0001140361-23-051140 | 10-Q | XBRL Viewer | Cherry Hill Mortgage Investment Corp

Gross amounts offset in the consolidated balance sheet

$ 40,250

$ 50,104

(4,419)

(4,571)

Net amounts of assets presented in the consolidated balance sheet

35,831

45,533

Gross amounts not offset in the consolidated balance sheet in financial instruments

(45,503)

(41,669)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

9,672

(3,864)

Gross amounts offset in the consolidated balance sheet

20,671

40,466

Net amounts of assets presented in the consolidated balance sheet

20,671

40,466

Gross amounts not offset in the consolidated balance sheet in financial instruments

(20,671)

(40,466)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

Interest Rate Swaptions [Member]

Gross amounts offset in the consolidated balance sheet

Net amounts of assets presented in the consolidated balance sheet

Gross amounts not offset in the consolidated balance sheet in financial instruments

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

TBAs [Member]

Gross amounts offset in the consolidated balance sheet

14,520

8,786

(2,870)

(4,571)

Net amounts of assets presented in the consolidated balance sheet

11,650

4,215

Gross amounts not offset in the consolidated balance sheet in financial instruments

(23,968)

(4,215)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

12,318

Gross amounts offset in the consolidated balance sheet

5,059

618

(1,549)

Net amounts of assets presented in the consolidated balance sheet

3,510

618

Gross amounts not offset in the consolidated balance sheet in financial instruments

(864)

(618)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

$ (2,646)

^[1]

U.S. Treasury Futures Options [Member]

Gross amounts offset in the consolidated balance sheet

234

Net amounts of assets presented in the consolidated balance sheet

234

Gross amounts not offset in the consolidated balance sheet in financial instruments

3,630

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

(3,864)

Accrued Expenses and Other Liabilities [Abstract]

$ 0

[1]	Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Investments in Servicing Related Assets, Geographic Concentration (Details)	Sep. 30, 2023	Dec. 31, 2022
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	13.70%	13.50%
Virginia [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	8.30%	8.30%
New York [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	8.30%	8.20%
Maryland [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	6.40%	6.30%
Texas [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.90%	6.00%
Florida [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.40%	5.50%
North Carolina [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	5.10%	5.10%
All Other [Member]
Servicing Related Assets, Geographic Concentration [Abstract]
Outstanding unpaid principal balance	46.90%	47.10%

Accrued Expenses and Other Liabilities (Tables)

9 Months Ended

Sep. 30, 2023

Accrued Expenses and Other Liabilities

The liabilities comprising “Accrued expenses and other liabilities” as of September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands):

Accrued Expenses and Other Liabilities

	September 30, 2023		December 31, 2022
Accrued interest on repurchase agreements	$	2,684	$	2,796
Accrued interest on notes payable		2,021		1,710
Accrued expenses		1,372		3,804
Due to counterparties ^(A)		12,318		11,197
Total accrued expenses and other liabilities	$	18,395	$	19,507

(A)	Includes collateral for the Company’s borrowings that represents a payable to the counterparties as of the balance sheet date.

Investments in RMBS

9 Months Ended

Sep. 30, 2023

Investments in RMBS

Note 4 — Investments in RMBS

At September 30, 2023, the Company’s investments in RMBS consist solely of Agency RMBS. The Company’s investments in RMBS may also include, from time to time, any of the following: 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.

The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in thousands):

Summary of RMBS Assets

As of September 30, 2023

					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, available-for-sale, measured at fair value through OCI
Fannie Mae	$	281,276	$	256,230	$	-	$	(13,042	)	$	243,188		20	(B)		4.54	%		4.66	%		28
Freddie Mac		309,912		281,774		-		(18,912	)		262,862		23	(B)		4.40	%		4.47	%		28
RMBS, measured at fair value through earnings
Fannie Mae		205,048		195,620		-		(10,631	)		184,989		17	(B)		4.67	%		4.75	%		29
Freddie Mac		361,813		341,697		-		(15,935	)		325,762		28	(B)		4.66	%		4.77	%		29
Total/weighted average RMBS	$	1,158,049	$	1,075,321	$	-	$	(58,520	)	$	1,016,801		88			4.57	%		4.66	%		28

As of December 31, 2022

					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, available-for-sale, measured at fair value through OCI
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 RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		29

(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.

(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 September 30, 2023

					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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	591,188	$	538,004	$	-	$	(31,954	)	$	506,050		43	(B)		4.47	%		4.56	%		28
RMBS, measured at fair value through earnings
Over 10 Years		566,861		537,317		-		(26,566	)		510,751		45	(B)		4.66	%		4.76	%		29
Total/weighted average RMBS	$	1,158,049	$	1,075,321	$	-	$	(58,520	)	$	1,016,801		88			4.57	%		4.66	%		28

As of December 31, 2022

					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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83	(B)		4.23	%		4.29	%		29
Total/weighted average RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		29

(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.

(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 September 30, 2023 and December 31, 2022, the Company pledged Agency RMBS with a carrying value of approximately $979.0 million and $815.2 million, respectively, as collateral for borrowings under repurchase agreements. At September 30, 2023 and December 31, 2022, 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 available-for-sale designated 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 available-for-sale designated 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 for available-for-sale designated investments in RMBS that are not guaranteed by U.S. government agencies or U.S. government sponsored enterprises. All of the Company’s available-for-sale designated investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored enterprises.

Both credit related and non-credit related unrealized losses on available-for-sale 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 September 30, 2023 and December 31, 2022, nor any impairment charges in earnings during the three and nine-month periods ended September 30, 2023 and September 30, 2022.

The following tables summarize the Company’s available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands):

Available-For-Sale RMBS Unrealized Loss Positions

As of September 30, 2023

												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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	383,901	$	348,444	$	(14,289	)	$	334,155		28	(B)		4.66	%		4.80	%		28
Twelve or More Months		207,287		189,560		(17,665	)		171,895		15	(B)		4.10	%		4.13	%		28
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	591,188	$	538,004	$	(31,954	)	$	506,050		43			4.47	%		4.56	%		28

As of December 31, 2022

												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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	848,768	$	767,412	$	(33,214	)	$	734,198		67	(B)		4.06	%		4.10	%		29
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	848,768	$	767,412	$	(33,214	)	$	734,198		67			4.06	%		4.10	%		29

(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.

(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.

Derivative Instruments, Information of Treasury Futures Agreements (Details) - USD ($)
$ in Thousands

3 Months Ended

Sep. 30, 2023

Dec. 31, 2022

U.S. Treasury Futures [Member] | 2 years [Member]

$ 3,510

$ 618

U.S. Treasury Futures [Member] | 5 years [Member]

(369)

U.S. Treasury Futures [Member] | 10 years [Member]

(1,180)

U.S. Treasury Futures Options [Member]

5,059

618

^[1]

$ 0

U.S. Treasury Futures Options [Member] | 10 years [Member]

234

Ultra Futures Contracts [Member]

234

Long Positions [Member] | U.S. Treasury Futures [Member]

Future agreement period

10 years

Long Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member]

$ 272,500

Long Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member]

144,400

Long Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member]

128,100

Long Positions [Member] | U.S. Treasury Futures Options [Member]

^[1]

Long Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member]

70,000

Short Positions [Member] | U.S. Treasury Futures [Member]

70,000

Short Positions [Member] | U.S. Treasury Futures [Member] | 2 years [Member]

126,700

88,700

Short Positions [Member] | U.S. Treasury Futures [Member] | 5 years [Member]

Short Positions [Member] | U.S. Treasury Futures [Member] | 10 years [Member]

Short Positions [Member] | U.S. Treasury Futures Options [Member]

$ 126,700

88,700

^[1]

Short Positions [Member] | U.S. Treasury Futures Options [Member] | 10 years [Member]

50,000

$ 50,000

[1]	Includes 10-year Ultra futures and Long Bond futures contracts.

Organization and Operations	9 Months Ended
Organization and Operations	Sep. 30, 2023
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 incorporated in Maryland on October 31, 2012 and was organized 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, 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 (the “Services Agreement”) with Freedom Mortgage Corporation (“Freedom Mortgage”), which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7. The Company has elected to be taxed as a REIT for U.S. federal income tax purposes, 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, owned 98.1% by the Company as of September 30, 2023, 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 elected to be taxed as a REIT under the Code commencing with the taxable year ended December 31, 2020.

Organization and Operations (Details) - $ / shares	Sep. 30, 2023	Dec. 31, 2022
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
Operating Partnership [Member]
Class of Stock Disclosures [Abstract]
Ownership percentage	98.10%
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

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, 2021	$ 187	$ 115,379	$ 311,255	$ 7,527	$ (158,483)	$ 2,951	$ 278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 5	$ 0	4,099	0	0	0	4,104
Issuance of common stock (in shares)	505,000	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	28,096	633	28,729
Other Comprehensive (Loss) Income	0	0	0	(44,535)	0	0	(44,535)
LTIP-OP Unit awards	0	0	0	0	0	173	173
Distribution paid on LTIP-OP Units	0	0	0	0	0	(91)	(91)
Common dividends declared	0	0	0	0	(5,082)	0	(5,082)
Preferred dividends declared								$ 0	$ 0	$ 0	$ 0	$ (1,432)	$ 0	$ (1,432)	$ 0	$ 0	$ 0	$ 0	$ (1,031)	$ 0	$ (1,031)
Ending balance at Mar. 31, 2022	$ 192	$ 115,379	315,354	(37,008)	(137,932)	3,666	259,651
Ending balance (in shares) at Mar. 31, 2022	18,766,848	4,781,635
Beginning balance at Dec. 31, 2021	$ 187	$ 115,379	311,255	7,527	(158,483)	2,951	278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net Income (Loss) before dividends on preferred stock							54,942
Ending balance at Sep. 30, 2022	$ 214	$ 115,379	329,910	(70,759)	(128,125)	4,182	250,801
Ending balance (in shares) at Sep. 30, 2022	20,989,030	4,781,635
Beginning balance at Dec. 31, 2021	$ 187	$ 115,379	311,255	7,527	(158,483)	2,951	278,816
Beginning balance (in shares) at Dec. 31, 2021	18,261,848	4,781,635
Ending balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Ending balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Beginning balance at Mar. 31, 2022	$ 192	$ 115,379	315,354	(37,008)	(137,932)	3,666	$ 259,651
Beginning balance (in shares) at Mar. 31, 2022	18,766,848	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 9	$ 0	5,804	0	0	0	5,813
Issuance of common stock (in shares)	881,097	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	(15,117)	(347)	(15,464)
Other Comprehensive (Loss) Income	0	0	0	12,841	0	0	12,841
LTIP-OP Unit awards	0	0	0	0	0	105	105
Distribution paid on LTIP-OP Units	0	0	0	0	0	(109)	(109)
Common dividends declared	0	0	0	0	(5,290)	0	(5,290)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Jun. 30, 2022	$ 201	$ 115,379	321,158	(24,167)	(160,802)	3,315	255,084
Ending balance (in shares) at Jun. 30, 2022	19,647,945	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 13	$ 0	8,752	0	0	0	8,765
Issuance of common stock (in shares)	1,341,085	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	40,811	866	41,677
Other Comprehensive (Loss) Income	0	0	0	(46,592)	0	0	(46,592)
LTIP-OP Unit awards	0	0	0	0	0	109	109
Distribution paid on LTIP-OP Units	0	0	0	0	0	(108)	(108)
Common dividends declared	0	0	0	0	(5,671)	0	(5,671)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Sep. 30, 2022	$ 214	$ 115,379	329,910	(70,759)	(128,125)	4,182	250,801
Ending balance (in shares) at Sep. 30, 2022	20,989,030	4,781,635
Beginning balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Beginning balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 22	$ 0	12,672	0	0	0	$ 12,694
Issuance of common stock (in shares)	2,140,000	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	(18,945)	(377)	(19,322)
Other Comprehensive (Loss) Income	0	0	0	14,639	0	0	14,639
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(109)	(109)
Common dividends declared	0	0	0	0	(6,927)	0	(6,927)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Mar. 31, 2023	$ 261	$ 115,379	357,182	(14,465)	(197,324)	3,112	264,145
Ending balance (in shares) at Mar. 31, 2023	25,648,130	4,781,635
Beginning balance at Dec. 31, 2022	$ 239	$ 115,379	344,510	(29,104)	(168,989)	3,481	$ 265,516
Beginning balance (in shares) at Dec. 31, 2022	23,508,130	4,781,635					23,508,130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net Income (Loss) before dividends on preferred stock							$ (1,811)
Ending balance at Sep. 30, 2023	$ 274	$ 115,379	363,664	(32,072)	(193,174)	3,485	$ 257,556
Ending balance (in shares) at Sep. 30, 2023	26,978,077	4,781,635					26,978,077
Beginning balance at Mar. 31, 2023	$ 261	$ 115,379	357,182	(14,465)	(197,324)	3,112	$ 264,145
Beginning balance (in shares) at Mar. 31, 2023	25,648,130	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 13	$ 0	6,430	0	0	0	6,443
Issuance of common stock (in shares)	1,329,947	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	1,589	37	1,626
Other Comprehensive (Loss) Income	0	0	0	(3,122)	0	0	(3,122)
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(132)	(132)
Common dividends declared	0	0	0	0	(4,045)	0	(4,045)
Preferred dividends declared								0	0	0	0	(1,432)	0	(1,432)	0	0	0	0	(1,031)	0	(1,031)
Ending balance at Jun. 30, 2023	$ 274	$ 115,379	363,612	(17,587)	(202,243)	3,134	262,569
Ending balance (in shares) at Jun. 30, 2023	26,978,077	4,781,635
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance of common stock	$ 0	$ 0	52	0	0	0	52
Issuance of common stock (in shares)	0	0
Net Income (Loss) before dividends on preferred stock	$ 0	$ 0	0	0	15,579	306	15,885
Other Comprehensive (Loss) Income	0	0	0	(14,485)	0	0	(14,485)
LTIP-OP Unit awards	0	0	0	0	0	117	117
Distribution paid on LTIP-OP Units	0	0	0	0	0	(72)	(72)
Common dividends declared	0	0	0	0	(4,048)	0	(4,048)
Preferred dividends declared								$ 0	$ 0	$ 0	$ 0	$ (1,432)	$ 0	$ (1,432)	$ 0	$ 0	$ 0	$ 0	$ (1,030)	$ 0	$ (1,030)
Ending balance at Sep. 30, 2023	$ 274	$ 115,379	$ 363,664	$ (32,072)	$ (193,174)	$ 3,485	$ 257,556
Ending balance (in shares) at Sep. 30, 2023	26,978,077	4,781,635					26,978,077

Notes Payable (Details) $ in Thousands	1 Months Ended		3 Months Ended	9 Months Ended
Notes Payable (Details) $ in Thousands	Oct. 31, 2023	Jul. 31, 2023	Sep. 30, 2023 USD ($) RenewalOption	Sep. 30, 2023 USD ($) Facility	Dec. 31, 2022 USD ($)	Oct. 31, 2019 USD ($)	Apr. 02, 2019 USD ($)	Sep. 30, 2018 USD ($)	Jul. 31, 2018 USD ($)	Sep. 30, 2016 USD ($)
Maturities of Notes Payable [Abstract]
2023			$ 0	$ 0	$ 69,127
2024			64,500	64,500	7,868
2025			1,173	1,173	8,538
2026			7,380	7,380	98,967
2027			8,008	8,008	0
2028			91,439	91,439	0
Notes payable			$ 172,500	$ 172,500	184,500
MSR Financing Facility [Member]
Debt Instruments [Abstract]
Number of separate MSR financing facilities \| Facility				2
Fannie Mae MSR Financing Facility [Member] \| Interest Rate Swaps [Member] \| LIBOR [Member]
Debt Instruments [Abstract]
Debt instrument term of variable rate				1 year
Freddie Mac MSR Revolver [Member]
Debt Instruments [Abstract]
Maximum borrowing amount							$ 100,000	$ 45,000	$ 25,000	$ 100,000
Debt instrument term		364 days		364 days
Debt instrument, amortization period	24 months			24 months
Number of Borrowers option renewals \| RenewalOption			2
Term out feature of credit facility				1 year
Additional borrowing capacity									$ 5,000
Number of borrowers option additional renewals \| RenewalOption			1
Maturities of Notes Payable [Abstract]
2023			$ 0	$ 0	68,500
2024			64,500	64,500	0
2025			0	0	0
2026			0	0	0
2027			0	0	0
2028			0	0
Notes payable			$ 64,500	$ 64,500	68,500
Freddie Mac MSR Revolver [Member] \| Federal Funds Rate [Member]
Debt Instruments [Abstract]
Interest rate			2.85%	2.85%
Fannie Mae MSR Revolving Facility [Member]
Debt Instruments [Abstract]
Maximum borrowing amount			$ 150,000	$ 150,000		$ 150,000
Debt instrument term				24 months
Term out feature of credit facility				3 years
Maturities of Notes Payable [Abstract]
2023			0	$ 0	627
2024			0	0	7,868
2025			1,173	1,173	8,538
2026			7,380	7,380	98,967
2027			8,008	8,008	0
2028			91,439	91,439
Notes payable			$ 108,000	$ 108,000	$ 116,000
Fannie Mae MSR Revolving Facility [Member] \| SOFR Rate [Member]
Debt Instruments [Abstract]
Interest rate			2.75%	2.75%

Derivative Instruments, Information of TBA Derivatives (Details) - Notional Amount of TBAs, Net [Member] - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
TBA Derivatives [Abstract]
Notional	$ 486,400	$ 306,100
Implied Cost Basis	(445,697)	(289,809)
Implied Fair Value	(434,048)	(285,593)
Net Carrying Value	11,650	4,215
Purchase Contracts [Member]
TBA Derivatives [Abstract]
Notional	342,800	518,300
Implied Cost Basis	327,160	506,245
Implied Fair Value	324,607	501,682
Net Carrying Value	(2,552)	(4,563)
Sale Contracts [Member]
TBA Derivatives [Abstract]
Notional	829,200	824,400
Implied Cost Basis	(772,857)	(796,054)
Implied Fair Value	(758,655)	(787,275)
Net Carrying Value	$ 14,202	$ 8,778

Segment Reporting

9 Months Ended

Sep. 30, 2023

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 the data for the Company as a whole (dollars in thousands):

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Three Months Ended September 30, 2023
Interest income	$	-		$	12,864		$	-		$	12,864
Interest expense		(89	)		13,426			-			13,337
Net interest income (expense)		89			(562	)		-			(473	)
Servicing fee income		13,225			-			-			13,225
Servicing costs		2,869			-			-			2,869
Net servicing income		10,356			-			-			10,356
Other income		282			10,362			-			10,644
Other operating expenses		(561	)		(174	)		(2,631	)		(3,366	)
Provision for corporate business taxes		(1,276	)		-			-			(1,276	)
Net Income (Loss)	$	8,890		$	9,626		$	(2,631	)	$	15,885

Three Months Ended September 30, 2022
Interest income	$	-		$	8,213		$	-		$	8,213
Interest expense		635			4,247			-			4,882
Net interest income (expense)		(635	)		3,966			-			3,331
Servicing fee income		13,426			-			-			13,426
Servicing costs		2,725			-			-			2,725
Net servicing income		10,701			-			-			10,701
Other income (expense)		(12,087	)		44,176			-			32,089
Other operating expenses		(537	)		(163	)		(2,400	)		(3,100	)
Provision for corporate business taxes		(1,344	)		-			-			(1,344	)
Net Income (Loss)	$	(3,902	)	$	47,979		$	(2,400	)	$	41,677

Nine Months Ended September 30, 2023
Interest income	$	-		$	37,193		$	-		$	37,193
Interest expense		1,143			37,317			-			38,460
Net interest expense		(1,143	)		(124	)		-			(1,267	)
Servicing fee income		40,535			-			-			40,535
Servicing costs		8,098			-			-			8,098
Net servicing income		32,437			-			-			32,437
Other expense		(17,935	)		(3,544	)		-			(21,479	)
Other operating expenses		(1,694	)		(506	)		(8,058	)		(10,258	)
Provision for corporate business taxes		(1,244	)		-			-			(1,244	)
Net Income (Loss)	$	10,421		$	(4,174	)	$	(8,058	)	$	(1,811	)

Nine Months Ended September 30, 2022
Interest income	$	-		$	19,736		$	-		$	19,736
Interest expense		3,019			6,005			-			9,024
Net interest income (expense)		(3,019	)		13,731			-			10,712
Servicing fee income		39,730			-			-			39,730
Servicing costs		8,533			-			-			8,533
Net servicing income		31,197			-			-			31,197
Other income (expense)		(20,983	)		50,408			-			29,425
Other operating expenses		(1,569	)		(542	)		(7,639	)		(9,750	)
Provision for corporate business taxes		(6,642	)		-			-			(6,642	)
Net Income (Loss)	$	(1,016	)	$	63,597		$	(7,639	)	$	54,942

	Servicing Related Assets		RMBS		All Other		Total
Balance Sheet
September 30, 2023
Investments	$	266,474	$	1,016,801	$	-	$	1,283,275
Other assets		28,226		71,210		44,809		144,245
Total assets		294,700		1,088,011		44,809		1,427,520
Debt		172,008		967,289		-		1,139,297
Other liabilities		6,316		15,002		9,349		30,667
Total liabilities		178,324		982,291		9,349		1,169,964
Net Assets	$	116,376	$	105,720	$	35,460	$	257,556

December 31, 2022
Investments	$	279,739	$	931,431	$	-	$	1,211,170
Other assets		32,849		106,885		57,921		197,655
Total assets		312,588		1,038,316		57,921		1,408,825
Debt		183,888		825,962		-		1,009,850
Other liabilities		29,047		92,875		11,537		133,459
Total liabilities		212,935		918,837		11,537		1,143,309
Net Assets	$	99,653	$	119,479	$	46,384	$	265,516

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.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 22
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-22

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 15
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-15

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 31
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-31

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 32
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-32

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
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-Paragraph 42
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-URI https://asc.fasb.org//1943274/2147482810/280-10-50-42

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
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-Subparagraph (f)
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-URI https://asc.fasb.org//1943274/2147482810/280-10-50-32

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-Name Accounting Standards Codification
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-Paragraph 40
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-URI https://asc.fasb.org//1943274/2147482810/280-10-50-40

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-URI https://asc.fasb.org//280/tableOfContent

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-Name Accounting Standards Codification
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-URI https://asc.fasb.org//1943274/2147482810/280-10-50-26

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-34

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-Name Accounting Standards Codification
-Section 50
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-41

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-Name Accounting Standards Codification
-Section 50
-Paragraph 21
-Subparagraph (a)
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-URI https://asc.fasb.org//1943274/2147482810/280-10-50-21

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
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-Name Accounting Standards Codification
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-Subparagraph (b)
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Reference 14: http://www.xbrl.org/2003/role/disclosureRef
-Topic 280
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 32
-Subparagraph (e)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482810/280-10-50-32

Investments in Servicing Related Assets [Abstract]

Investments in Servicing Related Assets

9 Months Ended

Sep. 30, 2023

Investments in Servicing Related Assets

Note 5 — Investments in Servicing Related Assets

Aurora’s portfolio of Servicing Related Assets consists of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately $20.3 billion as of September 30, 2023.

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 September 30, 2023

	Unpaid Principal Balance		Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs	$	20,340,103	$	266,474		3.49	%		25.2	$	(13,100	)
MSR Total/Weighted Average	$	20,340,103	$	266,474		3.49	%		25.2	$	(13,100	)

As of December 31, 2022

	Unpaid Principal Balance		Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs	$	21,688,353	$	279,739		3.49	%		25.8	$	22,976
MSR Total/Weighted Average	$	21,688,353	$	279,739		3.49	%		25.8	$	22,976

(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 is based on the unpaid principal balance.

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 September 30, 2023

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.7	%
Virginia		8.3	%
New York		8.3	%
Maryland		6.4	%
Texas		5.9	%
Florida		5.4	%
North Carolina		5.1	%
All other		46.9	%
Total		100.0	%

As of December 31, 2022

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.5	%
Virginia		8.3	%
New York		8.2	%
Maryland		6.3	%
Texas		6.0	%
Florida		5.5	%
North Carolina		5.1	%
All other		47.1	%
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.

Income Taxes (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2023

Sep. 30, 2022

Sep. 30, 2023

Sep. 30, 2022

Dec. 31, 2022

Income Taxes [Abstract]

Percentage of taxable income that must be distributed to qualify as a REIT

90.00%

Components of Income Tax Expense (Benefit) [Abstract]

Deferred federal income tax expense

$ 1,108

$ 1,143

$ 1,080

$ 5,647

Deferred state income tax expense

168

201

164

995

Provision for Corporate Business Taxes

^[1]

1,276

1,344

1,244

6,642

Effective Income Tax Rate Reconciliation, Amount [Abstract]

Computed income tax expense (benefit) at federal rate

3,605

9,035

(118)

12,933

State tax expense, net of federal tax, if applicable

133

160

130

787

Provision to return adjustment

(7)

(8)

(7)

(8)

REIT income not subject to tax expense (benefit)

(2,455)

(7,843)

1,239

(7,070)

Provision for Corporate Business Taxes

^[1]

$ 1,276

$ 1,344

$ 1,244

$ 6,642

Effective Income Tax Rate Reconciliation, Percent [Abstract]

Computed income tax expense (benefit) at federal rate

21.00%

State tax expense, net of federal tax, if applicable

0.80%

0.40%

(22.90%)

1.30%

Provision to return adjustment

0.00%

1.20%

0.00%

REIT income not subject to tax expense (benefit)

(14.30%)

(18.20%)

(218.50%)

(11.50%)

Provision for (Benefit from) effective tax rate

^[1]

7.50%

3.20%

(219.20%)

10.80%

Income taxes recoverable [Abstract]

Income taxes recoverable

$ 128

Deferred tax assets [Abstract]

Deferred tax - mortgage servicing rights

(2,123)

1,082

Deferred tax - net operating loss

16,424

13,844

Deferred tax - other

619

Total net deferred tax assets

14,301

$ 15,545

Net operating loss carryforwards

$ 70,000

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

Consolidated Balance Sheets (Parenthetical) - USD ($)
$ in Thousands

Sep. 30, 2023

Dec. 31, 2022

Assets

RMBS, pledged assets

$ 978,955

$ 815,171

Investments in Servicing Related pledged assets at fair value

^[1]

$ 266,474

$ 279,739

Stockholders' Equity

Common stock, par value (in dollars per share)

$ 0.01

Common stock, shares authorized (in shares)

500,000,000

Common stock, shares issued (in shares)

26,978,077

23,508,130

Common stock, shares outstanding (in shares)

26,978,077

23,508,130

Series A Preferred Stock [Member]

Stockholders' Equity

Preferred stock, par value (in dollars per share)

$ 0.01

Preferred stock, shares authorized (in shares)

100,000,000

Preferred stock, shares issued (in shares)

2,781,635

Preferred stock, shares outstanding (in shares)

2,781,635

Preferred stock, liquidation preference

$ 69,541

Series B Preferred Stock [Member]

Stockholders' Equity

Preferred stock, par value (in dollars per share)

$ 0.01

Preferred stock, shares authorized (in shares)

100,000,000

Preferred stock, shares issued (in shares)

2,000,000

Preferred stock, shares outstanding (in shares)

2,000,000

Preferred stock, liquidation preference

$ 50,000

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

Equity and Earnings per Common Share (Tables)

9 Months Ended

Sep. 30, 2023

Equity and Earnings per Common Share [Abstract]

Information about Company's 2013 Plan

The following table sets forth the number of shares of the Company’s common stock as well as LTIP-OP Units and the values thereof (based on the closing prices on the respective dates of grant) granted under the 2013 Plan and the 2023 Plan. As noted above, effective as of June 15, 2023, (the date of the Company’s 2023 annual meeting of stockholders) the 2023 Plan replaced the 2013 Plan. No further awards will be made by the Company under the 2013 Plan, and currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms. Except as otherwise indicated, all shares shown in the table below are fully vested.

Equity Incentive Plan Information

	LTIP-OP Units										Shares of Common Stock						Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans			Weighted Average Issuance Price
	Issued				Forfeited		Converted		Redeemed		Issued				Forfeited					Weighted Average Issuance Price
December 31, 2021		(391,647	)			916		44,795		9,054		(144,980	)			3,155		1,012,239
Number of securities issued or to be issued upon exercise		(68,250	)	^(A)		-		-		-		-				-		(68,250	)	$	8.40
March 31, 2022		(459,897	)			916		44,795		9,054		(144,980	)			3,155		943,989
Number of securities forfeited		-				4,916		-		-		-				-		4,916
Number of securities issued or to be issued upon exercise		-				-		-		-		(33,441	)			-		(33,441	)	$	6.28
June 30, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464
Number of securities issued or to be issued upon exercise		-				-		-				-				-		-
September 30, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464

December 31, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464
Number of securities issued or to be issued upon exercise		(92,200	)	^(B)		-		-		-		-				-		(92,200	)	$	6.06
March 31, 2023		(552,097	)			5,832		44,795		9,054		(178,421	)			3,155		823,264
Number of securities issued or to be issued upon exercise		-				-		-		-		(41,835	)	^(C)		-		(41,835	)	$	5.02
Increase in the number of securities available for issuance		-				-		-		-		-				-		2,006,736
June 30, 2023		(552,097	)			5,832		44,795		9,054		(220,256	)			3,155		2,788,165
Number of securities issued or to be issued upon exercise		-				-		-		-		-				-		-
September 30, 2023		(552,097	)			5,832		44,795		9,054		(220,256	)			3,155		2,788,165

(A)

Subject to forfeiture in certain circumstances prior to January 3, 2025.

(B)

Subject to forfeiture in certain circumstances prior to January 10, 2026.

(C)

Subject to forfeiture in certain circumstances prior to June 29, 2024.

Basic 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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Numerator:
Net income (loss)	$	15,885		$	41,677		$	(1,811	)	$	54,942
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(306	)		(866	)		34			(1,152	)
Dividends on preferred stock		2,462			2,462			7,390			7,390
Net income (loss) applicable to common stockholders	$	13,117		$	38,349		$	(9,167	)	$	46,400
Denominator:
Weighted average common shares outstanding		26,936,242			20,123,165			25,879,626			19,134,545
Weighted average diluted shares outstanding		26,978,077			20,156,606			25,907,638			19,159,846
Basic and Diluted EPS:
Basic	$	0.49		$	1.91		$	(0.35	)	$	2.42
Diluted	$	0.49		$	1.90		$	(0.35	)	$	2.42

Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value [Abstract]

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

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

Recurring Fair Value Measurements

As of September 30, 2023

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	428,177	$	-	$	428,177
Freddie Mac		-		588,624		-		588,624
RMBS total		-		1,016,801		-		1,016,801
Derivative assets
Interest rate swaps		-		20,671		-		20,671
TBAs, net		-		11,650		-		11,650
U.S. treasury futures		-		3,510		-		3,510
Derivative assets total		-		35,831		-		35,831
Servicing related assets		-		-		266,474		266,474
Total Assets	$	-	$	1,052,632	$	266,474	$	1,319,106
Liabilities
Derivative liabilities
Interest rate swaps		-		4,215		-		4,215
Derivative liabilities total		-		4,215		-		4,215
Total Liabilities	$	-	$	4,215	$	-	$	4,215

As of December 31, 2022

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	483,397	$	-	$	483,397
Freddie Mac		-		448,034		-		448,034
RMBS total		-		931,431		-		931,431
Derivative assets
Interest rate swaps		-		40,466		-		40,466
TBAs, net		-		4,215		-		4,215
U.S. treasury futures		-		618		-		618
U.S. treasury futures options		-		234		-		234
Derivative assets total		-		45,533		-		45,533
Servicing related assets		-		-		279,739		279,739
Total Assets	$	-	$	976,964	$	279,739	$	1,256,703
Liabilities
Derivative liabilities
Interest rate swaps		-		24,718		-		24,718
Derivative liabilities total		-		24,718		-		24,718
Total Liabilities	$	-	$	24,718	$	-	$	24,718

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):

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Balance at beginning of period	$	264,906		$	263,578		$	279,739		$	218,727
Purchases and sales:
Purchases		-			13,265			5			30,497
Other changes ^(A)		(10	)		(116	)		(170	)		(378	)
Purchases and sales:		(10	)		13,149			(165	)		30,119
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		6,060			7,789			552			50,935
Other changes in fair value ^(B)		(4,482	)		(5,496	)		(13,652	)		(20,761	)
Unrealized gain (loss) included in Net Income		1,578			2,293			(13,100	)		30,174
Balance at end of period	$	266,474		$	279,020		$	266,474		$	279,020

(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

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 September 30, 2023

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs	$	266,474	Discounted cash flow	Constant prepayment speed	3.7% - 15.5	%		6.7	%
				Uncollected payments	0.6% - 4.2	%		0.8	%
				Discount rate				10.4	%
				Annual cost to service, per loan			$	87
TOTAL	$	266,474

As of December 31, 2022

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs	$	279,739	Discounted cash flow	Constant prepayment speed	4.3% -18.2	%		7.4	%
				Uncollected payments	0.5% - 3.2	%		0.7	%
				Discount rate				9.5	%
				Annual cost to service, per loan			$	81
TOTAL	$	279,739

(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.

Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares	3 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Common dividends declared (in dollars per share)	$ 0.27	$ 0.15	$ 0.27	$ 0.27	$ 0.27	$ 0.27
Series A Preferred Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred dividends declared (in dollars per share)	0.5125	0.5125	0.5125	0.5125	0.5125	0.5125
Series B Preferred Stock [Member]
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred dividends declared (in dollars per share)	$ 0.5156	$ 0.5156	$ 0.5156	$ 0.5156	$ 0.5156	$ 0.5156

Derivative Instruments

9 Months Ended

Sep. 30, 2023

Derivative Instruments [Abstract]

Derivative Instruments

Note 8 — Derivative Instruments

Interest Rate Swap Agreements, Swaptions, TBAs and U.S. 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 U.S. 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 U.S. treasury futures include options on U.S. treasury futures.

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

Derivatives	September 30, 2023			December 31, 2022
Notional amount of interest rate swaps	$	1,132,000		$	1,305,000
Notional amount of TBAs, net		(486,400	)		(306,100	)
Notional amount of U.S. treasury futures		145,800			(88,700	)
Notional amount of options on treasury futures		-			20,000
Total notional amount	$	791,400		$	930,200

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		Weighted Average Maturity
September 30, 2023	$	1,132,000	$	16,456		1.67	%		5.23	%		3.6		2027
December 31, 2022	$	1,305,000	$	15,748		1.53	%		3.96	%		5.1		2028

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

As of September 30, 2023

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	342,800		$	327,160		$	324,607		$	(2,552	)
Sale contracts		(829,200	)		(772,857	)		(758,655	)		14,202
Net TBA derivatives	$	(486,400	)	$	(445,697	)	$	(434,048	)	$	11,650

As of December 31, 2022

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	518,300		$	506,245		$	501,682		$	(4,563	)
Sale contracts		(824,400	)		(796,054	)		(787,275	)		8,778
Net TBA derivatives	$	(306,100	)	$	(289,809	)	$	(285,593	)	$	4,215

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

As of September 30, 2023

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
2 years	$	144,400	$	-		$	(369	)
5 years		128,100		-			(1,180	)
10 years		-		(126,700	)		5,059
Total	$	272,500	$	(126,700	)	$	3,510

As of December 31, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years ^(A)	$	-	$	(88,700	)	$	618
Total	$	-	$	(88,700	)	$	618

(A)	Includes 10-year Ultra futures and Long Bond futures contracts.

The following table presents information about the Company’s U.S. treasury futures options agreements as of the date indicated (dollars in thousands):

As of December 31, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years	$	70,000	$	(50,000	)	$	234
Total	$	70,000	$	(50,000	)	$	234

The Company did not have any U.S. treasury futures options agreements as of September 30, 2023.

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):

	Three Months Ended September 30,					Nine Months Ended September 30,
Derivatives	2023			2022		2023			2022
Interest rate swaps^(A)	$	496		$	1,319	$	(4,671	)	$	(4,793	)
Swaptions		-			-		-			(585	)
TBAs		14,150			1,002		17,516			(26,164	)
U.S. Treasury futures		(3,137	)		439		(11,794	)		18,910
U.S. treasury futures options		(50	)		203		(337	)		(47	)
Total	$	11,459		$	2,963	$	714		$	(12,679	)

(A)

Excludes interest rate swap periodic interest income of $9.2 million and $3.2 million, for the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $26.0 million and $5.5 million, for the nine-month periods ended September 30, 2023 and September 30, 2022, respectively.

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 and the Securities Industry and Financial Markets 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 U.S. 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 September 30, 2023

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged) ^(A)			Net Amount
Assets
Interest rate swaps	$	20,671	$	-		$	20,671	$	(20,671	)	$	-		$	-
TBAs		14,520		(2,870	)		11,650		(23,968	)		12,318			-
U.S. treasury futures		5,059		(1,549	)		3,510		(864	)		(2,646	)		-
Total Assets	$	40,250	$	(4,419	)	$	35,831	$	(45,503	)	$	9,672		$	-

Liabilities
Repurchase agreements	$	967,289	$	-		$	967,289	$	(944,237	)	$	(23,052	)	$	-
Interest rate swaps		4,215		-			4,215		(4,215	)		-			-
TBAs		2,870		(2,870	)		-		-			-			-
U.S. treasury futures		1,549		(1,549	)		-		-			-			-
Total Liabilities	$	975,923	$	(4,419	)	$	971,504	$	(948,452	)	$	(23,052	)	$	-

As of December 31, 2022

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)^(A)			Net Amount
Assets
Interest rate swaps	$	40,466	$	-		$	40,466	$	(40,466	)	$	-		$	-
Interest rate swaptions		-		-			-		-			-			-
TBAs		8,786		(4,571	)		4,215		(4,215	)		-			-
U.S. treasury futures		618		-			618		(618	)		-			-
U.S. treasury futures options		234		-			234		3,630			(3,864	)		-
Total Assets	$	50,104	$	(4,571	)	$	45,533	$	(41,669	)	$	(3,864	)	$	-

Liabilities
Repurchase agreements	$	825,962	$	-		$	825,962	$	(830,022	)	$	4,060	$	-
Interest rate swaps		24,718		-			24,718		(24,718	)		-		-
TBAs		4,571		(4,571	)		-		(2,767	)		2,767		-
Total Liabilities	$	855,251	$	(4,571	)	$	850,680	$	(857,507	)	$	6,827	$	-

(A)	Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Transactions with Related Parties (Tables)

9 Months Ended

Sep. 30, 2023

Transactions with Related Parties [Abstract]

Management Fees and Compensation Reimbursement to Manager

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) an agreed upon portion of the compensation paid to specified officers of the Company.

The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands):

Management Fees and Compensation Reimbursement to Manager

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Management fees	$	1,590	$	1,485	$	4,684	$	4,662
Compensation reimbursement		150		140		430		370
Total	$	1,740	$	1,625	$	5,114	$	5,032

Repurchase Agreements (Tables)

9 Months Ended

Sep. 30, 2023

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 September 30, 2023

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	814,571		5.47	%
One to three months		152,718		5.51	%
Total/Weighted Average	$	967,289		5.48	%

As of December 31, 2022

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	715,899		4.39	%
One to three months		110,063		4.53	%
Total/Weighted Average	$	825,962		4.41	%

Document and Entity Information - shares	9 Months Ended
Document and Entity Information - shares	Sep. 30, 2023	Nov. 02, 2023
Entity Listings [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2023
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q3
Document Transition Report	false
Entity File Number	001-36099
Entity Registrant Name	CHERRY HILL MORTGAGE INVESTMENT CORPORATION
Entity Central Index Key	0001571776
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	46-1315605
Entity Address, Address Line One	1451 Route 34
Entity Address, Address Line Two	Suite 303
Entity Address, City or Town	Farmingdale
Entity Address, State or Province	NJ
Entity Address, Postal Zip Code	07727
City Area Code	877
Local Phone Number	870 – 7005
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Non-accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		26,978,077
Common Stock [Member]
Entity Listings [Line Items]
Title of 12(b) Security	Common Stock, $0.01 par value per share
Trading Symbol	CHMI
Security Exchange Name	NYSE
Series A Preferred Stock [Member]
Entity Listings [Line Items]
Title of 12(b) Security	8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value per share
Trading Symbol	CHMI-PRA
Security Exchange Name	NYSE
Series B Preferred Stock [Member]
Entity Listings [Line Items]
Title of 12(b) Security	8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share
Trading Symbol	CHMI-PRB
Security Exchange Name	NYSE

Income Taxes

9 Months Ended

Sep. 30, 2023

Income Taxes [Abstract]

Income Taxes

Note 15 — 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 Sub-REIT, 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):

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Deferred federal income tax expense	$	1,108	$	1,143	$	1,080	$	5,647
Deferred state income tax expense		168		201		164		995
Provision for Corporate Business Taxes	$	1,276	$	1,344	$	1,244	$	6,642

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

	Three Months Ended September 30,										Nine Months Ended September 30,
	2023					2022					2023					2022
Computed income tax expense (benefit) at federal rate	$	3,605		21.0	%	$	9,035		21.0	%	$	(118	)	21	%	$	12,933		21.0	%
State tax expense, net of federal tax, if applicable		133		0.8	%		160		0.4	%		130		(22.9	)%		787		1.3	%
Provision to return adjustment		(7	)	0.0	%		(8	)	0.0	%		(7	)	1.2	%		(8	)	0.0	%
REIT income not subject to tax expense (benefit)		(2,455	)	(14.3	)%		(7,843	)	(18.2	)%		1,239		(218.5	)%		(7,070	)	(11.5	)%
Provision for Corporate Business Taxes/Effective Tax Rate^(A)	$	1,276		7.5	%	$	1,344		3.2	%	$	1,244		(219.2	)%	$	6,642		10.8	%

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

The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in thousands):

	September 30, 2023			December 31, 2022
Income taxes recoverable
Federal income taxes recoverable	$	128		$	128
Income taxes recoverable	$	128		$	128

Deferred tax assets
Deferred tax - mortgage servicing rights	$	(2,123	)	$	1,082
Deferred tax - net operating loss		16,424			13,844
Deferred tax - other		-			619
Total net deferred tax assets	$	14,301		$	15,545

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 had net operating losses of $70.0 million as of September 30, 2023, which were created subsequent to 2017 and can be carried forward indefinitely pursuant to the Tax Cuts and Jobs Act passed on December 22, 2017. As of September 30, 2023, the Company believes it is more likely than not that it will fully realize its deferred tax assets. Deferred tax assets are included in “Receivables and other assets” in the consolidated balance sheets.

Based on the Company’s evaluation, the Company has concluded that there are no significant liabilities for unrecognized tax benefits required to be reported 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 2022, 2021, 2020 and 2019 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.

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.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 13
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480990/946-20-50-13

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 235
-SubTopic 10
-Name Accounting Standards Codification
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08(h)(2))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480678/235-10-S99-1

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//740/tableOfContent

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 14
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482685/740-10-50-14

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 21
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482685/740-10-50-21

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 270
-Name Accounting Standards Codification
-Section 50
-Paragraph 1
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482526/740-270-50-1

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 17
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482685/740-10-50-17

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 10
-Name Accounting Standards Codification
-Section S99
-Paragraph 1
-Subparagraph (SAB TOPIC 6.I.5.Q1)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147479360/740-10-S99-1

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 10
-Name Accounting Standards Codification
-Section S99
-Paragraph 2
-Subparagraph (SAB Topic 11.C)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147479360/740-10-S99-2

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 30
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482603/740-30-50-2

Income Tax Expense (Benefit)

Income Taxes (Tables)

9 Months Ended

Sep. 30, 2023

Income Taxes [Abstract]

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Deferred federal income tax expense	$	1,108	$	1,143	$	1,080	$	5,647
Deferred state income tax expense		168		201		164		995
Provision for Corporate Business Taxes	$	1,276	$	1,344	$	1,244	$	6,642

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):

	Three Months Ended September 30,										Nine Months Ended September 30,
	2023					2022					2023					2022
Computed income tax expense (benefit) at federal rate	$	3,605		21.0	%	$	9,035		21.0	%	$	(118	)	21	%	$	12,933		21.0	%
State tax expense, net of federal tax, if applicable		133		0.8	%		160		0.4	%		130		(22.9	)%		787		1.3	%
Provision to return adjustment		(7	)	0.0	%		(8	)	0.0	%		(7	)	1.2	%		(8	)	0.0	%
REIT income not subject to tax expense (benefit)		(2,455	)	(14.3	)%		(7,843	)	(18.2	)%		1,239		(218.5	)%		(7,070	)	(11.5	)%
Provision for Corporate Business Taxes/Effective Tax Rate^(A)	$	1,276		7.5	%	$	1,344		3.2	%	$	1,244		(219.2	)%	$	6,642		10.8	%

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

Income Taxes Recoverable and Deferred Tax Assets

The Company’s consolidated balance sheets contain the following income taxes recoverable and deferred tax assets, which are recorded at the TRS level (dollars in thousands):

	September 30, 2023			December 31, 2022
Income taxes recoverable
Federal income taxes recoverable	$	128		$	128
Income taxes recoverable	$	128		$	128

Deferred tax assets
Deferred tax - mortgage servicing rights	$	(2,123	)	$	1,082
Deferred tax - net operating loss		16,424			13,844
Deferred tax - other		-			619
Total net deferred tax assets	$	14,301		$	15,545

Receivables and Other Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Receivables and Other Assets [Abstract]
Servicing advances	$ 8,823	$ 15,090
Interest receivable	6,097	4,381
Deferred tax asset	14,301	15,545
Other receivables	3,278	1,749
Total other assets	$ 32,499	$ 36,765

Fair Value

9 Months Ended

Sep. 30, 2023

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 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 develop their pricing based on transaction prices of recent trades for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at September 30, 2023 and December 31, 2022.

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 September 30, 2023 and December 31, 2022.

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 U.S. treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. The third-party pricing providers develop their pricing based on transaction prices of recent trades for similar financial instruments. If recent trades for similar financial instruments are unavailable, the third-party pricing providers use cash flow or other pricing models, which utilize observable inputs. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at September 30, 2023 and December 31, 2022.

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 U.S. treasury futures 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 September 30, 2023

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	428,177	$	-	$	428,177
Freddie Mac		-		588,624		-		588,624
RMBS total		-		1,016,801		-		1,016,801
Derivative assets
Interest rate swaps		-		20,671		-		20,671
TBAs, net		-		11,650		-		11,650
U.S. treasury futures		-		3,510		-		3,510
Derivative assets total		-		35,831		-		35,831
Servicing related assets		-		-		266,474		266,474
Total Assets	$	-	$	1,052,632	$	266,474	$	1,319,106
Liabilities
Derivative liabilities
Interest rate swaps		-		4,215		-		4,215
Derivative liabilities total		-		4,215		-		4,215
Total Liabilities	$	-	$	4,215	$	-	$	4,215

As of December 31, 2022

	Level 1		Level 2		Level 3		Carrying Value
Assets
RMBS
Fannie Mae	$	-	$	483,397	$	-	$	483,397
Freddie Mac		-		448,034		-		448,034
RMBS total		-		931,431		-		931,431
Derivative assets
Interest rate swaps		-		40,466		-		40,466
TBAs, net		-		4,215		-		4,215
U.S. treasury futures		-		618		-		618
U.S. treasury futures options		-		234		-		234
Derivative assets total		-		45,533		-		45,533
Servicing related assets		-		-		279,739		279,739
Total Assets	$	-	$	976,964	$	279,739	$	1,256,703
Liabilities
Derivative liabilities
Interest rate swaps		-		24,718		-		24,718
Derivative liabilities total		-		24,718		-		24,718
Total Liabilities	$	-	$	24,718	$	-	$	24,718

The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of September 30, 2023 and December 31, 2022, 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 September 30, 2023 and December 31, 2022 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):

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Balance at beginning of period	$	264,906		$	263,578		$	279,739		$	218,727
Purchases and sales:
Purchases		-			13,265			5			30,497
Other changes ^(A)		(10	)		(116	)		(170	)		(378	)
Purchases and sales:		(10	)		13,149			(165	)		30,119
Changes in Fair Value due to:
Changes in valuation inputs or assumptions used in valuation model		6,060			7,789			552			50,935
Other changes in fair value ^(B)		(4,482	)		(5,496	)		(13,652	)		(20,761	)
Unrealized gain (loss) included in Net Income		1,578			2,293			(13,100	)		30,174
Balance at end of period	$	266,474		$	279,020		$	266,474		$	279,020

(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.

Fair Value Measurements

As of September 30, 2023

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs	$	266,474	Discounted cash flow	Constant prepayment speed	3.7% - 15.5	%		6.7	%
				Uncollected payments	0.6% - 4.2	%		0.8	%
				Discount rate				10.4	%
				Annual cost to service, per loan			$	87
TOTAL	$	266,474

As of December 31, 2022

	Fair Value		Valuation Technique	Unobservable Input ^(A)	Range		Weighted Average ^(B)
MSRs	$	279,739	Discounted cash flow	Constant prepayment speed	4.3% -18.2	%		7.4	%
				Uncollected payments	0.5% - 3.2	%		0.7	%
				Discount rate				9.5	%
				Annual cost to service, per loan			$	81
TOTAL	$	279,739

(A)

(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 servicing receivables, 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 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.

Changes in Fair Value due to [Abstract]

Fair Value, Company's Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2023

Sep. 30, 2022

Sep. 30, 2023

Sep. 30, 2022

Servicing Related Assets [Abstract]

Beginning balance

^[1]

$ 279,739

Ending balance

^[1]

$ 266,474

266,474

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

Servicing Related Assets [Abstract]

Beginning balance

264,906

$ 263,578

279,739

$ 218,727

Purchases and sales [Abstract]

Purchases

13,265

30,497

Other changes

^[2]

(10)

(116)

(170)

(378)

Purchases and sales

(10)

13,149

(165)

30,119

Changes in Fair Value due to [Abstract]

Changes in valuation inputs or assumptions used in valuation model

6,060

7,789

552

50,935

Other changes in fair value

^[3]

(4,482)

(5,496)

(13,652)

(20,761)

Unrealized gain (loss) included in Net Income

1,578

2,293

(13,100)

30,174

Ending balance

$ 266,474

$ 279,020

$ 266,474

$ 279,020

[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.

Repurchase Agreements

9 Months Ended

Sep. 30, 2023

Repurchase Agreements [Abstract]

Repurchase Agreements

Note 11 — Repurchase Agreements

The Company had outstanding approximately $967.3 million and $826.0 million of borrowings under its repurchase agreements as of September 30, 2023 and December 31, 2022, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 20 days and 18 days as of September 30, 2023 and December 31, 2022. 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 September 30, 2023

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	814,571		5.47	%
One to three months		152,718		5.51	%
Total/Weighted Average	$	967,289		5.48	%

As of December 31, 2022

	Repurchase Agreements		Weighted Average Rate
Less than one month	$	715,899		4.39	%
One to three months		110,063		4.53	%
Total/Weighted Average	$	825,962		4.41	%

There were no overnight or demand securities as of September 30, 2023 or December 31, 2022.

Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2023

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	September 30, 2023			December 31, 2022
Notional amount of interest rate swaps	$	1,132,000		$	1,305,000
Notional amount of TBAs, net		(486,400	)		(306,100	)
Notional amount of U.S. treasury futures		145,800			(88,700	)
Notional amount of options on treasury futures		-			20,000
Total notional amount	$	791,400		$	930,200

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		Weighted Average Maturity
September 30, 2023	$	1,132,000	$	16,456		1.67	%		5.23	%		3.6		2027
December 31, 2022	$	1,305,000	$	15,748		1.53	%		3.96	%		5.1		2028

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 September 30, 2023

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	342,800		$	327,160		$	324,607		$	(2,552	)
Sale contracts		(829,200	)		(772,857	)		(758,655	)		14,202
Net TBA derivatives	$	(486,400	)	$	(445,697	)	$	(434,048	)	$	11,650

As of December 31, 2022

Purchase and sale contracts for derivative TBAs	Notional			Implied Cost Basis			Implied Fair Value			Net Carrying Value
Purchase contracts	$	518,300		$	506,245		$	501,682		$	(4,563	)
Sale contracts		(824,400	)		(796,054	)		(787,275	)		8,778
Net TBA derivatives	$	(306,100	)	$	(289,809	)	$	(285,593	)	$	4,215

Information of U.S. Treasury Futures Agreements

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

As of September 30, 2023

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
2 years	$	144,400	$	-		$	(369	)
5 years		128,100		-			(1,180	)
10 years		-		(126,700	)		5,059
Total	$	272,500	$	(126,700	)	$	3,510

As of December 31, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years ^(A)	$	-	$	(88,700	)	$	618
Total	$	-	$	(88,700	)	$	618

(A)	Includes 10-year Ultra futures and Long Bond futures contracts.

The following table presents information about the Company’s U.S. treasury futures options agreements as of the date indicated (dollars in thousands):

As of December 31, 2022

Maturity	Notional Amount - Long		Notional Amount - Short			Fair Value
10 years	$	70,000	$	(50,000	)	$	234
Total	$	70,000	$	(50,000	)	$	234

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):

	Three Months Ended September 30,					Nine Months Ended September 30,
Derivatives	2023			2022		2023			2022
Interest rate swaps^(A)	$	496		$	1,319	$	(4,671	)	$	(4,793	)
Swaptions		-			-		-			(585	)
TBAs		14,150			1,002		17,516			(26,164	)
U.S. Treasury futures		(3,137	)		439		(11,794	)		18,910
U.S. treasury futures options		(50	)		203		(337	)		(47	)
Total	$	11,459		$	2,963	$	714		$	(12,679	)

(A)

Offsetting Assets

Offsetting Assets and Liabilities

As of September 30, 2023

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged) ^(A)			Net Amount
Assets
Interest rate swaps	$	20,671	$	-		$	20,671	$	(20,671	)	$	-		$	-
TBAs		14,520		(2,870	)		11,650		(23,968	)		12,318			-
U.S. treasury futures		5,059		(1,549	)		3,510		(864	)		(2,646	)		-
Total Assets	$	40,250	$	(4,419	)	$	35,831	$	(45,503	)	$	9,672		$	-

As of December 31, 2022

						Net Amounts of Assets and		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)^(A)			Net Amount
Assets
Interest rate swaps	$	40,466	$	-		$	40,466	$	(40,466	)	$	-		$	-
Interest rate swaptions		-		-			-		-			-			-
TBAs		8,786		(4,571	)		4,215		(4,215	)		-			-
U.S. treasury futures		618		-			618		(618	)		-			-
U.S. treasury futures options		234		-			234		3,630			(3,864	)		-
Total Assets	$	50,104	$	(4,571	)	$	45,533	$	(41,669	)	$	(3,864	)	$	-

Offsetting Liabilities

Offsetting Assets and Liabilities

As of September 30, 2023

Liabilities
Repurchase agreements	$	967,289	$	-		$	967,289	$	(944,237	)	$	(23,052	)	$	-
Interest rate swaps		4,215		-			4,215		(4,215	)		-			-
TBAs		2,870		(2,870	)		-		-			-			-
U.S. treasury futures		1,549		(1,549	)		-		-			-			-
Total Liabilities	$	975,923	$	(4,419	)	$	971,504	$	(948,452	)	$	(23,052	)	$	-

Liabilities
Repurchase agreements	$	825,962	$	-		$	825,962	$	(830,022	)	$	4,060	$	-
Interest rate swaps		24,718		-			24,718		(24,718	)		-		-
TBAs		4,571		(4,571	)		-		(2,767	)		2,767		-
Total Liabilities	$	855,251	$	(4,571	)	$	850,680	$	(857,507	)	$	6,827	$	-

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.

Basis of Presentation and Significant Accounting Policies [Abstract]

Basis of Presentation and Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2023

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 Gain (Loss) on RMBS

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Realized gain (loss) on RMBS, net
Gain on RMBS, available-for-sale, measured at fair value through OCI ^(A)	$	-		$	-		$	-		$	50
Loss on RMBS, available-for-sale, measured at fair value through OCI ^(A)		(10,209	)		(9,735	)		(21,464	)		(69,043	)
Realized loss on RMBS, net	$	(10,209	)	$	(9,735	)	$	(21,464	)	$	(68,993	)

(A)	Recognized in earnings.

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)

9 Months Ended

Sep. 30, 2023

Basis of Presentation and Significant Accounting Policies [Abstract]

Realized Gains and Losses on Available-for-Sale RMBS

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Realized gain (loss) on RMBS, net
Gain on RMBS, available-for-sale, measured at fair value through OCI ^(A)	$	-		$	-		$	-		$	50
Loss on RMBS, available-for-sale, measured at fair value through OCI ^(A)		(10,209	)		(9,735	)		(21,464	)		(69,043	)
Realized loss on RMBS, net	$	(10,209	)	$	(9,735	)	$	(21,464	)	$	(68,993	)

(A)	Recognized in earnings.

Transactions with Related Parties

9 Months Ended

Sep. 30, 2023

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 current renewal term of the Management Agreement expired on October 22, 2023 and was automatically renewed for a one-year term on that date and will be automatically renewed for a one-year term on each anniversary of such date thereafter unless terminated or not renewed as described below. Either the Company or the 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. No such written notice of non-renewal has been provided in 2023. In the event the Company elects not to renew the term, the Company will be required to pay the 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. The Company may terminate the Management Agreement at any time for cause effective upon 30 days prior written notice of termination from the Company to the Manager, in which case no termination fee would be due. The Company’s board of directors will review the Manager’s performance prior to the automatic renewal of the Management Agreement and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of the Company’s board of directors or of the holders of a majority of the Company’s outstanding common stock, the Company may terminate the Management Agreement based upon unsatisfactory performance by the Manager that is materially detrimental to the Company or a determination by the Company’s independent directors that the management fees payable to the Manager are not fair, subject to the right of the Manager to prevent such a termination by agreeing to a reduction of the management fees payable to the Manager. Upon any termination of the Management Agreement based on unsatisfactory performance or unfair management fees, the Company would be required to pay the Manager the termination fee described above. The Manager may terminate the Management Agreement in the event that 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. The Manager may also terminate the Management Agreement upon 60 days’ written notice if the Company defaults 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 the Company, whereupon the Company would be required to pay the Manager the termination fee described above.

The Manager is a party to the Services Agreement with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager personnel and payroll and benefits administration services as 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.

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. In 2016, ownership of the Manager was transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.

The amounts under “Due to Manager” on the consolidated balance sheets consisted of the following for the periods indicated (dollars in thousands):

Management Fees and Compensation Reimbursement to Manager

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Management fees	$	1,590	$	1,485	$	4,684	$	4,662
Compensation reimbursement		150		140		430		370
Total	$	1,740	$	1,625	$	5,114	$	5,032

Subservicing and Flow Purchase Agreements

In August 2020, Freedom Mortgage acquired RoundPoint Mortgage Servicing Corporation (“RoundPoint”), one of Aurora’s subservicers and a seller of Fannie Mae and Freddie Mac MSRs pursuant to a flow purchase agreement with Aurora. The subservicing agreement with RoundPoint had an initial two-year term that expired in August 2019 and is subject to automatic renewal every two years for an additional two-year term unless either party chooses not to renew. The current renewal term expires in August 2023. 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 Aurora or terminated by Aurora without cause, de-boarding fees will be due to the subservicer. Under the subservicing agreement, RoundPoint agrees to service the applicable mortgage loans in accordance with applicable law. Aurora received servicing fee income from RoundPoint of $7.8 million and $8.4 million during the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $23.9 million and $25.3 million during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. Aurora paid servicing costs to RoundPoint of $1.4 million during each of the three-month periods ended September 30, 2023 and September 30, 2022 and $3.8 million and $4.4 million during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. Aurora had servicing receivables of $754,000 million and $687,000 from RoundPoint at September 30, 2023 and December 31, 2022, respectively. 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 three-month period ended September 30, 2023, Aurora did not purchase any MSRs from RoundPoint pursuant to the flow agreement. During the three-month period ended September 30, 2022, Aurora purchased MSRs with an aggregate UPB of approximately $242.8 million from RoundPoint pursuant to the flow agreement for a purchase price of $2.4 million. During the nine-month periods ended September 30, 2023 and September 30, 2022, Aurora purchased MSRs with an aggregate UPB of approximately $987,000 and $441.5 million, respectively from RoundPoint pursuant to the flow agreement for purchase prices of $5,000 and $4.6 million, respectively.

Joint Marketing Recapture Agreements

In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint, one of Aurora’s subservicers and since August 2020, a wholly-owned subsidiary of Freedom Mortgage. Pursuant to this agreement, RoundPoint attempts to refinance certain mortgage loans underlying Aurora’s MSR portfolio subserviced by RoundPoint as directed by Aurora. If a loan is refinanced, Freedom Mortgage will sell the loan to Fannie Mae or Freddie Mac, as applicable, retain the sale proceeds and transfer the related MSR to Aurora. The agreement continues in effect while the subservicing agreement remains in effect.

Other Transactions with Related Parties

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

The entire disclosure for related party transactions. Examples of related party transactions include transactions between (a) a parent company and its subsidiary; (b) subsidiaries of a common parent; (c) and entity and its principal owners; and (d) affiliates.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480990/946-20-50-2

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
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-Name Accounting Standards Codification
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480990/946-20-50-5

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 20
-Name Accounting Standards Codification
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-Publisher FASB
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Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
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-Name Accounting Standards Codification
-Section 50
-Paragraph 2
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481062/946-235-50-2

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
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-Subparagraph (e)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481062/946-235-50-2

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 850
-SubTopic 10
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-Section 50
-Paragraph 1
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147483326/850-10-50-1

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 220
-Name Accounting Standards Codification
-Section S99
-Paragraph 1
-Subparagraph (SX 210.6-07(2)(g)(3))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147483575/946-220-S99-1

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
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-Name Accounting Standards Codification
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Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
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-Name Accounting Standards Codification
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Reference 10: http://www.xbrl.org/2003/role/disclosureRef
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Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Topic 850
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-Section 50
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147483326/850-10-50-6

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147483326/850-10-50-1

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Topic 850
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-Paragraph 1
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-URI https://asc.fasb.org//1943274/2147483326/850-10-50-1

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	3 Months Ended				9 Months Ended		12 Months Ended
	Sep. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Cash Flows From Operating Activities
Net income (loss)	$ 15,885	$ (19,322)	$ 41,677	$ 28,729	$ (1,811)	$ 54,942
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Realized loss on RMBS, net	10,209		9,735		21,464	68,993
Unrealized (gain) loss on investments in Servicing Related Assets	(1,578)		(2,293)		13,100	(30,174)
Realized gain on acquired assets, net	(12)		0		(12)	(12)
Realized (gain) loss on derivatives, net	(20,675)		(6,210)		(26,715)	7,158
Unrealized loss on RMBS, measured at fair value through earnings, net	19,755		0		26,566	0
Unrealized gain on derivatives, net	(18,343)		(33,321)		(12,924)	(75,390)
Amortization (accretion) of premiums on RMBS					(1,237)	942
Amortization of deferred financing costs					120	80
LTIP-OP Unit awards					351	387
Changes in:
Receivables and other assets, net					4,280	13,436
Due to affiliates					(7)	424
Accrued expenses and other liabilities, net					(1,112)	3,935
Net cash provided by operating activities					22,063	44,721
Cash Flows From Investing Activities
Purchase of RMBS					(627,876)	(867,327)
Principal paydown of RMBS					51,066	78,348
Proceeds from sale of RMBS					407,116	689,337
Acquisition of MSRs					165	(30,119)
Payments for settlement of derivatives					(12,130)	(7,301)
Proceeds from settlement of derivatives					17,516	0
Net cash used in investing activities					(164,143)	(137,062)
Cash Flows From Financing Activities
Borrowings under repurchase agreements					7,338,069	4,424,317
Repayments of repurchase agreements					(7,196,742)	(4,424,397)
Proceeds from derivative financing					23,454	53,697
Proceeds from bank loans					0	33,000
Principal paydown of bank loans					(12,000)	(1,000)
Dividends paid					(24,701)	(22,684)
LTIP-OP Units distributions paid					(313)	(308)
Issuance of common stock, net of offering costs					19,189	18,682
Net cash provided by financing activities					146,956	81,307
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash					4,876	(11,034)
Cash, Cash Equivalents and Restricted Cash, Beginning of Period		$ 65,554		$ 76,777	65,554	76,777	$ 76,777
Cash, Cash Equivalents and Restricted Cash, End of Period	$ 70,430		$ 65,743		70,430	65,743	65,554
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense					21,566	5,766
Cash paid during the period for income taxes					54	57
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared but not paid					6,194	7,804
Sale of RMBS, settled after period end					(5,485)	(63,582)	49,800
Purchase of RMBS, settled after period end					$ 0	$ 26,565	$ 78,900

Equity and Earnings per Common Share, Non-Controlling Interests in Operating Partnership (Details) - LTIP-OP Units [Member] - Operating Partnership [Member]	Sep. 30, 2023 shares
Noncontrolling Interest in Operating Partnership [Abstract]
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares)	489,039
Percentage of operating partnership	1.90%

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

9 Months Ended

12 Months Ended

Sep. 30, 2023

USD ($)

Security

Dec. 31, 2022

USD ($)

Security

Carrying value of collateral for repurchase agreements

$ 1,016,801

$ 931,431

978,955

815,171

RMBS [Member]

1,158,049

1,051,613

1,075,321

960,418

4,227

(58,520)

(33,214)

^[1]

$ 1,016,801

$ 931,431

4.57%

4.23%

^[2]

4.66%

4.29%

Carrying value of collateral for repurchase agreements

28 years

29 years

$ 979,000

$ 815,200

RMBS [Member] | Fair Value through OCI [Member] | Over 10 Years [Member]

591,188

1,051,613

538,004

960,418

4,227

(31,954)

(33,214)

^[1],[3]

$ 506,050

$ 931,431

4.47%

4.23%

^[2]

4.56%

4.29%

RMBS [Member] | Fair Value through Earnings [Member] | Over 10 Years [Member]

28 years

29 years

$ 566,861

537,317

(26,566)

^[1],[3]

$ 510,751

4.66%

^[2]

4.76%

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.

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

3 Months Ended

9 Months Ended

12 Months Ended

Sep. 30, 2023

Sep. 30, 2022

Sep. 30, 2023

Sep. 30, 2022

Dec. 31, 2022

Sale of RMBS, settled after period end

$ (5,485)

$ (63,582)

$ 49,800

Purchase of RMBS, settled after period end

26,565

78,900

Cash and Cash Equivalents and Restricted Cash [Abstract]

Restricted cash

$ 25,697

25,697

8,234

Variation margin

103,000

99,000

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

Gain on RMBS, available-for-sale, measured at fair value through OCI

^[1]

$ 0

Loss on RMBS, available-for-sale, measured at fair value through OCI

^[1]

(10,209)

(9,735)

(21,464)

(69,043)

Realized loss on RMBS, net

(10,209)

$ (9,735)

(21,464)

$ (68,993)

MSRs [Member]

Investments in MSRs [Abstract]

Reserve for unrecoverable advances

Derivatives [Member]

Cash and Cash Equivalents and Restricted Cash [Abstract]

Restricted cash

2,600

4,200

Repurchase Agreements [Member]

Cash and Cash Equivalents and Restricted Cash [Abstract]

Restricted cash

23,100

4,100

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

Residential Mortgage-Backed Securities [Abstract]

Interest receivable

$ 4,200

$ 3,300

[1]	Recognized in earnings.

Equity and Earnings per Common Share, Common and Redeemable Preferred Stock (Details) - $ / shares	9 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Class of Stock Disclosures [Abstract]
Date of conducting IPO and concurrent private placement of common stock	Oct. 09, 2013
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
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
Cumulative cash dividends (in dollars per share)	2.05
Series B Preferred Stock [Member]
Class of Stock Disclosures [Abstract]
Preferred stock, par value (in dollars per share)	0.01	$ 0.01
Cash redemption price (in dollars per share)	$ 25
Shares issued upon conversion, preferred stock (in shares)	2.68962
Percentage of offering of fixed-to-floating rate cumulative redeemable stock	8.25%
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
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 and Share Repurchase Program (Details) - USD ($)	1 Months Ended		3 Months Ended						9 Months Ended		12 Months Ended
	Nov. 30, 2022	Aug. 31, 2018	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Class of Stock Disclosures [Abstract]
Issuance of common stock, net of offering costs									$ 19,189,000	$ 18,682,000
Series A Preferred Stock [Member] \| Preferred Stock ATM Program [Member]
Class of Stock Disclosures [Abstract]
Issuance of common stock (in shares)			0						0		0
Preferred stock value authorized									$ 35,000,000
Common Stock [Member]
Class of Stock Disclosures [Abstract]
Issuance of common stock (in shares)			0	1,329,947	2,140,000	1,341,085	881,097	505,000
Share Repurchase Program [Abstract]
Share repurchase program, authorized amount			$ 10,000,000						$ 10,000,000
Number of shares repurchased (in shares)			0						0		0
Common Stock [Member] \| Common Stock ATM Program [Member]
Class of Stock Disclosures [Abstract]
Common stock value authorized	$ 100,000,000	$ 50,000,000
Common stock value remaining									$ 16,800,000
Issuance of common stock (in shares)			0						3,428,112		5,212,841
Weighted average price (in dollars per share)									$ 5.68		$ 6.5
Issuance of common stock, net of offering costs									$ 19,500,000		$ 33,900,000
Stock issuance fee									$ 389,000		$ 677,000

Consolidated Balance Sheets - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Assets
RMBS, at fair value (including pledged assets of $978,955 and $815,171, respectively)	$ 1,016,801	$ 931,431
Investments in Servicing Related Assets, at fair value (including pledged assets of $266,474 and $279,739, respectively)	266,474	279,739
Cash and cash equivalents	44,733	57,320
Restricted cash	25,697	8,234
Derivative assets	35,831	45,533
Receivables from unsettled trades	5,485	49,803
Receivables and other assets	32,499	36,765
Total Assets	1,427,520	1,408,825
Liabilities
Repurchase agreements	967,289	825,962
Derivative liabilities	4,215	24,718
Notes payable	172,008	183,888
Dividends payable	6,194	8,483
Due to manager	1,863	1,870
Payables for unsettled trades	0	78,881
Accrued expenses and other liabilities	18,395	19,507
Total Liabilities	1,169,964	1,143,309
Stockholders' Equity
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 26,978,077 shares issued and outstanding as of September 30, 2023 and 500,000,000 shares authorized and 23,508,130 shares issued and outstanding as of December 31, 2022	274	239
Additional paid-in capital	363,664	344,510
Accumulated Deficit	(193,174)	(168,989)
Accumulated other comprehensive loss	(32,072)	(29,104)
Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity	254,071	262,035
Non-controlling interests in Operating Partnership	3,485	3,481
Total Stockholders' Equity	257,556	265,516
Total Liabilities and Stockholders' Equity	1,427,520	1,408,825
Series A Preferred Stock [Member]
Stockholders' Equity
Preferred stock	67,311	67,311
Series B Preferred Stock [Member]
Stockholders' Equity
Preferred stock	$ 48,068	$ 48,068

Investments in RMBS, Summary (Details)
$ in Thousands

9 Months Ended

12 Months Ended

Sep. 30, 2023

USD ($)

Security

Dec. 31, 2022

USD ($)

Security

Residential Mortgage-Backed Securities [Abstract]

$ 1,016,801

$ 931,431

RMBS [Member]

1,158,049

1,051,613

1,075,321

960,418

4,227

(58,520)

(33,214)

^[1]

$ 1,016,801

$ 931,431

4.57%

4.23%

^[2]

4.66%

4.29%

Fannie Mae [Member] | Fair Value through OCI [Member]

28 years

29 years

Residential Mortgage-Backed Securities [Abstract]

$ 281,276

$ 550,740

256,230

497,038

2,843

(13,042)

(16,484)

^[1],[3]

$ 243,188

$ 483,397

4.54%

4.27%

^[2]

4.66%

4.34%

Fannie Mae [Member] | Fair Value through Earnings [Member]

28 years

29 years

Residential Mortgage-Backed Securities [Abstract]

$ 205,048

195,620

(10,631)

^[1],[3]

$ 184,989

4.67%

^[2]

4.75%

Freddie Mac [Member] | Fair Value through OCI [Member]

29 years

Residential Mortgage-Backed Securities [Abstract]

$ 309,912

$ 500,873

281,774

463,380

1,384

(18,912)

(16,730)

^[1],[3]

$ 262,862

$ 448,034

4.40%

4.18%

^[2]

4.47%

4.24%

Freddie Mac [Member] | Fair Value through Earnings [Member]

28 years

29 years

Residential Mortgage-Backed Securities [Abstract]

$ 361,813

341,697

(15,935)

^[1],[3]

$ 325,762

4.66%

^[2]

4.77%

Receivables and Other Assets [Abstract]

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.

Receivables and Other Assets

9 Months Ended

Sep. 30, 2023

Receivables and Other Assets

Note 13 — Receivables and Other Assets

The assets comprising “Receivables and other assets” as of September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	September 30, 2023		December 31, 2022
Servicing advances	$	8,823	$	15,090
Interest receivable		6,097		4,381
Deferred tax asset		14,301		15,545
Other receivables		3,278		1,749
Total other assets	$	32,499	$	36,765

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

Commitments and Contingencies (Details)	9 Months Ended
Commitments and Contingencies (Details)	Sep. 30, 2023
Commitments and Contingencies [Abstract]
Percentage of annual management fee paid equal to gross equity	1.50%

Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Consolidated Statements of Comprehensive Income (Loss) [Abstract]
Net income (loss)	$ 15,885	$ 41,677	$ (1,811)	$ 54,942
Other comprehensive income (loss):
Unrealized loss on RMBS, available-for-sale, net	(14,485)	(46,592)	(2,968)	(78,286)
Net other comprehensive loss	(14,485)	(46,592)	(2,968)	(78,286)
Comprehensive income (loss)	1,400	(4,915)	(4,779)	(23,344)
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership	29	(92)	(90)	(490)
Dividends on preferred stock	2,462	2,462	7,390	7,390
Comprehensive loss attributable to common stockholders	$ (1,091)	$ (7,285)	$ (12,079)	$ (30,244)

Amount after tax of increase (decrease) in equity from transactions and other events and circumstances from net income (loss) and other comprehensive income (loss), attributable to noncontrolling interests. Excludes changes in equity resulting from investments by owners and distributions to owners.

Amount after tax of increase (decrease) in equity from transactions and other events and circumstances from net income and other comprehensive income. Excludes changes in equity resulting from investments by owners and distributions to owners.

Amount after tax and reclassification adjustments of other comprehensive income (loss).

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Notes Payable

9 Months Ended

Sep. 30, 2023

Notes Payable [Abstract]

Notes Payable

Note 12 — Notes Payable

As of September 30, 2023, the Company had two separate MSR financing facilities: (i) the Freddie Mac MSR Revolver, which is revolving credit facility for up to $100.0 million that is secured by all Freddie Mac MSRs owned by Aurora; and (ii) the Fannie Mae MSR Revolving Facility, which is a revolving credit facility for up to $150.0 million, that is secured by all Fannie Mae MSRs owned by Aurora. Both financing facilities are available for MSRs as well as certain servicing related advances associated with MSRs.

Freddie Mac MSR Revolver. 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 “Freddie Mac 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 Freddie Mac 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 Freddie Mac MSR Revolver was upsized to $45.0 million in September 2018. The Company also has the ability to request up to an additional $5.0 million of borrowings. On April 2, 2019, Aurora and QRS V entered into an amendment that increased the maximum amount of the Freddie Mac MSR Revolver to $100.0 million. In July 2023, the Borrowers entered into an amendment to the Freddie Mac MSR Revolver that extended the revolving period for an additional 364 days with the option for one more renewal of 364 days. At the end of the revolving period, the outstanding amount will be converted to a one-year term loan. Amounts borrowed bear interest at the effective federal funds rate plus 2.85%. At September 30, 2023 and December 31, 2022, approximately $64.5 million and $68.5 million, respectively, was outstanding under the Freddie Mac MSR Revolver.

Fannie Mae MSR Revolving Facility. In October 2021, Aurora and QRS III entered into a loan and security agreement (the “Fannie Mae MSR Revolving 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 outstanding from time to time. The maximum credit amount outstanding at any one time under the Fannie Mae MSR Revolving Facility is $150.0 million. The revolving period is 24 months which may be extended by agreement with the lender. In October 2023, Aurora and QRS III entered into an amendment to the Fannie Mae MSR Revolving Facility that extended the revolving period for an additional 24 months. During the revolving period, borrowings bear interest at a rate equal to the monthly term SOFR rate plus 2.75% subject to a floor. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan that will bear interest at a rate calculated at a spread over the rate for one-year interest rate swaps. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Revolving Facility. At September 30, 2023 and December 31, 2022, approximately $108.0 million and $116.0 million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.

The outstanding borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):

Notes Payable Repayment Characteristics

As of September 30, 2023

	2023		2024		2025		2026		2027		2028		Total
Freddie Mac MSR Revolver
Borrowings under Freddie Mac MSR Revolver	$	-	$	64,500	$	-	$	-	$	-	$	-	$	64,500
Fannie Mae MSR Revolving Facility
Borrowings under Fannie Mae MSR Revolving Facility		-		-		1,173		7,380		8,008		91,439		108,000
Total	$	-	$	64,500	$	1,173	$	7,380	$	8,008	$	91,439	$	172,500

As of December 31, 2022

	2023		2024		2025		2026		2027		2028		Total
Freddie Mac MSR Revolver
Borrowings under Freddie Mac MSR Revolver	$	68,500	$	-	$	-	$	-	$	-	$		$	68,500
Fannie Mae MSR Revolving Facility
Borrowings under Fannie Mae MSR Revolving Facility		627		7,868		8,538		98,967		-				116,000
Total	$	69,127	$	7,868	$	8,538	$	98,967	$	-	$	-	$	184,500

The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants.

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-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1B

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1B
-Subparagraph (g)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1B

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1B
-Subparagraph (i)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1B

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1C
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1C

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1C
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1C

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1C
-Subparagraph (c)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1C

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1E
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1E

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1I
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1I

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1I
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1I

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Topic 470
-SubTopic 20
-Name Accounting Standards Codification
-Section 50
-Paragraph 1I
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147481139/470-20-50-1I

Valuation Technique and Input, Description [Abstract]

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

9 Months Ended

12 Months Ended

Sep. 30, 2023

Dec. 31, 2022

Valuation Technique and Input, Description [Abstract]

$ 266,474

$ 279,739

MSRs [Member]

Annual cost to service, per loan

266,474

279,739

^[1]

$ 87

$ 81

MSRs [Member] | Minimum [Member]

Valuation Technique and Input, Description [Abstract]

Constant prepayment speed

^[2]

3.70%

4.30%

Uncollected Payments

^[2]

0.60%

0.50%

MSRs [Member] | Maximum [Member]

Valuation Technique and Input, Description [Abstract]

Constant prepayment speed

^[2]

15.50%

18.20%

Uncollected Payments

^[2]

4.20%

3.20%

MSRs [Member] | Weighted Average [Member]

Valuation Technique and Input, Description [Abstract]

Constant prepayment speed

^[1]

6.70%

7.40%

Uncollected Payments

^[1]

0.80%

0.70%

Discount rate

^[1]

10.40%

9.50%

[1]	Weighted averages for unobservable inputs are calculated based on the unpaid principal balance of the portfolios.
[2]	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.

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

3 Months Ended

9 Months Ended

Sep. 30, 2023

USD ($)

Jun. 30, 2023

$ / shares

Mar. 31, 2023

$ / shares

Sep. 30, 2022

USD ($)

Jun. 30, 2022

$ / shares

Mar. 31, 2022

$ / shares

Sep. 30, 2023

USD ($)

Sep. 30, 2022

USD ($)

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

2,788,165

823,264

915,464

943,989

1,012,239

915,464

1,012,239

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

4,916

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

(41,835)

(92,200)

(33,441)

(68,250)

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

2,006,736

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

2,788,165

823,264

915,464

943,989

2,788,165

915,464

Weighted Average Issuance Price (in dollars per share) | $ / shares

$ 5.02

$ 6.06

$ 6.28

$ 8.4

LTIP-OP Units [Member]

LTIP-OP unit vesting period

3 years

LTIP-OP Units, Beginning Balance (in shares)

(552,097)

(459,897)

(391,647)

(459,897)

(391,647)

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

(92,200)

^[1]

(68,250)

^[2]

LTIP-OP Units, Ending Balance (in shares)

(552,097)

(459,897)

(552,097)

(459,897)

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

5,832

916

5,832

916

LTIP-OP Units Forfeited, Number of securities forfeited (in shares)

4,916

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

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

5,832

916

5,832

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

44,795

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

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

44,795

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

9,054

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

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

9,054

Share-based compensation expense recognized | $

$ 169,059

$ 162,000

$ 507,177

$ 544,000

Unrecognized share-based compensation expense | $

$ 809,653

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

Period of recognition of unrecognized share-based compensation expense

3 years

Common Stock [Member]

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

(220,256)

(178,421)

(144,980)

(178,421)

(144,980)

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

(41,835)

^[3]

(33,441)

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

(220,256)

(178,421)

(144,980)

(220,256)

(178,421)

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

2023 Plan [Member]

Maximum aggregate number of common shares issuable (in shares)

2,830,000

Ratio of common stock issuable against LTIP-OP units

[1]	Subject to forfeiture in certain circumstances prior to January 10, 2026.
[2]	Subject to forfeiture in certain circumstances prior to January 3, 2025.
[3]	Subject to forfeiture in certain circumstances prior to June 29, 2024.

Accrued Expenses and Other Liabilities

9 Months Ended

Sep. 30, 2023

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 September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands):

Accrued Expenses and Other Liabilities

	September 30, 2023		December 31, 2022
Accrued interest on repurchase agreements	$	2,684	$	2,796
Accrued interest on notes payable		2,021		1,710
Accrued expenses		1,372		3,804
Due to counterparties ^(A)		12,318		11,197
Total accrued expenses and other liabilities	$	18,395	$	19,507

(A)	Includes collateral for the Company’s borrowings that represents a payable to the counterparties as of the balance sheet date.

Investments in Servicing Related Assets (Tables)

9 Months Ended

Sep. 30, 2023

Investments in Servicing Related Assets [Abstract]

Servicing Related Assets

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 September 30, 2023

	Unpaid Principal Balance		Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs	$	20,340,103	$	266,474		3.49	%		25.2	$	(13,100	)
MSR Total/Weighted Average	$	20,340,103	$	266,474		3.49	%		25.2	$	(13,100	)

As of December 31, 2022

	Unpaid Principal Balance		Carrying Value^(A)		Weighted Average Coupon			Weighted Average Maturity (Years)^(B)		Year to Date Changes in Fair Value Recorded in Other Income (Loss)
MSRs	$	21,688,353	$	279,739		3.49	%		25.8	$	22,976
MSR Total/Weighted Average	$	21,688,353	$	279,739		3.49	%		25.8	$	22,976

(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 is based on the unpaid principal balance.

Geographic Concentration of Servicing Related Assets

As of September 30, 2023

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.7	%
Virginia		8.3	%
New York		8.3	%
Maryland		6.4	%
Texas		5.9	%
Florida		5.4	%
North Carolina		5.1	%
All other		46.9	%
Total		100.0	%

As of December 31, 2022

	Percentage of Total Outstanding Unpaid Principal Balance
California		13.5	%
Virginia		8.3	%
New York		8.2	%
Maryland		6.3	%
Texas		6.0	%
Florida		5.5	%
North Carolina		5.1	%
All other		47.1	%
Total		100.0	%

Derivative Instruments, Offsetting Liabilities (Details) - USD ($)
$ in Thousands

Sep. 30, 2023

Dec. 31, 2022

Gross amounts offset in the consolidated balance sheet

$ 975,923

$ 855,251

(4,419)

(4,571)

Net amounts of liabilities presented in the consolidated balance sheet

971,504

850,680

Gross amounts not offset in the consolidated balance sheet in financial instruments

(948,452)

(857,507)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

(23,052)

6,827

Repurchase Agreements [Member]

Gross amounts offset in the consolidated balance sheet

967,289

825,962

Net amounts of liabilities presented in the consolidated balance sheet

967,289

825,962

Gross amounts not offset in the consolidated balance sheet in financial instruments

(944,237)

(830,022)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

(23,052)

4,060

Gross amounts offset in the consolidated balance sheet

4,215

24,718

Net amounts of liabilities presented in the consolidated balance sheet

4,215

24,718

Gross amounts not offset in the consolidated balance sheet in financial instruments

(4,215)

(24,718)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

TBAs [Member]

Gross amounts offset in the consolidated balance sheet

2,870

4,571

(2,870)

(4,571)

Net amounts of liabilities presented in the consolidated balance sheet

Gross amounts not offset in the consolidated balance sheet in financial instruments

(2,767)

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

2,767

$ 0

Gross amounts offset in the consolidated balance sheet

1,549

(1,549)

Net amounts of liabilities presented in the consolidated balance sheet

Gross amounts not offset in the consolidated balance sheet in financial instruments

Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)

^[1]

Derivative, Gain (Loss) on Derivative, Net [Abstract]

$ 0

[1]	Includes cash pledged / received as collateral. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable.

Derivative Instruments, Realized Gain (Loss) Related to Derivatives (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2023

Sep. 30, 2022

Sep. 30, 2023

Sep. 30, 2022

$ 20,675

$ 6,210

$ 26,715

$ (7,158)

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Periodic interest income

9,200

3,200

26,000

5,500

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member]

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Interest Rate Swaps [Member]

11,459

2,963

714

(12,679)

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | Swaptions [Member]

^[1]

496

1,319

(4,671)

(4,793)

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | TBAs [Member]

(585)

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | U.S. Treasury Futures [Member]

14,150

1,002

17,516

(26,164)

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives [Member] | U.S. Treasury Futures Options [Member]

(3,137)

439

(11,794)

18,910

Derivative, Gain (Loss) on Derivative, Net [Abstract]

Financial Data on CHMI's Segments with Reconciliation

$ (50)

$ 203

$ (337)

$ (47)

[1]

Commitments and Contingencies	9 Months Ended
Commitments and Contingencies	Sep. 30, 2023
Commitments and Contingencies [Abstract]
Commitments and Contingencies	Note 10 — Commitments and Contingencies The commitments and contingencies of the Company as of September 30, 2023 and December 31, 2022 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 Freedom Mortgage to provide the Manager with the necessary resources and personnel 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. The Company has established immaterial reserves for these possible matters. 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. Commitments to Purchase/Sell RMBS As of September 30, 2023 and December 31, 2022, 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. See Note 2 — Basis of Presentation and Significant Accounting Policies for details of unsettled RMBS trades as of September 30, 2023 and December 31, 2022. 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 Freddie Mac 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 Freddie Mac 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 Freddie Mac MSR Revolver.

Segment Reporting (Tables)

9 Months Ended

Sep. 30, 2023

Segment Reporting [Abstract]

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

	Servicing Related Assets			RMBS			All Other			Total
Income Statement
Three Months Ended September 30, 2023
Interest income	$	-		$	12,864		$	-		$	12,864
Interest expense		(89	)		13,426			-			13,337
Net interest income (expense)		89			(562	)		-			(473	)
Servicing fee income		13,225			-			-			13,225
Servicing costs		2,869			-			-			2,869
Net servicing income		10,356			-			-			10,356
Other income		282			10,362			-			10,644
Other operating expenses		(561	)		(174	)		(2,631	)		(3,366	)
Provision for corporate business taxes		(1,276	)		-			-			(1,276	)
Net Income (Loss)	$	8,890		$	9,626		$	(2,631	)	$	15,885

Three Months Ended September 30, 2022
Interest income	$	-		$	8,213		$	-		$	8,213
Interest expense		635			4,247			-			4,882
Net interest income (expense)		(635	)		3,966			-			3,331
Servicing fee income		13,426			-			-			13,426
Servicing costs		2,725			-			-			2,725
Net servicing income		10,701			-			-			10,701
Other income (expense)		(12,087	)		44,176			-			32,089
Other operating expenses		(537	)		(163	)		(2,400	)		(3,100	)
Provision for corporate business taxes		(1,344	)		-			-			(1,344	)
Net Income (Loss)	$	(3,902	)	$	47,979		$	(2,400	)	$	41,677

Nine Months Ended September 30, 2023
Interest income	$	-		$	37,193		$	-		$	37,193
Interest expense		1,143			37,317			-			38,460
Net interest expense		(1,143	)		(124	)		-			(1,267	)
Servicing fee income		40,535			-			-			40,535
Servicing costs		8,098			-			-			8,098
Net servicing income		32,437			-			-			32,437
Other expense		(17,935	)		(3,544	)		-			(21,479	)
Other operating expenses		(1,694	)		(506	)		(8,058	)		(10,258	)
Provision for corporate business taxes		(1,244	)		-			-			(1,244	)
Net Income (Loss)	$	10,421		$	(4,174	)	$	(8,058	)	$	(1,811	)

Nine Months Ended September 30, 2022
Interest income	$	-		$	19,736		$	-		$	19,736
Interest expense		3,019			6,005			-			9,024
Net interest income (expense)		(3,019	)		13,731			-			10,712
Servicing fee income		39,730			-			-			39,730
Servicing costs		8,533			-			-			8,533
Net servicing income		31,197			-			-			31,197
Other income (expense)		(20,983	)		50,408			-			29,425
Other operating expenses		(1,569	)		(542	)		(7,639	)		(9,750	)
Provision for corporate business taxes		(6,642	)		-			-			(6,642	)
Net Income (Loss)	$	(1,016	)	$	63,597		$	(7,639	)	$	54,942

	Servicing Related Assets		RMBS		All Other		Total
Balance Sheet
September 30, 2023
Investments	$	266,474	$	1,016,801	$	-	$	1,283,275
Other assets		28,226		71,210		44,809		144,245
Total assets		294,700		1,088,011		44,809		1,427,520
Debt		172,008		967,289		-		1,139,297
Other liabilities		6,316		15,002		9,349		30,667
Total liabilities		178,324		982,291		9,349		1,169,964
Net Assets	$	116,376	$	105,720	$	35,460	$	257,556

December 31, 2022
Investments	$	279,739	$	931,431	$	-	$	1,211,170
Other assets		32,849		106,885		57,921		197,655
Total assets		312,588		1,038,316		57,921		1,408,825
Debt		183,888		825,962		-		1,009,850
Other liabilities		29,047		92,875		11,537		133,459
Total liabilities		212,935		918,837		11,537		1,143,309
Net Assets	$	99,653	$	119,479	$	46,384	$	265,516

Investments in Servicing Related Assets, Portfolio of Servicing Related Assets (Details) $ in Billions	Sep. 30, 2023 USD ($)
Mortgage Loans on Real Estate [Abstract]
Investment, Type [Extensible Enumeration]	Mortgage Service Right [Member]
Aurora Financial Group, Inc. [Member]
Mortgage Loans on Real Estate [Abstract]
Aggregate unpaid principal balance	$ 20.3

Indicates type of investment. Includes, but is not limited to, common stock, preferred stock, convertible security, fixed income security, government security, option purchased, warrant, loan participation and assignment, commercial paper, bankers' acceptance, certificates of deposit, short-term security, repurchase agreement, and other investment company.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 210
-Name Accounting Standards Codification
-Section 50
-Paragraph 6
-Subparagraph (a)(1)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480524/946-210-50-6

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 210
-Name Accounting Standards Codification
-Section 50
-Paragraph 1
-Subparagraph (b)(1)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480524/946-210-50-1

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 2
-Subparagraph (SX 210.12-12A(Column A)(Footnote 2))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-2

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 6
-Subparagraph (SX 210.12-14(Column A)(Footnote 2))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-6

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 1
-Subparagraph (SX 210.12-12(Column A)(Footnote 2)(i))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-1

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 1
-Subparagraph (SX 210.12-12(Column C)(Footnote 5))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-1

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 3
-Subparagraph (SX 210.12-12B(Column A)(Footnote 1)(a))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-3

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 3
-Subparagraph (SX 210.12-12B(Column C)(Footnote 2))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-3

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 6
-Subparagraph (SX 210.12-14(Column F)(Footnote 7))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-6

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
-SubTopic 320
-Name Accounting Standards Codification
-Section S99
-Paragraph 2
-Subparagraph (SX 210.12-12A(Column C)(Footnote 4))
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480032/946-320-S99-2

Investments in RMBS (Tables)

9 Months Ended

Sep. 30, 2023

Summary of RMBS Investments

The following is a summary of the Company’s investments in RMBS as of the dates indicated (dollars in thousands):

Summary of RMBS Assets

As of September 30, 2023

					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, available-for-sale, measured at fair value through OCI
Fannie Mae	$	281,276	$	256,230	$	-	$	(13,042	)	$	243,188		20	(B)		4.54	%		4.66	%		28
Freddie Mac		309,912		281,774		-		(18,912	)		262,862		23	(B)		4.40	%		4.47	%		28
RMBS, measured at fair value through earnings
Fannie Mae		205,048		195,620		-		(10,631	)		184,989		17	(B)		4.67	%		4.75	%		29
Freddie Mac		361,813		341,697		-		(15,935	)		325,762		28	(B)		4.66	%		4.77	%		29
Total/weighted average RMBS	$	1,158,049	$	1,075,321	$	-	$	(58,520	)	$	1,016,801		88			4.57	%		4.66	%		28

As of December 31, 2022

					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, available-for-sale, measured at fair value through OCI
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 RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		29

(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.

(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 September 30, 2023

					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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	591,188	$	538,004	$	-	$	(31,954	)	$	506,050		43	(B)		4.47	%		4.56	%		28
RMBS, measured at fair value through earnings
Over 10 Years		566,861		537,317		-		(26,566	)		510,751		45	(B)		4.66	%		4.76	%		29
Total/weighted average RMBS	$	1,158,049	$	1,075,321	$	-	$	(58,520	)	$	1,016,801		88			4.57	%		4.66	%		28

As of December 31, 2022

					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)
RMBS, available-for-sale, measured at fair value through OCI
Over 10 Years	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83	(B)		4.23	%		4.29	%		29
Total/weighted average RMBS	$	1,051,613	$	960,418	$	4,227	$	(33,214	)	$	931,431		83			4.23	%		4.29	%		29

(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.

(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 available-for-sale securities measured at fair value through OCI in an unrealized loss position as of the dates indicated (dollars in thousands):

Available-For-Sale RMBS Unrealized Loss Positions

As of September 30, 2023

												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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	383,901	$	348,444	$	(14,289	)	$	334,155		28	(B)		4.66	%		4.80	%		28
Twelve or More Months		207,287		189,560		(17,665	)		171,895		15	(B)		4.10	%		4.13	%		28
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	591,188	$	538,004	$	(31,954	)	$	506,050		43			4.47	%		4.56	%		28

As of December 31, 2022

												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)
RMBS, available-for-sale, measured at fair value through OCI
Less than Twelve Months	$	848,768	$	767,412	$	(33,214	)	$	734,198		67	(B)		4.06	%		4.10	%		29
Total/weighted average RMBS, available-for-sale, measured at fair value through OCI	$	848,768	$	767,412	$	(33,214	)	$	734,198		67			4.06	%		4.10	%		29

(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.

(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.

Transactions with Related Parties (Details)	3 Months Ended		9 Months Ended
Transactions with Related Parties (Details)	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2023 USD ($) Employee	Sep. 30, 2022 USD ($)	Dec. 31, 2022 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
Management Fees and Compensation Reimbursement to Manager [Abstract]
Management fees	$ 1,590,000	$ 1,485,000	$ 4,684,000	$ 4,662,000
Compensation reimbursement	150,000	140,000	430,000	370,000
Total	1,740,000	1,625,000	5,114,000	5,032,000
Subservicing Agreements [Abstract]
Servicing fee income	13,225,000	13,426,000	40,535,000	39,730,000
Servicing costs	2,869,000	2,725,000	8,098,000	8,533,000
Agreement purchase price			$ (165,000)	30,119,000
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
RoundPoint Mortgage Servicing Corporation [Member]
Subservicing Agreements [Abstract]
Subservicing agreement term			2 years
Subservicing agreement renewal term			2 years
Subservicing agreement additional renewal term			2 years
Aurora Financial Group, Inc. [Member] \| RoundPoint Mortgage Servicing Corporation [Member]
Subservicing Agreements [Abstract]
Servicing fee income	7,800,000	8,400,000	$ 23,900,000	25,300,000
Servicing costs	1,400,000	1,400,000	3,800,000	4,400,000
Servicing receivables	754,000		754,000		$ 687,000
Mortgage Servicing Rights (MSRs) [Member] \| Aurora Financial Group, Inc. [Member] \| RoundPoint Mortgage Servicing Corporation [Member] \| Flow Agreement [Member]
Subservicing Agreements [Abstract]
Aggregate unpaid principal balance	$ 0	242,800,000	987,000	441,500,000
Agreement purchase price		$ 2,400,000	$ 5,000	$ 4,600,000
Freedom Mortgage Excess Service Right [Member]
Other Transactions with Related Parties [Abstract]
Number of employees leases from mortgage \| Employee			3

Receivables and Other Assets (Tables)

9 Months Ended

Sep. 30, 2023

Receivables and Other Assets [Abstract]

Receivables and Other Assets

The assets comprising “Receivables and other assets” as of September 30, 2023 and December 31, 2022 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

	September 30, 2023		December 31, 2022
Servicing advances	$	8,823	$	15,090
Interest receivable		6,097		4,381
Deferred tax asset		14,301		15,545
Other receivables		3,278		1,749
Total other assets	$	32,499	$	36,765

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

Sep. 30, 2023

Jun. 30, 2023

Dec. 31, 2022

Sep. 30, 2022

Jun. 30, 2022

Dec. 31, 2021

$ 35,831

$ 45,533

^[1]

266,474

279,739

4,215

24,718

20,671

40,466

TBAs [Member]

11,650

4,215

U.S. Treasury Futures Options [Member]

3,510

618

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

234

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

35,831

45,533

1,052,632

976,964

4,215

24,718

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

4,215

24,718

266,474

$ 264,906

279,739

$ 279,020

$ 263,578

$ 218,727

266,474

279,739

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

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

20,671

40,466

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

4,215

24,718

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

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

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

11,650

4,215

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

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

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

3,510

618

Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 1 [Member]

Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 2 [Member]

Fair Value, Measurements, Recurring [Member] | U.S. Treasury Futures Options [Member] | Level 3 [Member]

234

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

35,831

45,533

266,474

279,739

1,319,106

1,256,703

4,215

24,718

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

4,215

24,718

20,671

40,466

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

4,215

24,718

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

11,650

4,215

Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | U.S. Treasury Futures Options [Member]

$ 3,510

618

RMBS [Member] | Level 2 [Member]

$ 234

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]

1,016,801

931,431

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

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

1,016,801

931,431

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

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

428,177

483,397

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

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

428,177

483,397

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

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

588,624

448,034

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

MSRs [Member] | Level 3 [Member]

$ 588,624

$ 448,034

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.

Derivative Instruments, Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Notional Amount of Interest Rate Swaps [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 1,132,000	$ 1,305,000
Fair value	$ 16,456	$ 15,748
Weighted average pay rate	1.67%	1.53%
Weighted average receive rate	5.23%	3.96%
Weighted average years to maturity	3 years 7 months 6 days	5 years 1 month 6 days
Weighted average maturity	Dec. 31, 2027	Dec. 31, 2028
Notional Amount of TBAs, Net [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 486,400	$ 306,100
Fair value	(434,048)	(285,593)
Notional Amount of U.S. Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Fair value	3,510	618
Notional Amount of Options on Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	0
Fair value		234
Not Designated as Hedging Instrument [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	791,400	930,200
Not Designated as Hedging Instrument [Member] \| Notional Amount of Interest Rate Swaps [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	1,132,000	1,305,000
Not Designated as Hedging Instrument [Member] \| Notional Amount of TBAs, Net [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	486,400	306,100
Not Designated as Hedging Instrument [Member] \| Notional Amount of U.S. Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	145,800	88,700
Not Designated as Hedging Instrument [Member] \| Notional Amount of Options on Treasury Futures [Member]
Outstanding Notional Amounts and Interest Rate Swap Agreements [Abstract]
Total notional amount	$ 0	$ 20,000

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

9 Months Ended

12 Months Ended

Sep. 30, 2023

USD ($)

Security

Dec. 31, 2022

USD ($)

Security

$ 1,016,801

$ 931,431

RMBS [Member]

1,158,049

1,051,613

1,075,321

960,418

(58,520)

(33,214)

^[1]

$ 1,016,801

$ 931,431

4.57%

4.23%

^[2]

4.66%

4.29%

RMBS [Member] | Unrealized Loss Positions [Member]

28 years

29 years

$ 591,188

$ 848,768

538,004

767,412

(31,954)

(33,214)

^[1]

$ 506,050

$ 734,198

4.47%

4.06%

^[2]

4.56%

4.10%

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

28 years

29 years

$ 383,901

$ 848,768

348,444

767,412

(14,289)

(33,214)

^[1],[3]

$ 334,155

$ 734,198

4.66%

4.06%

^[2]

4.80%

4.10%

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

28 years

29 years

$ 207,287

189,560

(17,665)

^[1],[3]

$ 171,895

4.10%

^[2]

4.13%

28 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.

Subsequent Events	9 Months Ended
Subsequent Events	Sep. 30, 2023
Subsequent Events [Abstract]
Subsequent Events	Note 16 — Subsequent Events Events subsequent to September 30, 2023 were evaluated and no additional events were identified requiring further disclosure in the consolidated financial statements.

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

9 Months Ended

12 Months Ended

Sep. 30, 2023

Dec. 31, 2022

Servicing Asset [Abstract]

Unpaid principal balance

$ 20,340,103

$ 21,688,353

^[1]

$ 266,474

$ 279,739

3.49%

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

^[2]

25 years 2 months 12 days

25 years 9 months 18 days

$ (13,100)

$ 22,976

Mortgage Servicing Rights (MSRs) [Member]

Servicing Asset [Abstract]

Unpaid principal balance

20,340,103

21,688,353

^[1]

$ 266,474

$ 279,739

3.49%

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

^[2]

25 years 2 months 12 days

25 years 9 months 18 days

$ (13,100)

$ 22,976

[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 is based on the unpaid principal balance.

Consolidated Statements of Income (Loss) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2023

Sep. 30, 2022

Sep. 30, 2023

Sep. 30, 2022

Income

$ 12,864

$ 8,213

$ 37,193

$ 19,736

13,337

4,882

38,460

9,024

(473)

3,331

(1,267)

10,712

13,225

13,426

40,535

39,730

2,869

2,725

8,098

8,533

Realized loss on RMBS, net

10,356

10,701

32,437

31,197

Other income (loss)

(10,209)

(9,735)

(21,464)

(68,993)

Realized gain on acquired assets, net

20,675

6,210

26,715

(7,158)

Unrealized loss on RMBS, measured at fair value through earnings, net

(19,755)

(26,566)

Unrealized gain on derivatives, net

18,343

33,321

12,924

75,390

Unrealized gain (loss) on investments in Servicing Related Assets

1,578

2,293

(13,100)

30,174

Total Income

20,527

46,121

9,691

71,334

Expenses

General and administrative expense

1,626

1,475

5,144

4,718

Management fee to affiliate

1,740

1,625

5,114

5,032

Total Expenses

3,366

3,100

10,258

9,750

Income (Loss) Before Income Taxes

17,161

43,021

(567)

61,584

^[1]

1,276

1,344

1,244

6,642

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

15,885

41,677

(1,811)

54,942

(306)

(866)

(1,152)

Dividends on preferred stock

2,462

7,390

Net Income (Loss) Applicable to Common Stockholders

$ 13,117

$ 38,349

$ (9,167)

$ 46,400

Net Income (Loss) Per Share of Common Stock

Basic (in dollars per share)

$ 0.49

$ 1.91

$ (0.35)

$ 2.42

Diluted (in dollars per share)

$ 0.49

$ 1.9

$ (0.35)

$ 2.42

Weighted Average Number of Shares of Common Stock Outstanding

Basic (in shares)

26,936,242

20,123,165

25,879,626

19,134,545

Diluted (in shares)

26,978,077

20,156,606

25,907,638

19,159,846

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

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

3 Months Ended

9 Months Ended

Sep. 30, 2023

Jun. 30, 2023

Mar. 31, 2023

Sep. 30, 2022

Jun. 30, 2022

Mar. 31, 2022

Sep. 30, 2023

Sep. 30, 2022

Dec. 31, 2022

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

$ 12,864

$ 8,213

$ 37,193

$ 19,736

13,337

4,882

38,460

9,024

(473)

3,331

(1,267)

10,712

13,225

13,426

40,535

39,730

2,869

2,725

8,098

8,533

10,356

10,701

32,437

31,197

10,644

32,089

(21,479)

29,425

(3,366)

(3,100)

(10,258)

(9,750)

^[1]

(1,276)

(1,344)

(1,244)

(6,642)

15,885

$ 1,626

$ (19,322)

41,677

$ (15,464)

$ 28,729

(1,811)

54,942

1,283,275

$ 1,211,170

144,245

197,655

1,427,520

1,408,825

1,139,297

1,009,850

30,667

133,459

1,169,964

1,143,309

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

257,556

265,516

(89)

635

1,143

3,019

(635)

(1,143)

(3,019)

13,225

13,426

40,535

39,730

2,869

2,725

8,098

8,533

10,356

10,701

32,437

31,197

282

(12,087)

(17,935)

(20,983)

(561)

(537)

(1,694)

(1,569)

(1,276)

(1,344)

(1,244)

(6,642)

8,890

(3,902)

10,421

(1,016)

266,474

279,739

28,226

32,849

294,700

312,588

172,008

183,888

6,316

29,047

178,324

212,935

RMBS [Member] | Operating Segments [Member]

116,376

99,653

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

12,864

8,213

37,193

19,736

13,426

4,247

37,317

6,005

(562)

3,966

(124)

13,731

10,362

44,176

(3,544)

50,408

(174)

(163)

(506)

(542)

9,626

47,979

(4,174)

63,597

1,016,801

931,431

71,210

106,885

1,088,011

1,038,316

967,289

825,962

15,002

92,875

982,291

918,837

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

105,720

119,479

All Other [Member]

(2,631)

(2,400)

(8,058)

(7,639)

(2,631)

$ (2,400)

(8,058)

$ (7,639)

44,809

57,921

44,809

57,921

9,349

11,537

9,349

11,537

Equity and Earnings per Common Share [Abstract]

$ 35,460

$ 46,384

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

Equity and Earnings per Common Share

9 Months Ended

Sep. 30, 2023

Equity and Earnings per Common Share

Note 6 — Equity and Earnings per Common Share

Common 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.

Redeemable Preferred Stock

The Company’s 8.20% 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. Since August 17, 2022, the Company could have at its option, redeemed 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. The Company did not redeem any Series A Preferred Stock during the three and nine-month periods ended September 30, 2023 and the year ended December 31, 2022. 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 8.20% 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 15^th day of January, April, July and October of each year.

The Company’s 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Stock, par value $0.01 per share (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. Because LIBOR will have ceased publication at the beginning of the floating rate period, under the terms of the Series B Preferred Stock, the Company will appoint a calculation agent and the calculation agent will consult with an investment bank of national standing to determine whether there is an industry accepted substitute or successor base rate to USD LIBOR. If, after such consultation, the calculation agent determines that there is an industry accepted substitute or successor base rate, the calculation agent will use such substitute or successor base rate. In such case, the calculation agent in its sole discretion may also implement other technical changes to the Series B Preferred Stock in a manner that is consistent with industry accepted practices for such substitute or successor base rate. It is currently anticipated that the successor rate to be chosen by the calculation agent during the floating rate period will be the secured overnight financing rate, or “SOFR”.

Dividends on the Series A and B Preferred Stock are payable quarterly in arrears on the 15^th day of each January, April, July and October, when and as authorized by the Company’s board of directors and declared by the Company.

Common Stock ATM Program

In August 2018, the Company instituted an at-the-market offering program (the “Common Stock ATM Program”) of up to $50.0 million of its common stock. In November 2022, the Company entered into amendments to the existing At Market Issuance Sales Agreements, increasing the aggregate offering price to up to an aggregate of $100.0 million of its common stock, of which, approximately $16.8 million was remaining as of September 30, 2023. 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 three-month period ended September 30, 2023 the Company did not issue any shares of common stock under the Common Stock ATM Program. During the nine-month period ended September 30, 2023 the Company issued and sold 3,428,112 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $5.68 per share for gross proceeds of approximately $19.5 million before fees of approximately $389,000. During the year ended December 31, 2022, the Company issued and sold 5,212,841 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $6.50 per share for aggregate gross proceeds of approximately $33.9 million before fees of approximately $677,000.

Preferred Stock ATM Program

In April 2018, the Company instituted an at-the-market offering program (the “Preferred Series A ATM Program”) of up to $35.0 million 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 three and nine-month periods ended September 30, 2023 and the year ended December 31, 2022, the Company did not issue any shares of Series A Preferred Stock under the Preferred Series A ATM Program.

Share Repurchase Program

In September 2019, the Company instituted a share repurchase program that allows for the repurchase of up to an aggregate of $10.0 million 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 three and nine-month periods ended September 30, 2023 and the year ended December 31, 2022, the Company did not repurchase any shares of its common stock pursuant to the share repurchase program.

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, which expired by its terms in October 2023, provided for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights (“SARs”), performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Operating Partnership.

In April 2023, the Company’s board of directors adopted the Cherry Hill Mortgage Investment Corporation 2023 Equity Incentive Plan (the “2023 Plan”). In June 2023, at the Company’s annual meeting of stockholders, the 2023 Plan was approved. The 2023 Plan, which expires by its term in April 2033, permits the Company to provide equity-based compensation in the form of options to purchase shares of the Company’s common stock, stock awards, SARs, performance units, incentive awards and other equity-based awards (including LTIP-OP Units). The 2023 Plan replaced the 2013 Plan upon the 2023 Plan’s approval by stockholders and no further awards will be made by the Company under the 2013 Plan. Currently outstanding awards granted under the 2013 Plan will remain effective in accordance with their terms.

The maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards (including LTIP-OP Units) and the settlement of incentive awards and performance units is equal to 2,830,000 shares. Other equity-based awards that are LTIP-OP Units will reduce the maximum aggregate number of shares of common stock issuable pursuant to the 2023 Plan on a one-for-one basis—that is, each such LTIP-OP Unit will be treated as an award of common stock; provided, however, for the avoidance of doubt, the conversion of any such LTIP-OP Units at a later date into a share of common stock will not count as an award of common stock under the 2023 Plan for purposes of determining the aggregate limit to avoid any double counting of the same award. In connection with stock splits, dividends, recapitalizations and certain other events, the Company’s board of directors will make equitable adjustments that it deems appropriate in the aggregate number of shares of common stock issuable pursuant to the 2023 Plan and the terms of outstanding awards.

If any options or stock appreciation rights terminate, expire or are cancelled, forfeited, exchanged or surrendered without having been exercised or are paid in cash without delivery of common stock or if any stock awards, performance units or other equity-based awards (including LTIP-OP Units) are forfeited, the shares of common stock subject to such awards will again be available for purposes of the 2023 Plan. Shares of common stock tendered or withheld to satisfy the exercise price or for tax withholding are not available for future grants under the 2023 Plan.

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.

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.

Equity Incentive Plan Information

	LTIP-OP Units										Shares of Common Stock						Number of Securities Remaining Available For Future Issuance Under Equity Compensation Plans			Weighted Average Issuance Price
	Issued				Forfeited		Converted		Redeemed		Issued				Forfeited					Weighted Average Issuance Price
December 31, 2021		(391,647	)			916		44,795		9,054		(144,980	)			3,155		1,012,239
Number of securities issued or to be issued upon exercise		(68,250	)	^(A)		-		-		-		-				-		(68,250	)	$	8.40
March 31, 2022		(459,897	)			916		44,795		9,054		(144,980	)			3,155		943,989
Number of securities forfeited		-				4,916		-		-		-				-		4,916
Number of securities issued or to be issued upon exercise		-				-		-		-		(33,441	)			-		(33,441	)	$	6.28
June 30, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464
Number of securities issued or to be issued upon exercise		-				-		-				-				-		-
September 30, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464

December 31, 2022		(459,897	)			5,832		44,795		9,054		(178,421	)			3,155		915,464
Number of securities issued or to be issued upon exercise		(92,200	)	^(B)		-		-		-		-				-		(92,200	)	$	6.06
March 31, 2023		(552,097	)			5,832		44,795		9,054		(178,421	)			3,155		823,264
Number of securities issued or to be issued upon exercise		-				-		-		-		(41,835	)	^(C)		-		(41,835	)	$	5.02
Increase in the number of securities available for issuance		-				-		-		-		-				-		2,006,736
June 30, 2023		(552,097	)			5,832		44,795		9,054		(220,256	)			3,155		2,788,165
Number of securities issued or to be issued upon exercise		-				-		-		-		-				-		-
September 30, 2023		(552,097	)			5,832		44,795		9,054		(220,256	)			3,155		2,788,165

(A)

Subject to forfeiture in certain circumstances prior to January 3, 2025.

(B)

Subject to forfeiture in certain circumstances prior to January 10, 2026.

(C)

Subject to forfeiture in certain circumstances prior to June 29, 2024.

The Company recognized share-based compensation expense of approximately $169,059 and $162,000 during the three-month periods ended September 30, 2023 and September 30, 2022, respectively and $507,177 and $544,000 during the nine-month periods ended September 30, 2023 and September 30, 2022, respectively. There was approximately $809,653 of total unrecognized share-based compensation expense as of September 30, 2023, which was related to unvested LTIP-OP Units and directors compensation paid in stock subject to forfeiture. 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 September 30, 2023, the non-controlling interest holders in the Operating Partnership owned 489,039 LTIP-OP Units, or approximately 1.9% 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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2023			2022			2023			2022
Numerator:
Net income (loss)	$	15,885		$	41,677		$	(1,811	)	$	54,942
Net (income) loss allocated to noncontrolling interests in Operating Partnership		(306	)		(866	)		34			(1,152	)
Dividends on preferred stock		2,462			2,462			7,390			7,390
Net income (loss) applicable to common stockholders	$	13,117		$	38,349		$	(9,167	)	$	46,400
Denominator:
Weighted average common shares outstanding		26,936,242			20,123,165			25,879,626			19,134,545
Weighted average diluted shares outstanding		26,978,077			20,156,606			25,907,638			19,159,846
Basic and Diluted EPS:
Basic	$	0.49		$	1.91		$	(0.35	)	$	2.42
Diluted	$	0.49		$	1.90		$	(0.35	)	$	2.42

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

The entire disclosure for equity.

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