | |||||||||
Interest income | $ 7,157 | $ 5,813 | $ 19,480 | $ 19,728 | |||||
Interest expense | 1,877 | 1,643 | 5,419 | 4,224 | |||||
Net interest income | 5,280 | 4,170 | 14,061 | 15,504 | |||||
Servicing fee income | 2,365 | 463 | 5,434 | 619 | |||||
Servicing costs | 641 | 366 | 1,544 | 460 | |||||
Net servicing income | 1,724 | 97 | 3,890 | 159 | |||||
Other income | 92 | (8,264) | (15,303) | (8,100) | |||||
Other operating expenses | 1,666 | 1,312 | 4,676 | 4,068 | |||||
(Benefit from) provision for corporate business taxes | (89) | (139) | (669) | [1] | (209) | [1] | |||
Net Income (Loss) | 5,519 | (5,170) | (1,359) | 3,704 | |||||
Investments | 625,998 | 625,998 | $ 606,045 | ||||||
Other assets | 38,808 | 38,808 | 30,295 | ||||||
Total Assets | 664,806 | 664,806 | 636,340 | ||||||
Debt | 488,065 | 488,065 | 472,123 | ||||||
Other liabilities | 24,248 | 24,248 | 11,880 | ||||||
Total Liabilities | 512,313 | 512,313 | 484,003 | ||||||
GAAP book value | 152,493 | 152,493 | 152,337 | ||||||
Servicing Related Assets [Member] | Operating Segments [Member] | |||||||||
Segment Reporting Information [Line Items] | |||||||||
Interest income | 3,200 | 2,411 | 7,729 | 9,921 | |||||
Interest expense | 320 | 177 | 993 | 196 | |||||
Net interest income | 2,880 | 2,234 | 6,736 | 9,725 | |||||
Servicing fee income | 2,365 | 463 | 5,434 | 619 | |||||
Servicing costs | 641 | 366 | 1,544 | 460 | |||||
Net servicing income | 1,724 | 97 | 3,890 | 159 | |||||
Other income | (1,730) | (2,600) | (9,494) | (1,627) | |||||
Other operating expenses | 0 | 0 | 0 | 0 | |||||
(Benefit from) provision for corporate business taxes | (89) | (139) | (669) | (209) | |||||
Net Income (Loss) | 2,963 | (130) | 1,801 | 8,466 | |||||
Investments | 92,932 | 92,932 | 97,803 | ||||||
Other assets | 4,567 | 4,567 | 3,562 | ||||||
Total Assets | 97,499 | 97,499 | 101,365 | ||||||
Debt | 21,856 | 21,856 | 24,313 | ||||||
Other liabilities | 5,325 | 5,325 | 1,883 | ||||||
Total Liabilities | 27,181 | 27,181 | 26,196 | ||||||
GAAP book value | 70,318 | 70,318 | 75,169 | ||||||
RMBS [Member] | Operating Segments [Member] | |||||||||
Segment Reporting Information [Line Items] | |||||||||
Interest income | 3,957 | 3,402 | 11,751 | 9,807 | |||||
Interest expense | 1,557 | 1,466 | 4,426 | 4,028 | |||||
Net interest income | 2,400 | 1,936 | 7,325 | 5,779 | |||||
Servicing fee income | 0 | 0 | 0 | 0 | |||||
Servicing costs | 0 | 0 | 0 | 0 | |||||
Net servicing income | 0 | 0 | 0 | 0 | |||||
Other income | 1,822 | (5,664) | (5,809) | (6,473) | |||||
Other operating expenses | 0 | 0 | 0 | 0 | |||||
(Benefit from) provision for corporate business taxes | 0 | 0 | 0 | 0 | |||||
Net Income (Loss) | 4,222 | (3,728) | 1,516 | (694) | |||||
Investments | 533,066 | 533,066 | 508,242 | ||||||
Other assets | 19,818 | 19,818 | 13,984 | ||||||
Total Assets | 552,884 | 552,884 | 522,226 | ||||||
Debt | 466,209 | 466,209 | 447,810 | ||||||
Other liabilities | 13,382 | 13,382 | 4,903 | ||||||
Total Liabilities | 479,591 | 479,591 | 452,713 | ||||||
GAAP book value | 73,293 | 73,293 | 69,513 | ||||||
All Other [Member] | |||||||||
Segment Reporting Information [Line Items] | |||||||||
Interest income | 0 | 0 | 0 | 0 | |||||
Interest expense | 0 | 0 | 0 | 0 | |||||
Net interest income | 0 | 0 | 0 | 0 | |||||
Servicing fee income | 0 | 0 | 0 | 0 | |||||
Servicing costs | 0 | 0 | 0 | 0 | |||||
Net servicing income | 0 | 0 | 0 | 0 | |||||
Other income | 0 | 0 | 0 | 0 | |||||
Other operating expenses | 1,666 | 1,312 | 4,676 | 4,068 | |||||
(Benefit from) provision for corporate business taxes | 0 | 0 | 0 | 0 | |||||
Net Income (Loss) | (1,666) | $ (1,312) | (4,676) | $ (4,068) | |||||
Investments | 0 | 0 | 0 | ||||||
Other assets | 14,423 | 14,423 | 12,749 | ||||||
Total Assets | 14,423 | 14,423 | 12,749 | ||||||
Debt | 0 | 0 | 0 | ||||||
Other liabilities | 5,541 | 5,541 | 5,094 | ||||||
Total Liabilities | 5,541 | 5,541 | 5,094 | ||||||
GAAP book value | $ 8,882 | $ 8,882 | $ 7,655 | ||||||
|
Investments in RMBS (Details) |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016
USD ($)
|
Sep. 30, 2016
USD ($)
Security
|
Sep. 30, 2015
USD ($)
|
Dec. 31, 2015
USD ($)
Security
|
||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
OTTI securities | $ (173,000) | $ 0 | |||||||||||
Carrying value | $ 533,066,000 | 533,066,000 | $ 508,242,000 | ||||||||||
OTTI charges recognized in earnings | 173,000 | 173,000 | 0 | ||||||||||
RMBS [Member] | |||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
OTTI securities | 173,000 | 173,000 | 0 | ||||||||||
Original face value | 587,014,000 | 587,014,000 | 554,567,000 | ||||||||||
Book value | 521,120,000 | 521,120,000 | 508,427,000 | ||||||||||
Gross unrealized gains | 11,984,000 | 11,984,000 | 2,782,000 | ||||||||||
Gross unrealized losses | (38,000) | (38,000) | (2,967,000) | ||||||||||
Carrying value | [1] | $ 533,066,000 | $ 533,066,000 | $ 508,242,000 | |||||||||
Number of securities | Security | 82 | 72 | |||||||||||
Weighted average coupon | 3.65% | 3.72% | |||||||||||
Weighted average yield | [2] | 3.46% | 3.46% | 3.60% | |||||||||
Weighted average maturity | [3] | 24 years | 23 years | ||||||||||
Carrying value of collateral for repurchase agreements | $ 484,300,000 | $ 484,300,000 | $ 399,800,000 | ||||||||||
Carrying value of collateral for FHLB | 0 | 0 | 83,200,000 | ||||||||||
RMBS [Member] | Fannie Mae [Member] | |||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
Original face value | 357,551,000 | 357,551,000 | 329,767,000 | ||||||||||
Book value | 320,539,000 | 320,539,000 | 308,367,000 | ||||||||||
Gross unrealized gains | 6,975,000 | 6,975,000 | 1,961,000 | ||||||||||
Gross unrealized losses | (29,000) | (29,000) | (1,556,000) | ||||||||||
Carrying value | [1] | $ 327,485,000 | $ 327,485,000 | $ 308,772,000 | |||||||||
Number of securities | Security | 51 | 44 | |||||||||||
Weighted average rating | [4] | ||||||||||||
Weighted average coupon | 3.69% | 3.77% | |||||||||||
Weighted average yield | [2] | 3.36% | 3.36% | 3.59% | |||||||||
Weighted average maturity | [3] | 23 years | 24 years | ||||||||||
RMBS [Member] | Freddie Mac [Member] | |||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
Original face value | $ 204,067,000 | $ 204,067,000 | $ 208,154,000 | ||||||||||
Book value | 185,673,000 | 185,673,000 | 193,567,000 | ||||||||||
Gross unrealized gains | 4,471,000 | 4,471,000 | 821,000 | ||||||||||
Gross unrealized losses | (9,000) | (9,000) | (977,000) | ||||||||||
Carrying value | [1] | $ 190,135,000 | $ 190,135,000 | $ 193,411,000 | |||||||||
Number of securities | Security | 24 | 24 | |||||||||||
Weighted average rating | [4] | ||||||||||||
Weighted average coupon | 3.59% | 3.61% | |||||||||||
Weighted average yield | [2] | 3.47% | 3.47% | 3.48% | |||||||||
Weighted average maturity | [3] | 25 years | 24 years | ||||||||||
RMBS [Member] | CMOs [Member] | |||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
Original face value | $ 25,396,000 | $ 25,396,000 | $ 16,646,000 | ||||||||||
Book value | 14,908,000 | 14,908,000 | 6,493,000 | ||||||||||
Gross unrealized gains | 538,000 | 538,000 | 0 | ||||||||||
Gross unrealized losses | 0 | 0 | (434,000) | ||||||||||
Carrying value | [1] | $ 15,446,000 | $ 15,446,000 | $ 6,059,000 | |||||||||
Number of securities | Security | 7 | 4 | |||||||||||
Weighted average rating | Unrated | Unrated | |||||||||||
Weighted average coupon | 3.77% | 4.55% | |||||||||||
Weighted average yield | [2] | 5.19% | 5.19% | 7.39% | |||||||||
Weighted average maturity | [3] | 11 years | 10 years | ||||||||||
|
Investments in RMBS, Unrealized Loss Positions (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016
USD ($)
Security
|
Dec. 31, 2015
USD ($)
Security
|
||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||
Carrying value | $ 533,066 | $ 508,242 | |||||||||||||
RMBS [Member] | |||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||
Original face value | 587,014 | 554,567 | |||||||||||||
Book value | 521,120 | 508,427 | |||||||||||||
Gross unrealized losses | (38) | (2,967) | |||||||||||||
Carrying value | [1] | $ 533,066 | $ 508,242 | ||||||||||||
Number of securities | Security | 82 | 72 | |||||||||||||
Weighted average coupon | 3.65% | 3.72% | |||||||||||||
Weighted average yield | [2] | 3.46% | 3.60% | ||||||||||||
Weighted average maturity | [3] | 24 years | 23 years | ||||||||||||
RMBS [Member] | Unrealized Loss Positions [Member] | |||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||
Original face value | $ 29,111 | $ 282,731 | |||||||||||||
Book value | 31,136 | 275,936 | |||||||||||||
Gross unrealized losses | (38) | (2,967) | |||||||||||||
Carrying value | [4] | $ 31,098 | $ 272,969 | ||||||||||||
Number of securities | Security | 4 | 40 | |||||||||||||
Weighted average coupon | 3.59% | 3.65% | |||||||||||||
Weighted average yield | [2] | 1.68% | 3.55% | ||||||||||||
Weighted average maturity | [5] | 30 years | 24 years | ||||||||||||
RMBS [Member] | Unrealized Loss Positions [Member] | Less than Twelve Months [Member] | |||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||
Original face value | $ 29,111 | $ 271,585 | |||||||||||||
Book value | 31,136 | 274,996 | |||||||||||||
Gross unrealized losses | (38) | (2,749) | |||||||||||||
Carrying value | [4] | $ 31,098 | $ 272,247 | ||||||||||||
Number of securities | Security | 4 | 39 | |||||||||||||
Weighted average rating | [6] | ||||||||||||||
Weighted average coupon | 3.59% | 3.65% | |||||||||||||
Weighted average yield | [2] | 1.68% | 3.48% | ||||||||||||
Weighted average maturity | [5] | 30 years | 24 years | ||||||||||||
RMBS [Member] | Unrealized Loss Positions [Member] | Twelve or More Months [Member] | |||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||
Original face value | $ 0 | $ 11,146 | |||||||||||||
Book value | 0 | 940 | |||||||||||||
Gross unrealized losses | 0 | (218) | |||||||||||||
Carrying value | [4] | $ 0 | $ 722 | ||||||||||||
Number of securities | Security | 0 | 1 | |||||||||||||
Weighted average rating | [6] | ||||||||||||||
Weighted average coupon | 0.00% | 3.00% | |||||||||||||
Weighted average yield | [2] | 0.00% | 25.37% | ||||||||||||
Weighted average maturity | [5] | 0 years | 17 years | ||||||||||||
|
Investments in Servicing Related Assets (Details) |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jun. 30, 2014
USD ($)
|
Mar. 31, 2014
USD ($)
|
Feb. 28, 2014
USD ($)
|
Sep. 30, 2016
USD ($)
|
Sep. 30, 2016
USD ($)
Portfolio
|
May 29, 2015
USD ($)
|
Oct. 31, 2013
USD ($)
|
|
Aurora Financial Group, Inc [Member] | |||||||
Investment [Line Items] | |||||||
Aggregate unpaid principal balance | $ 718,400,000 | ||||||
Excess MSR Pool 1 [Member] | |||||||
Investment [Line Items] | |||||||
Mortgage loans with an outstanding principal balance | $ 10,000,000,000 | ||||||
Weighted average mortgage servicing amount on unpaid balance | 0.28% | ||||||
Amount representing reasonable compensation for performing the servicing duties | 0.08% | ||||||
Excess mortgage servicing amount | 0.20% | ||||||
Excess MSR Pool 1 [Member] | Aurora Financial Group, Inc [Member] | |||||||
Investment [Line Items] | |||||||
Acquired servicing rights, excess mortgage servicing amount | 85.00% | ||||||
Refinancing of loans | $ 60,600,000 | ||||||
Percentage of co-investment in excess MSRs, pari passu | 15.00% | ||||||
Percentage of pro rata share of termination payment | 85.00% | 85.00% | |||||
Excess MSR Pool 2 [Member] | |||||||
Investment [Line Items] | |||||||
Mortgage loans with an outstanding principal balance | $ 10,700,000,000 | ||||||
Weighted average mortgage servicing amount on unpaid balance | 0.44% | ||||||
Amount representing reasonable compensation for performing the servicing duties | 0.10% | ||||||
Excess mortgage servicing amount | 0.34% | ||||||
Excess MSR Pool 2 [Member] | Aurora Financial Group, Inc [Member] | |||||||
Investment [Line Items] | |||||||
Acquired servicing rights, excess mortgage servicing amount | 50.00% | ||||||
Refinancing of loans | $ 38,400,000 | ||||||
Percentage of co-investment in excess MSRs, pari passu | 50.00% | ||||||
Percentage of pro rata share of termination payment | 50.00% | 50.00% | |||||
Freedom Mortgage Excess Service Right [Member] | |||||||
Investment [Line Items] | |||||||
Aggregate unpaid principal balance | $ 98,100,000 | $ 159,800,000 | $ 76,800,000 | ||||
Excess mortgage servicing acquired | 85.00% | 71.00% | 85.00% | ||||
Excess mortgage servicing acquired, amount | $ 661,000 | $ 946,000 | $ 567,000 | ||||
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc [Member] | |||||||
Investment [Line Items] | |||||||
Mortgage loans with an outstanding principal balance | $ 3,100,000,000 | $ 3,100,000,000 | |||||
Number of portfolios | Portfolio | 3 | ||||||
Agreement initial term | 1 year | ||||||
Renewal period of agreement | 1 year | ||||||
Notice period required for termination of agreement | 60 days | ||||||
Fees | $ 0 | $ 0 |
Investments in Servicing Related Assets, Summary (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | $ 16,495,958 | $ 16,978,412 | |||||||||||
Amortized cost basis | [1] | 92,657 | 89,157 | ||||||||||
Carrying value | [2] | $ 92,932 | $ 97,803 | ||||||||||
Weighted average coupon | 3.33% | 3.23% | |||||||||||
Weighted average maturity | [3] | 25 years 6 months | 26 years 1 month 6 days | ||||||||||
Changes in fair value recorded in other income (loss) | [4] | $ (9,494) | $ (1,142) | ||||||||||
Excess MSR Pool 1 [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 6,514,661 | 7,416,465 | |||||||||||
Amortized cost basis | [1] | 33,089 | 39,483 | ||||||||||
Carrying value | [2] | $ 33,294 | $ 42,837 | ||||||||||
Weighted average coupon | 3.49% | 3.51% | |||||||||||
Weighted average maturity | [3] | 25 years 4 months 24 days | 26 years | ||||||||||
Changes in fair value recorded in other income (loss) | [4] | $ (3,149) | $ (2,822) | ||||||||||
Excess MSR Pool 1 - Recapture Agreement [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 0 | 0 | |||||||||||
Amortized cost basis | [1] | 1,657 | 2,209 | ||||||||||
Carrying value | [2] | 1,676 | $ 645 | ||||||||||
Weighted average coupon | 0.00% | ||||||||||||
Weighted average maturity | [3] | 0 years | |||||||||||
Changes in fair value recorded in other income (loss) | [4] | 1,583 | $ 331 | ||||||||||
Excess MSR Pool 2 [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 6,330,278 | 7,279,706 | |||||||||||
Amortized cost basis | [1] | 20,100 | 23,116 | ||||||||||
Carrying value | [2] | $ 27,881 | $ 32,338 | ||||||||||
Weighted average coupon | 2.90% | 2.78% | |||||||||||
Weighted average maturity | [3] | 26 years 4 months 24 days | 27 years 1 month 6 days | ||||||||||
Changes in fair value recorded in other income (loss) | [4] | $ (1,441) | $ 2,626 | ||||||||||
Excess MSR Pool 2 - Recapture Agreement | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 0 | 0 | |||||||||||
Amortized cost basis | [1] | 1,336 | 1,780 | ||||||||||
Carrying value | [2] | 971 | $ 716 | ||||||||||
Weighted average coupon | 0.00% | ||||||||||||
Weighted average maturity | [3] | 0 years | |||||||||||
Changes in fair value recorded in other income (loss) | [4] | 699 | $ (324) | ||||||||||
Excess MSR Pool 2014 [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 225,390 | 265,890 | |||||||||||
Amortized cost basis | [1] | 1,360 | 1,685 | ||||||||||
Carrying value | [2] | $ 1,150 | $ 1,506 | ||||||||||
Weighted average coupon | 3.60% | 3.65% | |||||||||||
Weighted average maturity | [3] | 26 years 8 months 12 days | 27 years 4 months 24 days | ||||||||||
Changes in fair value recorded in other income (loss) | [4] | $ (31) | $ 170 | ||||||||||
Excess MSR Pool 2014 - Recapture Agreement [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | 0 | 0 | |||||||||||
Amortized cost basis | [1] | 0 | 0 | ||||||||||
Carrying value | [2] | 0 | $ 0 | ||||||||||
Weighted average coupon | 0.00% | ||||||||||||
Weighted average maturity | [3] | 0 years | |||||||||||
Changes in fair value recorded in other income (loss) | [4] | 0 | $ 0 | ||||||||||
Mortgage Servicing Rights (MSRs) [Member] | |||||||||||||
Investment [Line Items] | |||||||||||||
Unpaid principal balance | [5] | 3,425,629 | 2,016,351 | ||||||||||
Amortized cost basis | [1],[5] | 35,115 | 20,884 | ||||||||||
Carrying value | [2],[5] | $ 27,960 | $ 19,761 | ||||||||||
Weighted average coupon | [5] | 3.82% | 3.76% | ||||||||||
Weighted average maturity | [3],[5] | 23 years 10 months 24 days | 22 years 8 months 12 days | ||||||||||
Changes in fair value recorded in other income (loss) | [4],[5] | $ (7,155) | $ (1,123) | ||||||||||
|
Investments in Servicing Related Assets, Geographic Concentration (Details) |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Investment [Line Items] | ||
Outstanding unpaid principal balance | 100.00% | 100.00% |
California [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 11.30% | 12.30% |
Texas [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 8.90% | 9.40% |
Florida [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 6.40% | 6.50% |
Virginia [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.40% | 6.00% |
North Carolina [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.20% | |
Washington [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.10% | |
Georgia [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 5.00% | |
All Other [Member] | ||
Investment [Line Items] | ||
Outstanding unpaid principal balance | 68.00% | 50.50% |
Equity and Earnings per Share, Equity (Details) |
3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 15, 2016
USD ($)
Individual
$ / shares
shares
|
Sep. 09, 2015
USD ($)
Individual
$ / shares
shares
|
Jun. 10, 2014
USD ($)
Individual
$ / shares
shares
|
Jan. 27, 2014
shares
|
Oct. 09, 2013
USD ($)
Individual
$ / shares
shares
|
Sep. 30, 2016
USD ($)
shares
|
Sep. 30, 2015
USD ($)
|
Sep. 30, 2016
USD ($)
shares
|
Sep. 30, 2015
USD ($)
|
Dec. 31, 2015
shares
|
|
Long Term Incentive Plan Units [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of individuals granted units under the plan | Individual | 14 | 12 | 10 | 11 | ||||||
Price of the Company's common stock on the grant date (in dollars per share) | $ / shares | $ 15.85 | $ 15.80 | $ 19.33 | $ 20.00 | ||||||
Aggregate grant date fair value (in shares) | 36,500 | 35,000 | 31,350 | 37,500 | ||||||
Aggregate grant date fair value LTIP-OP units | $ | $ 579 | $ 553 | $ 606 | $ 750 | ||||||
LTIP-OP unit vesting period | 3 years | |||||||||
LTIP-OP unit vested (in shares) | 59,789 | |||||||||
Share-based compensation expense recognized | $ | $ 193,000 | $ 100,500 | $ 475,000 | $ 300,800 | ||||||
Share-based compensation expense related to non-vested (in shares) | 79,645 | 79,645 | ||||||||
Unrecognized share-based compensation expense | $ | $ 1,000,000 | $ 1,000,000 | ||||||||
Long Term Incentive Plan Units [Member] | Maximum [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Period of recognition of unrecognized share-based compensation expense | 3 years | |||||||||
Long Term Incentive Plan Units [Member] | Directors [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Aggregate grant date fair value (in shares) | 7,500 | |||||||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of securities remaining available for future issuance under equity compensation plans (in shares) | 1,335,218 | 1,335,218 | 1,377,112 | |||||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | 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 (in shares) | 140,350 | 140,350 | 103,850 | |||||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | Forfeited LTIP-OP Units [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Forfeited LTIP-OP Units (in shares) | (916) | |||||||||
2013 Equity Compensation Plans Approved By Security Shareholders [Member] | Common Stock [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of securities issued or to be issued upon exercise (in shares) | 28,503 | 28,503 | 19,038 | |||||||
Forfeited shares (in shares) | (3,155) | |||||||||
2013 Equity Compensation Plans Not Approved By Security Shareholders [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of securities issued or to be issued upon exercise (in shares) | 0 | 0 | 0 | |||||||
Number of securities remaining available for future issuance under equity compensation plans (in shares) | 0 | 0 | 0 | |||||||
2013 Plan [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Number of share equivalent to unit awarded (in shares) | 1 | |||||||||
2013 Plan [Member] | Common Stock [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Aggregate grant date fair value (in shares) | 1,590 | |||||||||
2013 Plan [Member] | Common Stock [Member] | Directors [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Aggregate grant date fair value (in shares) | 530 | |||||||||
2013 Plan [Member] | Restricted Common Stock [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Aggregate grant date fair value (in shares) | 9,465 | 9,495 | 7,953 | |||||||
Forfeiture period of restricted shares | 1 year | 1 year | 1 year | |||||||
2013 Plan [Member] | Restricted Common Stock [Member] | Directors [Member] | ||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||||
Aggregate grant date fair value (in shares) | 3,155 | 3,165 | 2,651 |
Equity and Earnings per Share, Non-Controlling Interests (Details) - Long Term Incentive Plan Units [Member] |
Sep. 30, 2016
shares
|
---|---|
Noncontrolling Interest [Line Items] | |
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) | 139,434 |
Percentage of operating partnership | 1.90% |
Equity and Earnings per Share, Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Numerator [Abstract] | ||||
Net income attributable to common stockholders and participating securities | $ 5,519 | $ (5,170) | $ (1,359) | $ 3,704 |
Net income allocable to common stockholders | $ 5,443 | $ (5,124) | $ (1,338) | $ 3,669 |
Denominator [Abstract] | ||||
Weighted average common shares outstanding (in shares) | 7,511,653 | 7,509,543 | 7,510,246 | 7,509,543 |
Weighted average diluted shares outstanding (in shares) | 7,528,188 | 7,511,653 | 7,522,614 | 7,510,246 |
Basic and Dilutive [Abstract] | ||||
Basic earnings per share (in dollars per share) | $ 0.72 | $ (0.68) | $ (0.18) | $ 0.49 |
Diluted earnings per share (in dollars per share) | $ 0.72 | $ (0.68) | $ (0.18) | $ 0.49 |
Anti-dilutive securities (in shares) | 0 | 0 | 0 | 0 |
Transactions with Affiliates and Affiliated Entities (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|
Related Party Transaction [Line Items] | |||||
Renew of management agreement subject to termination | 1 year | ||||
Percentage of annual management fee paid equal to gross equity | 1.50% | ||||
Subservicing agreement initial term | 3 years | ||||
Subservicing agreement additional term | 3 years | ||||
Other affiliated entities, income | $ 610,000 | $ 0 | $ 1,100,000 | $ 0 | |
Other affiliated entities, expense | 108,000 | 0 | 234,000 | 0 | |
Other affiliated entities, assets (liabilities) | 0 | 0 | $ 0 | ||
Management fees | 611,000 | 560,000 | 1,731,000 | 1,680,000 | |
Compensation reimbursement | 191,000 | 130,000 | 451,000 | 390,000 | |
Total | $ 802,000 | $ 690,000 | $ 2,182,000 | $ 2,070,000 | |
Maximum [Member] | |||||
Related Party Transaction [Line Items] | |||||
Number of days to repurchase security | 90 days |
Derivative Instruments - Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
|
Notional Amount of Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 335,750 | $ 300,300 |
Weighted average pay rate | 1.43% | 1.71% |
Weighted average receive rate | 0.77% | 0.37% |
Weighted average years to maturity | 3 years 6 months | 4 years 3 months 18 days |
Not Designated as Hedging Instrument [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 446,350 | $ 385,300 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 335,750 | 300,300 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 75,000 | 85,000 |
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | ||
Derivative [Line Items] | ||
Total notional amount | 0 | 0 |
Not Designated as Hedging Instrument [Member] | Notional Amount of Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Total notional amount | $ 35,600 | $ 0 |
Derivative Instruments - Summary of Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | $ (2,147) | $ (947) | $ (3,907) | $ (2,241) |
Not Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | (2,147) | (947) | (3,907) | (2,241) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivatives, Net [Member] | Interest Rate Swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | (1,208) | (304) | (2,956) | (1,241) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivatives, Net [Member] | Swaptions [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | (433) | (525) | (573) | (461) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivatives, Net [Member] | TBAs [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | 52 | (90) | 26 | (166) |
Not Designated as Hedging Instrument [Member] | Realized Gain/(Loss) on Derivatives, Net [Member] | Treasury Futures [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(loss) on derivatives | $ (558) | $ (28) | $ (404) | $ (373) |
Derivative Instruments - Offsetting Assets (Details) - USD ($) $ in Thousands |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets or liabilities | $ 173 | $ 422 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 173 | 422 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (173) | (422) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (376) | (84) |
Net amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets or liabilities | 99 | 51 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 99 | 51 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (99) | (51) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
Swaptions [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets or liabilities | 65 | 371 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 65 | 371 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (65) | (371) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
TBAs [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets or liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
Treasury Futures [Member] | ||
Offsetting Derivative Assets [Abstract] | ||
Gross amounts of recognized assets or liabilities | 9 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 9 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (9) | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | $ (376) | $ (84) |
Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | $ 473,437 | $ 390,155 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 473,437 | 390,155 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (458,889) | (381,386) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (14,548) | (8,769) |
Net amount | 0 | 0 |
Repurchase Agreements [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | 466,209 | 385,560 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 466,209 | 385,560 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (458,881) | (381,386) |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (7,328) | (4,174) |
Net amount | 0 | 0 |
Interest Rate Swaps [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | 7,220 | 4,595 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 7,220 | 4,595 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | (7,220) | (4,595) |
Net amount | 0 | 0 |
Swaptions [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
TBAs [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | 8 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 8 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | (8) | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | 0 | 0 |
Treasury Futures [Member] | ||
Offsetting Derivative Liabilities [Abstract] | ||
Gross amounts of recognized assets or liabilities | 0 | 0 |
Gross amounts offset in the consolidated balance sheet | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheet | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) | 0 | 0 |
Net amount | $ 0 | $ 0 |
Fair Value - Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Assets [Abstract] | ||
Derivative assets total | $ 173 | $ 422 |
Liabilities [Abstract] | ||
Derivative liabilities total | 7,228 | 4,595 |
Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 99 | 51 |
Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 65 | 371 |
TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | $ 9 | $ 0 |
Level 2 [Member] | RMBS [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Level 3 [Member] | Excess MSRs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Level 3 [Member] | MSRs [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | $ 0 | $ 0 |
Servicing related assets | 0 | 0 |
Total Assets | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 173 | 422 |
Servicing related assets | 0 | 0 |
Total Assets | 533,239 | 508,664 |
Liabilities [Abstract] | ||
Derivative liabilities total | 7,228 | 4,595 |
Total Liabilities | 7,228 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 533,066 | 508,242 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 327,485 | 308,772 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 190,135 | 193,411 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 15,446 | 6,059 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 99 | 51 |
Liabilities [Abstract] | ||
Derivative liabilities total | 7,220 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 65 | 371 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 8 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 9 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Servicing related assets | 92,932 | 97,803 |
Total Assets | 92,932 | 97,803 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Total Liabilities | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 173 | 422 |
Servicing related assets | 92,932 | 97,803 |
Total Assets | 626,171 | 606,467 |
Liabilities [Abstract] | ||
Derivative liabilities total | 7,228 | 4,595 |
Total Liabilities | 7,228 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | ||
Assets [Abstract] | ||
RMBS total | 533,066 | 508,242 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Fannie Mae [Member] | ||
Assets [Abstract] | ||
RMBS total | 327,485 | 308,772 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Freddie Mac [Member] | ||
Assets [Abstract] | ||
RMBS total | 190,135 | 193,411 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | CMOs [Member] | ||
Assets [Abstract] | ||
RMBS total | 15,446 | 6,059 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 99 | 51 |
Liabilities [Abstract] | ||
Derivative liabilities total | 7,220 | 4,595 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 65 | 371 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 0 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | 8 | 0 |
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Treasury Futures [Member] | ||
Assets [Abstract] | ||
Derivative assets total | 9 | 0 |
Liabilities [Abstract] | ||
Derivative liabilities total | $ 0 | $ 0 |
Derivative Instruments [Member] | Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Percentage of derivative instruments classified as fair value assets and liabilities | 100.00% | 100.00% |
Fair Value - Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
||||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | $ 0 | $ 0 | ||||
Changes in fair value due to [Abstract] | ||||||
Unrealized gain (loss) included in Net Income | (9,494) | (1,801) | ||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||
Beginning balance | [1] | 97,803 | 91,322 | $ 91,322 | ||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | [1] | 15,354 | 20,884 | |||
Proceeds from principal paydowns | [1] | (10,731) | (13,261) | |||
Changes in fair value due to [Abstract] | ||||||
Mark to market gain (loss) | [1] | (6,660) | (586) | |||
Amortization of MSRs | [1] | (2,834) | (556) | |||
Unrealized gain (loss) included in Net Income | [1] | (9,494) | (1,142) | |||
Ending balance | [1] | 92,932 | 97,803 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 1 [Member] | ||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||
Beginning balance | [1] | 43,482 | 54,798 | 54,798 | ||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | [1] | 0 | 0 | |||
Proceeds from principal paydowns | [1] | (6,946) | (8,825) | |||
Changes in fair value due to [Abstract] | ||||||
Mark to market gain (loss) | [1] | (1,566) | (2,491) | |||
Amortization of MSRs | [1] | 0 | 0 | |||
Unrealized gain (loss) included in Net Income | [1] | (1,566) | (2,491) | |||
Ending balance | [1] | 34,970 | 43,482 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2 [Member] | ||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||
Beginning balance | [1] | 33,054 | 34,938 | 34,938 | ||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | [1] | 0 | 0 | |||
Proceeds from principal paydowns | [1] | (3,460) | (4,186) | |||
Changes in fair value due to [Abstract] | ||||||
Mark to market gain (loss) | [1] | (742) | 2,302 | |||
Amortization of MSRs | [1] | 0 | 0 | |||
Unrealized gain (loss) included in Net Income | [1] | (742) | 2,302 | |||
Ending balance | [1] | 28,852 | 33,054 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Excess MSR Pool 2014 [Member] | ||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||
Beginning balance | [1] | 1,506 | 1,586 | 1,586 | ||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | [1] | 0 | 0 | |||
Proceeds from principal paydowns | [1] | (325) | (250) | |||
Changes in fair value due to [Abstract] | ||||||
Mark to market gain (loss) | [1] | (31) | 170 | |||
Amortization of MSRs | [1] | 0 | 0 | |||
Unrealized gain (loss) included in Net Income | [1] | (31) | 170 | |||
Ending balance | [1] | 1,150 | 1,506 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | MSRs [Member] | ||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||||
Beginning balance | [1] | 19,761 | $ 0 | 0 | ||
Purchases and principal paydowns [Abstract] | ||||||
Purchases | [1] | 15,354 | 20,884 | |||
Proceeds from principal paydowns | [1] | 0 | 0 | |||
Changes in fair value due to [Abstract] | ||||||
Mark to market gain (loss) | [1] | (4,321) | (567) | |||
Amortization of MSRs | [1] | (2,834) | (556) | |||
Unrealized gain (loss) included in Net Income | [1] | (7,155) | (1,123) | |||
Ending balance | [1] | $ 27,960 | $ 19,761 | |||
|
Fair Value - Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 92,932 | $ 97,803 | |||
Excess MSR Pool 1 [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 34,970 | $ 43,482 | |||
Excess MSR Pool 1 [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 6.20% | 4.00% | ||
Uncollected Payments | [1] | 3.40% | 2.90% | ||
Excess MSR Pool 1 [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 24.40% | 19.00% | ||
Uncollected Payments | [1] | 7.00% | 7.00% | ||
Excess MSR Pool 1 [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 13.90% | 10.50% | ||
Uncollected Payments | [1] | 6.30% | 6.20% | ||
Discount rate | [1] | 12.30% | 12.30% | ||
Excess MSR Pool 2 [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 28,852 | $ 33,054 | |||
Excess MSR Pool 2 [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 9.00% | 8.30% | ||
Uncollected Payments | [1] | 8.60% | 10.40% | ||
Excess MSR Pool 2 [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 37.60% | 42.30% | ||
Uncollected Payments | [1] | 13.40% | 13.90% | ||
Excess MSR Pool 2 [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 16.70% | 14.90% | ||
Uncollected Payments | [1] | 12.10% | 13.00% | ||
Discount rate | [1] | 16.40% | 16.70% | ||
Excess MSR Pool 2014 [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 1,150 | $ 1,506 | |||
Excess MSR Pool 2014 [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 5.70% | 3.90% | ||
Uncollected Payments | [1] | 5.50% | 5.90% | ||
Excess MSR Pool 2014 [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 29.10% | 22.30% | ||
Uncollected Payments | [1] | 8.40% | 7.10% | ||
Excess MSR Pool 2014 [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 13.40% | 11.20% | ||
Uncollected Payments | [1] | 7.90% | 6.80% | ||
Discount rate | [1] | 12.30% | 11.90% | ||
MSRs [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair Value | $ 27,960 | $ 19,761 | |||
Annual cost to service, per loan | [1] | $ 63 | $ 73 | ||
MSRs [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 5.30% | 0.00% | ||
Uncollected Payments | [1] | 0.70% | 1.20% | ||
MSRs [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 20.30% | 13.80% | ||
Uncollected Payments | [1] | 1.40% | 3.40% | ||
MSRs [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Constant prepayment speed | [1] | 13.90% | 9.70% | ||
Uncollected Payments | [1] | 1.20% | 1.60% | ||
Discount rate | [1] | 9.30% | 8.30% | ||
|
Commitments and Contingencies (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2016 |
Dec. 31, 2015 |
|
Net Investment Income [Line Items] | ||
Percentage of annual management fee paid equal to gross equity | 1.50% | |
Accruals of legal and regulatory claims | $ 0 | $ 0 |
Fannie Mae [Member] | ||
Net Investment Income [Line Items] | ||
Securities obligated to purchase | 5,400,000 | 0 |
Securities obligated to sell | $ 0 | |
Fannie Mae [Member] | Maximum [Member] | ||
Net Investment Income [Line Items] | ||
Securities obligated to sell | $ 1,000 |
Repurchase Agreements (Details) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2016
USD ($)
Security
|
Dec. 31, 2015
USD ($)
Security
|
|
Repurchase Agreements [Abstract] | ||
Weighted average of remaining maturities days | 51 days | 47 days |
Repurchase Agreement Characteristics, RMBS Market Value [Abstract] | ||
Less than one month, RMBS market value | $ 200,165 | $ 97,283 |
One to three months, RMBS market value | 208,226 | 295,534 |
Greater than three months, RMBS market value | 75,879 | 7,029 |
Total RMBS market value | 484,270 | 399,846 |
Repurchase Agreement Characteristics Remaining Maturities [Abstract] | ||
Less than one month, repurchase agreements | 193,310 | 93,926 |
One to three months, repurchase agreements | 200,781 | 284,687 |
Greater than three months, repurchase agreements | 72,118 | 6,947 |
Total repurchase agreements | $ 466,209 | $ 385,560 |
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.79% | 0.55% |
One to three months, weighted average rate | 0.75% | 0.56% |
Greater than three months, weighted average rate | 0.82% | 0.52% |
Weighted average rate | 0.78% | 0.56% |
Number of overnight or demand securities | Security | 0 | 0 |
FHLBI Advances (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Sep. 30, 2016 |
|
FHLBI Advances [Abstract] | ||
Weighted average of remaining maturities days | 94 days | |
Federal Home Loan Bank, Advances, Remaining Maturities [Abstract] | ||
Less than one month, Federal Home Loan Bank Advances | $ 15,000 | |
One to three months, Federal Home Loan Bank Advances | 0 | |
Greater than three months, Federal Home Loan Bank Advances | 47,250 | |
Total Federal Home Loan Bank Advances | $ 62,250 | $ 0 |
Federal Home Loan Bank Advances, Weighted Average Rates [Abstract] | ||
Less than one month, weighted average rate | 0.44% | |
One to three months, weighted average rate | 0.00% | |
Greater than three months, weighted average rate | 0.57% | |
Weighted average rate | 0.54% |
Notes Payable (Details) - USD ($) $ in Thousands |
1 Months Ended | 9 Months Ended | |
---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2016 |
Dec. 31, 2015 |
|
Notes Payable [Abstract] | |||
Notes Payable | $ 21,856 | $ 21,856 | $ 24,313 |
MSR Facility [Member] | |||
Debt Instrument [Line Items] | |||
Maximum borrowing amount | $ 25,000 | 25,000 | |
Debt instrument, amortization period | 10 years | ||
Debt instrument term | 2 years | ||
Debt instrument conversion term | 3 years | ||
Period of variable spread rate basis on interest rate swap | 1 year | ||
Line of credit, outstanding borrowings amount | $ 0 | 0 | |
Term Loan [Member] | |||
Maturities of Long-Term Borrowings [Abstract] | |||
2016 | 515 | 515 | 1,958 |
2017 | 2,131 | 2,131 | 2,074 |
2018 | 2,253 | 2,253 | 2,192 |
2019 | 2,382 | 2,382 | 2,317 |
2020 | 14,575 | 14,575 | 15,762 |
Long-term borrowings | 21,856 | 21,856 | $ 24,303 |
Term Loan [Member] | Secured Notes Payable [Member] | 5.57% Notes Payable Due in April 2020 [Member] | |||
Debt Instrument [Line Items] | |||
Maximum borrowing amount | $ 25,000 | $ 25,000 | |
Interest rate on loans payable | 5.57% | 5.57% | |
Debt instrument, amortization period | 10 years | ||
Debt instrument maturity date | Apr. 30, 2020 |
Receivables and Other Assets (Details) - USD ($) $ in Thousands |
Sep. 30, 2016 |
Dec. 31, 2015 |
---|---|---|
Receivables and Other Assets [Abstract] | ||
Excess servicing income receivable | $ 1,943 | $ 2,159 |
Servicing advances | 891 | 787 |
Interest receivable | 1,562 | 1,497 |
Federal Home Loan Bank stock | 3,261 | 3,261 |
Deferred tax receivable | 874 | 203 |
Other receivables | 1,504 | 1,421 |
Total other assets | $ 10,035 | $ 9,328 |
Income Taxes (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2016 |
Sep. 30, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
Dec. 31, 2015 |
|||||
Components of Income Tax Expense (Benefit) [Abstract] | |||||||||
Current federal income tax expense | $ 0 | $ 0 | |||||||
Current state income tax expense | 0 | 0 | |||||||
Deferred federal income tax expense (benefit) | (602,000) | (188,000) | |||||||
Deferred state income tax expense (benefit) | (67,000) | (21,000) | |||||||
Total Income Tax Expense | $ (89,000) | $ (139,000) | (669,000) | [1] | (209,000) | [1] | |||
Effective Income Tax Rate Reconciliation, Amount [Abstract] | |||||||||
Computed income tax (benefit) expense at federal rate | (710,000) | 1,223,000 | |||||||
State taxes, net of federal benefit, if applicable | (67,000) | 136,000 | |||||||
Permanent differences in taxable income from GAAP pre-tax income | 0 | 0 | |||||||
REIT income not subject to tax | 108,000 | (1,568,000) | |||||||
Total Income Tax Expense | (89,000) | (139,000) | $ (669,000) | [1] | $ (209,000) | [1] | |||
Effective Income Tax Rate Reconciliation, Percent [Abstract] | |||||||||
Computed income tax (benefit) expense at federal rate | 35.00% | 35.00% | |||||||
State taxes, net of federal benefit, if applicable | 3.30% | 3.90% | |||||||
Permanent differences in taxable income from GAAP pre-tax income | 0.00% | 0.00% | |||||||
REIT income not subject to tax | (5.30%) | (44.90%) | |||||||
(Benefit from) Provision for Income Taxes/Effective Tax Rate | [1] | 33.00% | (6.00%) | ||||||
Income taxes (payable) receivable [Abstract] | |||||||||
Federal income taxes (payable) receivable | 0 | 0 | $ 0 | $ 0 | |||||
State and local income taxes (payable) receivable | 0 | 0 | 0 | 0 | |||||
Income taxes (payable) receivable, net | 0 | $ 0 | 0 | $ 0 | |||||
Deferred tax assets (liabilities) [Abstract] | |||||||||
Deferred tax asset - organizational expenses | 59,000 | 59,000 | $ 72,000 | ||||||
Deferred tax asset - mortgage servicing rights | 503,000 | 503,000 | (121,000) | ||||||
Deferred tax asset - net operating loss | 312,000 | 312,000 | 252,000 | ||||||
Total net deferred tax assets (liabilities) | 874,000 | 874,000 | 203,000 | ||||||
Income Taxes [Line Items] | |||||||||
Deferred tax asset, state net operating loss carryforwards | 849,000 | 849,000 | 693,000 | ||||||
Valuation allowance | 0 | 0 | 0 | ||||||
Accrued penalties or Interest | 0 | 0 | 0 | ||||||
Tax Year 2034 [Member] | |||||||||
Income Taxes [Line Items] | |||||||||
Deferred tax asset, state net operating loss carryforwards | 154,000 | 154,000 | 154,000 | ||||||
Tax Year 2035 [Member] | |||||||||
Income Taxes [Line Items] | |||||||||
Deferred tax asset, state net operating loss carryforwards | 539,000 | 539,000 | $ 539,000 | ||||||
Tax Year 2036 [Member] | |||||||||
Income Taxes [Line Items] | |||||||||
Deferred tax asset, state net operating loss carryforwards | $ 156,000 | $ 156,000 | |||||||
|
Business Combinations (Details) - USD ($) |
9 Months Ended | ||
---|---|---|---|
May 29, 2015 |
Sep. 30, 2016 |
Sep. 30, 2015 |
|
Business Acquisition [Line Items] | |||
Gain on bargain purchase | $ 0 | $ 174,000 | |
Aurora Financial Group, Inc [Member] | |||
Business Acquisition [Line Items] | |||
Business acquisition, percentage of voting interest | 100.00% | ||
Fair value of consideration transferred | $ 3,900,000 | ||
Percentage of consideration deposited in escrow account | 20.00% | ||
Unpaid principal balance portfolio fixed period | 90 days | ||
Gain on bargain purchase | 734,000 | ||
Business Acquisition, Pro Forma of Consolidated Income Statement [Abstract] | |||
Revenue | 7,503,000 | ||
Earnings (loss) | $ 3,563,000 | ||
Earnings (Loss) Per Share of Common Stock [Abstract] | |||
Basic (in dollars per share) | $ 0.47 | ||
Diluted (in dollars per share) | $ 0.47 | ||
Weighted Average Number of Shares of Common Stock Outstanding [Abstract] | |||
Basic (in shares) | 7,509,543 | ||
Diluted (in shares) | 7,510,246 | ||
Aurora Financial Group, Inc [Member] | General and Administrative Expenses [Member] | |||
Business Acquisition [Line Items] | |||
Transaction-Related costs | $ 95,400 |
Subsequent Events (Details) - MSR Facility [Member] - USD ($) $ in Thousands |
Oct. 03, 2016 |
Sep. 30, 2016 |
---|---|---|
Subsequent Event [Line Items] | ||
Line of credit, outstanding borrowings amount | $ 0 | |
Subsequent Event [Member] | Aurora Financial Group, Inc [Member] | ||
Subsequent Event [Line Items] | ||
Line of credit, outstanding borrowings amount | $ 14,100 |
.,6I(-YAK X_K;W?"6#9*B
M;!$WY#]51CGA:S[+W0>\AQ@H5GI='7!L,DKG !$:O)8-M0 VY4\-/H 1H18)6+Z,5"5I="G-=1W3@O8JQQ/F*A*_RP-UB
M>I\A=)NO8LP8SE9#V"I_7]D:12DN9S89DZ4Q \APPAI"6"\3UF@Z6M6<(Z9#
M$_...&<-X:R\<]X:RD]YY&=,%?,)T/"TUQ#$>CGM-6$^JV=F&!%A1()I?OHV
M2ECM958;^G44YCHKE&F3F!A8&PYK0V#M95@;PN!T9DDD*M Q?<4I;0BEO4QI
M0_->Q[\Q7^T0&1@3TV& R]8H33A2ZK16%0+A1+%W^(J^K!.\<]M-M.^)F0S(5L)L0^+C8+-
M1VYY66B?4_?+?1==+C;=K_;?R^0+P)Y%,BO1DRO1XR8TS7FLTNVV5,%
MN@U7QY *Q][&+5VKZ^V\#X?(/N!E,? 6_G#=BMZ0,UIWLN$8&D0+SD1RLZ>D
M<^]G320TUH>W+M;Q2L7$XK \D/65EN]02P,$% @ ZX%I24#Q30Y=!
MP!8 !D !X;"]W;W)K L)%!JLNG6P&G6@00+I&^Q63P;+HLOG>CBAE0#)%^P&PAAK#^
M"2J2@ 3:6P1BS/4B+$)5.@N?I$B\92!($V:,,5P'"$H35IAQQ!'&;R4)$[@+
M("K-?:/=(!"!S0Q+CP'M:2\=-VPJ/A4I(AD9%A\#ZM->.FX0B,!'IG =(%+M
M9>03 @E_,W.@^6:PWAD0O*90WV ^F9OYA#7*$H+MC*"S[VBZ[W"L5AX1G >"
M=$*H@]7*&<%\(,A0QO/7)LD)[@-!AK!.'.N> TD;3D@A$5NXO)4M' N5QP3W
M@2!#T ;'0N6*X#XC:&"E(._\' N1:X+[0!!I4'C/Y8;@/A!D_.XS"YIO!NN>
M ]T;>3V%B!"?1'0KGP16J8 J]3[A/8R@89T3P^ Z3Y!K@&1Q8F:ACP"JE2&2
M1V#]"RAM+WD>(,B_I:Q1)N4#/Z/W,(#RA=1N\Z;S2BIH>=$\X_H)IA.L@6*&T\4NJP3I4
M,X42Q=_2*G1
B-LZ).'CX*T^GK0]
MB*HR&NOV=
ZTZ4"@E'I[5'MNQ]P>).O&2VNZ.;/_4$L#!!0 ( .N!:4E8.R;H
MO0$ 'L$ 9 >&PO=V]R:W-H965THURL=ZQ90DEM&7G6>R3Z-$NFX ")#,23%43$
M2%98BFO+R=@BD8&$8RR*_U!%1(P(UE)D6TY:%XL@FEC?VC">OG'2F/C,0#(I
M@9$@2JO(Z_&$$1*&-==!@JOUA0?&B>LKT\8UQ067VX
MCQ8ZUBY2QKBN,%A88H(/'J*,>7AUQAQ+DD-)&J\DN:LU)H3B+/:*D@HN$:@U
M8Z1SW