View Filing Data

$ 7,135

$ 8,088

$ 12,323

$ 13,915

1,885

1,346

3,542

2,581

Net servicing income (loss)

5,250

6,742

8,781

11,334

Servicing fee income

1,574

156

3,069

156

Servicing costs

501

903

1,073

2,166

Other income (loss)

Realized gain (loss) on RMBS, net

235

(115)

555

192

Realized gain (loss) on derivatives, net

(299)

(52)

(1,760)

(1,294)

Realized gain (loss) on acquired assets, net

174

Unrealized gain (loss) on derivatives, net

(1,228)

2,835

(6,426)

293

Unrealized gain (loss) on investments in Excess MSRs

(149)

2,938

(2,456)

821

Unrealized gain (loss) on investments in MSRs

(3,076)

(22)

(5,308)

(22)

Total Income

1,806

12,562

(4,448)

11,560

Expenses

General and administrative expense

822

634

1,630

1,376

Management fee to affiliate

690

1,380

Total Expenses

1,512

1,324

3,010

2,756

Income (Loss) Before Income Taxes

294

11,238

(7,458)

8,804

Provision for corporate business taxes

(70)

(580)

^[1]

(70)

^[1]

Net (income) loss allocated to noncontrolling interests

284

11,308

(6,878)

8,874

(1)

(103)

(81)

Net Income (Loss) Applicable to Common Stockholders

$ 283

$ 11,205

$ (6,780)

$ 8,793

Net income (Loss) Per Share of Common Stock

Basic (in dollars per share)

$ 0.04

$ 1.49

$ (0.90)

$ 1.17

Diluted (in dollars per share)

$ 0.04

$ 1.49

$ (0.90)

$ 1.17

Weighted Average Number of Shares of Common Stock Outstanding

Basic (in shares)

7,509,543

Diluted (in shares)

7,520,616

7,509,543

7,519,827

7,509,543

[1]	The provision for income taxes is recorded at the TRS level.

Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract]
Net income (loss)	$ 284	$ 11,308	$ (6,878)	$ 8,874
Other comprehensive income (loss):
Net unrealized gain (loss) on RMBS	4,730	(6,280)	12,382	(3,489)
Reclassification of net realized (gain) loss on RMBS in earnings	(235)	115	(555)	(192)
Other comprehensive income (loss)	4,495	(6,165)	11,827	(3,681)
Comprehensive income (loss)	4,779	5,143	4,949	5,193
Comprehensive income (loss) attributable to noncontrolling interests	68	47	70	48
Comprehensive income (loss) attributable to common stockholders	$ 4,711	$ 5,096	$ 4,879	$ 5,145

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

Issuance of common stock (in shares)

Net income

$ 0

8,793

8,874

Other comprehensive income

(3,681)

LTIP-OP Unit awards

204

Distribution paid on LTIP-OP Units

(70)

Common dividends declared

(7,511)

Ending balance at Jun. 30, 2015

$ 75

148,258

2,960

6,081

760

158,134

Ending balance (in shares) at Jun. 30, 2015

7,509,543

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

Increase (Decrease) in Stockholders' Equity [Roll Forward]

Issuance of common stock

$ 0

^[1]

$ 75

Issuance of common stock (in shares)

9,465

Net income

$ 0

(6,780)

(98)

(6,878)

Other comprehensive income

11,827

LTIP-OP Unit awards

282

Distribution paid on LTIP-OP Units

(102)

Common dividends declared

(7,369)

Ending balance at Jun. 30, 2016

$ 75

$ 148,407

$ 11,630

$ (11,016)

$ 1,076

$ 150,172

Ending balance (in shares) at Jun. 30, 2016

7,528,503

[1]	de minimis ($95.00 rounds to $0.00).

Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract]
Common dividends declared (in dollars per share)	$ 0.98	$ 1.00

Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015
Cash Flows From Operating Activities
Net income (loss)	$ (6,878)	$ 8,874
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Realized (gain) loss on RMBS, net	(555)	(192)
Realized gain on bargain purchase	0	(174)
Accretion of premium and other amortization	1,851	1,518
Change in fair value of investments in Servicing Related Assets	7,764	(799)
Unrealized (gain) loss on derivatives, net	6,426	(293)
Realized (gain) loss on derivatives, net	1,760	1,294
LTIP-OP Unit awards	282	204
Changes in:
Receivables from unsettled trades	0	(4,668)
Receivables and other assets	(596)	915
Due to affiliate	134	98
Payables for unsettled trades	4,421	0
Accrued expenses and other liabilities	3,795	(740)
Net cash provided by (used in) operating activities	18,404	6,037
Cash Flows From Investing Activities
Purchase of RMBS	(73,393)	(100,752)
Principal paydown of RMBS	24,514	19,575
Proceeds from sale of RMBS	45,501	59,127
Acquisition of Excess MSRs	0	0
Principal paydown of Excess MSRs	7,994	6,623
Aurora acquisition, net of cash received	0	(3,839)
Acquisition of MSRs	(15,297)	0
Purchase of derivatives	(2,006)	(1,449)
Sale of derivatives	0	206
Net cash provided by (used in) investing activities	(12,687)	(20,509)
Cash Flows From Financing Activities
Changes in restricted cash	(5,909)	(4,137)
Borrowings under repurchase agreements	1,049,585	761,630
Repayments of repurchase agreements	(979,070)	(739,365)
Proceeds from Federal Home Loan Bank advances	7,000	0
Repayments of Federal Home Loan Bank advances	(69,250)	0
Proceeds from bank loans	0	6,732
Principal paydown of bank loans	(1,460)	0
Dividends paid	(7,369)	(7,660)
LTIP-OP Units distributions paid	(102)	(70)
Issuance of common stock, net of offering costs	75	0
Net cash provided by (used in) financing activities	(6,500)	17,130
Net Increase (Decrease) in Cash and Cash Equivalents	(783)	2,658
Cash and Cash Equivalents, Beginning of Period	10,603	12,447
Cash and Cash Equivalents, End of Period	9,820	15,105
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense	3,653	2,325
Dividends declared but not paid	$ 3,689	$ 3,680

Organization and Operations	6 Months Ended
Organization and Operations	Jun. 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, 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 and an affiliate of Freedom Mortgage Corporation (“Freedom Mortgage”). The Manager and Freedom Mortgage are controlled by 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

6 Months Ended

Jun. 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 $4.4 million in Agency RMBS purchased, but not yet settled, was payable at June 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 and $1.5 million in interest income was receivable at June 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.

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 $2.0 million and $2.2 million in Excess MSR cashflow was receivable at June 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 $728,000 in reimbursable servicing advances was receivable at June 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 $11.3 million and $4.6 million at June 30, 2016 and December 31, 2015, respectively), borrowings under its repurchase agreements (approximately $3.5 million and $4.2 million at June 30, 2016 and December 31, 2015, respectively) as well as cash held that relates to outstanding borrowings on a term loan (“Term Loan”) (approximately $1.1 million at both June 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):

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Realized gain (loss) on RMBS, net
Gain on RMBS	$	235		$	16		$	555		$	323
Loss on RMBS		-			(131	)		-			(131	)
Net realized gain (loss) on RMBS		235			(115	)		555			192
Realized gain (loss) on derivatives, net		(299	)		(52	)		(1,760	)		(1,294	)
Unrealized gain (loss) on derivatives, net		(1,228	)		2,835			(6,426	)		293
Total	$	(1,292	)	$	2,668		$	(7,631	)	$	(809	)

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

6 Months Ended

Jun. 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):

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Three Months Ended June 30, 2016
Interest income	$	3,085		$	4,050		$	-		$	7,135
Interest expense		333			1,552			-			1,885
Net interest income		2,752			2,498			-			5,250
Servicing fee income		1,574			-			-			1,574
Servicing costs		501			-			-			501
Net servicing income		1,073			-			-			1,073
Other income		(3,225	)		(1,292	)		-			(4,517	)
Other operating expenses		-			-			1,512			1,512
(Benefit from) provision for corporate business taxes		10			-			-			10
Net income (loss)	$	590		$	1,206		$	(1,512	)	$	284
Three Months Ended June 30, 2015
Interest income	$	4,935		$	3,153		$	-		$	8,088
Interest expense		19			1,327			-			1,346
Net interest income		4,916			1,826			-			6,742
Servicing fee income		156			-			-			156
Servicing costs		94			-			-			94
Net servicing income		62			-			-			62
Other income		3,090			2,668			-			5,758
Other operating expenses		-			-			1,324			1,324
(Benefit from) provision for corporate business taxes		(70	)		-			-			(70	)
Net income (loss)	$	8,138		$	4,494		$	(1,324	)	$	11,308
Six Months Ended June 30, 2016
Interest income	$	4,529		$	7,794		$	-		$	12,323
Interest expense		673			2,869			-			3,542
Net interest income		3,856			4,925			-			8,781
Servicing fee income		3,069			-			-			3,069
Servicing costs		903			-			-			903
Net servicing income		2,166			-			-			2,166
Other income		(7,764	)		(7,631	)		-			(15,395	)
Other operating expenses		-			-			3,010			3,010
(Benefit from) provision for corporate business taxes		(580	)		-			-			(580	)
Net income (loss)	$	(1,162	)	$	(2,706	)	$	(3,010	)	$	(6,878	)
Six Months Ended June 30, 2015
Interest income	$	7,510		$	6,405		$	-		$	13,915
Interest expense		19			2,562			-			2,581
Net interest income		7,491			3,843			-			11,334
Servicing fee income		156			-			-			156
Servicing costs		94			-			-			94
Net servicing income		62			-			-			62
Other income		973			(809	)		-			164
Other operating expenses		-			-			2,756			2,756
(Benefit from) provision for corporate business taxes		(70	)		-			-			(70	)
Net income (loss)	$	8,596		$	3,034		$	(2,756	)	$	8,874

Balance Sheet
June 30, 2016
Investments	$	97,342	$	522,151	$	-	$	619,493
Other assets		4,476		19,794		11,638		35,908
Total assets		101,818		541,945		11,638		655,401
Debt		22,853		456,075		-		478,928
Other liabilities		5,811		15,381		5,109		26,301
Total liabilities		28,664		471,456		5,109		505,229
GAAP book value	$	73,154	$	70,489	$	6,529	$	150,172

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

The entire disclosure for reporting segments including data and tables. Reportable segments include those that meet any of the following quantitative thresholds a) it's reported revenue, including sales to external customers and intersegment sales or transfers is 10 percent or more of the combined revenue, internal and external, of all operating segments b) the absolute amount of its reported profit or loss is 10 percent or more of the greater, in absolute amount of 1) the combined reported profit of all operating segments that did not report a loss or 2) the combined reported loss of all operating segments that did report a loss c) its assets are 10 percent or more of the combined assets of all operating segments.

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Reference 2: http://www.xbrl.org/2003/role/presentationRef
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Reference 3: http://www.xbrl.org/2003/role/presentationRef
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Investments in RMBS

6 Months Ended

Jun. 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 no OTTI securities as of June 30, 2016 and December 31, 2015 (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2016

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
RMBS
Fannie Mae	$	349,283	$	314,051	$	7,280	$	(22	)	$	321,309		49	(B)		3.73	%		3.44	%		23
Freddie Mac		202,601		186,823		4,594		-			191,417		24	(B)		3.61	%		3.25	%		25
CMOs		19,896		9,614		66		(255	)		9,425		5	Unrated		4.55	%		4.14	%		11
Total/Weighted Average	$	571,780	$	510,488	$	11,940	$	(277	)	$	522,151		78			3.70	%		3.39	%		24

As of December 31, 2015

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		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.

Summary of RMBS Assets by Maturity

As of June 30, 2016

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than 1 Year	$	-	$	-	$	-	$	-		$	-		-			-	%		-	%		-
1-5 Years		-		-		-		-			-		-			-	%		-	%		-
5-10 Years		3,500		3,500		34		(6	)		3,528		2	(B)		4.69	%		5.00	%		9
Over 10 Years		568,280		506,988		11,906		(271	)		518,623		76	(B)		3.69	%		3.38	%		24
Total/Weighted Average	$	571,780	$	510,488	$	11,940	$	(277	)	$	522,151		78			3.70	%		3.39	%		24

As of December 31, 2015

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		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.

At June 30, 2016 and December 31, 2015, the Company pledged Agency RMBS investments with a carrying value of approximately $480.5 million and $399.8 million, respectively, as collateral for repurchase agreements. At June 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 June 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. During the three and six month periods ended June 30, 2016 and 2015, the Company did not record any OTTI charges. 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.

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 June 30, 2016

	Original				Gross							Weighted Average
Asset Type	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than Twelve Months	$	8,132	$	8,408	$	(92	)	$	8,316		2	(B)		4.25	%		1.72	%		22
Twelve or More Months		13,146		2,877		(185	)		2,692		2	(B)		4.07	%		10.93	%		11
Total/Weighted Average	$	21,278	$	11,285	$	(277	)	$	11,008		4			4.21	%		4.07	%		19

As of December 31, 2015

	Original				Gross							Weighted Average
Asset Type	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		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.

Investments in Servicing Related Assets [Abstract]

The entire disclosure for investments in certain debt and equity securities.

+ References + Details

Investments in Servicing Related Assets

6 Months Ended

Jun. 30, 2016

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.

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 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 outstanding principal balance 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.

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.

Upon completion of the IPO and the concurrent private placement, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage. On February 28, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

On March 31, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

On June 30, 2014, pursuant to the flow and bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase include recapture provisions that are the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as “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 $3.0 billion as of June 30, 2016.

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 month period ended June 30, 2016.

The following is a summary of the Company’s Servicing Related Assets (dollars in thousands):

Servicing Related Assets Summary

As of June 30, 2016

	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	$	6,807,065	$	34,550	$	34,721		3.51	%		25.6	$	(3,183	)
Excess MSR Pool 1 - Recapture Agreement		-		1,841		1,744							1,467
Excess MSR Pool 2		6,661,764		20,964		28,958		2.84	%		26.6		(1,228	)
Excess MSR Pool 2 - Recapture Agreement		-		1,484		973							553
Excess MSR Pool 2014		238,805		1,440		1,196		3.63	%		26.9		(65	)
Excess MSR Pool 2014 - Recapture Agreement		-		-		-							-
MSRs ^(E)		3,600,130		35,058		29,750		3.82			24.1		(5,308	)
Total	$	17,307,764	$	95,337	$	97,342		3.32	%		25.7	$	(7,764	)

As of December 31, 2015

	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 June 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.

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 June 30, 2016

	Percentage of Total Outstanding Unpaid Principal Balance
California		11.5	%
Texas		8.8	%
Florida		6.4	%
Virginia		5.5	%
All other		67.8	%
Total		100.0	%

As of December 31, 2015

	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	%

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

6 Months Ended

Jun. 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 June 30, 2016

	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					1,332,063
LTIP-OP Units		140,350
Forfeited LTIP-OP Units		(916	)
Shares of Common Stock		28,503
Equity Compensation Plans Not Approved By Shareholders					-

As of December 31, 2015

	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				-

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

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

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 June 30, 2016, 48,289 LTIP-OP Units have vested. The Company recognized approximately $135,200 and $100,500 in share-based compensation expense in the three month periods ended June 30, 2016 and 2015, respectively. The Company recognized approximately $282,000 and $200,100 in share-based compensation expense in the six month periods ended June 30, 2016 and 2015, respectively. There was approximately $1.2 million of total unrecognized share-based compensation expense as of June 30, 2016, related to the 91,145 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.

As of June 30, 2016, 1,332,063 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 June 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

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016			2015
Numerator:
Net income attributable to common stockholders and participating securities	$	284	$	11,308	$	(6,878	)	$	8,874
Net income allocable to common stockholders	$	283	$	11,205	$	(6,780	)	$	8,793
Denominator:
Weighted average common shares outstanding		7,509,543		7,509,543		7,509,543			7,509,543
Weighted average diluted shares outstanding		7,520,616		7,509,543		7,519,827			7,509,543
Basic and Dilutive:
Basic earnings per share	$	0.04	$	1.49	$	(0.90	)	$	1.17
Diluted earnings per share	$	0.04	$	1.49	$	(0.90	)	$	1.17

There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented.

The entire disclosure for shareholders' equity comprised of portions attributable to the parent entity and noncontrolling interest, including other comprehensive income. Includes, but is not limited to, balances of common stock, preferred stock, additional paid-in capital, other capital and retained earnings, accumulated balance for each classification of other comprehensive income and amount of comprehensive income.

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Transactions with Affiliates and Affiliated Entities [Abstract]

Transactions with Affiliates and Affiliated Entities

6 Months Ended

Jun. 30, 2016

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 a quarterly management fee equal to the product of one quarter of the 1.5% Management Fee Annual Rate and the Stockholders’ Equity, adjusted as set forth in the Management Agreement, calculated and payable quarterly in arrears.

The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. 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. Both the Manager and Freedom Mortgage are 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 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. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands):

Management Fee to Affiliate

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016		2015
Management fees	$	560	$	560	$	1,120	$	1,120
Expense reimbursement		130		130		260		260
Total	$	690	$	690	$	1,380	$	1,380

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 120 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 and six month periods ended June 30, 2016, the Company earned approximately $518,000 in income and had a corresponding expense of $127,000, 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 six month periods ended June 30, 2015. There were no such assets, or related liabilities, as of June 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

6 Months Ended

Jun. 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):

Non-hedge derivatives	June 30, 2016		December 31, 2015
Notional amount of interest rate swaps	$	321,250	$	300,300
Notional amount of swaptions		85,000		85,000
Notional amount of TBAs, net		1,000		-
Notional amount of Treasury Futures		45,600		-
Total notional amount	$	452,850	$	385,300

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

	Notional Amount		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
June 30, 2016	$	321,250		1.53	%		0.64	%		3.4
December 31, 2015	$	300,300		1.71	%		0.37	%		4.3

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

		Three Months Ended June 30,						Six Months Ended June 30,
Non-Hedge Derivatives	Income Statement Location	2016			2015			2016			2015
Interest rate swaps	Realized gain/(loss) on derivative assets	$	(398	)	$	(149	)	$	(1,748	)	$	(937	)
Swaptions	Realized gain/(loss) on derivative assets		(140	)		64			(140	)		64
TBAs	Realized gain/(loss) on derivative assets		56			33			(26	)		(76	)
Treasury futures	Realized gain/(loss) on derivative assets		183			-			154			(345	)
Total		$	(299	)	$	(52	)	$	(1,760	)	$	(1,294	)

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 June 30, 2016

	Gross		Gross Amounts		Net Amounts of Assets Presented in		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet		the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	-	$	-	$	-	$	-		$	-		$	-
Swaptions		24		-		24		(24	)		-			-
TBAs		1		-		1		(1	)		-			-
Treasury futures		288		-		288		(288	)		(645	)
Total Assets	$	313	$	-	$	313	$	(313	)	$	(645	)	$	-

Liabilities
Repurchase agreements	$	456,075	$	-	$	456,075	$	(452,625	)	$	(3,450	)	$	-
Interest rate swaps		10,666		-		10,666		-			(10,666	)		-
Swaptions		-		-		-		-			-			-
TBAs		-		-		-		-			-			-
Treasury futures		-		-		-		-			-			-
Total Liabilities	$	466,741	$	-	$	466,741	$	(452,625	)	$	(14,116	)	$	-

As of December 31, 2015

	Gross		Gross Amounts		Net Amounts of Assets Presented in		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet		the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
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	)	$	-

The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

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Fair Value

6 Months Ended

Jun. 30, 2016

Fair Value [Abstract]

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:

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.

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 June 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 June 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 June 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 June 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 June 30, 2016

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	321,309	$	-	$	321,309
Freddie Mac		-		191,417		-		191,417
CMOs		-		9,425		-		9,425
RMBS total		-		522,151		-		522,151
Derivative assets
Interest rate swaps		-		-		-		-
Interest rate swaptions		-		24		-		24
TBAs		-		1		-		1
Treasury Futures		-		288		-		288
Derivative assets total		-		313		-		313
Servicing Related Assets		-		-		97,342		97,342
Total Assets	$	-	$	522,464	$	97,342	$	619,806
Liabilities
Derivative liabilities
Interest rate swaps		-		10,666		-		10,666
TBAs		-		-		-		-
Treasury Futures		-		-		-		-
Derivative liabilities total		-		10,666		-		10,666
Total Liabilities	$	-	$	10,666	$	-	$	10,666

As of December 31, 2015

	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

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 June 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 June 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 June 30, 2016

	Level 3 ^(A)
	Pool 1			Pool 2			Pool 2014			MSRs			Total
Balance at December 31, 2015	$	43,482		$	33,054		$	1,506		$	19,761		$	97,803
Purchases and principal paydowns
Purchases		-			-			-			15,297			15,297
Proceeds from principal paydowns		(5,301	)		(2,448	)		(245	)		-			(7,994	)
Changes in fair value due to:
Mark to market gain (loss)		(1,716	)		(675	)		(65	)		(3,702	)		(6,158	)
Amortization of MSRs		-			-			-			(1,606	)		(1,606	)
Unrealized gain (loss) included in Net Income	$	(1,716	)	$	(675	)	$	(65	)	$	(5,308	)	$	(7,764	)
Balance at June 30, 2016	$	36,465		$	29,931		$	1,196		$	29,750		$	97,342

As of December 31, 2015

	Level 3 ^(A)
	Pool 1			Pool 2			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.

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 June 30, 2016

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range			Weighted Average
Pool 1	$	36,465	Discounted cash flow	Constant prepayment speed		4.0% - 25.2	%		13.3	%
				Uncollected Payments		4.2% - 7.0	%		6.4	%
				Discount rate					12.3	%
Pool 2	$	29,931	Discounted cash flow	Constant prepayment speed		7.6% - 44.7	%		16.7	%
				Uncollected Payments		9.2% - 13.6	%		12.4	%
				Discount rate					16.5	%
Pool 2014	$	1,196	Discounted cash flow	Constant prepayment speed		3.9% - 29.0	%		14.3	%
				Uncollected Payments		6.9% - 8.6	%		8.2	%
				Discount rate					11.9	%
MSRs	$	29,750	Discounted cash flow	Constant prepayment speed		6.2% - 20.6	%		14.4	%
				Uncollected payments		0.7% - 1.4	%		1.2	%
				Discount rate					9.3	%
				Annual cost to service, per loan				$	63
TOTAL	$	97,342	Discounted cash flow

As of December 31, 2015

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range			Weighted Average
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	%
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	%
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.

Fair Value of Financial Instruments

In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments.

•	RMBS available for sale securities, 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.

Receivables and Other Assets [Abstract]

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details

Commitments and Contingencies	6 Months Ended
Commitments and Contingencies	Jun. 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 June 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 June 30, 2016 and December 31, 2015. Commitments to Purchase/Sell RMBS As of June 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 June 30, 2016, the Company was obligated to purchase approximately $4.4 million of Fannie Mae securities and was not obligated to sell any securities. 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 Agreement 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 June 30, 2016, the risk of material loss to be remote and thus no liability has been accrued.

Repurchase Agreements

6 Months Ended

Jun. 30, 2016

Repurchase Agreements [Abstract]

Repurchase Agreements

Note 11 – Repurchase Agreements

The Company had outstanding approximately $456.1 million and $385.6 million of repurchase agreements as of June 30, 2016 and December 31, 2015, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 73 days and 47 days as of June 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 June 30, 2016

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	140,677		0.73	%
One to three months		129,968		0.71	%
Greater than three months		185,430		0.77	%
Total/Weighted Average	$	456,075		0.74	%

As of December 31, 2015

	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	%

FHLBI Advances

6 Months Ended

Jun. 30, 2016

FHLBI Advances [Abstract]

FHLBI Advances

Note 12 – FHLBI Advances

The Company had no outstanding advances from the FHLBI as of June 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

	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	%

Notes Payable

6 Months Ended

Jun. 30, 2016

Notes Payable [Abstract]

Notes Payable

Note 13 – Notes Payable

At June 30, 2016 and December 31, 2015 the Company had outstanding borrowings of $22.9 million and $24.3 million, respectively, on a $25 million Term Loan. The $25 million Term Loan was fully drawn as of June 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.

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 June 30, 2016

	2016		2017		2018		2019		2020		Total
Term Loan
Borrowings under Term Loan facility	$	1,007	$	2,100	$	2,219	$	2,346	$	15,235	$	22,907

As of December 31, 2015

	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

Receivables and Other Assets

6 Months Ended

Jun. 30, 2016

Receivables and Other Assets

Note 14 – Receivables and Other Assets

The assets comprising “Receivables and other assets” as of June 30, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	June 30, 2016		December 31, 2015
Excess servicing income receivable	$	2,033	$	2,159
Servicing advances		728		787
Interest receivable		1,497		1,497
Federal Home Loan Bank stock		3,261		3,261
Deferred tax receivable		787		203
Other receivables		1,618		1,421
Total other assets	$	9,924	$	9,328

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 June 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 June 30, 2016, the Company had not recognized an impairment charge related to its FHLBI stock.

Income Taxes

6 Months Ended

Jun. 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 Financial Group Inc., its wholly owned subsidiary, 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):

	Six Months Ended June 30,
	2016			2015
Current federal income tax expense	$	-		$	-
Current state income tax expense		-			-
Deferred federal income tax expense (benefit)		(522	)		(59	)
Deferred state income tax expense (benefit)		(58	)		(11	)
Total Income Tax Expense	$	(580	)	$	(70	)

The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):

	Six Months Ended June 30,
	2016					2015
Computed income tax (benefit) expense at federal rate	$	(2,610	)	35.0	%	$	3,081		35.0	%
State taxes, net of federal benefit, if applicable		(58	)	0.8	%		9		0.1	%
Permanent differences in taxable income from GAAP pre-tax income				-	%		-		-	%
REIT income not subject to tax		2,088		(28.0	)%		(3,160	)	(35.9	)%
(Benefit from) Provision for Income Taxes/Effective Tax Rate^(A)	$	(580	)	7.8	%	$	(70	)	(0.8	)%

(A)	The provision for income taxes is recorded at the TRS level.

The Company’s consolidated balance sheets, at June 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):

	Six Months Ended June 30,
	2016		2015
Income taxes (payable) receivable
Federal income taxes (payable) receivable	$	-	$	-
State and local income taxes (payable) receivable		-		-
Income taxes (payable) receivable, net	$	-	$	-

	June 30, 2016		December 31, 2015
Deferred tax assets (liabilities)
Deferred tax asset - organizational expenses	$	63	$	72
Deferred tax asset - mortgage servicing rights		414		(121	)
Deferred tax asset - net operating loss		310		252
Total net deferred tax assets (liabilities)	$	787	$	203

CHMI Solutions’ federal and state net operating loss carryforwards at June 30, 2016 and December 31, 2015 were approximately $839,000 and $693,000, respectively, and are available to offset future taxable income and expire in 2036 and 2035, respectively. 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 June 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

6 Months Ended

Jun. 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.

Aurora’s pipeline of mortgage loans was not closed out as of the acquisition date. As a result, CHMI Solutions agreed to maintain Aurora’s existing warehouse facility pending funding and disposition of the mortgage loans in the pipeline which occurred prior to the end of the third quarter of 2015. All proceeds of the disposition of the mortgage loans, net of all costs and expenses related hereto, including the costs of the warehouse facility, were for the benefit of Aurora’s former owners. The warehouse facility expired on August 31, 2015.

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, 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.

The following table summarizes the final fair values of the assets acquired and liabilities assumed at the acquisition date (dollars in thousands):

	Preliminary Fair value of consideration transferred
Cash	$	80
Mortgage receivables		2,772
Servicing escrow advances		410
Capital leases		46
Deposits held and prepaid items		28
License approvals		120
MSRs		7,069
Total identifiable assets acquired	$	10,525

Current liabilities		1,643
Settlement liability		260
Assumed debt		3,969
Total liabilities assumed	$	5,872

Net identifiable assets acquired		4,653
Cash consideration transferred		(3,919	)
Gain on bargain purchase	$	734
Deferred tax liabiltiy - bargin purchase		(285	)
Realized gain (loss) on acquired assets, net	$	449

The amounts of revenue and earnings of Aurora included in the Company’s consolidated income statement for the three and six month periods ended June 30, 2016 and June 30, 2015 are as follows (dollars in thousands):

	Revenue and earnings included in the consolidated income statement
	Three Months Ended June 30,					Six Months Ended June 30,
	2016			2015		2016			2015
Revenue	$	1,574		$	156	$	3,069		$	156
Earnings		(2,055	)		213		(2,633	)		213

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 six month periods ended June 30, 2015 and for the three and six month periods ending June 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

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016			2015
Revenue	$	1,806	$	12,554	$	(4,448	)	$	11,548
Earnings (loss)	$	283	$	11,345	$	(6,780	)	$	8,963

Earnings (Loss) Per Share of Common Stock
Basic	$	0.04	$	1.51	$	(0.90	)	$	1.19
Diluted	$	0.04	$	1.51	$	(0.90	)	$	1.19
Weighted Average Number of Shares of Common Stock Outstanding
Basic		7,509,543		7,509,543		7,509,543			7,509,543
Diluted		7,520,616		7,509,543		7,519,827			7,509,543

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.

The entire disclosure for a business combination (or series of individually immaterial business combinations) completed during the period, including background, timing, and recognized assets and liabilities. The disclosure may include leverage buyout transactions (as applicable).

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Basis of Presentation and Significant Accounting Policies [Abstract]

Subsequent Events	6 Months Ended
Subsequent Events	Jun. 30, 2016
Subsequent Events [Abstract]
Subsequent Events	Note 17 – Subsequent Events Events subsequent to June 30, 2016, were evaluated and no additional events were identified requiring further disclosure in these interim consolidated financial statements.

Basis of Presentation and Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2016

Basis of Accounting

Emerging Growth Company Status

Use of Estimates

Risks and Uncertainties

Investments in RMBS

Investments in Excess MSRs

Investments in MSRs

Derivatives and Hedging Activities

Cash and Cash Equivalents and Restricted Cash

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

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):

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Realized gain (loss) on RMBS, net
Gain on RMBS	$	235		$	16		$	555		$	323
Loss on RMBS		-			(131	)		-			(131	)
Net realized gain (loss) on RMBS		235			(115	)		555			192
Realized gain (loss) on derivatives, net		(299	)		(52	)		(1,760	)		(1,294	)
Unrealized gain (loss) on derivatives, net		(1,228	)		2,835			(6,426	)		293
Total	$	(1,292	)	$	2,668		$	(7,631	)	$	(809	)

The gain and loss on RMBS presented above represent the amounts reclassified from other comprehensive income (loss) in earnings.

Repurchase Agreements and Interest Expense

Federal Home Loan Bank of Indianapolis Advances

Dividends Payable

Comprehensive Income

Business Combinations

Recent Accounting Pronouncements

Changes in Presentation

Certain prior period amounts have been reclassified to conform to current period presentation.

Basis of Presentation and Significant Accounting Policies (Tables)

6 Months Ended

Jun. 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):

	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Realized gain (loss) on RMBS, net
Gain on RMBS	$	235		$	16		$	555		$	323
Loss on RMBS		-			(131	)		-			(131	)
Net realized gain (loss) on RMBS		235			(115	)		555			192
Realized gain (loss) on derivatives, net		(299	)		(52	)		(1,760	)		(1,294	)
Unrealized gain (loss) on derivatives, net		(1,228	)		2,835			(6,426	)		293
Total	$	(1,292	)	$	2,668		$	(7,631	)	$	(809	)

Summary of Financial Data on CHMI's Segments with Reconciliation

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

+ References + Details

Segment Reporting (Tables)

6 Months Ended

Jun. 30, 2016

Segment Reporting [Abstract]

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):

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Three Months Ended June 30, 2016
Interest income	$	3,085		$	4,050		$	-		$	7,135
Interest expense		333			1,552			-			1,885
Net interest income		2,752			2,498			-			5,250
Servicing fee income		1,574			-			-			1,574
Servicing costs		501			-			-			501
Net servicing income		1,073			-			-			1,073
Other income		(3,225	)		(1,292	)		-			(4,517	)
Other operating expenses		-			-			1,512			1,512
(Benefit from) provision for corporate business taxes		10			-			-			10
Net income (loss)	$	590		$	1,206		$	(1,512	)	$	284
Three Months Ended June 30, 2015
Interest income	$	4,935		$	3,153		$	-		$	8,088
Interest expense		19			1,327			-			1,346
Net interest income		4,916			1,826			-			6,742
Servicing fee income		156			-			-			156
Servicing costs		94			-			-			94
Net servicing income		62			-			-			62
Other income		3,090			2,668			-			5,758
Other operating expenses		-			-			1,324			1,324
(Benefit from) provision for corporate business taxes		(70	)		-			-			(70	)
Net income (loss)	$	8,138		$	4,494		$	(1,324	)	$	11,308
Six Months Ended June 30, 2016
Interest income	$	4,529		$	7,794		$	-		$	12,323
Interest expense		673			2,869			-			3,542
Net interest income		3,856			4,925			-			8,781
Servicing fee income		3,069			-			-			3,069
Servicing costs		903			-			-			903
Net servicing income		2,166			-			-			2,166
Other income		(7,764	)		(7,631	)		-			(15,395	)
Other operating expenses		-			-			3,010			3,010
(Benefit from) provision for corporate business taxes		(580	)		-			-			(580	)
Net income (loss)	$	(1,162	)	$	(2,706	)	$	(3,010	)	$	(6,878	)
Six Months Ended June 30, 2015
Interest income	$	7,510		$	6,405		$	-		$	13,915
Interest expense		19			2,562			-			2,581
Net interest income		7,491			3,843			-			11,334
Servicing fee income		156			-			-			156
Servicing costs		94			-			-			94
Net servicing income		62			-			-			62
Other income		973			(809	)		-			164
Other operating expenses		-			-			2,756			2,756
(Benefit from) provision for corporate business taxes		(70	)		-			-			(70	)
Net income (loss)	$	8,596		$	3,034		$	(2,756	)	$	8,874

Balance Sheet
June 30, 2016
Investments	$	97,342	$	522,151	$	-	$	619,493
Other assets		4,476		19,794		11,638		35,908
Total assets		101,818		541,945		11,638		655,401
Debt		22,853		456,075		-		478,928
Other liabilities		5,811		15,381		5,109		26,301
Total liabilities		28,664		471,456		5,109		505,229
GAAP book value	$	73,154	$	70,489	$	6,529	$	150,172

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

Investments in RMBS (Tables)

6 Months Ended

Jun. 30, 2016

Investments in RMBS [Abstract]

Summary of RMBS Investments

There were no OTTI securities as of June 30, 2016 and December 31, 2015 (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2016

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
RMBS
Fannie Mae	$	349,283	$	314,051	$	7,280	$	(22	)	$	321,309		49	(B)		3.73	%		3.44	%		23
Freddie Mac		202,601		186,823		4,594		-			191,417		24	(B)		3.61	%		3.25	%		25
CMOs		19,896		9,614		66		(255	)		9,425		5	Unrated		4.55	%		4.14	%		11
Total/Weighted Average	$	571,780	$	510,488	$	11,940	$	(277	)	$	522,151		78			3.70	%		3.39	%		24

As of December 31, 2015

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		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.

Summary of RMBS Investments by Maturity

Summary of RMBS Assets by Maturity

As of June 30, 2016

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than 1 Year	$	-	$	-	$	-	$	-		$	-		-			-	%		-	%		-
1-5 Years		-		-		-		-			-		-			-	%		-	%		-
5-10 Years		3,500		3,500		34		(6	)		3,528		2	(B)		4.69	%		5.00	%		9
Over 10 Years		568,280		506,988		11,906		(271	)		518,623		76	(B)		3.69	%		3.38	%		24
Total/Weighted Average	$	571,780	$	510,488	$	11,940	$	(277	)	$	522,151		78			3.70	%		3.39	%		24

As of December 31, 2015

	Original				Gross Unrealized							Number		Weighted Average
Asset Type	Face Value		Book Value		Gains		Losses			Carrying Value^(A)		of Securities		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.

Summary of RMBS Securities in an Unrealized Loss Position

The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of June 30, 2016

	Original				Gross							Weighted Average
Asset Type	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)^(D)
Less than Twelve Months	$	8,132	$	8,408	$	(92	)	$	8,316		2	(B)		4.25	%		1.72	%		22
Twelve or More Months		13,146		2,877		(185	)		2,692		2	(B)		4.07	%		10.93	%		11
Total/Weighted Average	$	21,278	$	11,285	$	(277	)	$	11,008		4			4.21	%		4.07	%		19

As of December 31, 2015

	Original				Gross							Weighted Average
Asset Type	Face Value		Book Value		Unrealized Losses			Carrying Value^(A)		Number of Securities		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.

Investments in Servicing Related Assets (Tables)

6 Months Ended

Jun. 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 June 30, 2016

	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	$	6,807,065	$	34,550	$	34,721		3.51	%		25.6	$	(3,183	)
Excess MSR Pool 1 - Recapture Agreement		-		1,841		1,744							1,467
Excess MSR Pool 2		6,661,764		20,964		28,958		2.84	%		26.6		(1,228	)
Excess MSR Pool 2 - Recapture Agreement		-		1,484		973							553
Excess MSR Pool 2014		238,805		1,440		1,196		3.63	%		26.9		(65	)
Excess MSR Pool 2014 - Recapture Agreement		-		-		-							-
MSRs ^(E)		3,600,130		35,058		29,750		3.82			24.1		(5,308	)
Total	$	17,307,764	$	95,337	$	97,342		3.32	%		25.7	$	(7,764	)

As of December 31, 2015

	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 June 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.

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 June 30, 2016

	Percentage of Total Outstanding Unpaid Principal Balance
California		11.5	%
Texas		8.8	%
Florida		6.4	%
Virginia		5.5	%
All other		67.8	%
Total		100.0	%

As of December 31, 2015

	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	%

Equity and Earnings per Share (Tables)

6 Months Ended

Jun. 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 June 30, 2016

	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					1,332,063
LTIP-OP Units		140,350
Forfeited LTIP-OP Units		(916	)
Shares of Common Stock		28,503
Equity Compensation Plans Not Approved By Shareholders					-

As of December 31, 2015

	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				-

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

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

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

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016			2015
Numerator:
Net income attributable to common stockholders and participating securities	$	284	$	11,308	$	(6,878	)	$	8,874
Net income allocable to common stockholders	$	283	$	11,205	$	(6,780	)	$	8,793
Denominator:
Weighted average common shares outstanding		7,509,543		7,509,543		7,509,543			7,509,543
Weighted average diluted shares outstanding		7,520,616		7,509,543		7,519,827			7,509,543
Basic and Dilutive:
Basic earnings per share	$	0.04	$	1.49	$	(0.90	)	$	1.17
Diluted earnings per share	$	0.04	$	1.49	$	(0.90	)	$	1.17

Transactions with Affiliates and Affiliated Entities (Tables)

6 Months Ended

Jun. 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

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016		2015
Management fees	$	560	$	560	$	1,120	$	1,120
Expense reimbursement		130		130		260		260
Total	$	690	$	690	$	1,380	$	1,380

Derivative Instruments (Tables)

6 Months Ended

Jun. 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):

Non-hedge derivatives	June 30, 2016		December 31, 2015
Notional amount of interest rate swaps	$	321,250	$	300,300
Notional amount of swaptions		85,000		85,000
Notional amount of TBAs, net		1,000		-
Notional amount of Treasury Futures		45,600		-
Total notional amount	$	452,850	$	385,300

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):

	Notional Amount		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
June 30, 2016	$	321,250		1.53	%		0.64	%		3.4
December 31, 2015	$	300,300		1.71	%		0.37	%		4.3

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

		Three Months Ended June 30,						Six Months Ended June 30,
Non-Hedge Derivatives	Income Statement Location	2016			2015			2016			2015
Interest rate swaps	Realized gain/(loss) on derivative assets	$	(398	)	$	(149	)	$	(1,748	)	$	(937	)
Swaptions	Realized gain/(loss) on derivative assets		(140	)		64			(140	)		64
TBAs	Realized gain/(loss) on derivative assets		56			33			(26	)		(76	)
Treasury futures	Realized gain/(loss) on derivative assets		183			-			154			(345	)
Total		$	(299	)	$	(52	)	$	(1,760	)	$	(1,294	)

Summary of Offsetting Assets

Offsetting Assets and Liabilities

As of June 30, 2016

	Gross		Gross Amounts		Net Amounts of Assets Presented in		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet		the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	-	$	-	$	-	$	-		$	-		$	-
Swaptions		24		-		24		(24	)		-			-
TBAs		1		-		1		(1	)		-			-
Treasury futures		288		-		288		(288	)		(645	)
Total Assets	$	313	$	-	$	313	$	(313	)	$	(645	)	$	-

As of December 31, 2015

	Gross		Gross Amounts		Net Amounts of Assets Presented in		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet		the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	51	$	-	$	51	$	(51	)	$	-		$	-
Swaptions		371		-		371		(371	)		-			-
TBAs		-		-		-		-			-			-
Treasury futures		-		-		-		-			(84	)
Total Assets	$	422	$	-	$	422	$	(422	)	$	(84	)	$	-

Summary of Offsetting Liabilities

Offsetting Assets and Liabilities

As of June 30, 2016

Liabilities
Repurchase agreements	$	456,075	$	-	$	456,075	$	(452,625	)	$	(3,450	)	$	-
Interest rate swaps		10,666		-		10,666		-			(10,666	)		-
Swaptions		-		-		-		-			-			-
TBAs		-		-		-		-			-			-
Treasury futures		-		-		-		-			-			-
Total Liabilities	$	466,741	$	-	$	466,741	$	(452,625	)	$	(14,116	)	$	-

As of December 31, 2015

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	)	$	-

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
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-Section 50
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-URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
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-Topic 815
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Reference 3: http://www.xbrl.org/2003/role/presentationRef
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Reference 4: http://www.xbrl.org/2003/role/presentationRef
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Reference 5: http://www.xbrl.org/2003/role/presentationRef
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Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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-Name Accounting Standards Codification
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Company's Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value (Tables)

6 Months Ended

Jun. 30, 2016

Fair Value [Abstract]

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 June 30, 2016

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	321,309	$	-	$	321,309
Freddie Mac		-		191,417		-		191,417
CMOs		-		9,425		-		9,425
RMBS total		-		522,151		-		522,151
Derivative assets
Interest rate swaps		-		-		-		-
Interest rate swaptions		-		24		-		24
TBAs		-		1		-		1
Treasury Futures		-		288		-		288
Derivative assets total		-		313		-		313
Servicing Related Assets		-		-		97,342		97,342
Total Assets	$	-	$	522,464	$	97,342	$	619,806
Liabilities
Derivative liabilities
Interest rate swaps		-		10,666		-		10,666
TBAs		-		-		-		-
Treasury Futures		-		-		-		-
Derivative liabilities total		-		10,666		-		10,666
Total Liabilities	$	-	$	10,666	$	-	$	10,666

As of December 31, 2015

	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

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 June 30, 2016

	Level 3 ^(A)
	Pool 1			Pool 2			Pool 2014			MSRs			Total
Balance at December 31, 2015	$	43,482		$	33,054		$	1,506		$	19,761		$	97,803
Purchases and principal paydowns
Purchases		-			-			-			15,297			15,297
Proceeds from principal paydowns		(5,301	)		(2,448	)		(245	)		-			(7,994	)
Changes in fair value due to:
Mark to market gain (loss)		(1,716	)		(675	)		(65	)		(3,702	)		(6,158	)
Amortization of MSRs		-			-			-			(1,606	)		(1,606	)
Unrealized gain (loss) included in Net Income	$	(1,716	)	$	(675	)	$	(65	)	$	(5,308	)	$	(7,764	)
Balance at June 30, 2016	$	36,465		$	29,931		$	1,196		$	29,750		$	97,342

As of December 31, 2015

	Level 3 ^(A)
	Pool 1			Pool 2			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.

Significant Unobservable Inputs Used in Fair Value Measurement

Fair Value Measurements

As of June 30, 2016

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range			Weighted Average
Pool 1	$	36,465	Discounted cash flow	Constant prepayment speed		4.0% - 25.2	%		13.3	%
				Uncollected Payments		4.2% - 7.0	%		6.4	%
				Discount rate					12.3	%
Pool 2	$	29,931	Discounted cash flow	Constant prepayment speed		7.6% - 44.7	%		16.7	%
				Uncollected Payments		9.2% - 13.6	%		12.4	%
				Discount rate					16.5	%
Pool 2014	$	1,196	Discounted cash flow	Constant prepayment speed		3.9% - 29.0	%		14.3	%
				Uncollected Payments		6.9% - 8.6	%		8.2	%
				Discount rate					11.9	%
MSRs	$	29,750	Discounted cash flow	Constant prepayment speed		6.2% - 20.6	%		14.4	%
				Uncollected payments		0.7% - 1.4	%		1.2	%
				Discount rate					9.3	%
				Annual cost to service, per loan				$	63
TOTAL	$	97,342	Discounted cash flow

As of December 31, 2015

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range			Weighted Average
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	%
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	%
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)

Repurchase Agreements (Tables)

6 Months Ended

Jun. 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 June 30, 2016

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	140,677		0.73	%
One to three months		129,968		0.71	%
Greater than three months		185,430		0.77	%
Total/Weighted Average	$	456,075		0.74	%

As of December 31, 2015

	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	%

FHLBI Advances (Tables)

6 Months Ended

Jun. 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

	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	%

Notes Payable (Tables)

6 Months Ended

Jun. 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 June 30, 2016

	2016		2017		2018		2019		2020		Total
Term Loan
Borrowings under Term Loan facility	$	1,007	$	2,100	$	2,219	$	2,346	$	15,235	$	22,907

As of December 31, 2015

	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

Receivables and Other Assets (Tables)

6 Months Ended

Jun. 30, 2016

Receivables and Other Assets [Abstract]

Receivables and Other Assets

The assets comprising “Receivables and other assets” as of June 30, 2016 and December 31, 2015 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	June 30, 2016		December 31, 2015
Excess servicing income receivable	$	2,033	$	2,159
Servicing advances		728		787
Interest receivable		1,497		1,497
Federal Home Loan Bank stock		3,261		3,261
Deferred tax receivable		787		203
Other receivables		1,618		1,421
Total other assets	$	9,924	$	9,328

Income Taxes (Tables)

6 Months Ended

Jun. 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):

	Six Months Ended June 30,
	2016			2015
Current federal income tax expense	$	-		$	-
Current state income tax expense		-			-
Deferred federal income tax expense (benefit)		(522	)		(59	)
Deferred state income tax expense (benefit)		(58	)		(11	)
Total Income Tax Expense	$	(580	)	$	(70	)

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):

	Six Months Ended June 30,
	2016					2015
Computed income tax (benefit) expense at federal rate	$	(2,610	)	35.0	%	$	3,081		35.0	%
State taxes, net of federal benefit, if applicable		(58	)	0.8	%		9		0.1	%
Permanent differences in taxable income from GAAP pre-tax income				-	%		-		-	%
REIT income not subject to tax		2,088		(28.0	)%		(3,160	)	(35.9	)%
(Benefit from) Provision for Income Taxes/Effective Tax Rate^(A)	$	(580	)	7.8	%	$	(70	)	(0.8	)%

(A)	The provision for income taxes is recorded at the TRS level.

Summary of Current and Deferred Tax Liabilities and Assets

	Six Months Ended June 30,
	2016		2015
Income taxes (payable) receivable
Federal income taxes (payable) receivable	$	-	$	-
State and local income taxes (payable) receivable		-		-
Income taxes (payable) receivable, net	$	-	$	-

	June 30, 2016		December 31, 2015
Deferred tax assets (liabilities)
Deferred tax asset - organizational expenses	$	63	$	72
Deferred tax asset - mortgage servicing rights		414		(121	)
Deferred tax asset - net operating loss		310		252
Total net deferred tax assets (liabilities)	$	787	$	203

Business Combinations (Tables) - Aurora Financial Group, Inc [Member]

6 Months Ended

Jun. 30, 2016

Business Acquisition [Line Items]

Summary of Preliminary Estimated Fair Values of Assets Acquired and Liabilities Assumed

The following table summarizes the final fair values of the assets acquired and liabilities assumed at the acquisition date (dollars in thousands):

	Preliminary Fair value of consideration transferred
Cash	$	80
Mortgage receivables		2,772
Servicing escrow advances		410
Capital leases		46
Deposits held and prepaid items		28
License approvals		120
MSRs		7,069
Total identifiable assets acquired	$	10,525

Current liabilities		1,643
Settlement liability		260
Assumed debt		3,969
Total liabilities assumed	$	5,872

Net identifiable assets acquired		4,653
Cash consideration transferred		(3,919	)
Gain on bargain purchase	$	734
Deferred tax liabiltiy - bargin purchase		(285	)
Realized gain (loss) on acquired assets, net	$	449

Schedule of Amounts of Revenue and Earnings Included in Consolidated Income Statement

	Revenue and earnings included in the consolidated income statement
	Three Months Ended June 30,					Six Months Ended June 30,
	2016			2015		2016			2015
Revenue	$	1,574		$	156	$	3,069		$	156
Earnings		(2,055	)		213		(2,633	)		213

Schedule of Proforma Consolidated Income Statement

Pro Forma Consolidated Income Statement

	Three Months Ended June 30,				Six Months Ended June 30,
	2016		2015		2016			2015
Revenue	$	1,806	$	12,554	$	(4,448	)	$	11,548
Earnings (loss)	$	283	$	11,345	$	(6,780	)	$	8,963

Earnings (Loss) Per Share of Common Stock
Basic	$	0.04	$	1.51	$	(0.90	)	$	1.19
Diluted	$	0.04	$	1.51	$	(0.90	)	$	1.19
Weighted Average Number of Shares of Common Stock Outstanding
Basic		7,509,543		7,509,543		7,509,543			7,509,543
Diluted		7,520,616		7,509,543		7,519,827			7,509,543

Organization and Operations (Details)	6 Months Ended
Organization and Operations (Details)	Jun. 30, 2016
Organization and Operations [Abstract]
Date of conducting IPO and concurrent private placement of common stock	Oct. 09, 2013

Basis of Presentation and Significant Accounting Policies (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Investment in RMBS [Abstract]
Payables for unsettled trades	$ 4,421,000		$ 4,421,000		$ 0
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	15,851,000		15,851,000		9,942,000
Realized Gain (Loss) on RMBS and Derivatives [Abstract]
Gain on RMBS	235,000	$ 16,000	555,000	$ 323,000
Loss on RMBS	0	(131,000)	0	(131,000)
Net realized gain (loss) on RMBS	235,000	(115,000)	555,000	192,000
Realized gain (loss) on derivatives, net	(299,000)	(52,000)	(1,760,000)	(1,294,000)
Unrealized gain (loss) on derivatives, net	(1,228,000)	2,835,000	(6,426,000)	293,000
Total	(1,292,000)	$ 2,668,000	(7,631,000)	$ (809,000)
Term Loan [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	1,100,000		1,100,000		1,100,000
RMBS [Member]
Investment in RMBS [Abstract]
Payables for unsettled trades	4,421,000		4,421,000
Derivatives [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	11,300,000		11,300,000		4,600,000
Repurchase Agreements [Member]
Cash and Cash Equivalents and Restricted Cash [Abstract]
Restricted cash	3,500,000		3,500,000		4,200,000
Receivables and Other Assets [Member] \| RMBS [Member]
Investment in RMBS [Abstract]
Income receivable	1,500,000		1,500,000		1,500,000
Receivables and Other Assets [Member] \| Excess Mortgage Service Right [Member]
Investment in RMBS [Abstract]
Income receivable	2,000,000		2,000,000		$ 2,200,000
Receivables and Other Assets [Member] \| Reimbursable Servicing Advances [Member]
Investment in RMBS [Abstract]
Income receivable	$ 728,000		$ 728,000

Segment Reporting (Details) - USD ($)
$ in Thousands

3 Months Ended

6 Months Ended

Jun. 30, 2016

Jun. 30, 2015

Jun. 30, 2016

Jun. 30, 2015

Dec. 31, 2015

$ 7,135

$ 8,088

$ 12,323

$ 13,915

1,885

1,346

3,542

2,581

5,250

6,742

8,781

11,334

Servicing fee income

1,574

156

3,069

156

Servicing costs

501

903

Net servicing income

1,073

2,166

Other income

(4,517)

5,758

(15,395)

164

(Benefit from) provision for corporate business taxes

1,512

1,324

3,010

2,756

(70)

(580)

^[1]

(70)

^[1]

284

11,308

(6,878)

8,874

619,493

$ 606,045

35,908

30,295

655,401

636,340

478,928

472,123

26,301

11,880

505,229

484,003

150,172

152,337

3,085

4,935

4,529

7,510

333

673

2,752

4,916

3,856

7,491

Servicing fee income

1,574

156

3,069

156

Servicing costs

501

903

Net servicing income

1,073

2,166

Other income

(3,225)

3,090

(7,764)

973

(Benefit from) provision for corporate business taxes

(70)

(580)

(70)

590

8,138

(1,162)

8,596

97,342

97,803

4,476

3,562

101,818

101,365

22,853

24,313

5,811

1,883

28,664

26,196

RMBS [Member] | Operating Segments [Member]

73,154

75,169

4,050

3,153

7,794

6,405

1,552

1,327

2,869

2,562

2,498

1,826

4,925

3,843

(1,292)

2,668

(7,631)

(809)

(Benefit from) provision for corporate business taxes

1,206

4,494

(2,706)

3,034

522,151

508,242

19,794

13,984

541,945

522,226

456,075

447,810

15,381

4,903

471,456

452,713

70,489

69,513

All Other [Member]

(Benefit from) provision for corporate business taxes

1,512

1,324

3,010

2,756

(1,512)

$ (1,324)

(3,010)

$ (2,756)

11,638

12,749

11,638

12,749

5,109

5,094

5,109

5,094

Schedule of Available-for-sale Securities [Line Items]

$ 6,529

$ 7,655

[1]	The provision for income taxes is recorded at the TRS level.

Investments in RMBS (Details)
$ in Thousands

3 Months Ended

6 Months Ended

12 Months Ended

Jun. 30, 2016

USD ($)

Jun. 30, 2015

USD ($)

Jun. 30, 2016

USD ($)

Security

Jun. 30, 2015

USD ($)

Dec. 31, 2015

USD ($)

Security

OTTI charges recognized in earnings

$ 522,151

$ 508,242

$ 0

RMBS [Member]

Schedule of Available-for-sale Securities [Line Items]

OTTI securities

571,780

554,567

510,488

508,427

11,940

2,782

(277)

(2,967)

^[1]

$ 522,151

$ 508,242

3.70%

3.72%

^[2]

3.39%

3.60%

Carrying value of collateral for repurchase agreements

^[3]

24 years

23 years

$ 480,500

$ 399,800

Carrying value of collateral for FHLB

83,200

RMBS [Member] | Fannie Mae [Member]

Schedule of Available-for-sale Securities [Line Items]

349,283

329,767

314,051

308,367

7,280

1,961

(22)

(1,556)

^[1]

$ 321,309

$ 308,772

^[4]

3.73%

3.77%

^[2]

3.44%

3.59%

RMBS [Member] | Freddie Mac [Member]

^[3]

23 years

24 years

Schedule of Available-for-sale Securities [Line Items]

$ 202,601

$ 208,154

186,823

193,567

4,594

821

(977)

^[1]

$ 191,417

$ 193,411

^[4]

3.61%

^[2]

3.25%

3.48%

RMBS [Member] | CMOs [Member]

^[3]

25 years

24 years

Schedule of Available-for-sale Securities [Line Items]

$ 19,896

$ 16,646

9,614

6,493

(255)

(434)

^[1]

$ 9,425

$ 6,059

Unrated

4.55%

^[2]

4.14%

7.39%

Schedule of Available-for-sale Securities [Line Items]

^[3]

11 years

10 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
[3]	The weighted average stated maturity.
[4]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities.

Investments in RMBS, Assets by Maturity (Details)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2016

USD ($)

Security

Dec. 31, 2015

USD ($)

Security

Schedule of Available-for-sale Securities [Line Items]

$ 522,151

$ 508,242

RMBS [Member]

571,780

554,567

510,488

508,427

11,940

2,782

(277)

(2,967)

^[1]

$ 522,151

$ 508,242

3.70%

3.72%

^[2]

3.39%

3.60%

RMBS [Member] | Less than 1 Year [Member]

^[3]

24 years

23 years

Schedule of Available-for-sale Securities [Line Items]

$ 0

^[1]

$ 0

0.00%

^[2]

0.00%

RMBS [Member] | 1-5 Years [Member]

^[3]

0 years

Schedule of Available-for-sale Securities [Line Items]

$ 0

^[1]

$ 0

0.00%

^[2]

0.00%

RMBS [Member] | 5-10 Years [Member]

^[3]

0 years

Schedule of Available-for-sale Securities [Line Items]

$ 3,500

$ 5,500

3,500

5,553

(6)

(216)

^[1]

$ 3,528

$ 5,337

^[4]

4.69%

4.76%

^[2]

5.00%

4.96%

RMBS [Member] | Over 10 Years [Member]

^[3]

9 years

Schedule of Available-for-sale Securities [Line Items]

$ 568,280

$ 549,067

506,988

502,874

11,906

2,782

(271)

(2,751)

^[1]

$ 518,623

$ 502,905

^[4]

3.69%

3.71%

^[2]

3.38%

3.59%

Schedule of Available-for-sale Securities [Line Items]

^[3]

24 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
[3]	The weighted average stated maturity.
[4]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities.

Investments in RMBS, Unrealized Loss Positions (Details)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2016

USD ($)

Security

Dec. 31, 2015

USD ($)

Security

Schedule of Available-for-sale Securities [Line Items]

$ 522,151

$ 508,242

RMBS [Member]

571,780

554,567

510,488

508,427

(277)

(2,967)

^[1]

$ 522,151

$ 508,242

3.70%

3.72%

^[2]

3.39%

3.60%

RMBS [Member] | Unrealized Loss Positions [Member]

^[3]

24 years

23 years

Schedule of Available-for-sale Securities [Line Items]

$ 21,278

$ 282,731

11,285

275,936

(277)

(2,967)

^[4]

$ 11,008

$ 272,969

4.21%

3.65%

^[2]

4.07%

3.55%

RMBS [Member] | Unrealized Loss Positions [Member] | Less than Twelve Months [Member]

^[5]

19 years

24 years

Schedule of Available-for-sale Securities [Line Items]

$ 8,132

$ 271,585

8,408

274,996

(92)

(2,749)

^[4]

$ 8,316

$ 272,247

^[6]

4.25%

3.65%

^[2]

1.72%

3.48%

RMBS [Member] | Unrealized Loss Positions [Member] | Twelve or More Months [Member]

^[5]

22 years

24 years

Schedule of Available-for-sale Securities [Line Items]

$ 13,146

$ 11,146

2,877

940

(185)

(218)

^[4]

$ 2,692

$ 722

^[6]

4.07%

3.00%

^[2]

10.93%

25.37%

^[5]

11 years

17 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value. Prior period amounts have been reclassified to conform to current period presentation.
[3]	The weighted average stated maturity.
[4]	See Note 9 regarding the estimation of fair value, which is equal to carrying value for all securities.
[5]	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.
[6]	The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated.

Investments in Servicing Related Assets (Details)			6 Months Ended
Investments in Servicing Related Assets (Details)	Mar. 31, 2014 USD ($)	Feb. 28, 2014 USD ($)	Jun. 30, 2016 USD ($) Portfolio	Jun. 30, 2014 USD ($)	May 29, 2015 USD ($)	Oct. 31, 2013 USD ($)
Aurora Financial Group, Inc [Member]
Investment [Line Items]
Mortgage loans with an outstanding principal balance			$ 3,000,000,000
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%
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%
Freedom Mortgage Excess Service Right [Member]
Investment [Line Items]
Aggregate unpaid principal balance	$ 159,800,000	$ 76,800,000		$ 98,100,000
Excess mortgage servicing acquired	71.00%	85.00%		85.00%
Excess mortgage servicing acquired, amount	$ 946,000	$ 567,000		$ 661,000
Mortgage Servicing Rights (MSRs) [Member]
Investment [Line Items]
Number of portfolios \| Portfolio			3
Mortgage Servicing Rights (MSRs) [Member] \| Aurora Financial Group, Inc [Member]
Investment [Line Items]
Agreement initial term			1 year
Renewal period of agreement			1 year
Notice period required for termination of agreement			60 days

Investments in Servicing Related Assets, Summary (Details) - USD ($)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2016

Dec. 31, 2015

$ 17,307,764

$ 16,978,412

^[1]

95,337

89,157

^[2]

$ 97,342

$ 97,803

3.32%

3.23%

Changes in fair value recorded in other income (loss)

^[3]

25 years 8 months 12 days

26 years 1 month 6 days

^[4]

$ (7,764)

$ (1,142)

Excess MSR Pool 1 [Member]

6,807,065

7,416,465

^[1]

34,550

39,483

^[2]

$ 34,721

$ 42,837

3.51%

Changes in fair value recorded in other income (loss)

^[3]

25 years 7 months 6 days

26 years

^[4]

$ (3,183)

$ (2,822)

Excess MSR Pool 1 - Recapture Agreement [Member]

^[1]

1,841

2,209

^[2]

1,744

$ 645

0.00%

Changes in fair value recorded in other income (loss)

^[3]

0 years

^[4]

1,467

$ 331

Excess MSR Pool 2 [Member]

6,661,764

7,279,706

^[1]

20,964

23,116

^[2]

$ 28,958

$ 32,338

2.84%

2.78%

Changes in fair value recorded in other income (loss)

^[3]

26 years 7 months 6 days

27 years 1 month 6 days

^[4]

$ (1,228)

$ 2,626

Excess MSR Pool 2 - Recapture Agreement

^[1]

1,484

1,780

^[2]

973

$ 716

0.00%

Changes in fair value recorded in other income (loss)

^[3]

0 years

^[4]

553

$ (324)

Excess MSR Pool 2014 [Member]

238,805

265,890

^[1]

1,440

1,685

^[2]

$ 1,196

$ 1,506

3.63%

3.65%

Changes in fair value recorded in other income (loss)

^[3]

26 years 10 months 24 days

27 years 4 months 24 days

^[4]

$ (65)

$ 170

Excess MSR Pool 2014 - Recapture Agreement [Member]

^[1]

^[2]

$ 0

0.00%

Changes in fair value recorded in other income (loss)

^[3]

0 years

^[4]

$ 0

Mortgage Servicing Rights (MSRs) [Member]

^[5]

3,600,130

2,016,351

^[1],[5]

35,058

20,884

^[2],[5]

$ 29,750

$ 19,761

^[5]

3.82%

3.76%

Changes in fair value recorded in other income (loss)

^[3],[5]

24 years 1 month 6 days

22 years 8 months 12 days

^[4],[5]

$ (5,308)

$ (1,123)

[1]	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.
[2]	Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
[3]	The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
[4]	The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2016 and December 31, 2015 is reflected in the respective pool.
[5]	MSR cost basis consists of the carrying value basis of the prior period, adjusted for any acquisitions made during the current period.

Investments in Servicing Related Assets, Geographic Concentration (Details)	Jun. 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	11.50%	12.30%
Texas [Member]
Investment [Line Items]
Outstanding unpaid principal balance	8.80%	9.40%
Florida [Member]
Investment [Line Items]
Outstanding unpaid principal balance	6.40%	6.50%
Virginia [Member]
Investment [Line Items]
Outstanding unpaid principal balance	5.50%	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	67.80%	50.50%

Equity and Earnings per Share, Equity (Details)						3 Months Ended		6 Months Ended
Equity and Earnings per Share, Equity (Details)	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	Jun. 30, 2016 USD ($) shares	Jun. 30, 2015 USD ($)	Jun. 30, 2016 USD ($) shares	Jun. 30, 2015 USD ($)	Dec. 31, 2015 shares
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
Long Term Incentive Plan Units [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
LTIP-OP unit vesting period								3 years
LTIP-OP unit vested (in shares)								48,289
Share-based compensation expense recognized \| $						$ 135,200	$ 100,500	$ 282,000	$ 200,100
Share-based compensation expense related to non-vested (in shares)						91,145		91,145
Unrecognized share-based compensation expense \| $						$ 1,200,000		$ 1,200,000
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)						1,332,063		1,332,063		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]
Number of securities issued or to be issued upon exercise (in shares)						(916)		(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
2013 Equity Compensation Plans Not 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)						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]	Jun. 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		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Numerator [Abstract]
Net income attributable to common stockholders and participating securities	$ 284	$ 11,308	$ (6,878)	$ 8,874
Net income allocable to common stockholders	$ 283	$ 11,205	$ (6,780)	$ 8,793
Denominator [Abstract]
Weighted average common shares outstanding (in shares)	7,509,543	7,509,543	7,509,543	7,509,543
Weighted average diluted shares outstanding (in shares)	7,520,616	7,509,543	7,519,827	7,509,543
Basic and Dilutive [Abstract]
Basic earnings per share (in dollars per share)	$ 0.04	$ 1.49	$ (0.90)	$ 1.17
Diluted earnings per share (in dollars per share)	$ 0.04	$ 1.49	$ (0.90)	$ 1.17
Anti-dilutive securities (in shares)	0	0	0	0

Transactions with Affiliates and Affiliated Entities (Details) - USD ($)		3 Months Ended		6 Months Ended
	Jun. 10, 2015	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 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		$ 518,000	$ 0	$ 518,000	$ 0
Other affiliated entities, expense		127,000	0	127,000	0
Other affiliated entities, assets (liabilities)		0		0		$ 0
Management fees		560,000	560,000	1,120,000	1,120,000
Expense reimbursement		130,000	130,000	260,000	260,000
Total		$ 690,000	$ 690,000	$ 1,380,000	$ 1,380,000
Maximum [Member]
Related Party Transaction [Line Items]
Number of days to repurchase security		120 days

Derivative Instruments - Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Notional Amount of Interest Rate Swaps [Member]
Derivative [Line Items]
Total notional amount	$ 321,250	$ 300,300
Weighted average pay rate	1.53%	1.71%
Weighted average receive rate	0.64%	0.37%
Weighted average years to maturity	3 years 4 months 24 days	4 years 3 months 18 days
Not Designated as Hedging Instrument [Member]
Derivative [Line Items]
Total notional amount	$ 452,850	$ 385,300
Not Designated as Hedging Instrument [Member] \| Notional Amount of Interest Rate Swaps [Member]
Derivative [Line Items]
Total notional amount	321,250	300,300
Not Designated as Hedging Instrument [Member] \| Notional Amount of Swaptions [Member]
Derivative [Line Items]
Total notional amount	85,000	85,000
Not Designated as Hedging Instrument [Member] \| Notional Amount of TBAs, Net [Member]
Derivative [Line Items]
Total notional amount	1,000	0
Not Designated as Hedging Instrument [Member] \| Notional Amount of Treasury Futures [Member]
Derivative [Line Items]
Total notional amount	$ 45,600	$ 0

Derivative Instruments - Summary of Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	$ (299)	$ (52)	$ (1,760)	$ (1,294)
Not Designated as Hedging Instrument [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(299)	(52)	(1,760)	(1,294)
Not Designated as Hedging Instrument [Member] \| Realized Gain/(Loss) on Derivative Assets [Member] \| Interest Rate Swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(398)	(149)	(1,748)	(937)
Not Designated as Hedging Instrument [Member] \| Realized Gain/(Loss) on Derivative Assets [Member] \| Swaptions [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	(140)	64	(140)	64
Not Designated as Hedging Instrument [Member] \| Realized Gain/(Loss) on Derivative Assets [Member] \| TBAs [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	56	33	(26)	(76)
Not Designated as Hedging Instrument [Member] \| Realized Gain/(Loss) on Derivative Assets [Member] \| Treasury Futures [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gain/(loss) on derivatives	$ 183	$ 0	$ 154	$ (345)

Derivative Instruments - Offsetting Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	$ 313	$ 422
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	313	422
Gross amounts not offset in the consolidated balance sheet in financial instruments	(313)	(422)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(645)	(84)
Net amount	0	0
Interest Rate Swaps [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets or liabilities	0	51
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	0	51
Gross amounts not offset in the consolidated balance sheet in financial instruments	0	(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	24	371
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	24	371
Gross amounts not offset in the consolidated balance sheet in financial instruments	(24)	(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	1	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	1	0
Gross amounts not offset in the consolidated balance sheet in financial instruments	(1)	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	288	0
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	288	0
Gross amounts not offset in the consolidated balance sheet in financial instruments	(288)	0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	$ (645)	$ (84)

Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	$ 466,741	$ 390,155
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	466,741	390,155
Gross amounts not offset in the consolidated balance sheet in financial instruments	(452,625)	(381,386)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(14,116)	(8,769)
Net amount	0	0
Repurchase Agreements [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	456,075	385,560
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	456,075	385,560
Gross amounts not offset in the consolidated balance sheet in financial instruments	(452,625)	(381,386)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(3,450)	(4,174)
Net amount	0	0
Interest Rate Swaps [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized assets or liabilities	10,666	4,595
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	10,666	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)	(10,666)	(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	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 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	Jun. 30, 2016	Dec. 31, 2015
Assets [Abstract]
Derivative assets total	$ 313	$ 422
Liabilities [Abstract]
Derivative liabilities total	10,666	4,595
Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	0	51
Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	24	371
TBAs [Member]
Assets [Abstract]
Derivative assets total	1	0
Treasury Futures [Member]
Assets [Abstract]
Derivative assets total	$ 288	$ 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	313	422
Servicing related assets	0	0
Total Assets	522,464	508,664
Liabilities [Abstract]
Derivative liabilities total	10,666	4,595
Total Liabilities	10,666	4,595
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| RMBS [Member]
Assets [Abstract]
RMBS total	522,151	508,242
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| RMBS [Member] \| Fannie Mae [Member]
Assets [Abstract]
RMBS total	321,309	308,772
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| RMBS [Member] \| Freddie Mac [Member]
Assets [Abstract]
RMBS total	191,417	193,411
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| RMBS [Member] \| CMOs [Member]
Assets [Abstract]
RMBS total	9,425	6,059
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	0	51
Liabilities [Abstract]
Derivative liabilities total	10,666	4,595
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	24	371
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| TBAs [Member]
Assets [Abstract]
Derivative assets total	1	0
Liabilities [Abstract]
Derivative liabilities total	0	0
Fair Value, Measurements, Recurring [Member] \| Level 2 [Member] \| Treasury Futures [Member]
Assets [Abstract]
Derivative assets total	288	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	97,342	97,803
Total Assets	97,342	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	313	422
Servicing related assets	97,342	97,803
Total Assets	619,806	606,467
Liabilities [Abstract]
Derivative liabilities total	10,666	4,595
Total Liabilities	10,666	4,595
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| RMBS [Member]
Assets [Abstract]
RMBS total	522,151	508,242
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| RMBS [Member] \| Fannie Mae [Member]
Assets [Abstract]
RMBS total	321,309	308,772
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| RMBS [Member] \| Freddie Mac [Member]
Assets [Abstract]
RMBS total	191,417	193,411
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| RMBS [Member] \| CMOs [Member]
Assets [Abstract]
RMBS total	9,425	6,059
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| Interest Rate Swaps [Member]
Assets [Abstract]
Derivative assets total	0	51
Liabilities [Abstract]
Derivative liabilities total	10,666	4,595
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| Interest Rate Swaptions [Member]
Assets [Abstract]
Derivative assets total	24	371
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| TBAs [Member]
Assets [Abstract]
Derivative assets total	1	0
Liabilities [Abstract]
Derivative liabilities total	0	0
Fair Value, Measurements, Recurring [Member] \| Carrying Value [Member] \| Treasury Futures [Member]
Assets [Abstract]
Derivative assets total	288	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

6 Months Ended

12 Months Ended

Jun. 30, 2016

Jun. 30, 2015

Dec. 31, 2015

$ 0

Fair Value, Measurements, Recurring [Member] | Level 3 [Member]

(7,764)

799

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

^[1]

97,803

91,322

$ 91,322

^[1]

15,297

20,884

^[1]

(7,994)

(13,261)

^[1]

(6,158)

(586)

^[1]

(1,606)

(556)

^[1]

(7,764)

(1,142)

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 1 [Member]

^[1]

97,342

97,803

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

^[1]

43,482

54,798

^[1]

^[1]

(5,301)

(8,825)

^[1]

(1,716)

(2,491)

^[1]

^[1]

(1,716)

(2,491)

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2 [Member]

^[1]

36,465

43,482

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

^[1]

33,054

34,938

^[1]

^[1]

(2,448)

(4,186)

^[1]

(675)

2,302

^[1]

^[1]

(675)

2,302

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2014 [Member]

^[1]

29,931

33,054

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

^[1]

1,506

1,586

^[1]

^[1]

(245)

(250)

^[1]

(65)

170

^[1]

^[1]

(65)

170

Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | MSRs [Member]

^[1]

1,196

1,506

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

^[1]

19,761

$ 0

^[1]

15,297

20,884

^[1]

^[1]

(3,702)

(567)

^[1]

(1,606)

(556)

^[1]

(5,308)

(1,123)

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

$ 29,750

$ 19,761

[1]	Includes the recapture agreement for each respective pool.

Fair Value - Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($)
$ in Thousands

6 Months Ended

12 Months Ended

Jun. 30, 2016

Dec. 31, 2015

Fair Value Inputs, Assets, Quantitative Information [Line Items]

$ 97,342

$ 97,803

Pool 1 [Member]

Pool 1 [Member] | Minimum [Member]

$ 36,465

$ 43,482

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

4.00%

Pool 1 [Member] | Maximum [Member]

^[1]

4.20%

2.90%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

25.20%

19.00%

Pool 1 [Member] | Weighted Average [Member]

^[1]

7.00%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

13.30%

10.50%

^[1]

6.40%

6.20%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

12.30%

Pool 2 [Member]

Pool 2 [Member] | Minimum [Member]

$ 29,931

$ 33,054

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

7.60%

8.30%

Pool 2 [Member] | Maximum [Member]

^[1]

9.20%

10.40%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

44.70%

42.30%

Pool 2 [Member] | Weighted Average [Member]

^[1]

13.60%

13.90%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

16.70%

14.90%

^[1]

12.40%

13.00%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

16.50%

16.70%

Pool 2014 [Member]

Pool 2014 [Member] | Minimum [Member]

$ 1,196

$ 1,506

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

3.90%

Pool 2014 [Member] | Maximum [Member]

^[1]

6.90%

5.90%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

29.00%

22.30%

Pool 2014 [Member] | Weighted Average [Member]

^[1]

8.60%

7.10%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

14.30%

11.20%

^[1]

8.20%

6.80%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

11.90%

MSRs [Member]

Annual cost to service, per loan

$ 29,750

$ 19,761

^[1]

$ 63

$ 73

MSRs [Member] | Minimum [Member]

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

6.20%

0.00%

MSRs [Member] | Maximum [Member]

^[1]

0.70%

1.20%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

20.60%

13.80%

MSRs [Member] | Weighted Average [Member]

^[1]

1.40%

3.40%

Fair Value Inputs, Assets, Quantitative Information [Line Items]

^[1]

14.40%

9.70%

^[1]

1.20%

1.60%