0001140361-21-008318 | 10-K | XBRL Viewer | Cherry Hill Mortgage Investment Corp

$ 49,020

$ 73,338

$ 57,350

16,317

48,585

34,509

Net interest income

32,703

24,753

22,841

65,961

73,555

50,776

22,640

17,404

10,615

Realized gain (loss) on RMBS, available-for-sale, net

43,321

56,151

40,161

Other income (loss)

(4,640)

902

(8,362)

Realized loss on investments in MSRs, net

(11,347)

Realized loss on derivatives, net

(22,826)

(12,362)

(5,889)

Realized gain (loss) on acquired assets, net

(690)

Unrealized gain (loss) on derivatives, net

48,055

(10,867)

3,505

Unrealized loss on investments in Servicing Related Assets

(141,900)

(106,772)

(3,573)

Total Income (Loss)

(57,324)

(48,169)

48,683

Expenses

General and administrative expense

6,888

4,647

3,941

Management fee to affiliate

7,770

7,784

5,946

Total Expenses

14,658

12,431

9,887

Income (Loss) Before Income Taxes

(71,982)

(60,600)

38,796

Provision for (Benefit from) corporate business taxes

^[1]

(18,764)

(9,925)

4,527

Net (income) loss allocated to noncontrolling interests in Operating Partnership

(53,218)

(50,675)

34,269

979

819

(443)

Dividends on preferred stock

9,842

9,353

5,297

Net Income (Loss) Applicable to Common Stockholders

$ (62,081)

$ (59,209)

$ 28,529

Net Income (Loss) Per Share of Common Stock

Basic (in dollars per share)

$ (3.67)

$ (3.53)

$ 1.95

Diluted (in dollars per share)

$ (3.67)

$ (3.53)

$ 1.95

Weighted Average Number of Shares of Common Stock Outstanding

Basic (in shares)

16,901,537

16,775,113

14,649,242

Diluted (in shares)

16,919,204

16,787,902

14,657,498

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

Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Consolidated Statements of Comprehensive Income (Loss) [Abstract]
Net income (loss)	$ (53,218)	$ (50,675)	$ 34,269
Other comprehensive income (loss):
Net unrealized gain (loss) on RMBS	(10,460)	80,716	(43,455)
Reclassification of net realized (gain) loss on RMBS included in earnings	4,640	(902)	8,362
Other comprehensive income (loss)	(5,820)	79,814	(35,093)
Comprehensive income (loss)	(59,038)	29,139	(824)
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership	(1,086)	471	(11)
Dividends on preferred stock	9,842	9,353	5,297
Comprehensive income (loss) attributable to common stockholders	$ (67,794)	$ 19,315	$ (6,110)

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands	Common Stock [Member]	Preferred Stock [Member]	Additional Paid-in Capital [Member]	Accumulated Other Comprehensive Income (Loss) [Member]	Retained Earnings (Deficit) [Member]	Non-Controlling Interest in Operating Partnership [Member]	Total	Series A Preferred Stock [Member] Common Stock [Member]	Series A Preferred Stock [Member] Preferred Stock [Member]	Series A Preferred Stock [Member] Additional Paid-in Capital [Member]	Series A Preferred Stock [Member] Accumulated Other Comprehensive Income (Loss) [Member]	Series A Preferred Stock [Member] Retained Earnings (Deficit) [Member]	Series A Preferred Stock [Member] Non-Controlling Interest in Operating Partnership [Member]	Series A Preferred Stock [Member]	Series B Preferred Stock [Member] Common Stock [Member]	Series B Preferred Stock [Member] Preferred Stock [Member]	Series B Preferred Stock [Member] Additional Paid-in Capital [Member]	Series B Preferred Stock [Member] Accumulated Other Comprehensive Income (Loss) [Member]	Series B Preferred Stock [Member] Retained Earnings (Deficit) [Member]	Series B Preferred Stock [Member] Non-Controlling Interest in Operating Partnership [Member]	Series B Preferred Stock [Member]
Beginning balance at Dec. 31, 2018	$ 167	$ 65,639	$ 298,614	$ (38,400)	$ 29,632	$ 3,191	$ 358,843
Beginning balance (in shares) at Dec. 31, 2018	16,652,170	2,718,206
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 3	$ 0	4,109	0	0	0	4,112
Issuance of common stock (in shares)	244,435	0
Repurchase of common stock	$ 0	$ 0	(3,543)	0	0	0	$ (3,543)
Repurchase of common stock (in shares)	(235,950)	0					(235,950)
Issuance of preferred stock	$ 0	$ 49,642	0	0	0	0	$ 49,642
Issuance of preferred stock (in shares)	0	2,063,429
Conversion of OP units	$ 0	$ 0	0	0	0	(103)	(103)
Net Income before dividends on preferred stock	0	0	0	0	(49,856)	(819)	(50,675)
Other Comprehensive Income (Loss)	0	0	0	79,814	0	0	79,814
LTIP-OP Unit awards	0	0	0	0	0	1,025	1,025
Distribution paid on LTIP-OP Units	0	0	0	0	0	(513)	(513)
Common dividends declared	0	0	0	0	(29,876)	0	(29,876)
Preferred dividends declared								$ 0	$ 0	$ 0	$ 0	$ (5,703)	$ 0	$ (5,703)	$ 0	$ 0	$ 0	$ 0	$ (3,648)	$ 0	$ (3,648)
Ending balance at Dec. 31, 2019	$ 170	$ 115,281	299,180	41,414	(59,451)	2,781	$ 399,375
Ending balance (in shares) at Dec. 31, 2019	16,660,655	4,781,635					16,660,655
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 5	$ 0	3,565	0	0	0	$ 3,570
Issuance of common stock (in shares)	558,734	0
Repurchase of common stock	$ 0	$ 0	(1,748)	0	0	0	$ (1,748)
Repurchase of common stock (in shares)	(142,531)						(142,531)
Issuance of preferred stock	$ 0	$ 98	0	0	0	0	$ 98
Issuance of preferred stock (in shares)	0	0
Conversion of OP units	$ 0	$ 0	0	0	0	(76)	(76)
Net Income before dividends on preferred stock	0	0	0	0	(52,239)	(979)	(53,218)
Other Comprehensive Income (Loss)	0	0	0	(5,820)	0	0	(5,820)
LTIP-OP Unit awards	0	0	0	0	0	1,012	1,012
Distribution paid on LTIP-OP Units	0	0	0	0	0	(337)	(337)
Common dividends declared	0	0	0	0	(20,448)	0	(20,448)
Preferred dividends declared								$ 0	$ 0	$ 0	$ 0	$ (5,718)	$ 0	$ (5,718)	$ 0	$ 0	$ 0	$ 0	$ (4,124)	$ 0	$ (4,124)
Ending balance at Dec. 31, 2020	$ 175	$ 115,379	$ 300,997	$ 35,594	$ (141,980)	$ 2,401	$ 312,566
Ending balance (in shares) at Dec. 31, 2020	17,076,858	4,781,635					17,076,858

Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Common dividends declared (in dollars per share)	$ 1.21	$ 1.78
Series A Preferred Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred dividends declared (in dollars per share)	2.05	2.05
Series B Preferred Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred dividends declared (in dollars per share)	$ 2.06	$ 1.91

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Cash Flows From Operating Activities
Net income (loss)	$ (53,218)	$ (50,675)	$ 34,269
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Realized (gain) loss on RMBS, available-for-sale, net	4,640	(902)	8,362
Unrealized loss on investments in Servicing Related Assets	141,900	106,772	3,573
Realized loss on investments in MSRs, net	11,347	0	0
Realized (gain) on acquired assets, net	690	(26)	0
Realized loss on derivatives, net	22,826	12,362	5,889
Unrealized (gain) loss on derivatives, net	(48,055)	10,867	(3,505)
Realized gain on TBA dollar rolls, net	(6,179)	(1,667)	(1,089)
Amortization of premiums on RMBS, available-for-sale	15,855	14,485	12,401
Amortization of deferred financing costs	387	652	205
LTIP-OP Unit awards	1,012	1,025	662
Changes in:
Receivables and other assets, net	(9,653)	(11,088)	(7,341)
Due to affiliates	(372)	1,586	(1,032)
Accrued interest on derivatives, net	(5,818)	(5,861)	(1,686)
Dividends payable	(2,043)	(3,079)	4,574
Accrued expenses and other liabilities, net	(12,124)	(4,764)	6,670
Net cash provided by operating activities	61,195	69,687	61,952
Cash Flows From Investing Activities
Purchase of RMBS	(982,901)	(1,088,758)	(410,886)
Principal paydown of RMBS	309,502	275,086	170,740
Proceeds from sale of RMBS	1,927,194	141,653	255,092
Proceeds from sale of MSRs	15,831	0	0
Acquisition of MSRs	(52,957)	(102,976)	(175,674)
Purchase of derivatives	(1,535)	(913)	(3,097)
Proceeds from settlement of derivatives	44,569	18,793	1
Net cash provided by (used in) investing activities	1,259,703	(757,115)	(163,824)
Cash Flows From Financing Activities
Borrowings under repurchase agreements	7,230,592	7,969,930	6,721,379
Repayments of repurchase agreements	(8,418,252)	(7,230,884)	(6,789,324)
Proceeds from derivative financing	(9,948)	(19,090)	(3,469)
Proceeds from bank loans	18,204	121,143	120,317
Principal paydown of bank loans	(74,201)	(112,350)	(2,004)
Dividends paid	(30,290)	(39,227)	(37,870)
LTIP-OP Units distributions paid	(337)	(513)	(367)
Conversion of OP units	(76)	(103)	0
Issuance of common stock, net of offering costs	3,570	4,112	69,012
Issuance of preferred stock, net of offering costs	98	49,642	7,722
Repurchase of common stock	(1,748)	(3,543)	0
Net cash provided by (used in) financing activities	(1,282,388)	739,117	85,396
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash	38,510	51,689	(16,476)
Cash, Cash Equivalents and Restricted Cash, Beginning of Period	91,708	40,019	56,495
Cash, Cash Equivalents and Restricted Cash, End of Period	130,218	91,708	40,019
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense	15,932	47,933	29,821
Cash paid during the period for income taxes	27	256	53
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared but not paid	$ 6,725	$ 8,768	$ 11,847

Organization and Operations	12 Months Ended
Organization and Operations	Dec. 31, 2020
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. Under the Company’s charter, the Company is authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share. The accompanying consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership, LP (the “Operating Partnership”), CHMI Sub-REIT, Inc. (the “Sub-REIT”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), Cherry Hill QRS V, LLC (“QRS V”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”). The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”), which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a real estate investment trust (“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. Effective January 1, 2020, the Operating Partnership contributed substantially all of its assets to the Sub-REIT in exchange for all of the common stock of the Sub-REIT. As a result of this contribution, the Sub-REIT is a wholly-owned subsidiary of the Operating Partnership and operations formerly conducted by the Operating Partnership through its subsidiaries are now conducted by the Sub-REIT through those same subsidiaries. The Sub-REIT intends to elect to be taxed as a REIT under the Code commencing with the taxable year ending December 31, 2020.

Basis of Presentation and Significant Accounting Policies

12 Months Ended

Dec. 31, 2020

Basis of Presentation and Significant Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies

Note 2 — Basis of Presentation and Significant Accounting Policies

Basis of Accounting

The accompanying consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of mortgage servicing rights (“MSRs” or “Servicing Related Assets”), residential mortgage-backed securities (“RMBS” or “securities”) and derivatives; credit losses and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective. Actual results could differ from the Company’s estimates, and the differences may be material.

Risks and Uncertainties

In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.

The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income, which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.

As the COVID-19 pandemic and its effects on the economy escalated in the United States in early March 2020, the financial markets started to deteriorate. The widening of nominal spreads resulted in a sudden and severe decline in the mark-to-market values assigned by repurchase agreement counterparties to the Company’s Agency RMBS assets. The crisis in the Agency RMBS market was closely followed by a substantial widening of spreads on credit assets and a reduction in available liquidity to finance credit assets, including, the credit risk transfer securities issued by Fannie Mae and Freddie Mac then held as part of the collateralized mortgage obligations (“CMOs”) in the Company’s portfolio.

The shelter in place restrictions imposed by federal and state governments have resulted in significant increases in the level of unemployment and the imposition of forbearance restrictions on lenders and servicers such as the Company’s mortgage company subsidiary, Aurora. As of December 31, 2020, 5.9% of borrowers on loans serviced by Aurora are reflected as being in an active forbearance program, with 28% of those borrowers continuing to make their regular scheduled monthly payment.

In order to replenish the Company’s unrestricted cash and to reduce the leverage employed by the Company, the Company undertook sales of Agency RMBS in its portfolio reducing the amount of its assets from $2,347.1 million at December 31, 2019 to $1,557.2 million at March 31, 2020 and $1,222.1 at December 31, 2020. In addition, during the fourth quarter of 2020, the Company sold all of the CMOs remaining in its portfolio. The Company continues to hold an increased amount of unrestricted cash due to the uncertainty surrounding the reopening of the economy and the resurgence of COVID-19. The Company completed the sale of its portfolio of Ginnie Mae MSRs to Freedom Mortgage on June 30, 2020, which is discussed in further detail in Note 7. The sale was the result of a strategic decision and was not related to the forbearance programs instituted by the Agencies. Based on information currently available to the Company, the Company continues to believe that it will be able to satisfy all of its servicing obligations in 2021.

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. Available-for-sale securities are carried at fair value.

Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). Management’s judgment is used to arrive at the fair value of the Company’s RMBS investments, taking into account prices obtained from third-party pricing providers and other applicable market data. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. All RMBS purchased and sold in the year ended December 31, 2020 were settled prior to period-end. All RMBS purchased and sold in the year ended December 31, 2019 were settled prior to year-end.

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 amortized and accreted, respectively, into interest income over the projected lives of the securities using the effective 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 $3.0 million and $7.7 million in interest income was receivable at December 31, 2020 and December 31, 2019, respectively. Interest income receivable has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion of Receivables and other assets, see Note 13.

Impairment – When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security’s cost basis is considered impaired. If the Company determines that it intends to sell the security or it is more likely than not that it will be required to sell before recovery, the Company recognizes the difference between the fair value and amortized cost as a loss in the consolidated statements of income (loss). If the Company determines it does not intend to sell the security or it is not more likely than not it will be required to sell the security before recovery, the Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company performs a qualitative assessment around whether a credit loss exists and if necessary, it compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a “market participant” would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in provision for credit losses on securities in the consolidated statements of income (loss).

Investments in MSRs

Classification – The Company’s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in 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 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 of its MSRs in net income as described below. 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.

Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs are reported on the consolidated statements of income (loss). Fluctuations in the fair value of MSRs are recorded on the consolidated statements of income (loss) as “Unrealized gain (loss) on investments in Servicing Related Assets”. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category and government conforming loans are aggregated into a separate category.

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 are recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of income (loss).

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. Reimbursable servicing advances, other than principal and interest advances, also have been classified within “Receivables and other assets” on the consolidated balance sheets. Advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable. As a result, the Company has determined that no reserves for unrecoverable advances for the related underlying loans are necessary at December 31, 2020 and December 31, 2019. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale. Any loans so acquired by the Company are accounted for as loans held for sale and are recorded in “Receivables and other assets” in the consolidated balance sheets.

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 as well as basis risk and pricing risk on the Company’s financing facilities for MSRs. The decision as to 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.

The Company’s bi-lateral derivative financial instruments contain credit risk to the extent that its counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps and Treasury futures are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.

Classification – All derivatives 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 payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized gain (loss) on derivatives, net” and “Unrealized gain (loss) on derivatives, net” in the consolidated statements of income (loss). Net interest income (cost) on interest rate swaps is included in “Interest expense” in the consolidated statements of income (loss).

Cash and Cash Equivalents and Restricted Cash

The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $2.0 million and $5.7 million at December 31, 2020 and December 31, 2019, respectively) and (ii) as collateral for borrowings under its repurchase agreements (approximately $44.4 million and $61.3 million at December 31, 2020 and December 31, 2019, respectively).

The Company’s centrally cleared interest rate swaps require that the Company post an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is a settlement of the interest rate swap, as opposed to pledged collateral. The Company has accounted for the receipt or payment of variation margin on interest rate swaps as a direct reduction or increase to the carrying value of the interest rate swap asset or liability. At December 31, 2020 and December 31, 2019, approximately $48.2 million and $1.1 million respectively, of variation margin was reported as a decrease to the interest rate swap asset, at fair value.

Due to Manager

The sum under “Due to manager” on the consolidated 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 elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that it pay tax at regular corporate income tax rates to the extent that it annually distributes less than 100% of its taxable income. The Company’s taxable REIT subsidiary (“TRS”), CHMI Solutions, as well as CHMI Solutions’s wholly-owned subsidiary, Aurora, are subject to U.S. federal income taxes on their taxable income. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. In 2017, the Internal Revenue Service issued a revenue procedure permitting “publicly offered” REITs to make elective stock dividends (i.e., dividends paid in a mixture of stock and cash), with at least 20% of the total distribution being paid in cash, to satisfy their REIT distribution requirements. On May 4, 2020, the Internal Revenue Service issued a revenue procedure that temporarily reduced (through the end of 2020) the minimum amount of the total distribution that must be paid in cash to 10%. Pursuant to these revenue procedures, the Company has in the past and may in the future elect to make distributions of its taxable income in a mixture of stock and cash.

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 and Unrealized Gain (Loss) on Investments, Net

The following table presents gains and losses of the specified categories of investments for the periods indicated (dollars in thousands):

	Year Ended December 31,
	2020			2019			2018
Realized gain (loss) on RMBS, net
Gain on RMBS	$	34,071		$	1,285		$	104
Loss on RMBS		(38,711	)		(383	)		(8,466	)
Net realized gain (loss) on RMBS		(4,640	)		902			(8,362	)
Realized loss on derivatives, net		(22,826	)		(12,362	)		(5,889	)
Unrealized gain (loss) on derivatives, net		48,055			(10,867	)		3,505
Realized loss on MSRs, net		(11,347	)		-			-
Unrealized loss on investments in Servicing Related Assets		(141,900	)		(106,772	)		(3,573	)
Realized gain (loss) on acquired assets, net		(690	)		26			-
Total	$	(133,348	)	$	(129,073	)	$	(14,319	)

Repurchase Agreements and Interest Expense

The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. Borrowings under the repurchase agreements are generally short-term debt due within one year. These borrowings generally bear interest rates offered by the “lending” counterparty from time to time for the term of the proposed repurchase transaction (e.g., 30 days, 60 days etc.) of a specified margin over one-month LIBOR. The repurchase agreements represent uncommitted financing. Borrowings under these agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.

Dividends Payable

Because the Company is organized as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly dividend payments. The Company accrues the dividend payable on outstanding shares, excluding treasury shares, on the accounting date, which causes an offsetting reduction in retained earnings.

Comprehensive Income

Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income (loss), as presented in the consolidated statements of income (loss), adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.

Recent Accounting Pronouncements

Credit Losses - In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses, which requires that a financial asset measured at amortized cost basis be presented at the net amount expected to be collected, net of an allowance for all expected (rather than incurred) credit losses. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. The standard also changes the accounting for available-for-sale securities, which requires the recognition of credit losses through a valuation allowance when fair value is less than amortized cost, regardless of whether the impairment is considered to be other-than-temporary. The standard provides an option to elect the fair value option for certain investments as an alternative to adopting ASU 2016-13. Lastly, an entity is required to apply ASU 2016-13 using the modified retrospective approach which requires a cumulative-effect adjustment to the balance sheet as of the beginning of the fiscal year of adoption. The standard was effective for the Company in the first quarter of 2020. The adoption of this guidance did not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures. The Company performed a review of its available-for-sale securities and determined that an allowance for credit losses is not necessary upon adoption, or as of December 31, 2020. For other assets, primarily servicing advances and receivables, the Company determined that credit related impairments have not been material in the past and no current or foreseeable economic factors were identified that would cause a significant impact, partly due to the indemnification language included in the Company’s subservicer agreements and the recoverability of servicing advances under agency guides for Fannie Mae and Freddie Mac. As a result, the Company has determined that the allowance would not be significant. This determination will be re-evaluated on a quarterly basis.

Fair Value Measurement - In August 2018, the FASB issued ASU 2018-13, Disclosure Framework - Changes to the Disclosure Requirements of Fair Value Measurement, which amends the guidance on the disclosure requirements on fair value measurements in ASC 820. This guidance is effective for annual reporting periods, and periods within those annual periods, beginning after December 15, 2019, with early adoption permitted. Disclosure of fair value measurements in Note 9 has been revised to include a description of the weighted averages of unobservable inputs used to value level 3 assets.

Financial Instruments - In February 2020, the FASB issued ASU 2020-02, Financial Instruments - Credit Losses and Leases, Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The ASU adds and amends SEC paragraphs in the Accounting Standards Codification to reflect the issuance of SEC Staff Accounting Bulletin No. 119 related to the new credit losses standard and comments by the SEC staff related to the revised effective date of the new leases standard. The adoption of this guidance did not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures.

Reference Rate Reform - In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform, which provides optional expedients and exceptions for applying generally accepted accounting principles to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this ASU apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The expedients and exceptions provided by the amendments do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that an entity has elected certain optional expedients for and that are retained through the end of the hedging relationship. The Company is currently evaluating the effect this guidance will have on its consolidated financial statements.

Codification Improvements - In October 2020, the FASB issued ASU 2020-10, Codification Improvements, which contains amendments that improve the consistency of the Codification by including all disclosure guidance in the appropriate Disclosure Section (Section 50). Many of the amendments arose because the Board previously provided an option to disclose certain information either on the face of the financial statements or in the notes to financial statements in the Other Presentation Matters Section (Section 45) of the Codification. The amendments in this ASU are effective for annual periods beginning after December 15, 2020. The Company is currently evaluating the effect this guidance will have on its consolidated financial statements.

Changes in Presentation

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

Segment Reporting

12 Months Ended

Dec. 31, 2020

Segment Reporting [Abstract]

Segment Reporting

Note 3 — Segment Reporting

The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other,” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses.

Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Year Ended December 31, 2020
Interest income	$	2,660		$	46,360		$	-		$	49,020
Interest expense		(714	)		17,031			-			16,317
Net interest income		3,374			29,329			-			32,703
Servicing fee income		65,961			-			-			65,961
Servicing costs		22,640			-			-			22,640
Net servicing income		43,321			-			-			43,321
Other income (expense)		(156,500	)		23,152			-			(133,348	)
Other operating expenses		3,456			-			11,202			14,658
Benefit from corporate business taxes		(18,764	)		-			-			(18,764	)
Net Income (Loss)	$	(94,497	)	$	52,481		$	(11,202	)	$	(53,218	)

Year Ended December 31, 2019
Interest income	$	2,820		$	70,518		$	-		$	73,338
Interest expense		3,669			44,916			-			48,585
Net interest income (expense)		(849	)		25,602			-			24,753
Servicing fee income		73,555			-			-			73,555
Servicing costs		17,404			-			-			17,404
Net servicing income		56,151			-			-			56,151
Other expense		(95,002	)		(34,071	)		-			(129,073	)
Other operating expenses		1,950			-			10,481			12,431
Benefit from corporate business taxes		(9,925	)		-			-			(9,925	)
Net Loss	$	(31,725	)	$	(8,469	)	$	(10,481	)	$	(50,675	)

Year Ended December 31, 2018
Interest income	$	99		$	57,251		$	-		$	57,350
Interest expense		2,314			32,193			2			34,509
Net interest income (expense)		(2,215	)		25,058			(2	)		22,841
Servicing fee income		50,776			-			-			50,776
Servicing costs		10,615			-			-			10,615
Net servicing income		40,161			-			-			40,161
Other expense		(3,573	)		(10,746	)		-			(14,319	)
Other operating expenses		1,470			-			8,417			9,887
Provision for corporate business taxes		4,527			-			-			4,527
Net Income (Loss)	$	28,376		$	14,312		$	(8,419	)	$	34,269

	Servicing Related Assets		RMBS		All Other		Total
Balance Sheet
December 31, 2020
Investments	$	174,414	$	1,228,251	$	-	$	1,402,665
Other assets		51,788		54,535		84,500		190,823
Total assets		226,202		1,282,786		84,500		1,593,488
Debt		111,379		1,149,978		-		1,261,357
Other liabilities		2,392		6,370		10,803		19,565
Total liabilities		113,771		1,156,348		10,803		1,280,922
Book value	$	112,431	$	126,438	$	73,697	$	312,566

December 31, 2019
Investments	$	291,111	$	2,508,360	$	-	$	2,799,471
Other assets		39,742		80,207		25,145		145,094
Total assets		330,853		2,588,567		25,145		2,944,565
Debt		166,989		2,337,638		-		2,504,627
Other liabilities		10,043		16,503		14,017		40,563
Total liabilities		177,032		2,354,141		14,017		2,545,190
Book value	$	153,821	$	234,426	$	11,128	$	399,375

Investments in Servicing Related Assets [Abstract]

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 31
-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8924-108599

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
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Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-Paragraph 21
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Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
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Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-Paragraph 32
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8933-108599

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-Subparagraph (e)
-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8933-108599

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
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Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e9038-108599

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8933-108599

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
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-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8736-108599

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e9054-108599

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8657-108599

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
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-URI http://asc.fasb.org/extlink&oid=120311839&loc=d3e8721-108599

Reference 14: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/topic&trid=2134510

+ Details

Investments in RMBS

12 Months Ended

Dec. 31, 2020

Investments in RMBS [Abstract]

Investments in RMBS

Note 4 — Investments in RMBS

The Company’s investments in RMBS include Agency RMBS. The Company’s investments in RMBS may also include, from time to time, any of the following: collateralized mortgage obligations (“CMOs”) which are either loss share securities issued by Fannie Mae or Freddie Mac; or non-Agency RMBS, sometimes called “private label MBS,” which are structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles and different ratings by one or more nationally recognized statistical rating organizations (“NRSRO”). All of the Company’s RMBS are classified as available-for-sale and are, therefore, reported at fair value. Beginning on January 1, 2020, upon the adoption of ASU 2016-13, Financial Instruments-Credit Losses, credit related impairment, if any, is included in provision (reversal) for credit losses on securities in the consolidated statements of income (loss). If it is determined as of the financial reporting date that all or a portion of a security’s cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security’s cost basis. This adjustment to the amortized cost basis of the security, if any, is reflected in realized gain (loss) on RMBS, available-for-sale, net in the consolidated statements of income (loss). All other changes in fair value are recorded in other comprehensive income (loss) (dollars in thousands):

Summary of RMBS Assets

As of December 31, 2020

					Gross Unrealized									Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
RMBS
Fannie Mae	$	840,175	$	692,665	$	22,530	$	(39	)	$	715,156		81	(B)		3.31	%		3.17	%		28
Freddie Mac		549,530		493,930		13,106		(82	)		506,954		49	(B)		2.99	%		2.87	%		28
Private Label MBS		22,000		5,944		197		-			6,141		5	(B)		4.08	%		4.08	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

As of December 31, 2019

					Gross Unrealized									Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
RMBS
Fannie Mae	$	1,878,229	$	1,596,288	$	23,636	$	(691	)	$	1,619,233		198	(B)		3.80	%		3.65	%		27
Freddie Mac		824,991		715,892		12,204		(245	)		727,851		88	(B)		3.72	%		3.59	%		28
CMOs		127,229		123,053		6,030		-			129,083		30	(B)		5.28	%		5.26	%		11
Private Label MBS		50,500		31,595		598		-			32,193		11	(B)		4.06	%		4.06	%		29
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSR. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Summary of RMBS Assets by Maturity

As of December 31, 2020

					Gross Unrealized									Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Over 10 Years		1,411,705		1,192,539		35,833		(121	)		1,228,251		135	(B)		3.18	%		3.05	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

As of December 31, 2019

					Gross Unrealized									Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
1-5 Years	$	1,500	$	895	$	64		-		$	959		1	(B)		6.34	%		6.34	%		4
5-10 Years		64,579		61,935		4,153		-			66,088		13	(B)		5.85	%		5.81	%		9
Over 10 Years		2,814,870		2,403,998		38,251		(936	)		2,441,313		313	(B)		3.80	%		3.66	%		27
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

At December 31, 2020 and December 31, 2019, the Company pledged Agency RMBS with a carrying value of approximately $1,164.4 million and $2,419.5 million, respectively, as collateral for borrowings under repurchase agreements. At December 31, 2020 and December 31, 2019, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.

Based on management’s analysis of the Company’s 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 periods. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, none of which will directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that a substantial majority of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored enterprises.

Credit related unrealized losses and non-credit related unrealized losses on securities that the Company (i) intends to sell, or (ii) will more likely than not be required to sell before recovering their cost basis, are recognized in earnings. The Company did not record an allowance for credit losses on the balance sheet at December 31, 2020 and December 31, 2019, or any impairment charges in earnings during the years ended December 31, 2020 and December 31, 2019.

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 December 31, 2020

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Less than Twelve Months	$	55,656	$	57,945	$	(121	)	$	57,824		4	(B)		3.00	%		2.82	%		29
Total/Weighted Average	$	55,656	$	57,945	$	(121	)	$	57,824		4			3.00	%		2.82	%		29

As of December 31, 2019

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Less than Twelve Months	$	55,588	$	55,429	$	(105	)	$	55,324		5	(B)		3.70	%		3.53	%		29
Twelve or More Months		169,346		131,540		(831	)		130,709		23	(B)		3.76	%		3.54	%		25
Total/Weighted Average	$	224,934	$	186,969	$	(936	)	$	186,033		28			3.74	%		3.54	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Investments in Servicing Related Assets

12 Months Ended

Dec. 31, 2020

Investments in Servicing Related Assets

Note 5 — Investments in Servicing Related Assets

MSRs

Aurora’s MSR portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $21.6 billion as of December 31, 2020. The following is a summary of the Company’s Servicing Related Assets as of the dates indicated (dollars in thousands):

Servicing Related Assets Summary

As of December 31, 2020

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	21,641,277	$	316,314	^(C)	$	174,414		3.92	%		26.3	$	(141,900	)
MSR Total/Weighted Average	$	21,641,277	$	316,314		$	174,414		3.92	%		26.3	$	(141,900	)

As of December 31, 2019

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	26,142,780	$	357,667	^(C)	$	263,357		4.27	%		26.8	$	(94,310	)
Government		2,925,346		40,216	^(C)		27,754		3.37	%		25.8		(12,462	)
MSR Total/Weighted Average	$	29,068,126	$	397,883		$	291,111		4.18	%		26.7	$	(106,772	)

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools.

(B)	Weighted average maturity of the underlying residential mortgage loans in the pool.

(C)	MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns of the underlying mortgage loans.

The tables below summarize the geographic distribution for the states representing 5% or greater of the aggregate UPB of the residential mortgage loans underlying the Servicing Related Assets as of the dates indicated:

Geographic Concentration of Servicing Related Assets

As of December 31, 2020

	Percentage of Total Outstanding Unpaid Principal Balance
California		11.1	%
Virginia		8.4	%
New York		7.7	%
Maryland		6.7	%
Texas		5.8	%
North Carolina		5.5	%
All other		54.8	%
Total		100.0	%

As of December 31, 2019

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.4	%
Texas		6.2	%
Maryland		5.6	%
New York		5.1	%
Virginia		5.1	%
All other		64.6	%
Total		100.0	%

Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets.

Equity and Earnings per Common Share

12 Months Ended

Dec. 31, 2020

Equity and Earnings per Common Share [Abstract]

Equity and Earnings per Common Share

Note 6 — Equity and Earnings per Common Share

Common and Preferred Stock

On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement.

The Company’s 8.2% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”) ranks senior to the Company’s common stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted by the holders of the Series A Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series A Preferred Stock is not redeemable by the Company prior to August 17, 2022, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and after August 17, 2022, the Company may, at its option, redeem the Series A Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the Series A Preferred Stock upon certain changes in control, the holders of the Series A Preferred Stock have the right to convert some or all of their shares of Series A Preferred Stock into a number of shares of the Company’s common stock based on a defined formula, subject to a share cap, or alternative consideration. The share cap on each share of Series A Preferred Stock is 2.62881 shares of common stock, subject to certain adjustments. The Company pays cumulative cash dividends at the rate of 8.2% per annum of the $25.00 per share liquidation preference (equivalent to $2.05 per annum per share) on the Series A Preferred Stock, in arrears, on or about the 15th day of January, April, July and October of each year.

On June 4, 2018, the Company issued and sold 2,750,000 shares of its common stock, par value $0.01 per share. The underwriters subsequently exercised their option to purchase an additional 338,857 shares for total proceeds of approximately $53.8 million after underwriting discounts and commissions but before expenses of approximately $265,000. All of the net proceeds were invested in RMBS.

On February 11, 2019, the Company completed an offering of 1,800,000 shares of the Company’s 8.3% Series B Fixed-to-Floating Rate Cumulative Redeemable Stock, par value $0.01 per share (the “Series B Preferred Stock”). The underwriters subsequently exercised their option to purchase an additional 200,000 shares for total proceeds of approximately $48.4 million after underwriting discounts and commissions but before expenses of approximately $285,000. The net proceeds were invested in RMBS and MSRs.

The Series B Preferred Stock ranks senior to the Company’s common stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up, and on parity with the Company’s Series A Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon the Company’s liquidation, dissolution or winding up. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by the Company or converted by the holders of the Series B Preferred Stock into the Company’s common stock in connection with certain changes of control. The Series B Preferred Stock is not redeemable by the Company prior to April 15, 2024, except under circumstances intended to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and except upon the occurrence of certain changes of control. On and after April 15, 2024, the Company may, at its option, redeem the Series B Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price equal to $25.00 per share, plus any accumulated and unpaid dividends to, but not including, the date fixed for redemption. If the Company does not exercise its rights to redeem the Series B Preferred Stock upon certain changes in control, the holders of the Series B Preferred Stock have the right to convert some or all of their shares of Series B Preferred Stock into a number of shares of the Company’s common stock based on a defined formula, subject to a share cap, or alternative consideration. The share cap on each share of Series B Preferred Stock is 2.68962 shares of common stock, subject to certain adjustments. Holders of Series B Preferred Stock will be entitled to receive cumulative cash dividends (i) from and including February 11, 2019 to, but excluding, April 15, 2024 at a fixed rate equal to 8.250% per annum of the $25.00 per share liquidation preference (equivalent to $2.0625 per annum per share) and (ii) from and including April 15, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.631% per annum. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October, when and as authorized by the Company’s board of directors and declared by the Company.

A significant portion of the paydowns of the RMBS acquired with offering proceeds have been deployed into the acquisition of MSRs. The Company may also sell certain of these RMBS and deploy the net proceeds from such sales to the extent necessary to fund the purchase price of MSRs.

On April 28, 2020, the Company issued 527,010 shares of Common Stock in partial payment of the previously declared cash dividend of $0.40 per share of Common Stock.

Common Stock ATM Program

In August 2018, the Company instituted an at-the-market offering (the “Common Stock ATM Program”) of up to $50,000,000 of its common stock. Under the Common Stock ATM Program, the Company may, but is not obligated to, sell shares of common stock from time to time through one or more selling agents. The Common Stock ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the year ended December 31, 2020, the Company did not issue any shares of common stock under the Common Stock ATM Program. During the year ended December 31, 2019, the Company issued and sold 225,646 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $17.40 per share for gross proceeds of approximately $3.9 million before fees of approximately $79,000.

Preferred Stock ATM Program

In April 2018, the Company instituted an at-the-market offering (the “Preferred Series A ATM Program”) of up to $35,000,000 of its Series A Preferred Stock. Under the Preferred Series A ATM Program, the Company may, but is not obligated to, sell shares of Series A Preferred Stock from time to time through one or more selling agents. The Preferred Series A ATM Program has no set expiration date and may be renewed or terminated by the Company at any time. During the year ended December 31, 2020, the Company did not issue any shares of Series A Preferred Stock under the Preferred Series A ATM Program. During the year ended December 31, 2019, the Company issued and sold 63,429 shares of Series A Preferred Stock under the Preferred Series A ATM Program. The shares were sold at a weighted average price of $25.21 per share for gross proceeds of approximately $1.6 million before fees of approximately $26,000.

Share Repurchase Program

In September 2019, the Company instituted a share repurchase program that allows for the repurchase of up to an aggregate of $10,000,000 of the Company’s common stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the year ended December 31, 2020, the Company repurchased 142,531 shares of its common stock at a weighted average purchase price of $12.96 per share and paid brokers commissions of approximately $4,300 on such repurchases. During the year ended December 31, 2019, the Company repurchased 235,950 shares of its common stock at a weighted average purchase price of $14.59 per share and paid brokers commissions of approximately $7,000 on such repurchases.

Common Stock Purchase Information

As of December 31, 2020

Fiscal Period	Total Number of Shares Purchased		Average Price Paid per Share		Total Number of Shares Purchased as part of Publicly Announced Plans or Programs		Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plans or Programs
January 1, 2020 to January 31, 2020		6,954	$	14.42		6,954	$	6,456,695
February 1, 2020 to February 29, 2020		-		-		-		6,456,695
March 1, 2020 to March 31, 2020		135,577		12.89		135,577		4,709,137
April 1, 2020 to April 30, 2020		-		-		-		4,709,137
May 1, 2020 to May 31, 2020		-		-		-		4,709,137
June 1, 2020 to June 30, 2020		-		-		-		4,709,137
July 1, 2020 to July 31, 2020		-		-		-		4,709,137
August 1, 2020 to August 31, 2020		-		-		-		4,709,137
September 1, 2020 to September 30, 2020		-		-		-		4,709,137
October 1, 2020 to October 31, 2020		-		-		-		4,709,137
November 1, 2020 to November 30, 2020		-		-		-		4,709,137
December 1, 2020 to December 31, 2020		-		-		-		4,709,137
Totals / Averages		142,531	$	12.96		142,531	$	4,709,137

As of December 31, 2019

Fiscal Period	Total Number of Shares Purchased		Average Price Paid per Share		Total Number of Shares Purchased as part of Publicly Announced Plans or Programs		Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plans or Programs
October 1, 2019 to October 31, 2019		-	$	-		-	$	10,000,000
November 1, 2019 to November 30, 2019		163,800		14.52		163,800		7,621,091
December 1, 2019 to December 31, 2019		72,150		14.75		72,150		6,556,956
Totals / Averages		235,950	$	14.59		235,950	$	6,556,956

Equity Incentive Plan

During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (the “2013 Plan”). The 2013 Plan 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 Operating Partnership.

LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the Company’s common stock 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 cash, or at the Company’s option, the Company may purchase the OP Units for common stock, 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 Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased.

LTIP-OP Units vest ratably over the first three annual anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the applicable grant date in all other cases.

The following table sets forth the number of shares of the Company’s common stock and the values thereof (based on the closing prices on the respective dates of grant) granted under the 2013 Plan. Except as otherwise indicated, all shares are fully vested.

The following tables present certain information about the 2013 Plan as of the dates indicated:

Equity Incentive Plan Information

	LTIP-OP Units							Shares of Common Stock					Number of Securities Remaining Available For Future Issuance Under Equity Compensation			Weighted Average Issuance
	Issued			Forfeited		Converted		Issued			Forfeited		Plans			Price
December 31, 2018		(223,900	)		916		12,917		(57,875	)		3,155		1,235,213
Number of securities issued or to be issued upon exercise		(66,375	)^(A)		-		6,000		(18,789	)^(B)		-		(79,164	)	$	16.68
December 31, 2019		(290,275	)		916		18,917		(76,664	)		3,155		1,156,049
Number of securities issued or to be issued upon exercise		(51,572	)^(C)		-		9,500		(31,724	)^(D)		-		(73,796	)	$	8.83
December 31, 2020		(341,847	)		916		28,417		(108,388	)		3,155		1,082,253

(A)	Subject to forfeiture in certain circumstances prior to January 2, 2022.

(B)	Subject to forfeiture in certain circumstances prior to June 13, 2020.

(C)	Subject to forfeiture in certain circumstances prior to January 2, 2023.

(D)	Subject to forfeiture in certain circumstances prior to June 18, 2021.

The Company recognized approximately $1.0 million in share-based compensation expense in each of the years ended December 31, 2020 and December 31, 2019. There was approximately $900,000 of total unrecognized share-based compensation expense as of December 31, 2020, all of which was related to unvested 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 statements of income (loss).

Non-Controlling Interests in Operating Partnership

Non-controlling interests in the Operating Partnership in the accompanying consolidated financial statements relate to LTIP-OP Units and OP Units issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company.

As of December 31, 2020, the non-controlling interest holders in the Operating Partnership owned 311,113 LTIP-OP Units, or approximately 1.8% of the units 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 Common Share

The Company is required to present both basic and diluted earnings per common share (“EPS”). Basic EPS is calculated by dividing net income applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share, 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 and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):

Earnings per Common Share Information

	Year Ended December 31,
	2020			2019			2018
Numerator:
Net income (loss)	$	(53,218	)	$	(50,675	)	$	34,269
Net (income) loss allocated to noncontrolling interests in Operating Partnership		979			819			(443	)
Dividends on preferred stock		9,842			9,353			5,297
Net income (loss) applicable to common stockholders	$	(62,081	)	$	(59,209	)	$	28,529
Denominator:
Weighted average common shares outstanding		16,901,537			16,775,113			14,649,242
Weighted average diluted shares outstanding		16,919,204			16,787,902			14,657,498
Basic and Diluted EPS:
Basic	$	(3.67	)	$	(3.53	)	$	1.95
Diluted	$	(3.67	)	$	(3.53	)	$	1.95

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

Transactions with Related Parties

12 Months Ended

Dec. 31, 2020

Transactions with Related Parties [Abstract]

Transactions with Related Parties

Note 7 — Transactions with Related Parties

Manager

The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement). The term of the Management Agreement expires on October 22, 2021 and will be automatically renewed for a one-year term on such date and on each anniversary of such date thereafter unless terminated or not renewed as described below. Either we or our Manager may elect not to renew the Management Agreement upon expiration of its initial term or any renewal term by providing written notice of non-renewal at least 180 days, but not more than 270 days, before expiration. In the event we elect not to renew the term, we will be required to pay our Manager a termination fee 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 non-renewal. We may terminate the Management Agreement at any time for cause effective upon 30 days prior written notice of termination from us to our Manager, in which case no termination fee would be due. Our board of directors will review our Manager’s performance prior to the automatic renewal thereof and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of our board of directors or of the holders of a majority of our outstanding common stock, we may terminate the Management Agreement based upon unsatisfactory performance by our Manager that is materially detrimental to us or a determination by our independent directors that the management fees payable to our Manager are not fair, subject to the right of our Manager to prevent such a termination by agreeing to a reduction of the management fees payable to our Manager. Upon any termination of the Management Agreement based on unsatisfactory performance or unfair management fees, we are required to pay our Manager the termination fee described above. Our Manager may terminate the Management Agreement in the event the Company becomes regulated as an investment company under the Investment Company Act of 1940, as amended, in which case the Company would not be required to pay the termination fee described above. Our Manager may also terminate the Management Agreement upon 60 days’ written notice if we default in the performance of any material term of the Management Agreement and the default continues for a period of 30 days after written notice to us, whereupon we would be required to pay our Manager the termination fee described above.

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 needed by the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided.

The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. In 2016, ownership of the Manager was transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.

The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. The amounts under “Due to affiliates” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands):

Management Fees and Compensation Reimbursement to Manager

	Year Ended December 31,
	2020		2019		2018
Management fees	$	6,794	$	6,832	$	5,088
Compensation reimbursement		976		952		858
Total	$	7,770	$	7,784	$	5,946

Subservicing Agreement

During the year ended December 31, 2020, Freedom Mortgage directly serviced Aurora’s portfolio of Ginnie Mae MSRs pursuant to a subservicing agreement entered into on June 10, 2015. Following the sale of the Ginnie Mae MSRs to Freedom Mortgage as described below, Freedom Mortgage continues to subservice certain loans that had been purchased from Ginnie Mae pools due to delinquency or default. Once these loans and any related advance claims are rehabilitated or liquidated, the Subservicing Agreement will be terminated. It is not clear when that will occur due to the forbearance requirements as a result of the pandemic.

In August 2020, Freedom Mortgage acquired RoundPoint Mortgage Servicing Corporation (“RoundPoint”), one of Aurora’s subservicers and the seller pursuant to a flow purchase agreement with Aurora. The subservicing agreement had an initial term of two years and is subject to automatic renewal for additional terms equal to the initial term unless either party chooses not to renew. The subservicing agreement may be terminated without cause by either party by giving notice as specified in the agreement. If the agreement is not renewed by the Company or terminated by the Company without cause, de-boarding fees will be due to the subservicer. Under the subservicing agreement, the sub-servicer agrees to service the applicable mortgage loans in accordance with applicable law. The flow purchase agreement provides that RoundPoint may offer, and Aurora may purchase mortgage servicing rights from time to time on loans originated through RoundPoint’s network of loan sellers. RoundPoint’s sellers sell the loans to Fannie Mae or Freddie Mac and sell the mortgage servicing rights to RoundPoint which sells the MSR to Aurora. RoundPoint then subservices the loans for Aurora pursuant to the subservicing agreement.

During the year ended December 31, 2020, Aurora purchased MSRs with an aggregate UPB of approximately $6.2 billion from RoundPoint pursuant to the flow agreement for a purchase price of $50.5 million. During the year ended December 31, 2019, Aurora purchased MSRs with an aggregate UPB of approximately $7.6 billion from RoundPoint pursuant to the flow agreement for a purchase price of $80.8 million. In addition, during the year ended December 31, 2019, Aurora made a bulk purchase of MSRs from RoundPoint with an aggregate UPB of $2.0 billion for a purchase price of $23.5 million.

Joint Marketing Recapture Agreement

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage attempts to refinance certain mortgage loans underlying Aurora’s MSR portfolio subserviced by Freedom Mortgage 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. During the year ended December 31, 2020, no MSRs had been received from Freedom Mortgage. During the year ended December 31, 2019, MSRs on 19 loans with an aggregate UPB of approximately $4.4 million had been received from Freedom Mortgage which generated approximately $5,200 in fees due to Freedom Mortgage. This agreement remains in effect and will be terminated when the Subservicing Agreement with Freedom Mortgage is terminated.

Other Transactions with Related Persons

Aurora leases four employees from Freedom Mortgage and reimburses Freedom Mortgage on a monthly basis.

On June 30, 2020, Aurora sold its portfolio of Ginnie Mae MSRs with a carrying value of approximately $15.7 million to Freedom Mortgage pursuant to a Loan Servicing Purchase and Sale Agreement, dated as of that date, between Freedom Mortgage as buyer and Aurora as seller for proceeds of approximately $15.8 million. The Company recorded a realized loss of $11.3 million on the sale which includes $11.5 million of previously incurred unrealized losses in market value through the six-month period ended June 30, 2020. The sale is part of the Company’s servicing related assets segment. The sale was approved by the Nominating and Corporate Governance Committee of the Company’s board of directors which consists solely of independent directors. The proceeds were used to pay off the MSR Term Facility and related advancing facility with the balance available for general corporate purposes. See Note 12 - Notes Payable for a description of the MSR Term Facility.

The Ginnie Mae MSRs were originally acquired from Freedom Mortgage pursuant to the loan servicing purchase and sale agreement with Freedom Mortgage, dated as of December 15, 2016. As a result of the sale of these MSRs back to Freedom Mortgage the remaining holdback payable under the original purchase agreement of approximately $757,000 was applied to reduce the original cost of acquisition and included within “Realized loss on investments in MSRs, net” on the consolidated statements of income (loss).

The Company incurred losses of approximately $452,000 on loans repurchased from Ginnie Mae during the year ended December 31, 2020. As a result of the sale of the Ginnie Mae MSRs back to Freedom Mortgage, $573,000 of losses recoverable from Freedom Mortgage were written off and classified within “Realized loss on acquired assets, net” on the consolidated statements of income (loss). During the year ended December 31, 2019, the Company incurred losses of approximately $382,000 on loans repurchased from Ginnie Mae. Under the terms of the agreement with Freedom Mortgage, $326,000 of these foreclosure related losses were on VA loans repurchased from Ginnie Mae and were recoverable from Freedom Mortgage and were classified within “Receivables and other assets” on the consolidated balance sheets. The remaining $56,000 foreclosure related losses were not reimbursable.

Derivative Instruments

12 Months Ended

Dec. 31, 2020

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 borrowings under its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes.

In order to help mitigate duration risk and manage basis risk and the pricing risk under the Company’s financing facilities, the Company utilizes Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. Unless otherwise indicated, references to Treasury futures include options on Treasury futures.

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives	December 31, 2020		December 31, 2019
Notional amount of interest rate swaps	$	1,451,900	$	2,355,850
Notional amount of swaptions		70,000		40,000
Notional amount of TBAs, net		332,000		140,300
Notional amount of Treasury futures		110,000		310,300
Total notional amount	$	1,963,900	$	2,846,450

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

	Notional Amount		Fair Value		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
December 31, 2020	$	1,451,900		4,913		0.45	%		0.84	%		6.4
December 31, 2019		2,355,850		7,781		1.70	%		1.92	%		5.3

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

	Underlying Notional Amount		Fair Value		Weighted Average Underlying Pay Rate			Weighted Average Underlying Receive Rate^(A)	Weighted Average Underlying Years to Maturity^(B)		Weighted Average Years to Expiration
December 31, 2020	$	70,000		798		1.32	%	LIBOR-BBA%		10.6		0.5
December 31, 2019		40,000		368		2.38	%	LIBOR-BBA%		10.7		0.6

(A)	Floats in accordance with LIBOR.

(B)	Weighted average years to maturity of the underlying swaps from the reporting date.

The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):

As of December 31, 2020

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	875,000		$	904,653		$	911,393			6,740
Sale contracts		(543,000	)		(564,934	)		(567,544	)		(2,610	)
Net TBA derivatives	$	332,000		$	339,719		$	343,849			4,130

As of December 31, 2019

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	914,000		$	928,648		$	930,944			2,297
Sale contracts		(773,700	)		(785,786	)		(788,506	)		(2,720	)
Net TBA derivatives	$	140,300		$	142,862		$	142,438			(423	)

The following tables present information about the Company’s treasury futures agreements as of the dates indicated (dollars in thousands):

As of December 31, 2020

Maturity	Notional Amount - Long		Notional Amount - Short		Net Notional Amount		Fair Value
5 years	$	85,000	$	-	$	85,000		252
10 years		25,000		-		25,000		-
Total	$	110,000	$	-	$	110,000		252

As of December 31, 2019

Maturity	Notional Amount - Long Positions		Notional Amount - Short Positions		Net Notional Amount		Fair Value
5 years	$	262,800	$	-	$	262,800		(1,009	)
10 years		47,500		-		47,500		(764	)
Total	$	310,300	$	-	$	310,300		(1,773	)

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):

		Year Ended December 31,
Derivatives	Consolidated Statements of Loss Location	2020			2019			2018
Interest rate swaps	Realized loss on derivatives, net	$	(60,721	)	$	(27,950	)	$	(2,149	)
Swaptions	Realized loss on derivatives, net		(505	)		(1,544	)		(1,451	)
TBAs	Realized loss on derivatives, net		(3,423	)		2,251			(2,315	)
Treasury futures	Realized loss on derivatives, net		41,823			14,881			26
Total		$	(22,826	)	$	(12,362	)	$	(5,889	)

Offsetting Assets and Liabilities

The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swaps and Derivatives Association. 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, but in the case of interest rate swaps, net of variation margin. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets.

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of December 31, 2020

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	10,791	$	-		$	10,791	$	(10,791	)	$	-		$	-
Interest rate swaptions		798		-			798		(798	)		-			-
TBAs		6,740		(2,611	)		4,129		(4,129	)		-			-
Treasury futures		252		-			252		1,717			(1,969	)		-
Total Assets	$	18,581	$	(2,611	)	$	15,970	$	(14,001	)	$	(1,969	)	$	-

Liabilities
Repurchase agreements	$	1,149,978	$	-		$	1,149,978	$	(1,105,621	)	$	(44,357	)	$	-
Interest rate swaps		5,878		-			5,878		(5,878	)		-			-
TBAs		2,611		(2,611	)		-		-			-			-
Total Liabilities	$	1,158,467	$	(2,611	)	$	1,155,856	$	(1,111,499	)	$	(44,357	)	$	-

As of December 31, 2019

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	17,921	$	-		$	17,921	$	(17,921	)	$	-		$	-
Interest rate swaptions		368		-			368		(368	)		-			-
TBAs		2,297		(2,297	)		-		-			-			-
Total Assets	$	20,586	$	(2,297	)	$	18,289	$	(18,289	)	$	-		$	-

Liabilities
Repurchase agreements	$	2,337,638	$	-		$	2,337,638	$	(2,276,251	)	$	(61,387	)	$	-
Interest rate swaps		10,140		-			10,140		(10,140	)		-			-
TBAs		2,720		(2,297	)		423		(423	)		-			-
Treasury futures		1,774		-			1,774		3,876			(5,650	)		-
Total Liabilities	$	2,352,272	$	(2,297	)	$	2,349,975	$	(2,282,938	)	$	(67,037	)	$	-

Fair Value

12 Months Ended

Dec. 31, 2020

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 the fair value of a liability.

ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:

Level 1

inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.

Level 2

inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.

Level 3

unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.

Recurring Fair Value Measurements

The following is a description of the methods used to estimate the fair values of the Company’s assets and liabilities measured at fair value on a recurring basis, as well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company’s valuations consider assumptions that it believes a market participant would consider in valuing the assets and liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected relevant market conditions.

RMBS

The Company holds a portfolio of RMBS that are 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 December 31, 2020 and December 31, 2019.

MSRs

The Company, through its subsidiary Aurora, holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at December 31, 2020 and December 31, 2019.

Derivative Instruments

The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at December 31, 2020 and December 31, 2019.

Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps and Treasury futures contracts are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.

The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).

Recurring Fair Value Measurements

As of December 31, 2020

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	715,156	$	-	$	715,156
Freddie Mac		-		506,954		-		506,954
Private Label MBS		-		6,141		-		6,141
RMBS total		-		1,228,251		-		1,228,251
Derivative assets
Interest rate swaps		-		10,791		-		10,791
Interest rate swaptions		-		798		-		798
TBAs		-		4,129		-		4,129
Treasury futures		-		252		-		252
Derivative assets total		-		15,970		-		15,970
Servicing related assets		-		-		174,414		174,414
Total Assets	$	-	$	1,244,221	$	174,414	$	1,418,635
Liabilities
Derivative liabilities
Interest rate swaps		-		5,878		-		5,878
Derivative liabilities total		-		5,878		-		5,878
Total Liabilities	$	-	$	5,878	$	-	$	5,878

As of December 31, 2019

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	1,619,233	$	-	$	1,619,233
Freddie Mac		-		727,851		-		727,851
CMOs		-		129,083		-		129,083
Private Label MBS		-		32,193		-		32,193
RMBS total		-		2,508,360		-		2,508,360
Derivative assets
Interest rate swaps		-		17,921		-		17,921
Interest rate swaptions		-		368		-		368
Derivative assets total		-		18,289		-		18,289
Servicing related assets		-		-		291,111		291,111
Total Assets	$	-	$	2,526,649	$	291,111	$	2,817,760
Liabilities
Derivative liabilities
Interest rate swaps		-		10,140		-		10,140
TBAs		-		423		-		423
Treasury futures		-		1,774		-		1,774
Derivative liabilities total		-		12,337		-		12,337
Total Liabilities	$	-	$	12,337	$	-	$	12,337

The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of December 31, 2020 and December 31, 2019, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented.

Level 3 Assets and Liabilities

The valuation of Level 3 assets and liabilities requires significant judgment by management. The Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party pricing providers. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable.

Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of December 31, 2020 and December 31, 2019 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 December 31, 2020

	Level 3
	MSRs
Balance at December 31, 2019	$	291,111
Purchases, sales and principal paydowns:
Purchases		54,439
Sales		(27,754	)
Other changes ^(A)		(1,482	)
Purchases, sales and principal paydowns:	$	25,203
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		(8,318	)
Other changes in fair value ^(B)		(133,582	)
Unrealized gain (loss) included in Net Income	$	(141,900	)
Balance at December 31, 2020	$	174,414

As of December 31, 2019

	Level 3
	MSRs
Balance at December 31, 2018	$	294,907
Purchases, sales and principal paydowns:
Purchases		104,969
Other changes ^(A)		(1,993	)
Purchases, sales and principal paydowns:	$	102,976
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		(43,737	)
Other changes in fair value ^(B)		(63,035	)
Unrealized loss included in Net Income	$	(106,772	)
Balance at December 31, 2019	$	291,111

(A)	Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.

(B)	Represents changes due to realization of expected cash flows and estimated MSR runoff.

The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):

Fair Value Measurements

As of December 31, 2020

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average
MSRs
Conventional	$	174,414	Discounted cash flow	Constant prepayment speed	5.0% - 38.0	%		15.4	%
				Uncollected payments	0.3% - 2.6	%		0.6	%
				Discount rate				6.1	%
				Annual cost to service, per loan			$	76
TOTAL	$	174,414

As of December 31, 2019

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs
Conventional	$	263,357	Discounted cash flow	Constant prepayment speed	7.8% - 21.1	%		13.2	%
				Uncollected payments	0.4% - 0.8	%		0.7	%
				Discount rate				7.3	%
				Annual cost to service, per loan			$	73
Government	$	27,754	Discounted cash flow	Constant prepayment speed	6.5% - 19.5	%		13.6	%
				Uncollected payments	2.2% - 9.0	%		2.8	%
				Discount rate				9.4	%
				Annual cost to service, per loan			$	112
TOTAL	$	291,111

(A)

Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

(B)	Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.

Fair Value of Financial Assets and Liabilities

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

●

RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote.

●

Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.

●

The carrying value of repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term.

Corporate debt that matures in more than one year consists solely of financing secured by Aurora’s Servicing Related Assets. All of the Company’s debt is revolving and bears interest at adjustable rates. The Company considers that the amount of the corporate debt generally approximates fair value. The fixed rate portion of the financing for all of the Company’s Servicing Related Assets was paid in full on June 30, 2020.

Repurchased loans held for sale consist primarily of Ginnie Mae buyouts that the Company has purchased at par plus accrued interest. These loans are held for sale and valued at the lower of cost or fair market value. Carrying value of the loans approximates fair value since substantially all such loans are promptly resold for a price that approximates the amount for which they were repurchased by the Company, net of any amortization. The Company anticipates that there will be no additional buyouts of Ginnie Mae loans following the sale of the Ginnie Mae MSR portfolio as described above under Note 7 - Transactions with Related Parties.

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	12 Months Ended
Commitments and Contingencies	Dec. 31, 2020
Commitments and Contingencies [Abstract]
Commitments and Contingencies	Note 10 — Commitments and Contingencies The commitments and contingencies of the Company as of December 31, 2020 and December 31, 2019 are described below. Management Agreement The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Manager relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct the Company’s 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 December 31, 2020 and December 31, 2019. Commitments to Purchase/Sell RMBS As of December 31, 2020 and December 31, 2019, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward Agency RMBS trades, whereby the Company committed to purchasing or selling a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date. As of December 31, 2020 and December 31, 2019, the Company was not obligated to purchase or sell any Agency RMBS securities. Acknowledgment Agreements In connection with the Fannie Mae MSR Financing Facility (as defined below in Note 12) entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the Fannie Mae MSR Financing Facility and the financing facility it replaced. In connection with the MSR Revolver (as defined below ) in Note 12, Aurora, QRS V, and the lender, with a limited joinder by the Company, entered into an acknowledgement agreement with Freddie Mac pursuant to which Freddie Mac consented to the pledge of the Freddie Mac MSRs securing the MSR Revolver. Aurora and the lender also entered into a consent agreement with Freddie Mac pursuant to which Freddie Mac consented to the pledge of Aurora’s rights to reimbursement for advances on the underlying loans. See Note 12—Notes Payable for a description of the MSR Revolver.

Repurchase Agreements

12 Months Ended

Dec. 31, 2020

Repurchase Agreements [Abstract]

Repurchase Agreements

Note 11 – Repurchase Agreements

The Company had outstanding approximately $1,150.0 million and $2,337.6 million of borrowings under its repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 28 days and 42 days as of December 31, 2020 and December 31, 2019, 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 Agreements Characteristics

As of December 31, 2020

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	482,319		0.23	%
One to three months		667,659		0.23	%
Total/Weighted Average	$	1,149,978		0.23	%

As of December 31, 2019

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	928,646		2.24	%
One to three months		1,231,422		1.94	%
Greater than three months		177,570		1.98	%
Total/Weighted Average	$	2,337,638		2.06	%

There were no overnight or demand securities as of December 31, 2020 or December 31, 2019.

Notes Payable

12 Months Ended

Dec. 31, 2020

Notes Payable [Abstract]

Notes Payable

Note 12 – Notes Payable

In September 2016, Aurora and QRS III entered into a loan and security agreement (the “MSR Financing Facility”), pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25.0 million outstanding at any one time, subsequently amended to $100 million with the revolving period extended to December 20, 2020. The Company has previously guaranteed repayment of all indebtedness under the MSR Financing Facility. There was no outstanding balance under the MSR Financing Facility at December 31, 2020 and December 31, 2019 because the MSR Financing Facility and the related acknowledgement agreement with Fannie Mae were terminated and replaced in September 2019.

In May 2017, the Company, Aurora and QRS IV obtained a $20.0 million loan (the “MSR Term Facility”) secured by the pledge of Aurora’s Ginnie Mae MSRs and the Company’s ownership interest in QRS IV. The loan bears interest at a fixed rate of 6.18% per annum, amortizes on a ten-year amortization schedule and is due on May 18, 2022. In October 2019, the MSR Term Facility was amended to provide an additional $10 million of borrowing capacity (the “Servicing Advances Revolver”) to finance servicing advances on the Ginnie Mae MSRs pledged under the facility. Amounts available to finance servicing advances may be borrowed and reborrowed from time to time and bear interest at a floating rate equal to LIBOR plus a margin. The MSR Term Facility, including the revolving facility for servicing advances, was scheduled to terminate on May 18, 2022. The MSR Term Facility and the Servicing Advances Revolver were paid in full on June 30, 2020 in connection with the Company’s sale of its Ginnie Mae MSRs to Freedom Mortgage, as discussed in Note 7 above.

In July 2018, the Company, Aurora and QRS V (collectively with Aurora and the Company, the “Borrowers”) entered into a $25.0 million revolving credit facility (the “MSR Revolver”) pursuant to which Aurora pledged all of its existing and future MSRs on loans owned or securitized by Freddie Mac. The term of the MSR Revolver is 364 days with the Borrowers’ option for two renewals for similar terms followed by a one-year term out feature with a 24-month amortization schedule. The MSR Revolver was upsized to $45.0 million in September 2018 and the Company had the ability to request up to an additional $5.0 million of borrowings. On April 2, 2019, the Borrowers entered into an amendment that increased the maximum amount of the MSR Revolver to $100.0 million. On June 16, 2020, the term of the MSR Revolver was renewed to July 27, 2021. At the end of the revolving period, the outstanding amount will be converted to a one-year term loan. Amounts borrowed bear interest at an adjustable rate equal to a spread above one-month LIBOR. Approximately $47.5 million and $55.5 million was outstanding under the MSR Revolver at December 31, 2020 and December 31, 2019, respectively.

In September 2019, Aurora and QRS III entered into a loan and security agreement (the “Fannie Mae MSR Financing Facility”), to replace the MSR Financing Facility. Under the Fannie Mae MSR Facility, Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The maximum credit amount outstanding at any one time under the facility is $200.0 million of which $100.0 million is committed. Borrowings bear interest at a rate equal to a spread over one-month LIBOR subject to a floor. The term of the facility is 24 months subject to extension for an additional 12 months if the lender agrees beginning in the 20^th month. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Financing Facility. Approximately $64.0 million and $97.0 million was outstanding under the Fannie Mae MSR Financing Facility at December 31, 2020 and December 31, 2019, respectively.

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 December 31, 2020

	2021		2022		2023		2024		2025		2026		Total
MSR Revolver
Borrowings under MSR Revolver Facility	$	47,500	$	-	$	-	$	-	$	-	$	-	$	47,500
Fannie Mae MSR Financing Facility
Borrowings under Fannie Mae MSR Financing Facility	$	64,000	$	-	$	-	$	-	$	-	$	-	$	64,000
Total	$	111,500	$	-	$	-	$	-	$	-	$	-	$	111,500

As of December 31, 2019

	2020		2021		2022		2023		2024		2025		Total
MSR Term Facility
Borrowings under MSR Term Facility	$	2,000	$	2,000	$	10,996	$	-	$	-	$	-	$	14,996
MSR Revolver
Borrowings under MSR Revolver Facility	$	-	$	55,500	$	-	$	-	$	-	$	-	$	55,500
Fannie Mae MSR Financing Facility
Borrowings under Fannie Mae MSR Financing Facility	$	-	$	97,000	$	-	$	-	$	-	$	-	$	97,000
Total	$	2,000	$	154,500	$	10,996	$	-	$	-	$	-	$	167,496

Receivables and Other Assets

12 Months Ended

Dec. 31, 2020

Receivables and Other Assets

Note 13 – Receivables and Other Assets

The assets comprising “Receivables and other assets” as of December 31, 2020 and December 31, 2019 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	December 31, 2020		December 31, 2019
Servicing advances	$	18,253	$	16,647
Interest receivable		3,119		8,222
Deferred tax receivable		21,523		2,757
Repurchased loans held for sale		245		3,839
Other receivables		1,495		3,632
Total other assets	$	44,635	$	35,097

The Company only records as an asset those servicing advances that the Company deems recoverable.

Accrued Expenses and Other Liabilities

12 Months Ended

Dec. 31, 2020

Accrued Expenses and Other Liabilities [Abstract]

Accrued Expenses and Other Liabilities

Note 14 – Accrued Expenses and Other Liabilities

The liabilities comprising “Accrued expenses and other liabilities” as of December 31, 2020 and December 31, 2019 are summarized in the following table (dollars in thousands):

Accrued Expenses and Other Liabilities

	December 31, 2020		December 31, 2019
Accrued interest payable	$	1,008	$	10,779
Accrued expenses		2,737		5,090
Total accrued expenses and other liabilities	$	3,745	$	15,869

Summarized Quarterly Results (Unaudited)

12 Months Ended

Dec. 31, 2020

Summarized Quarterly Results (Unaudited) [Abstract]

Summarized Quarterly Results (Unaudited)

Note 15 – Summarized Quarterly Results (Unaudited)

The following tables present information about the Company’s quarterly operating results for the periods indicated below (dollars in thousands):

Summarized Quarterly Results

	2020
	December 31,			September 30,			June 30,			March 31,
Income
Interest income	$	8,638		$	10,001		$	10,132		$	20,249
Interest expense		619			(18	)		3,425			12,291
Net interest income		8,019			10,019			6,707			7,958
Servicing fee income		14,045			14,365			18,032			19,519
Servicing costs		4,940			5,266			6,594			5,840
Net servicing income		9,105			9,099			11,438			13,679
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net		7,950			6,722			(1,769	)		(17,543	)
Realized loss on investments in MSRs, net		-			-			(11,347	)		-
Realized gain (loss) on derivatives, net		(787	)		(7,841	)		4,558			(18,756	)
Realized gain (loss) on acquired assets, net		(93	)		(95	)		(548	)		46
Unrealized gain (loss) on derivatives, net		(3,266	)		3,702			(4,581	)		52,200
Unrealized loss on investments in Servicing Related Assets		(10,050	)		(20,972	)		(17,025	)		(93,853	)
Total Income (Loss)		10,878			634			(12,567	)		(56,269	)
Expenses
General and administrative expense		1,209			1,503			1,420			2,756
Management fee to affiliate		1,842			1,989			1,974			1,965
Total Expenses		3,051			3,492			3,394			4,721
Income (Loss) Before Income Taxes		7,827			(2,858	)		(15,961	)		(60,990	)
Provision for (Benefit from) corporate business taxes		(1,216	)		(2,116	)		(3,278	)		(12,154	)
Net Income (Loss)		9,043			(742	)		(12,683	)		(48,836	)
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(168	)		10			227			910
Dividends on preferred stock		2,463			2,459			2,461			2,459
Net Income (Loss) Applicable to Common Stockholders	$	6,412		$	(3,191	)	$	(14,917	)	$	(50,385	)
Net Income (Loss) Per Share of Common Stock
Basic	$	0.38		$	(0.19	)	$	(0.88	)	$	(3.03	)
Diluted	$	0.38		$	(0.19	)	$	(0.88	)	$	(3.03	)
Weighted Average Number of Shares of Common Stock Outstanding
Basic		17,054,634			17,054,634			16,882,077			16,611,440
Diluted		17,076,858			17,076,858			16,895,408			16,624,229

	2019
	December 31,			September 30,			June 30,			March 31,
Income
Interest income	$	19,770		$	19,383		$	17,216		$	16,969
Interest expense		13,499			12,635			11,707			10,744
Net interest income		6,271			6,748			5,509			6,225
Servicing fee income		19,318			18,687			18,362			17,188
Servicing costs		5,378			4,102			4,103			3,821
Net servicing income		13,940			14,585			14,259			13,367
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net		627			275			-			-
Realized gain (loss) on derivatives, net		(17,148	)		12,627			(365	)		(7,476	)
Realized gain (loss) on acquired assets, net		(28	)		54			-			-
Unrealized gain (loss) on derivatives, net		3,357			(2,133	)		(3,819	)		(8,272	)
Unrealized gain (loss) on investments in Servicing Related Assets		1,959			(37,514	)		(44,042	)		(27,175	)
Total Income (Loss)		8,978			(5,358	)		(28,458	)		(23,331	)
Expenses
General and administrative expense		1,352			1,194			1,138			963
Management fee to affiliate		1,999			2,042			1,934			1,809
Total Expenses		3,351			3,236			3,072			2,772
Income (Loss) Before Income Taxes		5,627			(8,594	)		(31,530	)		(26,103	)
Provision for (Benefit from) corporate business taxes		1,132			(4,285	)		(3,053	)		(3,719	)
Net Income (Loss)		4,495			(4,309	)		(28,477	)		(22,384	)
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(75	)		65			460			369
Dividends on preferred stock		2,460			2,459			2,593			1,841
Net Income (Loss) Applicable to Common Stockholders	$	1,960		$	(6,703	)	$	(30,610	)	$	(23,856	)
Net Income (Loss) Per Share of Common Stock
Basic	$	0.12		$	(0.40	)	$	(1.82	)	$	(1.43	)
Diluted	$	0.12		$	(0.40	)	$	(1.82	)	$	(1.43	)
Weighted Average Number of Shares of Common Stock Outstanding
Basic		16,797,523			16,883,816			16,776,472			16,646,114
Diluted		16,810,312			16,896,605			16,789,261			16,654,370

Basic and diluted net income (loss) per share of common stock are computed independently based on the weighted average number of shares of common stock outstanding during each period. Accordingly, the sum of the quarterly net income (loss) per share amounts may not agree to the total for the year.

Income Taxes

12 Months Ended

Dec. 31, 2020

Income Taxes [Abstract]

Income Taxes

Note 16 – Income Taxes

The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code.

Effective January 1, 2014, CHMI Solutions elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation.

The state and local tax jurisdictions for which the Company is subject to tax filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes.

The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):

	Year Ended December 31,
	2020			2019			2018
Current federal income tax expense (benefit)	$	-		$	-		$	116
Current state income tax expense (benefit)		-			-			35
Deferred federal income tax expense (benefit)		(16,783	)		(8,403	)		3,570
Deferred state income tax expense (benefit)		(1,981	)		(1,522	)		806
Provision for (benefit from) Corporate Business Taxes	$	(18,764	)	$	(9,925	)	$	4,527

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

	Year Ended December 31,
	2020					2019					2018
Computed income tax expense (benefit) at federal rate	$	(15,116	)	21.0	%	$	(12,724	)	21.0	%	$	8,225		21.2	%
State tax expense (benefit), net of federal tax, if applicable		(1,893	)	2.6	%		(664	)	1.1	%		833		2.1	%
Tax provision due to State tax rate change		(87	)	0.1	%		(858	)	1.4%	%		-		-	%
Provision to return adjustment		(15	)	-	%		5		-	%		4		-	%
REIT income not subject to tax (benefit)		(1,653	)	2.4	%		4,316		(7.1	)%		(4,535	)	(11.7	)%
Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate^(A)	$	(18,764	)	26.1	%	$	(9,925	)	16.4	%	$	4,527		11.6	%

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

The Company’s consolidated balance sheets, at December 31, 2020 and December 31, 2019 contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):

	December 31, 2020			December 31, 2019
Deferred tax assets
Deferred tax - mortgage servicing rights	$	(15,176	)	$	(995	)
Deferred tax - net operating loss		(6,347	)		(1,763	)
Total net deferred tax assets	$	(21,523	)	$	(2,758	)

In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which temporary differences become deductible. The Company’s net operating losses (“NOL”s) were created subsequent to 2017 and can be carried forward indefinitely pursuant to the Tax Cuts and Jobs Act passed on December 22, 2017 (“TCJA”). As of December 31, 2020, the Company believes it is more likely than not that it will fully realize its deferred tax assets. As of December 31, 2020 and December 31, 2019, deferred tax assets are included in “Receivables and other assets” in the consolidated balance sheets.

In response to the COVID-19 pandemic, the Coronavirus Aid, Relief and Economic Security Act (“CARES Act”) was signed into law in March 2020. The CARES Act lifts certain deduction limitations originally imposed by the Tax Cuts and Jobs Act of 2017 (“2017 Tax Act”). Corporate taxpayers may carryback NOLs originating during 2018 through 2020 for up to five years, which was not previously allowed under the 2017 Tax Act. The CARES Act also eliminates the 80% of taxable income limitations by allowing corporate entities to fully utilize NOL carryforwards to offset taxable income in 2018, 2019 or 2020. The CARES Act did not have a material financial impact on the Company’s consolidated financial statements.

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 2019, 2018 and 2017 federal, state and local income tax returns remain open for examination by the relevant authorities.

Distributions to stockholders generally will be primarily taxable as ordinary income, although a portion of such distributions may be designated as qualified dividend income, or may constitute a return of capital. The Company furnishes annually to each stockholder a statement setting forth distributions paid during the preceding year and their U.S. federal income tax treatment.

Basis of Presentation and Significant Accounting Policies [Abstract]

The entire disclosure for income taxes. Disclosures may include net deferred tax liability or asset recognized in an enterprise's statement of financial position, net change during the year in the total valuation allowance, approximate tax effect of each type of temporary difference and carryforward that gives rise to a significant portion of deferred tax liabilities and deferred tax assets, utilization of a tax carryback, and tax uncertainties information.

+ References + Details

Subsequent Events	12 Months Ended
Subsequent Events	Dec. 31, 2020
Subsequent Events [Abstract]
Subsequent Events	Note 17 – Subsequent Events Events subsequent to December 31, 2020 were evaluated and no additional events were identified requiring further disclosure in the consolidated financial statements.

Basis of Presentation and Significant Accounting Policies (Policies)

12 Months Ended

Dec. 31, 2020

Basis of Accounting

Use of Estimates

Risks and Uncertainties

Investments in RMBS

Investments in MSRs

Derivatives and Hedging Activities

Cash and Cash Equivalents and Restricted Cash

Due to Manager

Income Taxes

Realized and Unrealized Gain (Loss) on Investments, Net

The following table presents gains and losses of the specified categories of investments for the periods indicated (dollars in thousands):

	Year Ended December 31,
	2020			2019			2018
Realized gain (loss) on RMBS, net
Gain on RMBS	$	34,071		$	1,285		$	104
Loss on RMBS		(38,711	)		(383	)		(8,466	)
Net realized gain (loss) on RMBS		(4,640	)		902			(8,362	)
Realized loss on derivatives, net		(22,826	)		(12,362	)		(5,889	)
Unrealized gain (loss) on derivatives, net		48,055			(10,867	)		3,505
Realized loss on MSRs, net		(11,347	)		-			-
Unrealized loss on investments in Servicing Related Assets		(141,900	)		(106,772	)		(3,573	)
Realized gain (loss) on acquired assets, net		(690	)		26			-
Total	$	(133,348	)	$	(129,073	)	$	(14,319	)

Repurchase Agreements and Interest Expense

Dividends Payable

Comprehensive Income

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)

12 Months Ended

Dec. 31, 2020

Basis of Presentation and Significant Accounting Policies [Abstract]

Gains and Losses of Specified Categories of Investments

The following table presents gains and losses of the specified categories of investments for the periods indicated (dollars in thousands):

	Year Ended December 31,
	2020			2019			2018
Realized gain (loss) on RMBS, net
Gain on RMBS	$	34,071		$	1,285		$	104
Loss on RMBS		(38,711	)		(383	)		(8,466	)
Net realized gain (loss) on RMBS		(4,640	)		902			(8,362	)
Realized loss on derivatives, net		(22,826	)		(12,362	)		(5,889	)
Unrealized gain (loss) on derivatives, net		48,055			(10,867	)		3,505
Realized loss on MSRs, net		(11,347	)		-			-
Unrealized loss on investments in Servicing Related Assets		(141,900	)		(106,772	)		(3,573	)
Realized gain (loss) on acquired assets, net		(690	)		26			-
Total	$	(133,348	)	$	(129,073	)	$	(14,319	)

Segment Reporting (Tables)

12 Months Ended

Dec. 31, 2020

Segment Reporting [Abstract]

Financial Data on CHMI's Segments with Reconciliation

Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Year Ended December 31, 2020
Interest income	$	2,660		$	46,360		$	-		$	49,020
Interest expense		(714	)		17,031			-			16,317
Net interest income		3,374			29,329			-			32,703
Servicing fee income		65,961			-			-			65,961
Servicing costs		22,640			-			-			22,640
Net servicing income		43,321			-			-			43,321
Other income (expense)		(156,500	)		23,152			-			(133,348	)
Other operating expenses		3,456			-			11,202			14,658
Benefit from corporate business taxes		(18,764	)		-			-			(18,764	)
Net Income (Loss)	$	(94,497	)	$	52,481		$	(11,202	)	$	(53,218	)

Year Ended December 31, 2019
Interest income	$	2,820		$	70,518		$	-		$	73,338
Interest expense		3,669			44,916			-			48,585
Net interest income (expense)		(849	)		25,602			-			24,753
Servicing fee income		73,555			-			-			73,555
Servicing costs		17,404			-			-			17,404
Net servicing income		56,151			-			-			56,151
Other expense		(95,002	)		(34,071	)		-			(129,073	)
Other operating expenses		1,950			-			10,481			12,431
Benefit from corporate business taxes		(9,925	)		-			-			(9,925	)
Net Loss	$	(31,725	)	$	(8,469	)	$	(10,481	)	$	(50,675	)

Year Ended December 31, 2018
Interest income	$	99		$	57,251		$	-		$	57,350
Interest expense		2,314			32,193			2			34,509
Net interest income (expense)		(2,215	)		25,058			(2	)		22,841
Servicing fee income		50,776			-			-			50,776
Servicing costs		10,615			-			-			10,615
Net servicing income		40,161			-			-			40,161
Other expense		(3,573	)		(10,746	)		-			(14,319	)
Other operating expenses		1,470			-			8,417			9,887
Provision for corporate business taxes		4,527			-			-			4,527
Net Income (Loss)	$	28,376		$	14,312		$	(8,419	)	$	34,269

	Servicing Related Assets		RMBS		All Other		Total
Balance Sheet
December 31, 2020
Investments	$	174,414	$	1,228,251	$	-	$	1,402,665
Other assets		51,788		54,535		84,500		190,823
Total assets		226,202		1,282,786		84,500		1,593,488
Debt		111,379		1,149,978		-		1,261,357
Other liabilities		2,392		6,370		10,803		19,565
Total liabilities		113,771		1,156,348		10,803		1,280,922
Book value	$	112,431	$	126,438	$	73,697	$	312,566

December 31, 2019
Investments	$	291,111	$	2,508,360	$	-	$	2,799,471
Other assets		39,742		80,207		25,145		145,094
Total assets		330,853		2,588,567		25,145		2,944,565
Debt		166,989		2,337,638		-		2,504,627
Other liabilities		10,043		16,503		14,017		40,563
Total liabilities		177,032		2,354,141		14,017		2,545,190
Book value	$	153,821	$	234,426	$	11,128	$	399,375

Investments in RMBS (Tables)

12 Months Ended

Dec. 31, 2020

Investments in RMBS [Abstract]

Summary of RMBS Investments

Summary of RMBS Assets

As of December 31, 2020

					Gross Unrealized									Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
RMBS
Fannie Mae	$	840,175	$	692,665	$	22,530	$	(39	)	$	715,156		81	(B)		3.31	%		3.17	%		28
Freddie Mac		549,530		493,930		13,106		(82	)		506,954		49	(B)		2.99	%		2.87	%		28
Private Label MBS		22,000		5,944		197		-			6,141		5	(B)		4.08	%		4.08	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

As of December 31, 2019

					Gross Unrealized									Weighted Average
Asset Type	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
RMBS
Fannie Mae	$	1,878,229	$	1,596,288	$	23,636	$	(691	)	$	1,619,233		198	(B)		3.80	%		3.65	%		27
Freddie Mac		824,991		715,892		12,204		(245	)		727,851		88	(B)		3.72	%		3.59	%		28
CMOs		127,229		123,053		6,030		-			129,083		30	(B)		5.28	%		5.26	%		11
Private Label MBS		50,500		31,595		598		-			32,193		11	(B)		4.06	%		4.06	%		29
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Summary of RMBS Investments by Maturity

Summary of RMBS Assets by Maturity

As of December 31, 2020

					Gross Unrealized									Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Over 10 Years		1,411,705		1,192,539		35,833		(121	)		1,228,251		135	(B)		3.18	%		3.05	%		28
Total/Weighted Average	$	1,411,705	$	1,192,539	$	35,833	$	(121	)	$	1,228,251		135			3.18	%		3.05	%		28

As of December 31, 2019

					Gross Unrealized									Weighted Average
Years to Maturity	Original Face Value		Book Value		Gains		Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
1-5 Years	$	1,500	$	895	$	64		-		$	959		1	(B)		6.34	%		6.34	%		4
5-10 Years		64,579		61,935		4,153		-			66,088		13	(B)		5.85	%		5.81	%		9
Over 10 Years		2,814,870		2,403,998		38,251		(936	)		2,441,313		313	(B)		3.80	%		3.66	%		27
Total/Weighted Average	$	2,880,949	$	2,466,828	$	42,468	$	(936	)	$	2,508,360		327			3.85	%		3.72	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Summary of RMBS Securities in an Unrealized Loss Position

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

RMBS Unrealized Loss Positions

As of December 31, 2020

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Less than Twelve Months	$	55,656	$	57,945	$	(121	)	$	57,824		4	(B)		3.00	%		2.82	%		29
Total/Weighted Average	$	55,656	$	57,945	$	(121	)	$	57,824		4			3.00	%		2.82	%		29

As of December 31, 2019

												Weighted Average
Duration in Loss Position	Original Face Value		Book Value		Gross Unrealized Losses			Carrying Value^(A)		Number of Securities		Rating	Coupon			Yield^(C)			Maturity (Years)
Less than Twelve Months	$	55,588	$	55,429	$	(105	)	$	55,324		5	(B)		3.70	%		3.53	%		29
Twelve or More Months		169,346		131,540		(831	)		130,709		23	(B)		3.76	%		3.54	%		25
Total/Weighted Average	$	224,934	$	186,969	$	(936	)	$	186,033		28			3.74	%		3.54	%		26

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

(B)

The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

(C)	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.

Investments in Servicing Related Assets (Tables)

12 Months Ended

Dec. 31, 2020

Investments in Servicing Related Assets [Abstract]

Servicing Related Assets

Servicing Related Assets Summary

As of December 31, 2020

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	21,641,277	$	316,314	^(C)	$	174,414		3.92	%		26.3	$	(141,900	)
MSR Total/Weighted Average	$	21,641,277	$	316,314		$	174,414		3.92	%		26.3	$	(141,900	)

As of December 31, 2019

	Unpaid Principal Balance		Cost Basis			Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs
Conventional	$	26,142,780	$	357,667	^(C)	$	263,357		4.27	%		26.8	$	(94,310	)
Government		2,925,346		40,216	^(C)		27,754		3.37	%		25.8		(12,462	)
MSR Total/Weighted Average	$	29,068,126	$	397,883		$	291,111		4.18	%		26.7	$	(106,772	)

(A)	See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools.

(B)	Weighted average maturity of the underlying residential mortgage loans in the pool.

(C)	MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns of the underlying mortgage loans.

Geographic Concentration of Servicing Related Assets

As of December 31, 2020

	Percentage of Total Outstanding Unpaid Principal Balance
California		11.1	%
Virginia		8.4	%
New York		7.7	%
Maryland		6.7	%
Texas		5.8	%
North Carolina		5.5	%
All other		54.8	%
Total		100.0	%

As of December 31, 2019

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.4	%
Texas		6.2	%
Maryland		5.6	%
New York		5.1	%
Virginia		5.1	%
All other		64.6	%
Total		100.0	%

Equity and Earnings per Common Share (Tables)

12 Months Ended

Dec. 31, 2020

Equity and Earnings per Common Share [Abstract]

Common Stock Purchase Information

As of December 31, 2020

Fiscal Period	Total Number of Shares Purchased		Average Price Paid per Share		Total Number of Shares Purchased as part of Publicly Announced Plans or Programs		Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plans or Programs
January 1, 2020 to January 31, 2020		6,954	$	14.42		6,954	$	6,456,695
February 1, 2020 to February 29, 2020		-		-		-		6,456,695
March 1, 2020 to March 31, 2020		135,577		12.89		135,577		4,709,137
April 1, 2020 to April 30, 2020		-		-		-		4,709,137
May 1, 2020 to May 31, 2020		-		-		-		4,709,137
June 1, 2020 to June 30, 2020		-		-		-		4,709,137
July 1, 2020 to July 31, 2020		-		-		-		4,709,137
August 1, 2020 to August 31, 2020		-		-		-		4,709,137
September 1, 2020 to September 30, 2020		-		-		-		4,709,137
October 1, 2020 to October 31, 2020		-		-		-		4,709,137
November 1, 2020 to November 30, 2020		-		-		-		4,709,137
December 1, 2020 to December 31, 2020		-		-		-		4,709,137
Totals / Averages		142,531	$	12.96		142,531	$	4,709,137

As of December 31, 2019

Fiscal Period	Total Number of Shares Purchased		Average Price Paid per Share		Total Number of Shares Purchased as part of Publicly Announced Plans or Programs		Maximum Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plans or Programs
October 1, 2019 to October 31, 2019		-	$	-		-	$	10,000,000
November 1, 2019 to November 30, 2019		163,800		14.52		163,800		7,621,091
December 1, 2019 to December 31, 2019		72,150		14.75		72,150		6,556,956
Totals / Averages		235,950	$	14.59		235,950	$	6,556,956

Information about Company's 2013 Plan

The following tables present certain information about the 2013 Plan as of the dates indicated:

Equity Incentive Plan Information

	LTIP-OP Units							Shares of Common Stock					Number of Securities Remaining Available For Future Issuance Under Equity Compensation			Weighted Average Issuance
	Issued			Forfeited		Converted		Issued			Forfeited		Plans			Price
December 31, 2018		(223,900	)		916		12,917		(57,875	)		3,155		1,235,213
Number of securities issued or to be issued upon exercise		(66,375	)^(A)		-		6,000		(18,789	)^(B)		-		(79,164	)	$	16.68
December 31, 2019		(290,275	)		916		18,917		(76,664	)		3,155		1,156,049
Number of securities issued or to be issued upon exercise		(51,572	)^(C)		-		9,500		(31,724	)^(D)		-		(73,796	)	$	8.83
December 31, 2020		(341,847	)		916		28,417		(108,388	)		3,155		1,082,253

(A)	Subject to forfeiture in certain circumstances prior to January 2, 2022.

(B)	Subject to forfeiture in certain circumstances prior to June 13, 2020.

(C)	Subject to forfeiture in certain circumstances prior to January 2, 2023.

(D)	Subject to forfeiture in certain circumstances prior to June 18, 2021.

Basic and Diluted Earnings per Share of Common Stock

The following table presents basic and diluted earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):

Earnings per Common Share Information

	Year Ended December 31,
	2020			2019			2018
Numerator:
Net income (loss)	$	(53,218	)	$	(50,675	)	$	34,269
Net (income) loss allocated to noncontrolling interests in Operating Partnership		979			819			(443	)
Dividends on preferred stock		9,842			9,353			5,297
Net income (loss) applicable to common stockholders	$	(62,081	)	$	(59,209	)	$	28,529
Denominator:
Weighted average common shares outstanding		16,901,537			16,775,113			14,649,242
Weighted average diluted shares outstanding		16,919,204			16,787,902			14,657,498
Basic and Diluted EPS:
Basic	$	(3.67	)	$	(3.53	)	$	1.95
Diluted	$	(3.67	)	$	(3.53	)	$	1.95

Transactions with Related Parties (Tables)

12 Months Ended

Dec. 31, 2020

Transactions with Related Parties [Abstract]

Management Fees and Compensation Reimbursement to Affiliate

Management Fees and Compensation Reimbursement to Manager

	Year Ended December 31,
	2020		2019		2018
Management fees	$	6,794	$	6,832	$	5,088
Compensation reimbursement		976		952		858
Total	$	7,770	$	7,784	$	5,946

Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments [Abstract]

Outstanding Notional Amounts of Derivative Instruments

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives	December 31, 2020		December 31, 2019
Notional amount of interest rate swaps	$	1,451,900	$	2,355,850
Notional amount of swaptions		70,000		40,000
Notional amount of TBAs, net		332,000		140,300
Notional amount of Treasury futures		110,000		310,300
Total notional amount	$	1,963,900	$	2,846,450

Information about Company's Interest Rate Swap Agreements

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

	Notional Amount		Fair Value		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
December 31, 2020	$	1,451,900		4,913		0.45	%		0.84	%		6.4
December 31, 2019		2,355,850		7,781		1.70	%		1.92	%		5.3

Information about Company's Interest Rate Swaption Agreements

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

	Underlying Notional Amount		Fair Value		Weighted Average Underlying Pay Rate			Weighted Average Underlying Receive Rate^(A)	Weighted Average Underlying Years to Maturity^(B)		Weighted Average Years to Expiration
December 31, 2020	$	70,000		798		1.32	%	LIBOR-BBA%		10.6		0.5
December 31, 2019		40,000		368		2.38	%	LIBOR-BBA%		10.7		0.6

(A)	Floats in accordance with LIBOR.

(B)	Weighted average years to maturity of the underlying swaps from the reporting date.

Information of TBA Derivatives

The following tables present information about the Company’s TBA derivatives as of the dates indicated (dollars in thousands):

As of December 31, 2020

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	875,000		$	904,653		$	911,393			6,740
Sale contracts		(543,000	)		(564,934	)		(567,544	)		(2,610	)
Net TBA derivatives	$	332,000		$	339,719		$	343,849			4,130

As of December 31, 2019

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	914,000		$	928,648		$	930,944			2,297
Sale contracts		(773,700	)		(785,786	)		(788,506	)		(2,720	)
Net TBA derivatives	$	140,300		$	142,862		$	142,438			(423	)

Information of Treasury Futures Agreements

The following tables present information about the Company’s treasury futures agreements as of the dates indicated (dollars in thousands):

As of December 31, 2020

Maturity	Notional Amount - Long		Notional Amount - Short		Net Notional Amount		Fair Value
5 years	$	85,000	$	-	$	85,000		252
10 years		25,000		-		25,000		-
Total	$	110,000	$	-	$	110,000		252

As of December 31, 2019

Maturity	Notional Amount - Long Positions		Notional Amount - Short Positions		Net Notional Amount		Fair Value
5 years	$	262,800	$	-	$	262,800		(1,009	)
10 years		47,500		-		47,500		(764	)
Total	$	310,300	$	-	$	310,300		(1,773	)

Realized Gain (Loss) Related to Derivatives

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income (loss) for the periods indicated (dollars in thousands):

		Year Ended December 31,
Derivatives	Consolidated Statements of Loss Location	2020			2019			2018
Interest rate swaps	Realized loss on derivatives, net	$	(60,721	)	$	(27,950	)	$	(2,149	)
Swaptions	Realized loss on derivatives, net		(505	)		(1,544	)		(1,451	)
TBAs	Realized loss on derivatives, net		(3,423	)		2,251			(2,315	)
Treasury futures	Realized loss on derivatives, net		41,823			14,881			26
Total		$	(22,826	)	$	(12,362	)	$	(5,889	)

Offsetting Assets

Offsetting Assets and Liabilities

As of December 31, 2020

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	10,791	$	-		$	10,791	$	(10,791	)	$	-		$	-
Interest rate swaptions		798		-			798		(798	)		-			-
TBAs		6,740		(2,611	)		4,129		(4,129	)		-			-
Treasury futures		252		-			252		1,717			(1,969	)		-
Total Assets	$	18,581	$	(2,611	)	$	15,970	$	(14,001	)	$	(1,969	)	$	-

Liabilities
Repurchase agreements	$	1,149,978	$	-		$	1,149,978	$	(1,105,621	)	$	(44,357	)	$	-
Interest rate swaps		5,878		-			5,878		(5,878	)		-			-
TBAs		2,611		(2,611	)		-		-			-			-
Total Liabilities	$	1,158,467	$	(2,611	)	$	1,155,856	$	(1,111,499	)	$	(44,357	)	$	-

As of December 31, 2019

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	17,921	$	-		$	17,921	$	(17,921	)	$	-		$	-
Interest rate swaptions		368		-			368		(368	)		-			-
TBAs		2,297		(2,297	)		-		-			-			-
Total Assets	$	20,586	$	(2,297	)	$	18,289	$	(18,289	)	$	-		$	-

Liabilities
Repurchase agreements	$	2,337,638	$	-		$	2,337,638	$	(2,276,251	)	$	(61,387	)	$	-
Interest rate swaps		10,140		-			10,140		(10,140	)		-			-
TBAs		2,720		(2,297	)		423		(423	)		-			-
Treasury futures		1,774		-			1,774		3,876			(5,650	)		-
Total Liabilities	$	2,352,272	$	(2,297	)	$	2,349,975	$	(2,282,938	)	$	(67,037	)	$	-

Offsetting Liabilities

Offsetting Assets and Liabilities

As of December 31, 2020

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	10,791	$	-		$	10,791	$	(10,791	)	$	-		$	-
Interest rate swaptions		798		-			798		(798	)		-			-
TBAs		6,740		(2,611	)		4,129		(4,129	)		-			-
Treasury futures		252		-			252		1,717			(1,969	)		-
Total Assets	$	18,581	$	(2,611	)	$	15,970	$	(14,001	)	$	(1,969	)	$	-

Liabilities
Repurchase agreements	$	1,149,978	$	-		$	1,149,978	$	(1,105,621	)	$	(44,357	)	$	-
Interest rate swaps		5,878		-			5,878		(5,878	)		-			-
TBAs		2,611		(2,611	)		-		-			-			-
Total Liabilities	$	1,158,467	$	(2,611	)	$	1,155,856	$	(1,111,499	)	$	(44,357	)	$	-

As of December 31, 2019

	Gross		Gross Amounts			Net Amounts of Assets and Liabilities		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Amounts of Recognized Assets or Liabilities		Offset in the Consolidated Balance Sheet			Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	17,921	$	-		$	17,921	$	(17,921	)	$	-		$	-
Interest rate swaptions		368		-			368		(368	)		-			-
TBAs		2,297		(2,297	)		-		-			-			-
Total Assets	$	20,586	$	(2,297	)	$	18,289	$	(18,289	)	$	-		$	-

Liabilities
Repurchase agreements	$	2,337,638	$	-		$	2,337,638	$	(2,276,251	)	$	(61,387	)	$	-
Interest rate swaps		10,140		-			10,140		(10,140	)		-			-
TBAs		2,720		(2,297	)		423		(423	)		-			-
Treasury futures		1,774		-			1,774		3,876			(5,650	)		-
Total Liabilities	$	2,352,272	$	(2,297	)	$	2,349,975	$	(2,282,938	)	$	(67,037	)	$	-

Company's Assets and Liabilities Measured at Fair Value on Recurring Basis

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
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Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
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Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
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Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
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-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579240-113959

+ Details

Fair Value (Tables)

12 Months Ended

Dec. 31, 2020

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 December 31, 2020

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	715,156	$	-	$	715,156
Freddie Mac		-		506,954		-		506,954
Private Label MBS		-		6,141		-		6,141
RMBS total		-		1,228,251		-		1,228,251
Derivative assets
Interest rate swaps		-		10,791		-		10,791
Interest rate swaptions		-		798		-		798
TBAs		-		4,129		-		4,129
Treasury futures		-		252		-		252
Derivative assets total		-		15,970		-		15,970
Servicing related assets		-		-		174,414		174,414
Total Assets	$	-	$	1,244,221	$	174,414	$	1,418,635
Liabilities
Derivative liabilities
Interest rate swaps		-		5,878		-		5,878
Derivative liabilities total		-		5,878		-		5,878
Total Liabilities	$	-	$	5,878	$	-	$	5,878

As of December 31, 2019

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	1,619,233	$	-	$	1,619,233
Freddie Mac		-		727,851		-		727,851
CMOs		-		129,083		-		129,083
Private Label MBS		-		32,193		-		32,193
RMBS total		-		2,508,360		-		2,508,360
Derivative assets
Interest rate swaps		-		17,921		-		17,921
Interest rate swaptions		-		368		-		368
Derivative assets total		-		18,289		-		18,289
Servicing related assets		-		-		291,111		291,111
Total Assets	$	-	$	2,526,649	$	291,111	$	2,817,760
Liabilities
Derivative liabilities
Interest rate swaps		-		10,140		-		10,140
TBAs		-		423		-		423
Treasury futures		-		1,774		-		1,774
Derivative liabilities total		-		12,337		-		12,337
Total Liabilities	$	-	$	12,337	$	-	$	12,337

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 December 31, 2020

	Level 3
	MSRs
Balance at December 31, 2019	$	291,111
Purchases, sales and principal paydowns:
Purchases		54,439
Sales		(27,754	)
Other changes ^(A)		(1,482	)
Purchases, sales and principal paydowns:	$	25,203
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		(8,318	)
Other changes in fair value ^(B)		(133,582	)
Unrealized gain (loss) included in Net Income	$	(141,900	)
Balance at December 31, 2020	$	174,414

As of December 31, 2019

	Level 3
	MSRs
Balance at December 31, 2018	$	294,907
Purchases, sales and principal paydowns:
Purchases		104,969
Other changes ^(A)		(1,993	)
Purchases, sales and principal paydowns:	$	102,976
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		(43,737	)
Other changes in fair value ^(B)		(63,035	)
Unrealized loss included in Net Income	$	(106,772	)
Balance at December 31, 2019	$	291,111

(A)	Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.

(B)	Represents changes due to realization of expected cash flows and estimated MSR runoff.

Significant Unobservable Inputs Used in Fair Value Measurement

Fair Value Measurements

As of December 31, 2020

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average
MSRs
Conventional	$	174,414	Discounted cash flow	Constant prepayment speed	5.0% - 38.0	%		15.4	%
				Uncollected payments	0.3% - 2.6	%		0.6	%
				Discount rate				6.1	%
				Annual cost to service, per loan			$	76
TOTAL	$	174,414

As of December 31, 2019

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs
Conventional	$	263,357	Discounted cash flow	Constant prepayment speed	7.8% - 21.1	%		13.2	%
				Uncollected payments	0.4% - 0.8	%		0.7	%
				Discount rate				7.3	%
				Annual cost to service, per loan			$	73
Government	$	27,754	Discounted cash flow	Constant prepayment speed	6.5% - 19.5	%		13.6	%
				Uncollected payments	2.2% - 9.0	%		2.8	%
				Discount rate				9.4	%
				Annual cost to service, per loan			$	112
TOTAL	$	291,111

(A)

(B)	Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.

Repurchase Agreements (Tables)

12 Months Ended

Dec. 31, 2020

Repurchase Agreements [Abstract]

Repurchase Agreements Remaining Maturities and Weighted Average Rates

The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):

Repurchase Agreements Characteristics

As of December 31, 2020

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	482,319		0.23	%
One to three months		667,659		0.23	%
Total/Weighted Average	$	1,149,978		0.23	%

As of December 31, 2019

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	928,646		2.24	%
One to three months		1,231,422		1.94	%
Greater than three months		177,570		1.98	%
Total/Weighted Average	$	2,337,638		2.06	%

Notes Payable (Tables)

12 Months Ended

Dec. 31, 2020

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 December 31, 2020

	2021		2022		2023		2024		2025		2026		Total
MSR Revolver
Borrowings under MSR Revolver Facility	$	47,500	$	-	$	-	$	-	$	-	$	-	$	47,500
Fannie Mae MSR Financing Facility
Borrowings under Fannie Mae MSR Financing Facility	$	64,000	$	-	$	-	$	-	$	-	$	-	$	64,000
Total	$	111,500	$	-	$	-	$	-	$	-	$	-	$	111,500

As of December 31, 2019

	2020		2021		2022		2023		2024		2025		Total
MSR Term Facility
Borrowings under MSR Term Facility	$	2,000	$	2,000	$	10,996	$	-	$	-	$	-	$	14,996
MSR Revolver
Borrowings under MSR Revolver Facility	$	-	$	55,500	$	-	$	-	$	-	$	-	$	55,500
Fannie Mae MSR Financing Facility
Borrowings under Fannie Mae MSR Financing Facility	$	-	$	97,000	$	-	$	-	$	-	$	-	$	97,000
Total	$	2,000	$	154,500	$	10,996	$	-	$	-	$	-	$	167,496

Receivables and Other Assets (Tables)

12 Months Ended

Dec. 31, 2020

Receivables and Other Assets [Abstract]

Receivables and Other Assets

The assets comprising “Receivables and other assets” as of December 31, 2020 and December 31, 2019 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	December 31, 2020		December 31, 2019
Servicing advances	$	18,253	$	16,647
Interest receivable		3,119		8,222
Deferred tax receivable		21,523		2,757
Repurchased loans held for sale		245		3,839
Other receivables		1,495		3,632
Total other assets	$	44,635	$	35,097

Accrued Expenses and Other Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Accrued Expenses and Other Liabilities [Abstract]

Accrued Expenses and Other Liabilities

The liabilities comprising “Accrued expenses and other liabilities” as of December 31, 2020 and December 31, 2019 are summarized in the following table (dollars in thousands):

Accrued Expenses and Other Liabilities

	December 31, 2020		December 31, 2019
Accrued interest payable	$	1,008	$	10,779
Accrued expenses		2,737		5,090
Total accrued expenses and other liabilities	$	3,745	$	15,869

Summarized Quarterly Results (Unaudited) (Tables)

12 Months Ended

Dec. 31, 2020

Summarized Quarterly Results (Unaudited) [Abstract]

Summary of Company's Quarterly Operating Results

The following tables present information about the Company’s quarterly operating results for the periods indicated below (dollars in thousands):

Summarized Quarterly Results

	2020
	December 31,			September 30,			June 30,			March 31,
Income
Interest income	$	8,638		$	10,001		$	10,132		$	20,249
Interest expense		619			(18	)		3,425			12,291
Net interest income		8,019			10,019			6,707			7,958
Servicing fee income		14,045			14,365			18,032			19,519
Servicing costs		4,940			5,266			6,594			5,840
Net servicing income		9,105			9,099			11,438			13,679
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net		7,950			6,722			(1,769	)		(17,543	)
Realized loss on investments in MSRs, net		-			-			(11,347	)		-
Realized gain (loss) on derivatives, net		(787	)		(7,841	)		4,558			(18,756	)
Realized gain (loss) on acquired assets, net		(93	)		(95	)		(548	)		46
Unrealized gain (loss) on derivatives, net		(3,266	)		3,702			(4,581	)		52,200
Unrealized loss on investments in Servicing Related Assets		(10,050	)		(20,972	)		(17,025	)		(93,853	)
Total Income (Loss)		10,878			634			(12,567	)		(56,269	)
Expenses
General and administrative expense		1,209			1,503			1,420			2,756
Management fee to affiliate		1,842			1,989			1,974			1,965
Total Expenses		3,051			3,492			3,394			4,721
Income (Loss) Before Income Taxes		7,827			(2,858	)		(15,961	)		(60,990	)
Provision for (Benefit from) corporate business taxes		(1,216	)		(2,116	)		(3,278	)		(12,154	)
Net Income (Loss)		9,043			(742	)		(12,683	)		(48,836	)
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(168	)		10			227			910
Dividends on preferred stock		2,463			2,459			2,461			2,459
Net Income (Loss) Applicable to Common Stockholders	$	6,412		$	(3,191	)	$	(14,917	)	$	(50,385	)
Net Income (Loss) Per Share of Common Stock
Basic	$	0.38		$	(0.19	)	$	(0.88	)	$	(3.03	)
Diluted	$	0.38		$	(0.19	)	$	(0.88	)	$	(3.03	)
Weighted Average Number of Shares of Common Stock Outstanding
Basic		17,054,634			17,054,634			16,882,077			16,611,440
Diluted		17,076,858			17,076,858			16,895,408			16,624,229

	2019
	December 31,			September 30,			June 30,			March 31,
Income
Interest income	$	19,770		$	19,383		$	17,216		$	16,969
Interest expense		13,499			12,635			11,707			10,744
Net interest income		6,271			6,748			5,509			6,225
Servicing fee income		19,318			18,687			18,362			17,188
Servicing costs		5,378			4,102			4,103			3,821
Net servicing income		13,940			14,585			14,259			13,367
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net		627			275			-			-
Realized gain (loss) on derivatives, net		(17,148	)		12,627			(365	)		(7,476	)
Realized gain (loss) on acquired assets, net		(28	)		54			-			-
Unrealized gain (loss) on derivatives, net		3,357			(2,133	)		(3,819	)		(8,272	)
Unrealized gain (loss) on investments in Servicing Related Assets		1,959			(37,514	)		(44,042	)		(27,175	)
Total Income (Loss)		8,978			(5,358	)		(28,458	)		(23,331	)
Expenses
General and administrative expense		1,352			1,194			1,138			963
Management fee to affiliate		1,999			2,042			1,934			1,809
Total Expenses		3,351			3,236			3,072			2,772
Income (Loss) Before Income Taxes		5,627			(8,594	)		(31,530	)		(26,103	)
Provision for (Benefit from) corporate business taxes		1,132			(4,285	)		(3,053	)		(3,719	)
Net Income (Loss)		4,495			(4,309	)		(28,477	)		(22,384	)
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(75	)		65			460			369
Dividends on preferred stock		2,460			2,459			2,593			1,841
Net Income (Loss) Applicable to Common Stockholders	$	1,960		$	(6,703	)	$	(30,610	)	$	(23,856	)
Net Income (Loss) Per Share of Common Stock
Basic	$	0.12		$	(0.40	)	$	(1.82	)	$	(1.43	)
Diluted	$	0.12		$	(0.40	)	$	(1.82	)	$	(1.43	)
Weighted Average Number of Shares of Common Stock Outstanding
Basic		16,797,523			16,883,816			16,776,472			16,646,114
Diluted		16,810,312			16,896,605			16,789,261			16,654,370

Income Taxes (Tables)

12 Months Ended

Dec. 31, 2020

Income Taxes [Abstract]

Income Tax Expense (Benefit)

The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):

	Year Ended December 31,
	2020			2019			2018
Current federal income tax expense (benefit)	$	-		$	-		$	116
Current state income tax expense (benefit)		-			-			35
Deferred federal income tax expense (benefit)		(16,783	)		(8,403	)		3,570
Deferred state income tax expense (benefit)		(1,981	)		(1,522	)		806
Provision for (benefit from) Corporate Business Taxes	$	(18,764	)	$	(9,925	)	$	4,527

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):

	Year Ended December 31,
	2020					2019					2018
Computed income tax expense (benefit) at federal rate	$	(15,116	)	21.0	%	$	(12,724	)	21.0	%	$	8,225		21.2	%
State tax expense (benefit), net of federal tax, if applicable		(1,893	)	2.6	%		(664	)	1.1	%		833		2.1	%
Tax provision due to State tax rate change		(87	)	0.1	%		(858	)	1.4%	%		-		-	%
Provision to return adjustment		(15	)	-	%		5		-	%		4		-	%
REIT income not subject to tax (benefit)		(1,653	)	2.4	%		4,316		(7.1	)%		(4,535	)	(11.7	)%
Provision for (benefit from) Corporate Business Taxes/Effective Tax Rate^(A)	$	(18,764	)	26.1	%	$	(9,925	)	16.4	%	$	4,527		11.6	%

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

Current and Deferred Tax Liabilities and Assets

	December 31, 2020			December 31, 2019
Deferred tax assets
Deferred tax - mortgage servicing rights	$	(15,176	)	$	(995	)
Deferred tax - net operating loss		(6,347	)		(1,763	)
Total net deferred tax assets	$	(21,523	)	$	(2,758	)

Organization and Operations (Details) - $ / shares	Dec. 31, 2020	Dec. 31, 2019
Class of Stock Disclosures [Abstract]
Common stock, shares authorized (in shares)	500,000,000	500,000,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Series A Preferred Stock [Member]
Class of Stock Disclosures [Abstract]
Preferred stock, shares authorized (in shares)	100,000,000	100,000,000
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01

Basis of Presentation and Significant Accounting Policies (Details) - USD ($)

3 Months Ended

12 Months Ended

Dec. 31, 2020

Sep. 30, 2020

Jun. 30, 2020

Mar. 31, 2020

Dec. 31, 2019

Sep. 30, 2019

Jun. 30, 2019

Mar. 31, 2019

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

Risks and Uncertainties [Abstract]

Percentage of active forbearance loan borrowers

5.90%

Percentage of active forbearance loan borrowers paying monthly payment

28.00%

RMBS, available-for-sale

$ 1,228,251,000

$ 2,508,360,000

$ 1,228,251,000

$ 2,508,360,000

Cash and Cash Equivalents and Restricted Cash [Abstract]

Restricted cash

46,326,000

67,037,000

46,326,000

67,037,000

Variation margin

48,200,000

1,100,000

48,200,000

1,100,000

Realized gain (loss) on RMBS, net [Abstract]

Gain on RMBS

34,071,000

1,285,000

$ 104,000

Loss on RMBS

(38,711,000)

(383,000)

(8,466,000)

Net realized gain (loss) on RMBS

7,950,000

$ 6,722,000

$ (1,769,000)

$ (17,543,000)

627,000

$ 275,000

$ 0

(4,640,000)

902,000

(8,362,000)

Realized loss on derivatives, net

(787,000)

(7,841,000)

4,558,000

(18,756,000)

(17,148,000)

12,627,000

(365,000)

(7,476,000)

(22,826,000)

(12,362,000)

(5,889,000)

Unrealized gain (loss) on derivatives, net

(3,266,000)

3,702,000

(4,581,000)

52,200,000

3,357,000

(2,133,000)

(3,819,000)

(8,272,000)

48,055,000

(10,867,000)

3,505,000

Realized loss on MSRs, net

(11,347,000)

Unrealized loss on investments in Servicing Related Assets

(10,050,000)

(20,972,000)

(17,025,000)

(93,853,000)

1,959,000

(37,514,000)

(44,042,000)

(27,175,000)

(141,900,000)

(106,772,000)

(3,573,000)

Realized gain (loss) on acquired assets, net

(93,000)

$ (95,000)

$ (548,000)

46,000

(28,000)

$ 54,000

$ 0

(690,000)

26,000

Total

(133,348,000)

(129,073,000)

$ (14,319,000)

Cash and Cash Equivalents and Restricted Cash [Abstract]

Risks and Uncertainties [Abstract]

RMBS, available-for-sale

^[1]

1,228,251,000

2,508,360,000

1,228,251,000

2,508,360,000

Derivatives [Member]

Restricted cash

2,000,000.0

5,700

2,000,000.0

5,700

Repurchase Agreements [Member]

Cash and Cash Equivalents and Restricted Cash [Abstract]

Restricted cash

44,400,000

61,300,000

44,400,000

61,300,000

COVID-19 [Member]

Risks and Uncertainties [Abstract]

RMBS, available-for-sale

1,222,100,000

$ 1,557,200,000

2,347,100,000

1,222,100,000

2,347,100,000

Receivables and Other Assets [Member] | RMBS [Member]

Investments in RMBS [Abstract]

Income receivable

$ 3,000,000.0

$ 7,700,000

$ 3,000,000.0

$ 7,700,000

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.

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

3 Months Ended

12 Months Ended

Dec. 31, 2020

Sep. 30, 2020

Jun. 30, 2020

Mar. 31, 2020

Dec. 31, 2019

Sep. 30, 2019

Jun. 30, 2019

Mar. 31, 2019

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

Segment Reporting Profit (Loss) and Other Information [Abstract]

$ 8,638

$ 10,001

$ 10,132

$ 20,249

$ 19,770

$ 19,383

$ 17,216

$ 16,969

$ 49,020

$ 73,338

$ 57,350

619

(18)

3,425

12,291

13,499

12,635

11,707

10,744

16,317

48,585

34,509

32,703

24,753

22,841

14,045

14,365

18,032

19,519

19,318

18,687

18,362

17,188

65,961

73,555

50,776

4,940

5,266

6,594

5,840

5,378

4,102

4,103

3,821

22,640

17,404

10,615

9,105

9,099

11,438

13,679

13,940

14,585

14,259

13,367

43,321

56,151

40,161

(133,348)

(129,073)

(14,319)

(Benefit from) provision for corporate business taxes

14,658

12,431

9,887

(1,216)

(2,116)

(3,278)

(12,154)

1,132

(4,285)

(3,053)

(3,719)

(18,764)

^[1]

(9,925)

^[1]

4,527

^[1]

9,043

$ (742)

$ (12,683)

$ (48,836)

4,495

$ (4,309)

$ (28,477)

$ (22,384)

(53,218)

(50,675)

34,269

1,402,665

2,799,471

1,402,665

2,799,471

190,823

145,094

190,823

145,094

1,593,488

2,944,565

1,593,488

2,944,565

1,261,357

2,504,627

1,261,357

2,504,627

19,565

40,563

19,565

40,563

1,280,922

2,545,190

1,280,922

2,545,190

Segment Reporting Profit (Loss) and Other Information [Abstract]

312,566

399,375

312,566

399,375

2,660

2,820

(714)

3,669

2,314

3,374

(849)

(2,215)

65,961

73,555

50,776

22,640

17,404

10,615

43,321

56,151

40,161

(156,500)

(95,002)

(3,573)

(Benefit from) provision for corporate business taxes

3,456

1,950

1,470

(18,764)

(9,925)

4,527

(94,497)

(31,725)

28,376

174,414

291,111

174,414

291,111

51,788

39,742

51,788

39,742

226,202

330,853

226,202

330,853

111,379

166,989

111,379

166,989

2,392

10,043

2,392

10,043

113,771

177,032

113,771

177,032

RMBS [Member] | Operating Segments [Member]

112,431

153,821

112,431

153,821

Segment Reporting Profit (Loss) and Other Information [Abstract]

46,360

70,518

57,251

17,031

44,916

32,193

29,329

25,602

25,058

23,152

(34,071)

(10,746)

(Benefit from) provision for corporate business taxes

52,481

(8,469)

14,312

1,228,251

2,508,360

1,228,251

2,508,360

54,535

80,207

54,535

80,207

1,282,786

2,588,567

1,282,786

2,588,567

1,149,978

2,337,638

1,149,978

2,337,638

6,370

16,503

6,370

16,503

1,156,348

2,354,141

1,156,348

2,354,141

Segment Reporting Profit (Loss) and Other Information [Abstract]

126,438

234,426

126,438

234,426

All Other [Member]

(2)

(Benefit from) provision for corporate business taxes

11,202

10,481

8,417

(11,202)

(10,481)

$ (8,419)

84,500

25,145

84,500

25,145

84,500

25,145

84,500

25,145

10,803

14,017

10,803

14,017

10,803

14,017

10,803

14,017

Residential Mortgage-Backed Securities [Abstract]

$ 73,697

$ 11,128

$ 73,697

$ 11,128

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

Investments in RMBS (Details)
$ in Thousands

12 Months Ended

Dec. 31, 2020

USD ($)

Security

Dec. 31, 2019

USD ($)

Security

Carrying value of collateral for repurchase agreements

$ 1,228,251

$ 2,508,360

1,164,416

2,419,539

Residential Mortgage-Backed Securities [Abstract]

1,411,705

2,880,949

1,192,539

2,466,828

35,833

42,468

(121)

(936)

^[1]

$ 1,228,251

$ 2,508,360

135

327

3.18%

3.85%

^[2]

3.05%

3.72%

Carrying value of collateral for repurchase agreements

28 years

26 years

$ 1,164,400

$ 2,419,500

RMBS [Member] | Fannie Mae [Member]

Residential Mortgage-Backed Securities [Abstract]

840,175

1,878,229

692,665

1,596,288

22,530

23,636

(39)

(691)

^[1],[3]

$ 715,156

$ 1,619,233

198

3.31%

3.80%

^[2]

3.17%

3.65%

RMBS [Member] | Freddie Mac [Member]

28 years

27 years

Residential Mortgage-Backed Securities [Abstract]

$ 549,530

$ 824,991

493,930

715,892

13,106

12,204

(82)

(245)

^[1],[3]

$ 506,954

$ 727,851

2.99%

3.72%

^[2]

2.87%

3.59%

RMBS [Member] | CMOs [Member]

28 years

Residential Mortgage-Backed Securities [Abstract]

$ 127,229

123,053

6,030

^[1],[3]

$ 129,083

5.28%

^[2]

5.26%

RMBS [Member] | Private Label MBS [Member]

11 years

Residential Mortgage-Backed Securities [Abstract]

$ 22,000

$ 50,500

5,944

31,595

197

598

^[1],[3]

$ 6,141

$ 32,193

4.08%

4.06%

^[2]

4.08%

4.06%

28 years

29 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
[3]	The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSR. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

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

12 Months Ended

Dec. 31, 2020

USD ($)

Security

Dec. 31, 2019

USD ($)

Security

$ 1,228,251

$ 2,508,360

1,411,705

2,880,949

1,192,539

2,466,828

35,833

42,468

(121)

(936)

^[1]

$ 1,228,251

$ 2,508,360

135

327

3.18%

3.85%

^[2]

3.05%

3.72%

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

28 years

26 years

$ 1,500

895

^[1],[3]

$ 959

6.34%

^[2]

6.34%

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

4 years

$ 64,579

61,935

4,153

^[1],[3]

$ 66,088

5.85%

^[2]

5.81%

RMBS [Member] | Over 10 Years [Member]

9 years

$ 1,411,705

$ 2,814,870

1,192,539

2,403,998

35,833

38,251

(121)

(936)

^[1],[3]

$ 1,228,251

$ 2,441,313

135

313

3.18%

3.80%

^[2]

3.05%

3.66%

28 years

27 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
[3]	The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSR. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

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

12 Months Ended

Dec. 31, 2020

USD ($)

Security

Dec. 31, 2019

USD ($)

Security

$ 1,228,251

$ 2,508,360

1,411,705

2,880,949

1,192,539

2,466,828

(121)

(936)

^[1]

$ 1,228,251

$ 2,508,360

135

327

3.18%

3.85%

^[2]

3.05%

3.72%

RMBS [Member] | Unrealized Loss Positions [Member]

28 years

26 years

$ 55,656

$ 224,934

57,945

186,969

(121)

(936)

^[1]

$ 57,824

$ 186,033

3.00%

3.74%

^[2]

2.82%

3.54%

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

29 years

26 years

$ 55,656

$ 55,588

57,945

55,429

(121)

(105)

^[1],[3]

$ 57,824

$ 55,324

3.00%

3.70%

^[2]

2.82%

3.53%

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

29 years

$ 169,346

131,540

(831)

^[1],[3]

$ 130,709

3.76%

^[2]

3.54%

25 years

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2]	The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
[3]	The Company used an implied AAA rating for the Agency RMBS. CMOs issued by Fannie Mae or Freddie Mac consist of loss share securities, approximately half of which, by UPB, are unrated or rated below investment grade at December 31, 2019 by at least one NRSRO. Private label securities are rated investment grade or better by at least one NRSRO as of December 31, 2020 and December 31, 2019.

Investments in Servicing Related Assets (Details) $ in Billions	Dec. 31, 2020 USD ($)
Mortgage Service Rights (MSRs) [Member] \| Aurora Financial Group, Inc. [Member]
Mortgage Loans on Real Estate [Abstract]
Aggregate unpaid principal balance	$ 21.6

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

12 Months Ended

Dec. 31, 2020

Dec. 31, 2019

Unpaid principal balance

$ 21,641,277

$ 29,068,126

Cost basis

316,314

397,883

^[1]

$ 174,414

$ 291,111

3.92%

4.18%

Year to date changes in fair value recorded in other income (loss)

^[2]

26 years 3 months 18 days

26 years 8 months 12 days

$ (141,900)

$ (106,772)

Mortgage Service Right Conventional [Member]

Unpaid principal balance

21,641,277

26,142,780

Cost basis

^[3]

316,314

357,667

^[1]

$ 174,414

$ 263,357

3.92%

4.27%

Year to date changes in fair value recorded in other income (loss)

^[2]

26 years 3 months 18 days

26 years 9 months 18 days

$ (141,900)

$ (94,310)

Mortgage Service Right Government [Member]

Unpaid principal balance

2,925,346

Cost basis

^[3]

40,216

^[1]

$ 27,754

3.37%

Year to date changes in fair value recorded in other income (loss)

^[2]

25 years 9 months 18 days

$ (12,462)

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools.
[2]	Weighted average maturity of the underlying residential mortgage loans in the pool.
[3]	MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns of the underlying mortgage loans.

Investments in Servicing Related Assets, Geographic Concentration (Details)	Dec. 31, 2020	Dec. 31, 2019
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	100.00%	100.00%
California [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	11.10%	13.40%
Virginia [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	8.40%	5.10%
New York [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	7.70%	5.10%
Maryland [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	6.70%	5.60%
Texas [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.80%	6.20%
North Carolina [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.50%
All Other [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	54.80%	64.60%

Equity and Earnings per Common Share, Common and Preferred Stock (Details) - USD ($)				12 Months Ended
	Apr. 28, 2020	Feb. 11, 2019	Jun. 04, 2018	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Class of Stock Disclosures [Abstract]
Date of conducting IPO and concurrent private placement of common stock				Oct. 09, 2013
Stock issued and sold (in shares)	527,010		2,750,000
Common stock issued, price per share (in dollars per share)			$ 0.01	$ 8.83	$ 16.68
Stock exercised to purchase additional shares (in shares)			338,857
Proceeds from issuance of common stock			$ 53,800,000	$ 3,570,000	$ 4,112,000	$ 69,012,000
Stock issuance expense			$ 265,000
Proceeds from issuance of stock				$ 98,000	$ 49,642,000	$ 7,722,000
Earnings Per Share, Other Disclosures [Abstract]
Issuance of common stock (in shares)	527,010		2,750,000
Common dividends declared (in dollars per share)	$ 0.40			$ 1.21	$ 1.78
Series A Preferred Stock [Member]
Class of Stock Disclosures [Abstract]
Preferred stock dividend rate				8.20%
Preferred stock, par value (in dollars per share)				$ 0.01	$ 0.01
Cash redemption price (in dollars per share)				$ 25.00
Shares issued upon conversion, preferred stock (in shares)				2.62881
Percentage of cash dividends rate				8.20%
Liquidation preference per share (in dollars per share)				$ 25.00
Cumulative cash dividends (in dollars per share)				$ 2.05
Preferred stock, shares issued (in shares)				2,781,635	2,781,635
Series B Preferred Stock [Member]
Class of Stock Disclosures [Abstract]
Preferred stock, par value (in dollars per share)		$ 0.01		$ 0.01	$ 0.01
Cash redemption price (in dollars per share)		$ 25.00
Shares issued upon conversion, preferred stock (in shares)		2.68962
Stock exercised to purchase additional shares (in shares)		200,000
Stock issuance expense		$ 285,000
Preferred stock, shares issued (in shares)		1,800,000		2,000,000	2,000,000
Proceeds from issuance of stock		$ 48,400,000
Percentage of offering of fixed-to-floating rate cumulative redeemable stock		8.30%
Series B Preferred Stock [Member] \| LIBOR [Member]
Class of Stock Disclosures [Abstract]
Shares issued upon conversion, preferred stock (in shares)				2.0625
Liquidation preference per share (in dollars per share)				$ 25.00
Percentage of offering of fixed-to-floating rate cumulative redeemable stock				8.25%
Term of floating rate				3 months
Basis spread on variable rate				5.631%

Equity and Earnings per Common Share, Common Stock and Preferred Stock ATM Program (Details) - USD ($)			1 Months Ended																	12 Months Ended
	Apr. 28, 2020	Jun. 04, 2018	Dec. 31, 2020	Nov. 30, 2020	Oct. 31, 2020	Sep. 30, 2020	Aug. 31, 2020	Jul. 31, 2020	Jun. 30, 2020	May 31, 2020	Apr. 30, 2020	Mar. 31, 2020	Feb. 29, 2020	Jan. 31, 2020	Dec. 31, 2019	Nov. 30, 2019	Oct. 31, 2019	Aug. 31, 2018	Apr. 30, 2018	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018	Sep. 30, 2019
Class of Stock Disclosures [Abstract]
Stock issued and sold (in shares)	527,010	2,750,000
Issuance of common stock, net of offering costs		$ 53,800,000																		$ 3,570,000	$ 4,112,000	$ 69,012,000
Share Repurchase Program [Abstract]
Total number of shares purchased (in shares)			0	0	0	0	0	0	0	0	0	135,577	0	6,954	72,150	163,800	0			142,531	235,950
Average price paid per share (in dollars per share)			$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ 0	$ 12.89	$ 0	$ 14.42	$ 14.75	$ 14.52	$ 0			$ 12.96	$ 14.59
Plans or Programs [Member]
Share Repurchase Program [Abstract]
Total number of shares purchased (in shares)			0	0	0	0	0	0	0	0	0	135,577	0	6,954	72,150	163,800	0			142,531	235,950
Maximum approximate dollar value of shares that may yet be purchased under the plans or programs			$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 4,709,137	$ 6,456,695	$ 6,456,695	$ 6,556,956	$ 7,621,091	$ 10,000,000			$ 4,709,137	$ 6,556,956
Series A Preferred Stock [Member] \| Preferred Stock ATM Program [Member]
Class of Stock Disclosures [Abstract]
Stock issued and sold (in shares)																				0	63,429
Weighted average price (in dollars per share)																					$ 25.21
Issuance of common stock, net of offering costs																					$ 1,600,000
Stock issuance fee																					$ 26,000
Preferred stock value authorized																			$ 35,000,000
Common Stock [Member]
Class of Stock Disclosures [Abstract]
Stock issued and sold (in shares)																				558,734	244,435
Share Repurchase Program [Abstract]
Brokers commission paid																				$ 4,300	$ 7,000
Total number of shares purchased (in shares)																				142,531	235,950
Average price paid per share (in dollars per share)																				$ 12.96	$ 14.59
Maximum approximate dollar value of shares that may yet be purchased under the plans or programs																							$ 10,000,000
Common Stock [Member] \| Common Stock ATM Program [Member]
Class of Stock Disclosures [Abstract]
Common stock value authorized																		$ 50,000,000
Stock issued and sold (in shares)																				0	225,646
Weighted average price (in dollars per share)																					$ 17.40
Issuance of common stock, net of offering costs																					$ 3,900,000
Stock issuance fee																					$ 79,000

Equity and Earnings per Common Share, Equity Incentive Plan (Details) - USD ($)

12 Months Ended

Jun. 04, 2018

Dec. 31, 2020

Dec. 31, 2019

Share-based Arrangements with Employees and Nonemployees [Abstract]

Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares)

(338,857)

Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares)

1,156,049

1,235,213

Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, During the Period (in shares)

(73,796)

(79,164)

Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares)

1,082,253

1,156,049

Weighted Average Issuance Price (in dollars per share)

$ 0.01

$ 8.83

$ 16.68

LTIP-OP Units [Member]

Share-based Arrangements with Employees and Nonemployees [Abstract]

LTIP-OP unit vesting period

3 years

LTIP-OP Units Issued, Beginning Balance (in shares)

(290,275)

(223,900)

LTIP-OP Units Issued, number of securities issued or to be issued upon exercise (in shares)

(51,572)

^[1]

(66,375)

^[2]

LTIP-OP Units Issued, Ending Balance (in shares)

(341,847)

(290,275)

LTIP-OP Units Forfeited, Beginning Balance (in shares)

916

LTIP-OP Units Forfeited, number of securities issued or to be issued upon exercise (in shares)

LTIP-OP Units Forfeited, Ending Balance (in shares)

916

LTIP-OP Units Converted, Beginning Balance (in shares)

18,917

12,917

LTIP-OP Units Converted, number of securities issued or to be issued upon exercise (in shares)

9,500

6,000

LTIP-OP Units Converted, Ending Balance (in shares)

28,417

18,917

Share-based compensation expense recognized

$ 1,000,000.0

Unrecognized share-based compensation expense

$ 900,000

LTIP-OP Units [Member] | Maximum [Member]

Share-based Arrangements with Employees and Nonemployees [Abstract]

Period of unrecognized share-based compensation expense expected to vest

3 years

Common Stock [Member]

Share-based Arrangements with Employees and Nonemployees [Abstract]

Shares of Common Stock Issued, Beginning Balance (in shares)

(76,664)

(57,875)

Shares of Common Stock Issued, number of securities issued or to be issued upon exercise (in shares)

(31,724)

^[3]

(18,789)

^[4]

Shares of Common Stock Issued, Ending Balance (in shares)

(108,388)

(76,664)

Shares of Common Stock Forfeited, Beginning Balance (in shares)

3,155

Shares of Common Stock Forfeited, number of securities issued or to be issued upon exercise (in shares)

Shares of Common Stock Forfeited, Ending Balance (in shares)

3,155

2013 Plan [Member] | LTIP-OP Units [Member]

Share-based Arrangements with Employees and Nonemployees [Abstract]

Number of share equivalent to unit awarded (in shares)

[1]	Subject to forfeiture in certain circumstances prior to January 2, 2023.
[2]	Subject to forfeiture in certain circumstances prior to January 2, 2022.
[3]	Subject to forfeiture in certain circumstances prior to June 18, 2021.
[4]	Subject to forfeiture in certain circumstances prior to June 13, 2020.

Equity and Earnings per Common Share, Non-Controlling Interests in Operating Partnership (Details) - LTIP-OP Units [Member] - Operating Partnership [Member]	Dec. 31, 2020 shares
Noncontrolling Interest in Operating Partnership [Abstract]
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares)	311,113
Percentage of operating partnership	1.80%

Equity and Earnings per Common Share, Earnings per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Numerator [Abstract]
Net income (loss)	$ 9,043	$ (742)	$ (12,683)	$ (48,836)	$ 4,495	$ (4,309)	$ (28,477)	$ (22,384)	$ (53,218)	$ (50,675)	$ 34,269
Net (income) loss allocated to noncontrolling interests in Operating Partnership	(168)	10	227	910	(75)	65	460	369	979	819	(443)
Dividends on preferred stock	2,463	2,459	2,461	2,459	2,460	2,459	2,593	1,841	9,842	9,353	5,297
Net income (loss) applicable to common stockholders	$ 6,412	$ (3,191)	$ (14,917)	$ (50,385)	$ 1,960	$ (6,703)	$ (30,610)	$ (23,856)	$ (62,081)	$ (59,209)	$ 28,529
Denominator [Abstract]
Weighted average common shares outstanding (in shares)	17,054,634	17,054,634	16,882,077	16,611,440	16,797,523	16,883,816	16,776,472	16,646,114	16,901,537	16,775,113	14,649,242
Weighted average diluted shares outstanding (in shares)	17,076,858	17,076,858	16,895,408	16,624,229	16,810,312	16,896,605	16,789,261	16,654,370	16,919,204	16,787,902	14,657,498
Basic and Diluted EPS [Abstract]
Basic (in dollars per share)	$ 0.38	$ (0.19)	$ (0.88)	$ (3.03)	$ 0.12	$ (0.40)	$ (1.82)	$ (1.43)	$ (3.67)	$ (3.53)	$ 1.95
Diluted (in dollars per share)	$ 0.38	$ (0.19)	$ (0.88)	$ (3.03)	$ 0.12	$ (0.40)	$ (1.82)	$ (1.43)	$ (3.67)	$ (3.53)	$ 1.95
Anti-dilutive securities (in shares)									0	0	0

Transactions with Related Parties (Details)	3 Months Ended								6 Months Ended	12 Months Ended
Transactions with Related Parties (Details)	Dec. 31, 2020 USD ($)	Sep. 30, 2020 USD ($)	Jun. 30, 2020 USD ($)	Mar. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)	Sep. 30, 2019 USD ($)	Jun. 30, 2019 USD ($)	Mar. 31, 2019 USD ($)	Jun. 30, 2020 USD ($)	Dec. 31, 2020 USD ($) Loan Employee	Dec. 31, 2019 USD ($) Loan	Dec. 31, 2018 USD ($)
Related Party Transactions [Abstract]
Percentage of annual management fee paid equal to gross equity										1.50%
Renew of management agreement subject to termination										1 year
Management agreement subject to termination, notice period for termination to manager										30 days
Management agreement subject to termination, period of notice by manager in the event of default										60 days
Management agreement subject to termination, period of termination fee payment in the event of default										30 days
Subservicing agreement term										2 years
Carrying value of MSR Portfolio sold			$ 15,700,000						$ 15,700,000
Proceeds from sale of MSRs										$ 15,831,000	$ 0	$ 0
Realized loss on investments in MSRs, net										(11,347,000)	0	0
Unrealized losses on market value in MSRs									$ (11,500,000)
Agreement purchase price										52,957,000	102,976,000	175,674,000
Losses on loans repurchased										(452,000)	(382,000)
Foreclosure related losses not reimbursable										56,000
Management Fees and Compensation Reimbursement to Affiliate [Abstract]
Management fees										6,794,000	6,832,000	5,088,000
Compensation reimbursement										976,000	952,000	858,000
Total	$ 1,842,000	$ 1,989,000	$ 1,974,000	$ 1,965,000	$ 1,999,000	$ 2,042,000	$ 1,934,000	$ 1,809,000		$ 7,770,000	7,784,000	$ 5,946,000
Minimum [Member]
Related Party Transactions [Abstract]
Management agreement subject to non-renewal, notice period										180 days
Maximum [Member]
Related Party Transactions [Abstract]
Management agreement subject to non-renewal, notice period										270 days
Mortgage Service Rights (MSRs) [Member] \| Aurora Financial Group, Inc. [Member] \| RoundPoint Mortgage Servicing Corporation [Member]
Related Party Transactions [Abstract]
Aggregate unpaid principal balance											2,000,000,000.0
Agreement purchase price											23,500,000
Mortgage Service Rights (MSRs) [Member] \| Aurora Financial Group, Inc. [Member] \| RoundPoint Mortgage Servicing Corporation [Member] \| Flow Agreement [Member]
Related Party Transactions [Abstract]
Aggregate unpaid principal balance										$ 6,200,000,000	7,600,000,000
Agreement purchase price										$ 50,500,000	$ 80,800,000
Freedom Mortgage Excess Service Right [Member]
Related Party Transactions [Abstract]
Number of MSRs loans \| Loan										0	19
Aggregate unpaid principal balance											$ 4,400,000
Amount due to affiliated entity											$ 5,200
Number of employees leases from mortgage \| Employee										4
Remaining holdback amount	757,000									$ 757,000
Mortgage loan losses recoverable, written off										573,000
Freedom Mortgage Excess Service Right [Member] \| Receivable and Other Assets [Member]
Related Party Transactions [Abstract]
Foreclosure related losses recoverable	$ 326,000									$ 326,000

Derivative Instruments, Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($)
$ in Thousands

12 Months Ended

Dec. 31, 2020

Dec. 31, 2019

Notional Amount of Interest Rate Swaps [Member]

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

$ 1,451,900

$ 2,355,850

Weighted average pay rate

$ 4,913

$ 7,781

0.45%

1.70%

Weighted average receive rate

0.84%

1.92%

Weighted average years to maturity

6 years 4 months 24 days

5 years 3 months 18 days

Notional Amount of Swaptions [Member]

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

$ 70,000

$ 40,000

Weighted average pay rate

$ 798

$ 368

1.32%

2.38%

Weighted average years to maturity

^[1]

10 years 7 months 6 days

10 years 8 months 12 days

Weighted average years to expiration

6 months

7 months 6 days

Notional Amount of Swaptions [Member] | LIBOR [Member]

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Weighted average receive rate type

^[2]

LIBOR-BBA%

Notional Amount of TBAs, Net [Member]

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

$ 332,000

$ 140,300

Notional Amount of TBAs, Net [Member] | Short [Member]

343,849

142,438

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

543,000

773,700

Notional Amount of Treasury Futures [Member]

567,544

788,506

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

110,000

310,300

Notional Amount of Treasury Futures [Member] | Short [Member]

252

(1,773)

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Not Designated as Hedging Instrument [Member]

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member]

1,963,900

2,846,450

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member]

1,451,900

2,355,850

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member]

70,000

40,000

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

Not Designated as Hedging Instrument [Member] | Notional Amount of Treasury Futures [Member]

332,000

140,300

Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]

$ 110,000

$ 310,300

[1]	Weighted average years to maturity of the underlying swaps from the reporting date.
[2]	Floats in accordance with LIBOR.

Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
TBA Derivatives [Abstract]
Notional	$ 332,000	$ 140,300
Implied Cost Basis	339,719	142,862
Implied Fair Value	343,849	142,438
Net Carrying Value	4,130	(423)
Purchase Contracts [Member]
TBA Derivatives [Abstract]
Notional	875,000	914,000
Implied Cost Basis	904,653	928,648
Implied Fair Value	911,393	930,944
Net Carrying Value	6,740	2,297
Sale contracts [Member]
TBA Derivatives [Abstract]
Notional	543,000	773,700
Implied Cost Basis	564,934	785,786
Implied Fair Value	567,544	788,506
Net Carrying Value	$ 2,610	$ 2,720

Derivative Instruments, Information of Treasury Futures Agreements (Details) - Notional Amount of Treasury Futures [Member] - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Treasury Futures Agreements [Abstract]
Net Notional Amount	$ 110,000	$ 310,300
Fair Value	252	(1,773)
5 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	85,000	262,800
Fair Value	252	(1,009)
10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	25,000	47,500
Fair Value	0	(764)
Long Positions [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	110,000	310,300
Long Positions [Member] \| 5 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	85,000	262,800
Long Positions [Member] \| 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	25,000	47,500
Short Positions [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	0	0
Short Positions [Member] \| 5 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	0	0
Short Positions [Member] \| 10 years [Member]
Treasury Futures Agreements [Abstract]
Net Notional Amount	$ 0	$ 0

Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net	$ (787)	$ (7,841)	$ 4,558	$ (18,756)	$ (17,148)	$ 12,627	$ (365)	$ (7,476)	$ (22,826)	$ (12,362)	$ (5,889)
Not Designated as Hedging Instrument [Member] \| Realized Gain (Loss) on Derivatives, Net [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net									(22,826)	(12,362)	(5,889)
Not Designated as Hedging Instrument [Member] \| Realized Gain (Loss) on Derivatives, Net [Member] \| Interest Rate Swaps [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net									(60,721)	(27,950)	(2,149)
Not Designated as Hedging Instrument [Member] \| Realized Gain (Loss) on Derivatives, Net [Member] \| Interest Rate Swaptions [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net									(505)	(1,544)	(1,451)
Not Designated as Hedging Instrument [Member] \| Realized Gain (Loss) on Derivatives, Net [Member] \| TBAs [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net									(3,423)	2,251	(2,315)
Not Designated as Hedging Instrument [Member] \| Realized Gain (Loss) on Derivatives, Net [Member] \| Treasury Futures [Member]
Derivative, Gain (Loss) on Derivative, Net [Abstract]
Realized loss on derivatives, net									$ 41,823	$ 14,881	$ 26

Derivative Instruments, Offsetting Assets (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets	$ 18,581	$ 20,586
Gross amounts offset in the consolidated balance sheet	(2,611)	(2,297)
Net amounts of assets presented in the consolidated balance sheet	15,970	18,289
Gross amounts not offset in the consolidated balance sheet in financial instruments	(14,001)	(18,289)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(1,969)	0
Net amount	0	0
Interest Rate Swaps [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets	10,791	17,921
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	10,791	17,921
Gross amounts not offset in the consolidated balance sheet in financial instruments	(10,791)	(17,921)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	0	0
Net amount	0	0
Interest Rate Swaptions [Member]
Offsetting Derivative Assets [Abstract]
Gross amounts of recognized assets	798	368
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of assets presented in the consolidated balance sheet	798	368
Gross amounts not offset in the consolidated balance sheet in financial instruments	(798)	(368)
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	6,740	2,297
Gross amounts offset in the consolidated balance sheet	(2,611)	(2,297)
Net amounts of assets presented in the consolidated balance sheet	4,129	0
Gross amounts not offset in the consolidated balance sheet in financial instruments	(4,129)	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	252
Gross amounts offset in the consolidated balance sheet	0
Net amounts of assets presented in the consolidated balance sheet	252
Gross amounts not offset in the consolidated balance sheet in financial instruments	1,717
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(1,969)
Net amount	$ 0

Derivative Instruments, Offsetting Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities	$ 1,158,467	$ 2,352,272
Gross amounts offset in the consolidated balance sheet	(2,611)	(2,297)
Net amounts of liabilities presented in the consolidated balance sheet	1,155,856	2,349,975
Gross amounts not offset in the consolidated balance sheet in financial instruments	(1,111,499)	(2,282,938)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(44,357)	(67,037)
Net amount	0	0
Repurchase Agreements [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities	1,149,978	2,337,638
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	1,149,978	2,337,638
Gross amounts not offset in the consolidated balance sheet in financial instruments	(1,105,621)	(2,276,251)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)	(44,357)	(61,387)
Net amount	0	0
Interest Rate Swaps [Member]
Offsetting Derivative Liabilities [Abstract]
Gross amounts of recognized liabilities	5,878	10,140
Gross amounts offset in the consolidated balance sheet	0	0
Net amounts of liabilities presented in the consolidated balance sheet	5,878	10,140
Gross amounts not offset in the consolidated balance sheet in financial instruments	(5,878)	(10,140)
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 liabilities	2,611	2,720
Gross amounts offset in the consolidated balance sheet	(2,611)	(2,297)
Net amounts of liabilities presented in the consolidated balance sheet	0	423
Gross amounts not offset in the consolidated balance sheet in financial instruments	0	(423)
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 liabilities		1,774
Gross amounts offset in the consolidated balance sheet		0
Net amounts of liabilities presented in the consolidated balance sheet		1,774
Gross amounts not offset in the consolidated balance sheet in financial instruments		3,876
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)		(5,650)
Net amount		$ 0

Fair Value, Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($)
$ in Thousands

Dec. 31, 2020

Dec. 31, 2019

$ 15,970

$ 18,289

^[1]

174,414

291,111

5,878

12,337

Level 3 [Member]

Interest Rate Swaps [Member]

174,414

291,111

Interest Rate Swaptions [Member]

10,791

17,921

798

368

TBAs [Member]

Treasury Futures [Member]

4,129

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

252

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

15,970

18,289

1,244,221

2,526,649

5,878

12,337

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

5,878

12,337

174,414

291,111

174,414

291,111

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 1 [Member]

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 2 [Member]

10,791

17,921

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaps [Member] | Level 3 [Member]

5,878

10,140

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 1 [Member]

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 2 [Member]

Fair Value, Measurements, Recurring [Member] | Interest Rate Swaptions [Member] | Level 3 [Member]

798

368

Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 1 [Member]

Fair Value, Measurements, Recurring [Member] | TBAs [Member] | Level 2 [Member]

4,129

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

423

Fair Value, Measurements, Recurring [Member] | Treasury Futures [Member] | Level 1 [Member]

Fair Value, Measurements, Recurring [Member] | Treasury Futures [Member] | Level 2 [Member]

252

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

1,774

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]

15,970

18,289

174,414

291,111

1,418,635

2,817,760

5,878

12,337

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member]

5,878

12,337

10,791

17,921

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member]

5,878

10,140

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member]

798

368

4,129

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Treasury Futures [Member]

423

$ 252

RMBS [Member] | Level 2 [Member]

$ 1,774

Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract]

Percentage of derivative instruments classified as fair value assets and liabilities

100.00%

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 1 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Level 2 [Member]

$ 0

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

1,228,251

2,508,360

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | CMOs [Member] | Level 1 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | CMOs [Member] | Level 2 [Member]

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

129,083

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 1 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 2 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Private Label MBS [Member] | Level 3 [Member]

6,141

32,193

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | CMOs [Member]

1,228,251

2,508,360

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Private Label MBS [Member]

129,083

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 1 [Member]

6,141

32,193

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 2 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Level 3 [Member]

715,156

1,619,233

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fannie Mae [Member] | Carrying Value [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 1 [Member]

715,156

1,619,233

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 2 [Member]

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Level 3 [Member]

506,954

727,851

RMBS [Member] | Fair Value, Measurements, Recurring [Member] | Freddie Mac [Member] | Carrying Value [Member]

MSRs [Member] | Level 3 [Member]

$ 506,954

$ 727,851

Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract]

Percentage of derivative instruments classified as fair value assets and liabilities

100.00%

Derivative Instruments [Member] | Level 2 [Member]

Derivative Instruments Classified as Fair Value Assets and Liabilities [Abstract]

Percentage of derivative instruments classified as fair value assets and liabilities

100.00%

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools.

Fair Value, Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($)
$ in Thousands

12 Months Ended

Dec. 31, 2020

Dec. 31, 2019

Changes in Fair Value due to [Abstract]

Beginning balance

^[1]

$ 291,111

Ending balance

^[1]

174,414

$ 291,111

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

Changes in Fair Value due to [Abstract]

Beginning balance

291,111

Ending balance

174,414

291,111

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

Purchases, sales and principal paydowns [Abstract]

Beginning balance

291,111

294,907

Purchases

54,439

104,969

Sales

(27,754)

Other changes

^[2]

(1,482)

(1,993)

Purchases, sales and principal paydowns

25,203

102,976

Changes in Fair Value due to [Abstract]

Changes in valuation inputs or assumptions used in valuation model

(8,318)

(43,737)

Other changes in fair value

^[3]

(133,582)

(63,035)

Unrealized gain (loss) included in Net Income

(141,900)

(106,772)

Ending balance

$ 174,414

$ 291,111

[1]	See Note 9 regarding the estimation of fair value, which approximates carrying value for all pools.
[2]	Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
[3]	Represents changes due to realization of expected cash flows and estimated MSR runoff.

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

12 Months Ended

Dec. 31, 2020

Dec. 31, 2019

Valuation Technique and Input, Description [Abstract]

Discounted Cash Flow [Member] | MSRs Conventional [Member]

$ 174,414

$ 291,111

Valuation Technique and Input, Description [Abstract]

Annual cost to service, per loan

174,414

263,357

^[1]

$ 76

^[2]

Discounted Cash Flow [Member] | MSRs Government [Member]

Valuation Technique and Input, Description [Abstract]

Annual cost to service, per loan

27,754

^[1],[2]

$ 112

Discounted Cash Flow [Member] | Minimum [Member] | MSRs Conventional [Member]

Valuation Technique and Input, Description [Abstract]

^[1]

5.00%

7.80%

Discounted Cash Flow [Member] | Minimum [Member] | MSRs Government [Member]

^[1]

0.30%

0.40%

Valuation Technique and Input, Description [Abstract]

^[1]

6.50%

Discounted Cash Flow [Member] | Maximum [Member] | MSRs Conventional [Member]

^[1]

2.20%

Valuation Technique and Input, Description [Abstract]

^[1]

38.00%

21.10%

Discounted Cash Flow [Member] | Maximum [Member] | MSRs Government [Member]

^[1]

2.60%

0.80%

Valuation Technique and Input, Description [Abstract]

^[1]

19.50%

Discounted Cash Flow [Member] | Weighted Average [Member] | MSRs Conventional [Member]

^[1]

9.00%

Valuation Technique and Input, Description [Abstract]

^[1]

15.40%

13.20%

^[2]

Discounted Cash Flow [Member] | Weighted Average [Member] | MSRs Government [Member]

^[1]

0.60%

0.70%

^[2]

Discount rate

^[1]

6.10%

7.30%

^[2]

Valuation Technique and Input, Description [Abstract]

^[1],[2]

13.60%

^[1],[2]

2.80%

Discount rate

^[1],[2]

9.40%

[1]	Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
[2]	Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.

Commitments and Contingencies (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Commitments and Contingencies [Abstract]
Percentage of annual management fee paid equal to gross equity	1.50%
Accruals of legal and regulatory claims	$ 0	$ 0
Securities obligated to purchase	0	0
Securities obligated to sell	$ 0	$ 0

Repurchase Agreements (Details) $ in Thousands	12 Months Ended
Repurchase Agreements (Details) $ in Thousands	Dec. 31, 2020 USD ($) Security	Dec. 31, 2019 USD ($) Security
Repurchase Agreements [Abstract]
Weighted average of remaining maturities days	28 days	42 days
Repurchase Agreement Characteristics, Remaining Maturities [Abstract]
Less than one month, repurchase agreements	$ 482,319	$ 928,646
One to three months, repurchase agreements	667,659	1,231,422
Greater than three months, repurchase agreements		177,570
Total repurchase agreements	$ 1,149,978	$ 2,337,638
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract]
Less than one month, weighted average rate	0.23%	2.24%
One to three months, weighted average rate	0.23%	1.94%
Greater than three months, weighted average rate		1.98%
Weighted average rate	0.23%	2.06%
Number of overnight or demand securities \| Security	0	0

Notes Payable (Details) $ in Thousands	12 Months Ended
Notes Payable (Details) $ in Thousands	Dec. 31, 2020 USD ($) RenewalOption	Dec. 31, 2019 USD ($)	Oct. 31, 2019 USD ($)	Sep. 30, 2019 USD ($)	Apr. 02, 2019 USD ($)	Sep. 30, 2018 USD ($)	Jul. 31, 2018 USD ($)	May 31, 2017 USD ($)	Sep. 30, 2016 USD ($)
Maturities of Long-Term Borrowings [Abstract]
Long-term debt, maturity, year one	$ 111,500	$ 2,000
Long-term debt, maturity, year two	0	154,500
Long-term debt, maturity, year three	0	10,996
Long-term debt, maturity, year four	0	0
Long-term debt, maturity, year five	0	0
Long-term debt, maturity, year six	0	0
Long-term borrowings	111,500	167,496
MSR Financing Facility [Member]
Debt Instruments [Abstract]
Maximum borrowing amount	$ 100,000								$ 25,000
Debt instrument maturity date	Dec. 20, 2020
Fannie Mae MSR Financing Facility [Member]
Debt Instruments [Abstract]
Maximum borrowing amount				$ 200,000
Debt instrument term	24 months
Debt instrument term of variable rate	1 month
Debt instrument committed line of credit				$ 100,000
Debt instrument term of additional extension	12 months
Maturities of Long-Term Borrowings [Abstract]
Long-term debt, maturity, year one	$ 64,000	0
Long-term debt, maturity, year two	0	97,000
Long-term debt, maturity, year three	0	0
Long-term debt, maturity, year four	0	0
Long-term debt, maturity, year five	0	0
Long-term debt, maturity, year six	0	0
Long-term borrowings	$ 64,000	97,000
MSR Term Facility [Member]
Debt Instruments [Abstract]
Maximum borrowing amount								$ 20,000
Interest rate on loans payable								6.18%
Debt instrument, amortization period	10 years
Debt instrument maturity date	May 18, 2022
Additional borrowing capacity			$ 10,000
Maturities of Long-Term Borrowings [Abstract]
Long-term debt, maturity, year one		2,000
Long-term debt, maturity, year two		2,000
Long-term debt, maturity, year three		10,996
Long-term debt, maturity, year four		0
Long-term debt, maturity, year five		0
Long-term debt, maturity, year six		0
Long-term borrowings		14,996
MSR Revolver [Member]
Debt Instruments [Abstract]
Maximum borrowing amount					$ 100,000	$ 45,000	$ 25,000
Debt instrument term	364 days
Debt instrument term of variable rate	1 month
Debt instrument, amortization period	24 months
Number of Borrowers option renewals \| RenewalOption	2
Term out feature of credit facility	1 year
Additional borrowing capacity							$ 5,000
Maturities of Long-Term Borrowings [Abstract]
Long-term debt, maturity, year one	$ 47,500	0
Long-term debt, maturity, year two	0	55,500
Long-term debt, maturity, year three	0	0
Long-term debt, maturity, year four	0	0
Long-term debt, maturity, year five	0	0
Long-term debt, maturity, year six	0	0
Long-term borrowings	$ 47,500	$ 55,500

Receivables and Other Assets (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Receivables and Other Assets [Abstract]
Servicing advances	$ 18,253	$ 16,647
Interest receivable	3,119	8,222
Deferred tax receivable	21,523	2,757
Repurchased loans held for sale	245	3,839
Other receivables	1,495	3,632
Total other assets	$ 44,635	$ 35,097

Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Accrued Expenses and Other Liabilities [Abstract]
Accrued interest payable	$ 1,008	$ 10,779
Accrued expenses	2,737	5,090
Total accrued expenses and other liabilities	$ 3,745	$ 15,869

Summarized Quarterly Results (Unaudited) (Details) - USD ($)
$ / shares in Units, $ in Thousands

3 Months Ended

12 Months Ended

Dec. 31, 2020

Sep. 30, 2020

Jun. 30, 2020

Mar. 31, 2020

Dec. 31, 2019

Sep. 30, 2019

Jun. 30, 2019

Mar. 31, 2019

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

Income [Abstract]

$ 8,638

$ 10,001

$ 10,132

$ 20,249

$ 19,770

$ 19,383

$ 17,216

$ 16,969

$ 49,020

$ 73,338

$ 57,350

619

(18)

3,425

12,291

13,499

12,635

11,707

10,744

16,317

48,585

34,509

Net interest income

8,019

10,019

6,707

7,958

6,271

6,748

5,509

6,225

32,703

24,753

22,841

14,045

14,365

18,032

19,519

19,318

18,687

18,362

17,188

65,961

73,555

50,776

4,940

5,266

6,594

5,840

5,378

4,102

4,103

3,821

22,640

17,404

10,615

Realized gain (loss) on RMBS, available-for-sale, net

9,105

9,099

11,438

13,679

13,940

14,585

14,259

13,367

43,321

56,151

40,161

Other income (loss) [Abstract]

7,950

6,722

(1,769)

(17,543)

627

275

(4,640)

902

(8,362)

Realized loss on investments in MSRs, net

(11,347)

Realized gain (loss) on derivatives, net

(787)

(7,841)

4,558

(18,756)

(17,148)

12,627

(365)

(7,476)

(22,826)

(12,362)

(5,889)

Realized gain (loss) on acquired assets, net

(93)

(95)

(548)

(28)

(690)

Unrealized gain (loss) on derivatives, net

(3,266)

3,702

(4,581)

52,200

3,357

(2,133)

(3,819)

(8,272)

48,055

(10,867)

3,505

Unrealized gain (loss) on investments in Servicing Related Assets

(10,050)

(20,972)

(17,025)

(93,853)

1,959

(37,514)

(44,042)

(27,175)

(141,900)

(106,772)

(3,573)

Total Income (Loss)

10,878

634

(12,567)

(56,269)

8,978

(5,358)

(28,458)

(23,331)

(57,324)

(48,169)

48,683

Expenses [Abstract]

General and administrative expense

1,209

1,503

1,420

2,756

1,352

1,194

1,138

963

6,888

4,647

3,941

Management fee to affiliate

1,842

1,989

1,974

1,965

1,999

2,042

1,934

1,809

7,770

7,784

5,946

Total Expenses

3,051

3,492

3,394

4,721

3,351

3,236

3,072

2,772

14,658

12,431

9,887

Income (Loss) Before Income Taxes

7,827

(2,858)

(15,961)

(60,990)

5,627

(8,594)

(31,530)

(26,103)

(71,982)

(60,600)

38,796

Provision for (Benefit from) corporate business taxes

(1,216)

(2,116)

(3,278)

(12,154)

1,132

(4,285)

(3,053)

(3,719)

(18,764)

^[1]

(9,925)

^[1]

4,527

^[1]