---

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-K

For the fiscal year ended December 31, 2021

OR

For the transition period from                to               

Commission File Number: 001-36099

CHERRY HILL MORTGAGE INVESTMENT CORPORATION
(Exact name of registrant as specified in its charter)

(877) 870 – 7005
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Securities registered pursuant to Section 12(g) of the Act:
None

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes  ☐  No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Exchange Act. Yes ☐    No ☒

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No   ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐   

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report.☒

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  ☐  No ☒

The aggregate market value of the registrant’s common stock, $0.01 par value per share, at June 30, 2021, held by those persons deemed by the registrant to be non-affiliates (based upon the closing sale price of the common stock on the New York Stock Exchange on June 30, 2021) was approximately $167.8 million. Shares of the registrant’s common stock held by each executive officer and director and by each entity or person that, to the registrant’s knowledge, owned 10% or more of the registrant’s outstanding common stock as of June 30, 2021, have been excluded from this number in that these persons may be deemed affiliates of the registrant. The determination of affiliate status for this purpose is not necessarily a conclusive determination for other purposes.

On March 15, 2022, the registrant had a total of 18,261,848 shares of common stock, $0.01 par value, outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

Portions of the registrant’s Definitive Proxy Statement on Schedule 14A relating to its 2022 Annual Meeting of Stockholders, to be filed with the Securities and Exchange Commission by no later than April 30, 2022 are incorporated by reference into Part III, Items 10 through 14, inclusive, of this Annual Report on Form 10-K as indicated herein.

---

		Page
PART I		10
Item 1.	Business	10
Item 1A.	Risk Factors	16
Item 1B.	Unresolved Staff Comments	47
Item 2.	Properties	47
Item 3.	Legal Proceedings	47
Item 4.	Mine Safety Disclosures	47
PART II		48
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	48
Item 6.	Reserved	51
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	51
Item 7A.	Quantitative and Qualitative Disclosures about Market Risk	75
Item 8.	Consolidated Financial Statements and Supplementary Data	79
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	123
Item 9A.	Controls and Procedures	123
Item 9B.	Other Information	126
Item 9C.	Disclosure Regarding Foreign Jurisdictions that Prevent Inspections	126
PART III		126
Item 10.	Directors, Executive Officers and Corporate Governance	127
Item 11.	Executive Compensation	127
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	127
Item 13.	Certain Relationships and Related Transactions, and Director Independence	127
Item 14.	Principal Accountant Fees and Services	127
PART IV		128
Item 15.	Exhibits and Financial Statement Schedules	128
Item 16.	Form 10-K Summary	131

•

the Company’s investment objectives and business strategy;

•

the Company’s ability to raise capital through the sale of its equity and debt securities and to invest the net proceeds of any such offering in the target assets, if any, identified at the time of the offering;

•

the Company’s ability to obtain future financing arrangements and refinance existing financing arrangements as they mature;

•

the Company’s expected leverage;

•

the Company’s expected investments and the timing thereof;

•

the Company’s ability to acquire Servicing Related Assets and mortgage and real estate-related securities;

•

estimates and statements relating to, and the Company’s ability to make, future distributions to holders of the Company’s securities;

•

the Company’s ability to compete in the marketplace;

•

market, industry and economic trends;

•

recent market developments and actions taken and to be taken by the U.S. Government, the U.S. Treasury and the Board of Governors of the Federal Reserve System, Fannie Mae, Freddie Mac, Ginnie Mae and the U.S. Securities and Exchange Commission (“SEC”), including actions such as forbearance programs and prohibitions on foreclosures taken in response to COVID-19 (as defined below);

•

mortgage loan modification programs and future legislative actions;

•

the Company’s ability and the ability of CHMI Sub-REIT, Inc. (the “Sub-REIT”) to qualify and maintain qualifications as REITs under the Internal Revenue Code of 1986, as amended (the “Code”), and limitations on the Company’s business due to compliance with requirements for maintaining such qualifications as REITs under the Code;

•

the Company’s ability to maintain an exception from the definitions of “investment company” under the Investment Company Act of 1940, as amended (the “Investment Company Act”), or otherwise not fall within those definitions;

•

projected capital and operating expenditures;

•

availability of qualified personnel; and

•

projected prepayment and/or default rates.

•

the factors referenced in this Annual Report on Form 10-K, including those set forth under “Item 1. Business” and “Item 1A. Risk Factors” of Part I and “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations” of Part II;

•

the uncertainty and economic impact of the ongoing coronavirus (“COVID-19”) pandemic and of responsive measures implemented by various governmental authorities, businesses and other third parties;

•

general volatility of the capital markets;

•

changes in the Company’s investment objectives and business strategy;

•

availability, terms and deployment of capital;

•

availability of suitable investment opportunities;

•

the Company’s dependence on the Manager and the Company’s ability to find a suitable replacement if the Company or the Manager were to terminate the management agreement the Company has entered into with the Manager;

•

changes in the Company’s assets, interest rates or the general economy;

•

increased rates of default and/or decreased recovery rates on the Company’s investments, including as a result of the effects of more severe weather and changes in traditional weather patterns;

•

the ultimate geographic spread, severity and duration of pandemics, such as the outbreak of the COVID-19 pandemic and the emergence of new variants of the virus, actions that may be taken by governmental authorities to contain or address the impact of such pandemics, and the potential negative impacts of such pandemics on the U.S. and global economy generally and the U.S. residential mortgage market and our financial condition and results of operations specifically;

•

changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;

•

limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code and the Company’s exception from the definitions of “investment company” under the Investment Company Act (or of otherwise not falling within those definitions);

•

the degree and nature of the Company’s competition, including competition for the residential mortgage assets in which the Company invests; and

•

other risks associated with acquiring, investing in and managing residential mortgage assets.

•

The values of mortgage related assets have been adversely affected by COVID-19.

•

We use third party servicers to directly service the loans underlying our Servicing Related Assets which exposes us to the risk that they fail to comply with applicable law and the requirements of the Agencies that own those loans.

•

Relatively high rates of prepayments on residential mortgage loans adversely affect the values of our assets.

•

We rely on financial modeling to value our Servicing Related Assets.

•

We use leverage to increase returns, but it exposes us to margin calls on our investable assets.

•

We are dependent on our Manager to provide qualified personnel.

•

The amount of the fee we pay to our Manager is not affected by the performance of our investments.

•

The fee payable to our Manager upon termination without cause or non-renewal is a material impediment to changing managers or internalizing management of our Company.

•

Certain of our lenders prohibit terminating our Manager without their consent.

•

Maintenance of certain exceptions from (or otherwise not falling within) the definitions of “investment company” under the Investment Company Act imposes significant limitations on our operations.

•

The REIT rules impose ownership limits which may discourage a possible takeover. Certain provisions of Maryland law have the same effect.

•

The trading volume and market prices for shares of our equity securities tend to be volatile due to the relatively small market capitalization of our Company.

•

Our preferred stock has not been rated and is junior to our debt and any additional shares of senior stock that we may issue.

•

We may not be able to pay dividends on our equity securities.

•

Our preferred stock has very limited voting rights which generally do not include voting for directors.

•

If we fail to satisfy the ongoing REIT qualification tests, we will become subject to taxation which will adversely affect the return on your investment.

•

In order to satisfy those requirements, we may be required to forgo or liquidate otherwise attractive investments.

•

We could lose our status as a REIT if the IRS successfully challenges our characterization of investments in internally created excess mortgage servicing rights.

•

The REIT rules require that our mortgage servicing rights be held by a taxable REIT subsidiary, and the taxes payable by our taxable REIT subsidiary reduce the returns from that investment.

Item 1.

Business

•

RMBS, including Agency RMBS, residential mortgage pass-through certificates, CMOs and TBAs; and

•

Servicing Related Assets consisting of MSRs and Excess MSRs.

•

allocating a substantial portion of our equity capital to the acquisition of Servicing Related Assets;

•

the creation of intercompany Excess MSRs from MSRs acquired by our mortgage servicing subsidiary, Aurora;

•

acquiring RMBS on a leveraged basis; and

•

opportunistically mitigating our prepayment and interest rate and, to a lesser extent, credit risk by using a variety of hedging instruments and, where applicable and available, recapture agreements.

•

No investment will be made if it causes us to fail to qualify as a REIT under the Code.

•

No investment will be made if it causes us to be regulated as an investment company under the Investment Company Act.

•

We will not enter into principal transactions or split price executions with Freedom Mortgage or any of its affiliates unless such transaction is otherwise in accordance with our investment guidelines and the management agreement between us and our Manager and the terms of such transaction are at least as favorable to us as to Freedom Mortgage or its affiliate.

•

Any proposed material investment that is outside our targeted asset classes must be approved by at least a majority of our independent directors.

Item 1A.

Risk Factors

•

Continued volatility in the residential credit market has in the past caused and may continue to cause the market value of loans and securities we own subject to financing to decline, and our financing counterparties may make margin calls. In March 2020 we observed a mark-down of a portion of our mortgage assets by the counterparties to our financing arrangements, resulting in higher than historical levels of margin calls. We cannot assure you that we will not be subject to additional margin calls. Significant margin calls could have a material adverse effect on our results of operations, financial condition, business, liquidity and ability to make distributions to our stockholders, and could cause the value of our securities to decline.

•

We could face difficulty accessing debt and equity capital on attractive terms, or at all. In addition, a severe disruption and instability in the global financial markets or deteriorations in credit and financing conditions may adversely affect the valuation of financial assets and liabilities or cause us to reduce the volume of Servicing Related Assets we acquire, any of which could have a material adverse effect on our business, financial condition, results of operations and cash flows.

•

its failure to comply with applicable laws and regulations;

•

its failure to perform its loss mitigation obligations;

•

a downgrade in its servicer rating;

•

its failure to perform adequately in its external audits;

•

a failure in or poor performance of its operational systems or infrastructure;

•

regulatory or legal scrutiny, enforcement proceedings, consent orders or similar actions regarding any aspect of its operations, including, but not limited to, servicing practices and foreclosure processes lengthening foreclosure timelines; or

•

the transfer of servicing to another party.

•

payments made by such mortgage servicer to us, or obligations incurred by it, being voided by a court under federal or state preference laws or federal or state fraudulent conveyance laws; or

•

any agreement between us and the mortgage servicer being rejected in a bankruptcy proceeding.

•

interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;

•

available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;

•

the duration of the hedge may not match the duration of the related assets or liabilities being hedged;

•

to the extent hedging transactions do not satisfy certain provisions of the Code, and are not made through a TRS, the amount of income that a REIT may earn from hedging transactions to offset interest rate losses is limited by U.S. federal tax provisions governing REITs;

•

the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments or “mark-to-market losses” would reduce our total stockholders’ equity;

•

the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and

•

the hedging counterparty owing money in the hedging transaction may default on its obligation to pay.

•

“business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the voting power of our then-outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder became an interested stockholder, and thereafter require two supermajority stockholder votes to approve any such combination; and

•

“control share” provisions that provide that a holder of “control shares” of the Company (defined as voting shares of stock which, when aggregated with all other shares of stock owned by the acquiror or in respect of which the acquiror is able to exercise or direct the exercise of voting power (except solely by virtue of a revocable proxy), entitle the acquiror to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of issued and outstanding “control shares,” subject to certain exceptions) generally has no voting rights with respect to the control shares except to the extent approved by our stockholders by the affirmative vote of two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares.

•

actual receipt of an improper benefit or profit in money, property or services; or

•

active and deliberate dishonesty by the director or officer that was established by a final judgment and is material to the cause of action.

•

the uncertainty and economic impact of the COVID-19 pandemic, impact on market liquidity, the value of assets and availability of financing;

•

actual or anticipated variations in our quarterly operating results;

•

increases in market interest rates that lead purchasers of our common stock to demand a higher yield or to seek alternative investments;

•

changes in market valuations of similar companies;

•

adverse market reaction to any increased indebtedness we incur in the future;

•

additions or departures of key personnel;

•

actions by stockholders;

•

speculation in the press or investment community;

•

general market, economic and political conditions and the impact of these conditions on the global credit markets;

•

the operating performance of other similar companies;

•

changes in accounting principles; and

•

passage of legislation or other regulatory developments that adversely affect us or our industry.

•

prevailing interest rates, increases in which may have an adverse effect on the market price of the Preferred Stock;

•

trading prices of common and preferred equity securities issued by REITs and other similar companies;

•

the annual yield from distributions on the Preferred Stock as compared to yields on other financial instruments;

•

general economic and financial market conditions;

•

government action or regulation;

•

our financial condition, performance and prospects and those of our competitors;

•

changes in financial estimates or recommendations by securities analysts with respect to us, our competitors or our industry;

•

our issuance of additional preferred equity securities or the incurrence of debt; and

•

actual or anticipated variations in our quarterly operating results and those of our competitors.

•

85% of our REIT ordinary income for that year;

•

95% of our REIT capital gain net income for that year; and

•

any undistributed taxable income from prior years.

Item 1B.

Unresolved Staff Comments

Item 2.

Properties

Item 3.

Legal Proceedings

Item 4.

Mine Safety Disclosures

Item 5.

Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities Market Information

		Declaration Date		Record Date		Payment Date		Amount per Share
2021
Fourth Quarter		12/9/2021		12/31/2021		1/25/2022		$	0.27
Third Quarter		9/17/2021		9/30/2021		10/26/2021		$	0.27
Second Quarter		6/17/2021		6/30/2021		7/27/2021		$	0.27
First Quarter		3/4/2021		3/31/2021		4/27/2021		$	0.27
2020
Fourth Quarter		12/10/2020		12/31/2020		1/26/2021		$	0.27
Third Quarter		9/17/2020		9/30/2020		10/27/2020		$	0.27
Second Quarter		6/18/2020		6/30/2020		7/28/2020		$	0.27
First Quarter		3/12/2020		3/31/2020		4/28/2020		$	0.40

		December 29, 2017				December 31, 2018				December 31, 2019				December 31, 2020				December 31, 2021
Cherry Hill Mortgage Investment Corporation		$	109.81			$	117.15			$	109.27			$	79.20			$	80.48
Russel 2000		$	114.65			$	102.02			$	128.06			$	153.62			$	176.39
SNL Finance REIT (A)		$	120.98			$	117.81			$	140.91			$	111.54			$	128.00
S&P 500		$	121.83			$	116.49			$	153.17			$	181.35			$	233.41

(A)

In addition to the Company, as of December 31, 2021, the SNL Finance REIT Index comprised the following companies: AG Mortgage Investment Tr Inc., AGNC Investment Corp., American Church Mortgage Co., Annaly Capital Mgmt Inc., Anworth Mortgage Asset Corp., Apollo Commercial Real Estate,Arbor Realty Trust Inc., Ares Commercial RE Corp., Arlington Asset Invt Corp., ARMOUR Residential REIT Inc., Blackstone Mortgage Tr Inc., Broadmark Realty Capital Inc., Capstead Mortgage Corp., Chimera Investment Corp., Colony Credit Real Estate, Inc, CV Holdings Inc., Dynex Capital Inc., Ellington Financial Inc., Ellington Resdl Mrtg REIT, Exantas Capital Corp., Granite Point Mortgage Trust, Great Ajax Corp., Hannon Armstrong Sustainable, Hunt Companies Finance Trust, Invesco Mortgage Capital Inc., Jernigan Capital Inc., KKR Real Estate Finance Trust, Ladder Capital Corp, MFA Financial Inc., New Resdl Invt Corp., New York Mortgage Trust Inc., Orchid Island Capital Inc., PennyMac Mortgage Invt Trust, RAIT Financial Trust, Ready Capital Corp., Redwood Trust Inc., Sachem Capital Corp., Starwood Property Trust Inc., TPG RE Finance Trust Inc, Tremont Mortgage Trust, Two Harbors Investment Corp., United Development Funding IV, and Western Asset Mrtg Cap Corp.

		Number of Securities Issued or to be Issued Upon Exercise				Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans
Equity compensation Plans Approved By Shareholders							1,012,239
LTIP-OP Units			391,647
Forfeited LTIP-OP Units			(916	)
Converted/Redeemed LTIP-OP Units			53,849
Shares of Common Stock			144,980
Forfeited Shares of Common Stock			(3,155	)
Equity Compensation Plans Not Approved By Shareholders							-

Item 6.

Reserved

Item 7.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Quarter Ended		Average Asset Yield				Average Cost of Funds				Average Net Interest Rate Spread
December 31, 2021			2.93	%			0.62	%			2.31	%
September 30, 2021			2.94	%			0.63	%			2.31	%
June 30, 2021			2.94	%			0.62	%			2.32	%
March 31, 2021			3.04	%			0.53	%			2.52	%
December 31, 2020			3.05	%			0.59	%			2.46	%
September 30, 2020			3.17	%			0.63	%			2.54	%
June 30, 2020			3.33	%			0.84	%			2.49	%
March 31, 2020			3.53	%			1.42	%			2.11	%
December 31, 2019			3.72	%			1.79	%			1.93	%
September 30, 2019			3.77	%			1.90	%			1.87	%

•

the interest expense associated with our borrowings to increase;

•

the value of our assets to fluctuate;

•

coupons on any adjustable-rate and hybrid RMBS we may own to reset, although on a delayed basis, to higher interest rates;

•

prepayments on our RMBS to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; and

•

an increase in the value of any interest rate swap agreements we may enter into as part of our hedging strategy.

•

prepayments on our RMBS to increase, thereby accelerating the amortization of our purchase premiums and the accretion of our purchase discounts;

•

the interest expense associated with our borrowings to decrease;

•

the value of our assets to fluctuate;

•

a decrease in the value of any interest rate swap agreements we may enter into as part of our hedging strategy; and

•

coupons on any adjustable-rate and hybrid RMBS assets we may own to reset, although on a delayed basis, to lower interest rates.

		Year Ended December 31,
		2021				2020
Income
Interest income		$	14,956			$	42,841
Interest expense			5,768				22,134
Net interest income			9,188				20,707
Servicing fee income			54,157				65,961
Servicing costs			13,624				22,640
Net servicing income			40,533				43,321
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net			548				(4,640	)
Realized loss on investments in MSRs, net			-				(11,347	)
Realized loss on derivatives, net			(9,339	)			(9,977	)
Realized gain (loss) on acquired assets, net			15				(690	)
Unrealized gain (loss) on derivatives, net			(1,745	)			48,055
Unrealized loss on investments in Servicing Related Assets			(11,062	)			(141,900	)
Total Income (Loss)			28,138				(56,471	)
Expenses
General and administrative expense			6,983				7,741
Management fee to affiliate			7,844				7,770
Total Expenses			14,827				15,511
Income (Loss) Before Income Taxes			13,311				(71,982	)
Provision for (Benefit from) corporate business taxes			781				(18,764	)
Net Income (Loss)			12,530				(53,218	)
Net (income) loss allocated to noncontrolling interests in Operating Partnership			(247	)			979
Dividends on preferred stock			9,853				9,842
Net Income (Loss) Applicable to Common Stockholders		$	2,430			$	(62,081	)

		Servicing Related Assets				RMBS				All Other				Total
Income Statement
Year Ended December 31, 2021
Interest income		$	376			$	14,580			$	-			$	14,956
Interest expense			4,484				1,284				-				5,768
Net interest income (expense)			(4,108	)			13,296				-				9,188
Servicing fee income			54,157				-				-				54,157
Servicing costs			13,624				-				-				13,624
Net servicing income			40,533				-				-				40,533
Other income (expense)			(34,103	)			12,520				-				(21,583	)
Other operating expenses			3,040				717				11,070				14,827
Provision for corporate business taxes			781				-				-				781
Net Income (Loss)		$	(1,499	)		$	25,099			$	(11,070	)		$	12,530
Year Ended December 31, 2020
Interest income		$	2,661			$	40,180			$	-			$	42,841
Interest expense			5,357				16,777				-				22,134
Net interest income (expense)			(2,696	)			23,403				-				20,707
Servicing fee income			65,961				-				-				65,961
Servicing costs			22,640				-				-				22,640
Net servicing income			43,321				-				-				43,321
Other expense			(95,864	)			(24,635	)			-				(120,499	)
Other operating expenses			3,457				852				11,202				15,511
Benefit from corporate business taxes			(18,764	)			-				-				(18,764	)
Net Loss		$	(39,932	)		$	(2,084	)		$	(11,202	)		$	(53,218	)
Year Ended December 31, 2019
Interest income		$	2,819			$	68,852			$	-			$	71,671
Interest expense			3,445				51,002				-				54,447
Net interest income (expense)			(626	)			17,850				-				17,224
Servicing fee income			73,555				-				-				73,555
Servicing costs			17,404				-				-				17,404
Net servicing income			56,151				-				-				56,151
Other expense			(100,483	)			(20,167	)			-				(120,650	)
Other operating expenses			1,971				873				10,481				13,325
Benefit from corporate business taxes			(9,925	)			-				-				(9,925	)
Net Loss		$	(37,004	)		$	(3,190	)		$	(10,481	)		$	(50,675	)

		Servicing Related Assets				RMBS				All Other				Total
Balance Sheet
December 31, 2021
Investments		$	218,727			$	953,496			$	-			$	1,172,223
Other assets			44,506				21,611				64,522				130,639
Total assets			263,233				975,107				64,522				1,302,862
Debt			145,268				865,494				-				1,010,762
Other liabilities			1,847				1,411				10,026				13,284
Total liabilities			147,115				866,905				10,026				1,024,046
Net assets		$	116,118			$	108,202			$	54,496			$	278,816

December 31, 2020
Investments		$	174,414			$	1,228,251			$	-			$	1,402,665
Other assets			51,063				55,260				84,500				190,823
Total assets			225,477				1,283,511				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
Net assets		$	111,706			$	127,163			$	73,697			$	312,566

		Year Ended December 31, 2021
Accumulated other comprehensive gain, December 31, 2020		$	35,594
Other comprehensive loss			(28,067	)
Accumulated other comprehensive gain, December 31, 2021		$	7,527

		Year Ended December 31,
		2021				2020
Net Income (Loss)		$	12,530			$	(53,218	)
Realized loss (gain) on RMBS, net			(548	)			4,640
Realized loss on derivatives, net (A)			26,763				22,826
Realized loss on investments in MSRs, net			-				11,347
Realized loss (gain) on acquired assets, net			(15	)			690
Unrealized loss (gain) on derivatives, net			1,745				(48,055	)
Unrealized loss (gain) on investments in MSRs, net of estimated MSR amortization			(16,358	)			117,250
Tax (benefit) expense on realized and unrealized (loss) gain on MSRs			4,639				(14,797	)
Total EAD:		$	28,756			$	40,683
EAD attributable to noncontrolling interests in Operating Partnership			(566	)			(748	)
Dividends on preferred stock			9,853				9,842
EAD Attributable to Common Stockholders		$	18,337			$	30,093
EAD Attributable to Common Stockholders, per Diluted Share		$	1.06			$	1.78
GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share		$	0.14			$	(3.67	)

(A)

Excludes drop income on TBA dollar rolls of $13.1 million and $6.2 million and interest rate swap periodic interest income of $3.8 million and $5.8 million, and includes trading expenses of $539,000 and $853,000 for the years ended December 31, 2021 and December 31, 2020, respectively.

						Collateral Characteristics
		Current Carrying Amount				Current Principal Balance				WA Coupon(A)				WA Servicing Fee(A)				WA Maturity (months)(A)				WA Loan Age (months)(A)				ARMs %(B)
MSRs		$	218,727			$	20,773,278				3.51	%			0.25	%			316				25				0.1	%
MSR Total/Weighted Average		$	218,727			$	20,773,278				3.51	%			0.25	%			316				25				0.1	%

						Collateral Characteristics
		Current Carrying Amount				Current Principal Balance				WA Coupon(A)				WA Servicing Fee(A)				WA Maturity (months)(A)				WA Loan Age (months)(A)				ARMs %(B)
MSRs		$	174,414			$	21,641,277				3.92	%			0.25	%			316				25				0.2	%
MSR Total/Weighted Average		$	174,414			$	21,641,277				3.92	%			0.25	%			316				25				0.2	%

A)	Weighted average coupon, servicing fee, maturity and loan age of the underlying residential mortgage loans in the pool are based on the unpaid principal balance.

(B)	ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs.

										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		$	772,607			$	554,151			$	9,276			$	(3,650	)		$	559,777				76		(B)			3.09	%			2.96	%			27
Freddie Mac			484,479				391,700				5,260				(3,241	)			393,719				45		(B)			3.02	%			2.89	%			28
Total/Weighted Average		$	1,257,086			$	945,851			$	14,536			$	(6,891	)		$	953,496				121					3.06	%			2.93	%			28

										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

(A)	See “Item 8. Consolidated Financial Statements and Supplementary Data—Note 9. Fair Value” 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. The Company’s private label RMBS were rated investment grade or better by at least one NRSRO as of December 31, 2020.

		December 31, 2021				December 31, 2020
Weighted Average Asset Yield			3.19	%			2.49	%
Weighted Average Interest Expense			0.73	%			0.71	%
Net Interest Spread			2.46	%			1.78	%

Quarter Ended		Average Monthly Amount				Maximum Month-End Amount				Quarter Ending Amount
December 31, 2021		$	830,099			$	865,494			$	865,494
September 30, 2021		$	790,587			$	821,540			$	777,416
June 30, 2021		$	858,269			$	897,047			$	897,047
March 31, 2021		$	1,012,389			$	1,118,231			$	934,001
December 31, 2020		$	1,303,927			$	1,465,037			$	1,149,978
September 30, 2020		$	1,374,041			$	1,419,991			$	1,365,471
June 30, 2020		$	1,286,998			$	1,395,317			$	1,395,317
March 31, 2020		$	2,383,300			$	1,565,232			$	1,565,232

		RMBS Market Value				Repurchase Agreements				Weighted Average Rate
Less than one month		$	297,720			$	291,007				0.13	%
One to three months			595,168				574,487				0.14	%
Total/Weighted Average		$	892,888			$	865,494				0.14	%

		RMBS Market Value				Repurchase Agreements				Weighted Average Rate
Less than one month		$	484,920			$	482,319				0.23	%
One to three months			679,496				667,659				0.23	%
Total/Weighted Average		$	1,164,416			$	1,149,978				0.23	%

•

actual results of operations;

•

our level of retained cash flows;

•

our ability to make additional investments in our target assets;

•

restrictions under Maryland law;

•

the terms of our preferred stock;

•

any debt service requirements;

•

our taxable income;

•

the annual distribution requirements under the REIT provisions of the Code; and

•

other factors that our board of directors may deem relevant.

		Less than 1 year				1 to 3 years				3 to 5 years				More than 5 years				Total
Repurchase agreements
Borrowings under repurchase agreements		$	865,494			$	-			$	-			$	-			$	865,494
Interest on repurchase agreement borrowings(A)		$	135			$	-			$	-			$	-			$	135
Freddie Mac MSR Revolver
Borrowings under Freddie Mac MSR Revolver		$	63,000			$	-			$	-			$	-			$	63,000
Interest on Freddie Mac MSR Revolver borrowings		$	1,954			$	-			$	-			$	-			$	1,954
Fannie Mae MSR Revolving Facility
Borrowings under Fannie Mae MSR Revolving Facility		$	-			$	7,566			$	75,434			$	-			$	83,000
Interest on Fannie Mae MSR Revolving Facility		$	3,156			$	6,127			$	4,941			$	-			$	14,224

		Less than 1 year				1 to 3 years				3 to 5 years				More than 5 years				Total
Repurchase agreements
Borrowings under repurchase agreements		$	1,149,978			$	-			$	-			$	-			$	1,149,978
Interest on repurchase agreement borrowings(A)		$	492			$	-			$	-			$	-			$	492
Freddie Mac MSR Revolver
Borrowings under Freddie Mac MSR Revolver		$	47,500			$	-			$	-			$	-			$	47,500
Interest on Freddie Mac MSR Revolver borrowings		$	1,134			$	-			$	-			$	-			$	1,134
Fannie Mae MSR Financing Facility
Borrowings under Fannie Mae MSR Financing Facility		$	64,000			$	-			$	-			$	-			$	64,000
Interest on Fannie Mae MSR Financing Facility		$	1,655			$	-			$	-			$	-			$	1,655

(A)	Interest expense is calculated based on the interest rate in effect at December 31, 2021 and December 31, 2020, respectively, and includes all interest expense incurred through those dates.

Item 7A.

Quantitative and Qualitative Disclosures about Market Risk

			(20)%				(10)%				-%				10%				20%
Discount Rate Shift in %
Estimated FV		$	233,342			$	225,813			$	218,727			$	212,050			$	205,749
Change in FV		$	14,614			$	7,085			$	-			$	(6,677	)		$	(12,979	)
% Change in FV			7	%			3	%			-				(3	)%			(6	)%
Voluntary Prepayment Rate Shift in %
Estimated FV		$	244,460			$	231,026			$	218,727			$	207,458			$	197,103
Change in FV		$	25,732			$	12,298			$	-			$	(11,270	)		$	(21,624	)
% Change in FV			12	%			6	%			-				(5	)%			(10	)%
Servicing Cost Shift in %
Estimated FV		$	225,480			$	222,104			$	218,727			$	215,351			$	211,975
Change in FV		$	6,752			$	3,376			$	-			$	(3,376	)		$	(6,752	)
% Change in FV			3	%			2	%			-				(2	)%			(3	)%

			(20)%				(10)%				-%				10%				20%
Discount Rate Shift in %
Estimated FV		$	184,906			$	179,511			$	174,414			$	169,595			$	165,031
Change in FV		$	10,492			$	5,096			$	-			$	(4,820	)		$	(9,383	)
% Change in FV			6	%			3	%			-				(3	)%			(5	)%
Voluntary Prepayment Rate Shift in %
Estimated FV		$	210,532			$	191,603			$	174,414			$	158,811			$	144,606
Change in FV		$	36,117			$	17,189			$	-			$	(15,603	)		$	(29,808	)
% Change in FV			21	%			10	%			-				(9	)%			(17	)%
Servicing Cost Shift in %
Estimated FV		$	180,274			$	177,344			$	174,414			$	171,485			$	168,555
Change in FV		$	5,859			$	2,930			$	-			$	(2,930	)		$	(5,859	)
% Change in FV			3	%			2	%			-				(2	)%			(3	)%

						Fair Value Change
		December 31, 2021				+25 Bps				+50 Bps				+75 Bps				+100 Bps				+150 Bps
RMBS Portfolio
RMBS, available-for-sale, net of swaps		$	1,429,335
RMBS Total Return (%)							(0.18	)%			(0.49	)%			(0.92	)%			(1.44	)%			(2.74	)%
RMBS Dollar Return						$	(2,584	)		$	(7,016	)		$	(13,110	)		$	(20,635	)		$	(39,125	)

						Fair Value Change
		December 31, 2020				+25 Bps				+50 Bps				+75 Bps				+100 Bps				+150 Bps
RMBS Portfolio
RMBS, available-for-sale, net of swaps		$	1,570,182
RMBS Total Return (%)							(0.07	)%			(0.32	)%			(0.74	)%			(1.31	)%			(2.81	)%
RMBS Dollar Return						$	(1,160	)		$	(4,975	)		$	(11,554	)		$	(20,597	)		$	(44,187	)