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

FORM 10-K

For the fiscal year ended December 31, 2022

OR

For the transition period from                to               

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, 2022, 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, 2022) was approximately $124.9 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, 2022, 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 7, 2023, the registrant had a total of 24,898,130 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 2023 Annual Meeting of Stockholders, to be filed with the Securities and Exchange Commission by no later than April 30, 2023 are incorporated by reference into Part III, Items 10 through 14, inclusive, of this Annual Report on Form 10-K as indicated herein.

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		Page
PART I		9
Item 1.	Business	9
Item 1A.	Risk Factors	16
Item 1B.	Unresolved Staff Comments	43
Item 2.	Properties	43
Item 3.	Legal Proceedings	43
Item 4.	Mine Safety Disclosures	43
PART II		44
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	44
Item 6.	Reserved	47
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	48
Item 7A.	Quantitative and Qualitative Disclosures about Market Risk	69
Item 8.	Consolidated Financial Statements and Supplementary Data	73
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	117
Item 9A.	Controls and Procedures	117
Item 9B.	Other Information	120
Item 9C.	Disclosure Regarding Foreign Jurisdictions that Prevent Inspections	120
PART III		121
Item 10.	Directors, Executive Officers and Corporate Governance	121
Item 11.	Executive Compensation	121
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	121
Item 13.	Certain Relationships and Related Transactions, and Director Independence	121
Item 14.	Principal Accountant Fees and Services	121
PART IV		122
Item 15.	Exhibits and Financial Statement Schedules	122
Item 16.	Form 10-K Summary	125

•

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 the ongoing coronavirus (“COVID-19”) pandemic;

•

mortgage loan modification programs and future legislative actions;

•

the Company’s ability to qualify and maintain qualification as a REITs under the Code and limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT 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;

•

general volatility of the capital markets;

•

accelerating inflationary trends, spurred by multiple factors including high commodity prices, a tight labor market, and low residential vacancy rates, may result further in interest rate increases and lead to increased market volatility;

•

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

•

availability, terms and deployment of capital;

•

availability of suitable investment opportunities;

•

the Company’s ability to operate its licensed mortgage servicing subsidiary and oversee the activities of such subsidiary;

•

the Company’s ability to manage various operational and regulatory risks associated with its business;

•

the Company’s dependence on its external Manager, Cherry Hill Mortgage Management, LLC 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 the COVID-19 pandemic.

•

The Company uses third-party servicers to directly service the loans underlying its Servicing Related Assets which exposes the Company to the risk that such third-party servicers fail to comply with applicable law, including data protection and privacy laws, and the requirements of the Agencies that own those loans.

•

Relatively high rates of prepayments on residential mortgage loans adversely affect the values of the Company’s assets.

•

The Company relies on financial modeling to value its Servicing Related Assets.

•

The Company uses leverage to increase returns, but it exposes the Company to margin calls on its investable assets.

•

The Company is dependent on its Manager to provide qualified personnel.

•

The amount of the fee the Company pays to its Manager is not affected by the performance of the Company’s investments.

•

The fee payable by the Company to the Manager upon termination of the management agreement is a material impediment to changing managers or internalizing management of the Company.

•

Certain of the Company’s lenders prohibit terminating its 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 the Company’s 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 the Company’s equity securities tend to be volatile due to the relatively small market capitalization of our Company.

•

The Company’s preferred stock has not been rated and is junior to its debt and any additional shares of senior stock that the Company may issue.

•

The Company may not be able to pay dividends on its equity securities.

•

The Company’s preferred stock has very limited voting rights which generally do not include voting for directors.

•

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

•

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

•

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

•

The REIT rules require that the Company’s mortgage servicing rights be held by a taxable REIT subsidiary, and the taxes payable by its 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

•

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;

•

a data breach and other cybersecurity incidents impacting a mortgage servicer;

•

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 global pandemics, including the COVID-19 pandemic and the resulting 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, changes in monetary policy 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

•	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.

	Declaration Date		Record Date		Payment Date		Amount per Share
2022
Fourth Quarter	12/16/2022		12/30/2022		1/31/2023		$	0.27
Third Quarter	9/15/2022		9/30/2022		10/25/2022		$	0.27
Second Quarter	6/17/2022		6/30/2022		7/26/2022		$	0.27
First Quarter	3/11/2022		3/31/2022		4/26/2022		$	0.27
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

		December 31, 2018				December 31, 2019				December 31, 2020				December 31, 2021				December 30, 2022
Cherry Hill Mortgage Investment Corporation		$	106.63			$	$99.46			$	$72.09			$	$73.25			$	$61.09
Russel 2000		$	88.15			$	$110.65			$	$132.74			$	$152.41			$	$121.26
S&P U.S. BMI Mortgage REITs (A)		$	97.38			$	$116.47			$	$92.20			$	$105.80			$	$78.71
S&P 500		$	94.82			$	$124.68			$	$147.62			$	$190.00			$	$155.59

(A)

In addition to the Company, as of December 31, 2022, the S&P U.S. BMI Mortgage REITs Index comprised the following companies: AFC Gamma Inc., AG Mortgage Investment Trust, Inc., AGNC Investment Corp., Angel Oak Mortgage, Inc., Apollo Commercial Real Estate Finance, Inc., Arbor Realty Trust, Inc., Ares Commercial RE Corporation, Arlington Asset Invt Corp., ARMOUR Residential REIT, Inc., Blackstone Mortgage Trust, Inc., BrightSpire Capital, Inc., Broadmark Realty Capital Inc., Chimera Investment Corporation, Claros Mortgage Trust, Inc., Dynex Capital, Inc., Ellington Financial Inc., Ellington Residential Mortgage REIT, Franklin BSP Realty Trust, Inc., Granite Point Mortgage Trust, Inc., Great Ajax Corp., Hannon Armstrong Sustainable Infrastructure Capital, Inc., Invesco Mortgage Capital Inc., KKR Real Estate Finance Trust Inc., Ladder Capital Corp, Lument Finance Trust, Inc., MFA Financial, Inc., New York Mortgage Trust, Inc., NexPoint Real Estate Finance, Inc., Orchid Island Capital, Inc., PennyMac Mortgage Investment Trust, Ready Capital Corporation, Redwood Trust, Inc., Rithm Capital Corp., Sachem Capital Corp., Seven Hills Realty Trust, Starwood Property Trust, Inc., TPG RE Finance Trust, Inc, and Western Asset Mortgage Capital Corporation.

		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							915,464
LTIP-OP Units			459,897
Forfeited LTIP-OP Units			(5,832	)
Converted LTIP-OP Units			(44,795	)
Redeemed LTIP-OP Units			(9,054	)
Shares of Common Stock			178,421
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, 2022			4.29	%			0.69	%			3.60	%
September 30, 2022			3.90	%			0.77	%			3.13	%
June 30, 2022			3.56	%			0.32	%			3.25	%
March 31, 2022			2.98	%			0.49	%			2.49	%
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	%

•

the interest expense associated with our borrowings to increase;

•

the value of our assets to fluctuate;

•

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

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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,
		2022				2021
Income
Interest income		$	29,642			$	14,956
Interest expense			17,563				5,768
Net interest income			12,079				9,188
Servicing fee income			53,430				54,157
Servicing costs			11,837				13,624
Net servicing income			41,593				40,533
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net			(99,694	)			548
Realized gain (loss) on derivatives, net			1,363				(9,339	)
Realized gain on acquired assets, net			12				15
Unrealized gain (loss) on derivatives, net			61,864				(1,745	)
Unrealized gain (loss) on investments in Servicing Related Assets			22,976				(11,062	)
Total Income			40,193				28,138
Expenses
General and administrative expense			6,305				6,983
Management fee to affiliate			6,629				7,844
Total Expenses			12,934				14,827
Income Before Income Taxes			27,259				13,311
Provision for corporate business taxes			5,070				781
Net Income			22,189				12,530
Net income allocated to noncontrolling interests in Operating Partnership			(450	)			(247	)
Dividends on preferred stock			9,853				9,853
Net Income Applicable to Common Stockholders		$	11,886			$	2,430

		Servicing Related Assets				RMBS				All Other				Total
Income Statement
Year Ended December 31, 2022
Interest income		$	-			$	29,642			$	-			$	29,642
Interest expense			3,837				13,726				-				17,563
Net interest income (expense)			(3,837	)			15,916				-				12,079
Servicing fee income			53,430				-				-				53,430
Servicing costs			11,837				-				-				11,837
Net servicing income			41,593				-				-				41,593
Other income (expense)			(26,655	)			13,176				-				(13,479	)
Other operating expenses			2,099				692				10,143				12,934
Provision for corporate business taxes			5,070				-				-				5,070
Net Income (Loss)		$	3,932			$	28,400			$	(10,143	)		$	22,189
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, 2022
Accumulated other comprehensive gain, December 31, 2021		$	7,527
Other comprehensive loss			(36,631	)
Accumulated other comprehensive loss, December 31, 2022		$	(29,104	)

		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

•

earnings available for distribution; and

•

earnings available for distribution per average common share.

		Year Ended December 31,
		2022				2021
Net Income		$	22,189			$	12,530
Realized loss (gain) on RMBS, net			99,694				(548	)
Realized loss on derivatives, net (A)			16,051				26,763
Realized gain on acquired assets, net			(12	)			(15	)
Unrealized loss (gain) on derivatives, net			(61,864	)			1,745
Unrealized gain on investments in MSRs, net of estimated MSR amortization			(53,182	)			(16,358	)
Tax expense on realized and unrealized gain on MSRs			9,460				4,639
Total EAD:		$	32,336			$	28,756
EAD attributable to noncontrolling interests in Operating Partnership			(656	)			(566	)
Dividends on preferred stock			9,853				9,853
EAD Attributable to Common Stockholders		$	21,827			$	18,337
EAD Attributable to Common Stockholders, per Diluted Share		$	1.10			$	1.06
GAAP Net Income Per Share of Common Stock, per Diluted Share		$	0.60			$	0.14

(A)

Excludes drop income on TBA dollar rolls of $6.3 million and $13.1 million and interest rate swap periodic interest income of $11.1 million and $3.8 million, and includes trading expenses of $0 and $539,000 for the years ended December 31, 2022 and December 31, 2021, 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		$	279,739			$	21,688,353				3.49	%			0.25	%			310				31				0.1	%
MSR Total/Weighted Average		$	279,739			$	21,688,353				3.49	%			0.25	%			310				31				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		$	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	%

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		$	550,740			$	497,038			$	2,843			$	(16,484	)		$	483,397				45		(B)			4.27	%			4.34	%			29
Freddie Mac			500,873				463,380				1,384				(16,730	)			448,034				38		(B)			4.18	%			4.24	%			29
Total/Weighted Average		$	1,051,613			$	960,418			$	4,227			$	(33,214	)		$	931,431				83					4.23	%			4.29	%			29

										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

(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.

(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.

Quarter Ended		Average Monthly Amount				Maximum Month-End Amount				Quarter Ending Amount
December 31, 2022		$	808,623			$	825,962			$	825,962
September 30, 2022		$	776,544			$	865,414			$	865,414
June 30, 2022		$	679,702			$	702,130			$	683,173
March 31, 2022		$	820,270			$	859,726			$	764,885
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

		RMBS Market Value				Repurchase Agreements				Weighted Average Rate
Less than one month		$	750,218			$	715,899				4.39	%
One to three months			114,418				110,063				4.53	%
Total/Weighted Average		$	864,636			$	825,962				4.41	%

		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	%

•

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;

		Less than 1 year				1 to 3 years				3 to 5 years				More than 5 years				Total
Repurchase agreements
Borrowings under repurchase agreements		$	825,962			$	-			$	-			$	-			$	825,962
Interest on repurchase agreement borrowings(A)		$	2,797			$	-			$	-			$	-			$	2,797
Freddie Mac MSR Revolver
Borrowings under Freddie Mac MSR Revolver		$	68,500			$	-			$	-			$	-			$	68,500
Interest on Freddie Mac MSR Revolver borrowings		$	1,010			$	-			$	-			$	-			$	1,010
Fannie Mae MSR Revolving Facility
Borrowings under Fannie Mae MSR Revolving Facility		$	627			$	16,406			$	98,967			$	-			$	116,000
Interest on Fannie Mae MSR Revolving Facility		$	700			$	-			$	-			$	-			$	700

		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		$	578			$	-			$	-			$	-			$	578
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		$	215			$	-			$	-			$	-			$	215

(A)	Interest expense is calculated based on the interest rate in effect at December 31, 2022 and December 31, 2021, respectively, and includes all interest expense incurred through those dates.

Item 7A.

Quantitative and Qualitative Disclosures about Market Risk