CHMI-A Cherry Hill Mortgage Investment Corporation

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CHERRY HILL MORTGAGE INVESTMENT CORPORATION

(Exact name of registrant as specified in its charter)

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Maryland		46-1315605
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

1451 Route 34, Suite 303
Farmingdale, New Jersey		07727
(Address of Principal Executive Offices)		(Zip Code)

(877) 870 – 7005

(Registrant’s Telephone Number, Including Area Code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

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

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Stock, $0.01 par value per share	CHMI	New York Stock Exchange
8.20% Series A Cumulative Redeemable Preferred Stock, $0.01 par value per share	CHMI-PRA	New York Stock Exchange
8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share	CHMI-PRB	New York Stock Exchange

Large accelerated filer	☐	Accelerated filer	☒
Non-accelerated filer	☐	Smaller reporting company	☐
Emerging growth company	☐

		Page
FORWARD-LOOKING INFORMATION		6
PART I.	FINANCIAL INFORMATION	8
Item 1.	Consolidated Financial Statements	8
	Consolidated Balance Sheets	8
	Consolidated Statements of Income (Loss)	9
	Consolidated Statements of Comprehensive Income (Loss)	10
	Consolidated Statements of Changes in Stockholders’ Equity	11
	Consolidated Statements of Cash Flows	12
	Notes to Consolidated Financial Statements	13
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	48
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	71
Item 4.	Controls and Procedures	75
PART II.	OTHER INFORMATION	76
Item 1.	Legal Proceedings	76
Item 1A.	Risk Factors	76
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	76
Item 3.	Defaults Upon Senior Securities	76
Item 4.	Mine Safety Disclosures	76
Item 5.	Other Information	76
Item 6.	Exhibits	76

“ASC” means an Accounting Standards Codification.

“ARM” means an adjustable-rate residential mortgage loan.

“CFTC” means the U.S. Commodity Futures Trading Commission.

“CMO” means a collateralized mortgage obligation. CMOs are either loss share securities issued by a GSE or 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.

“Code” means the Internal Revenue Code of 1986, as amended.

“credit enhancement” means techniques to improve the credit ratings of securities, including overcollateralization, creating retained spread, creating subordinated tranches and insurance.

“Excess MSR” means an interest in an MSR, representing a portion of the interest payment collected from a pool of mortgage loans, net of a basic servicing fee paid to the mortgage servicer.

“Fannie Mae” means the Federal National Mortgage Association.

“FHA” means the Federal Housing Administration.

“Freddie Mac” means the Federal Home Loan Mortgage Corporation.

“FRM” means a fixed-rate residential mortgage loan.

“GAAP” means U.S. generally accepted accounting principles.

“Ginnie Mae” means the Government National Mortgage Association, a wholly-owned corporate instrumentality of the United States of America within HUD.

“GSE” means a government-sponsored enterprise. When we refer to GSEs, we mean Fannie Mae or Freddie Mac.

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Table of Contents

“HUD” means the U.S. Department of Housing and Urban Development.

“hybrid ARM” means a residential mortgage loan that has an interest rate that is fixed for a specified period of time (typically three, five, seven or ten years) and thereafter adjusts to an increment over a specified interest rate index.

“inverse IO” means an inverse interest-only security, which is a type of stripped security. These debt securities receive no principal payments and have a coupon rate which has an inverse relationship to its reference index.

“IO” means an interest-only security, which is a type of stripped security. IO strips receive a specified portion of the interest on the underlying assets.

“MBS” means mortgage-backed securities.

“MSR” means a mortgage servicing right. An MSR provides a mortgage servicer with the right to service a mortgage loan or a pool of mortgages in exchange for a portion of the interest payments made on the mortgage or the underlying mortgages. An MSR is made up of two components: a basic servicing fee and an Excess MSR. The basic servicing fee is the amount of compensation for the performance of servicing duties.

“mortgage loan” means a loan secured by real estate together with the right to receive the payment of principal and interest on the loan (including the servicing fee).

“non-Agency RMBS” means CMOs that either are loss share securities issued by a GSE or are not issued or guaranteed by an Agency, including investment grade (AAA through BBB rated) and non-investment grade (BB rated through unrated) classes.

“non-conforming loan” means a residential mortgage loan that does not conform to the Agency underwriting guidelines and does not meet the funding criteria of Fannie Mae and Freddie Mac.

“non-QM loan” means a mortgage loan that does not satisfy the requirements for a qualified mortgage.

“prime mortgage loan” means a mortgage loan that generally conforms to GSE underwriting guidelines or is a non-QM loan with a FICO score generally above 700.

“qualified mortgage” means a mortgage that complies with the ability to repay rule and related requirements in Regulation Z.

“REIT” means a real estate investment trust under the Code.

“residential mortgage pass-through certificate” is a MBS that represents an interest in a “pool” of mortgage loans secured by residential real property where payments of both interest and principal (including principal prepayments) on the underlying residential mortgage loans are made monthly to holders of the security, in effect “passing through” monthly payments made by the individual borrowers on the mortgage loans that underlie the security, net of fees paid to the issuer/guarantor and servicer.

“RMBS” means a residential Agency RMBS or a non-Agency RMBS.

“Servicing Related Assets” means Excess MSRs and MSRs.

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Table of Contents

“SIFMA” means the Securities Industry and Financial Markets Association.

“stripped security” is an RMBS structured with two or more classes that receives different distributions of principal or interest on a pool of RMBS. Stripped securities include IOs and inverse IOs.

“TBA” means a forward-settling Agency RMBS where the pool is “to-be-announced.” In a TBA, a buyer will agree to purchase, 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.

“TRS” means a taxable REIT subsidiary.

“UPB” means unpaid principal balance.

“U.S. Treasury” means the U.S. Department of Treasury.

“VA” means the Department of Veterans Affairs.

“VA mortgage loan” means a mortgage loan that is partially guaranteed by the VA in accordance with its regulations.

5

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Table of Contents

CAUTIONARY STATEMENT CONCERNING FORWARD-LOOKING INFORMATION

Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company,” “we,” “our” or “us”) makes forward-looking statements in this Quarterly Report on Form 10-Q within the meaning of the Private Securities Litigation Reform Act of 1995 (as set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such Sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company’s control. These forward-looking statements include information about possible or assumed future results of the Company’s business, financial condition, liquidity, results of operations, plans and objectives. When the Company uses the words “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,” “may,” “potential” or the negative of these terms or other comparable terminology, the Company intends to identify forward-looking statements. Forward-looking statements involve numerous risks and uncertainties. Our actual results may differ materially from our beliefs, expectations, estimates and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events.  Statements regarding the following subjects, among others, may be forward-looking:

•	the Company’s investment objectives and business strategy;

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

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

•	the Company’s expected leverage;

•	the Company’s expected investments and the timing thereof;

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

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

•	the Company’s ability to compete in the marketplace;

•	market, industry and economic trends;

•

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

•	mortgage loan modification programs and future legislative actions;

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

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

•	projected capital and operating expenditures;

•	availability of qualified personnel; and

•	projected prepayment and/or default rates.

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Table of Contents

The Company’s beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to it or are within its control. If any such change occurs, the Company’s business, financial condition, liquidity and results of operations may vary materially from those expressed in, or implied by, the Company’s forward-looking statements. Important factors, among others, that may cause the Company’s actual results, performance, liquidity or achievements to differ materially from those expressed or implied by the Company’s forward-looking statements include:

•	the factors discussed under “Part I, Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q and “Part I, Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021;

•	the uncertainty and economic impact of the COVID-19 pandemic and of responsive measures implemented by various governmental authorities, businesses and other third parties;

•	general volatility of the capital markets;

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

•	availability, terms and deployment of capital;

•	availability of suitable investment opportunities;

•	the Company’s dependence on its external manager, Cherry Hill Mortgage Management, LLC, and the Company’s ability to find a suitable replacement if the Company or the Manager were to terminate the management agreement the Company has entered into with the Manager;

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

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

•

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

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

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

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

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

Although the Company believes that the expectations reflected in the forward-looking statements are reasonable, it cannot guarantee future results, levels of activity, performance or achievements. These forward-looking statements apply only as of the date of this Quarterly Report on Form 10-Q. Except as otherwise may be required by law, the Company undertakes no obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Item 1.

Consolidated Financial Statements

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Balance Sheets

(in thousands — except share and par value data)

		(unaudited)
		March 31, 2022				December 31, 2021
Assets
RMBS, available-for-sale, at fair value (including pledged assets of $731,271 and $892,888, respectively)		$	774,113			$	953,496
Investments in Servicing Related Assets, at fair value (including pledged assets of $246,103 and $218,727, respectively)			246,103				218,727
Cash and cash equivalents			52,379				63,916
Restricted cash			26,974				12,861
Derivative assets			27,179				10,518
Receivables from unsettled trades			46,801				-
Receivables and other assets			38,471				43,344
Total Assets		$	1,212,020			$	1,302,862
Liabilities and Stockholders’ Equity
Liabilities
Repurchase agreements		$	764,885			$	865,494
Derivative liabilities			15,147				1,278
Notes payable			159,068				145,268
Dividends payable			7,210				7,056
Due to manager			3,631				1,889
Accrued expenses and other liabilities			2,428				3,061
Total Liabilities		$	952,369			$	1,024,046
Stockholders’ Equity
Series A Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of March 31, 2022 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 2021, liquidation preference of $69,541 as of March 31, 2022 and liquidation preference of $69,541 as of December 31, 2021		$	67,311			$	67,311
Series B Preferred stock, $0.01 par value per share, 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of March 31, 2022 and 100,000,000 shares authorized and 2,000,000 shares issued and outstanding as of December 31, 2021, liquidation preference of $50,000 as of March 31, 2022 and liquidation preference of $50,000 as of December 31, 2021			48,068				48,068
Common stock, $0.01 par value per share, 500,000,000 shares authorized and 18,766,848 shares issued and outstanding as of March 31, 2022 and 500,000,000 shares authorized and 18,261,848 shares issued and outstanding as of December 31, 2021			192				187
Additional paid-in capital			315,354				311,255
Accumulated Deficit			(137,932	)			(158,483	)
Accumulated other comprehensive income (loss)			(37,008	)			7,527
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity		$	255,985			$	275,865
Non-controlling interests in Operating Partnership			3,666				2,951
Total Stockholders’ Equity		$	259,651			$	278,816
Total Liabilities and Stockholders’ Equity		$	1,212,020			$	1,302,862

See accompanying notes to consolidated financial statements.

8

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Table of Contents

		Three Months Ended March 31,
		2022				2021
Income
Interest income		$	5,519			$	3,301
Interest expense			1,640				1,454
Net interest income			3,879				1,847
Servicing fee income			13,116				13,540
Servicing costs			3,193				3,082
Net servicing income			9,923				10,458
Other income (loss)
Realized gain (loss) on RMBS, available-for-sale, net			(13,222	)			2,094
Realized loss on derivatives, net			(10,638	)			(540	)
Realized gain on acquired assets, net			12				5
Unrealized gain (loss) on derivatives, net			24,456				(8,059	)
Unrealized gain on investments in Servicing Related Assets			21,731				22,464
Total Income			36,141				28,269
Expenses
General and administrative expense			1,744				1,617
Management fee to affiliate			1,793				1,961
Total Expenses			3,537				3,578
Income Before Income Taxes			32,604				24,691
Provision for corporate business taxes			3,875				3,463
Net Income			28,729				21,228
Net income allocated to noncontrolling interests in Operating Partnership			(633	)			(434	)
Dividends on preferred stock			2,463				2,463
Net Income Applicable to Common Stockholders		$	25,633			$	18,331
Net Income Per Share of Common Stock
Basic		$	1.40			$	1.07
Diluted		$	1.40			$	1.07
Weighted Average Number of Shares of Common Stock Outstanding
Basic			18,252,523				17,065,735
Diluted			18,272,737				17,087,959

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Comprehensive Income (Loss)

(Unaudited)

(in thousands)

		Three Months Ended March 31,
		2022				2021
Net income		$	28,729			$	21,228
Other comprehensive income (loss):
Unrealized loss on RMBS, available-for-sale, net			(44,535	)			(19,349	)
Net other comprehensive loss			(44,535	)			(19,349	)
Comprehensive income (loss)		$	(15,806	)		$	1,879
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership			(348	)			38
Dividends on preferred stock			2,463				2,463
Comprehensive loss attributable to common stockholders		$	(17,921	)		$	(622	)

Cherry Hill Mortgage Investment Corporation and Subsidiaries

Consolidated Statements of Changes in Stockholders’ Equity

(Unaudited)

(in thousands — except share and per share data)

		Common Stock Shares				Common Stock Amount				Preferred Stock Shares				Preferred Stock Amount				Additional Paid-in Capital				Accumulated Other Comprehensive Income (Loss)				Retained Earnings (Deficit)				Non- Controlling Interest in Operating Partnership				Total Stockholders’ Equity
Balance, December 31, 2020			17,076,858			$	175				4,781,635			$	115,379			$	300,997			$	35,594			$	(141,980	)		$	2,401			$	312,566
Issuance of common stock			16,378				-				-				-				200				-				-				-				200
Conversion of OP units			-				-				-				-				-				-				-				(147	)			(147	)
Net Income before dividends on preferred stock			-				-				-				-				-				-				20,794				434				21,228
Other Comprehensive Loss			-				-				-				-				-				(19,349	)			-				-				(19,349	)
LTIP-OP Unit awards			-				-				-				-				-				-				-				241				241
Distribution paid on LTIP-OP Units			-				-				-				-				-				-				-				(85	)			(85	)
Common dividends declared, $0.27 per share			-				-				-				-				-				-				(4,611	)			-				(4,611	)
Preferred Series A dividends declared, $0.5125 per share			-				-				-				-				-				-				(1,432	)			-				(1,432	)
Preferred Series B dividends declared, $0.5156 per share			-				-				-				-				-				-				(1,031	)			-				(1,031	)
Balance, March 31, 2021			17,093,236			$	175				4,781,635			$	115,379			$	301,197			$	16,245			$	(128,260	)		$	2,844			$	307,580
Balance, December 31, 2021			18,261,848			$	187				4,781,635			$	115,379			$	311,255			$	7,527			$	(158,483	)		$	2,951			$	278,816
Issuance of common stock			505,000				5				-				-				4,099				-				-				-				4,104
Net Income before dividends on preferred stock			-				-				-				-				-				-				28,096				633				28,729
Other Comprehensive Loss			-				-				-				-				-				(44,535	)			-				-				(44,535	)
LTIP-OP Unit awards			-				-				-				-				-				-				-				173				173
Distribution paid on LTIP-OP Units			-				-				-				-				-				-				-				(91	)			(91	)
Common dividends declared, $0.27 per share			-				-				-				-				-				-				(5,082	)			-				(5,082	)
Preferred Series A dividends declared, $0.5125 per share			-				-				-				-				-				-				(1,432	)			-				(1,432	)
Preferred Series B dividends declared, $0.5156 per share			-				-				-				-				-				-				(1,031	)			-				(1,031	)
Balance, March 31, 2022			18,766,848			$	192				4,781,635			$	115,379			$	315,354			$	(37,008	)		$	(137,932	)		$	3,666			$	259,651

Consolidated Statements of Cash Flows

(Unaudited)

(in thousands)

		Three Months Ended March 31,
		2022				2021
Cash Flows From Operating Activities
Net income		$	28,729			$	21,228
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Realized (gain) loss on RMBS, available-for-sale, net			13,222				(2,094	)
Unrealized gain on investments in Servicing Related Assets			(21,731	)			(22,464	)
Realized gain on acquired assets, net			(12	)			(5	)
Realized loss on derivatives, net			10,638				540
Unrealized (gain) loss on derivatives, net			(24,456	)			8,059
Amortization of premiums on RMBS, available-for-sale			1,209				4,995
Amortization of deferred financing costs			-				50
LTIP-OP Unit awards			173				241
Changes in:
Receivables and other assets, net			4,882				1,180
Due to affiliates			1,742				903
Accrued expenses and other liabilities, net			(633	)			49
Net cash provided by operating activities		$	13,763			$	12,682
Cash Flows From Investing Activities
Purchase of RMBS			(211,463	)			(22,045	)
Principal paydown of RMBS			35,054				81,483
Proceeds from sale of RMBS			250,026				144,863
Acquisition of MSRs			(5,645	)			(20,295	)
Payments for settlement of derivatives			(10,362	)			(1,700	)
Net cash provided by investing activities		$	57,610			$	182,306
Cash Flows From Financing Activities
Borrowings under repurchase agreements			1,496,531				1,502,670
Repayments of repurchase agreements			(1,597,140	)			(1,718,647	)
Proceeds from derivative financing			21,390				(2,974	)
Proceeds from bank loans			13,800				5,500
Dividends paid			(7,391	)			(7,063	)
LTIP-OP Units distributions paid			(91	)			(85	)
Conversion of OP units			-				(147	)
Issuance of common stock, net of offering costs			4,104				200
Net cash used in financing activities		$	(68,797	)		$	(220,546	)
Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash		$	2,576			$	(25,558	)
Cash, Cash Equivalents and Restricted Cash, Beginning of Period			76,777				130,218
Cash, Cash Equivalents and Restricted Cash, End of Period		$	79,353			$	104,660
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense		$	918			$	172
Cash paid during the period for income taxes			2				6
Supplemental Schedule of Non-Cash Investing and Financing Activities
Dividends declared but not paid		$	7,210			$	6,736
Sale of RMBS, settled after period end			(46,801	)			(16,702	)
Purchase of RMBS, settled after period end			-				29,250

Notes to Consolidated Financial Statements

March 31, 2022

(Unaudited)

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 (“QRS IV”), Cherry Hill QRS V, LLC (“QRS V”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”).

The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage Corporation (“Freedom Mortgage”) (in such capacity, the “Services Provider”), 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 97.8% by the Company, 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.

13

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Table of Contents

		Three Months Ended March 31,
		2022				2021
Realized gain (loss) on RMBS, net
Gain on RMBS		$	50			$	2,664
Loss on RMBS			(13,272	)			(570	)
Net realized gain (loss) on RMBS (A)		$	(13,222	)		$	2,094

		Servicing Related Assets				RMBS				All Other				Total
Income Statement
Three Months Ended March 31, 2022
Interest income		$	-			$	5,519			$	-			$	5,519
Interest expense			1,253				387				-				1,640
Net interest income (expense)			(1,253	)			5,132				-				3,879
Servicing fee income			13,116				-				-				13,116
Servicing costs			3,193				-				-				3,193
Net servicing income			9,923				-				-				9,923
Other income (expense)			(3,366	)			25,705				-				22,339
Other operating expenses			522				228				2,787				3,537
Provision for corporate business taxes			3,875				-				-				3,875
Net Income (Loss)		$	907			$	30,609			$	(2,787	)		$	28,729

Three Months Ended March 31, 2021
Interest income		$	120			$	3,181			$	-			$	3,301
Interest expense			932				522				-				1,454
Net interest income (expense)			(812	)			2,659				-				1,847
Servicing fee income			13,540				-				-				13,540
Servicing costs			3,082				-				-				3,082
Net servicing income			10,458				-				-				10,458
Other income (expense)			(4,762	)			20,726				-				15,964
Other operating expenses			566				171				2,841				3,578
Provision for corporate business taxes			3,463				-				-				3,463
Net Income (Loss)		$	855			$	23,214			$	(2,841	)		$	21,228

		Servicing Related Assets				RMBS				All Other				Total
Balance Sheet
March 31, 2022
Investments		$	246,103			$	774,113			$	-			$	1,020,216
Other assets			36,101				102,837				52,866				191,804
Total assets			282,204				876,950				52,866				1,212,020
Debt			159,068				764,885				-				923,953
Other liabilities			7,308				9,371				11,737				28,416
Total liabilities			166,376				774,256				11,737				952,369
Net assets		$	115,828			$	102,694			$	41,129			$	259,651

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

Summary of RMBS Assets

As of March 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
Fannie Mae		$	678,445			$	476,781			$	669			$	(22,459	)		$	454,991				68		(B)			3.10	%			2.99	%			27
Freddie Mac			422,127				334,222				383				(15,483	)			319,122				42		(B)			3.08	%			2.97	%			28
Total/Weighted Average		$	1,100,572			$	811,003			$	1,052			$	(37,942	)		$	774,113				110					3.09	%			2.98	%			28

As of December 31, 2021

										Gross Unrealized																	Weighted Average
Asset Type		Original Face Value				Book Value				Gains				Losses				Carrying Value(A)				Number of Securities			Rating		Coupon				Yield(C)				Maturity (Years)
RMBS
Fannie Mae		$	772,607			$	554,151			$	9,276			$	(3,650	)		$	559,777				76		(B)			3.09	%			2.96	%			27
Freddie Mac			484,479				391,700				5,260				(3,241	)			393,719				45		(B)			3.02	%			2.89	%			28
Total/Weighted Average		$	1,257,086			$	945,851			$	14,536			$	(6,891	)		$	953,496				121					3.06	%			2.93	%			28

(B)	The Company used an implied AAA rating for the Agency RMBS.

Summary of RMBS Assets by Maturity

As of March 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)
Over 10 Years		$	1,100,572			$	811,003			$	1,052			$	(37,942	)		$	774,113				110		(B)			3.09	%			2.98	%			28
Total/Weighted Average		$	1,100,572			$	811,003			$	1,052			$	(37,942	)		$	774,113				110					3.09	%			2.98	%			28

As of December 31, 2021

										Gross Unrealized																	Weighted Average
Years to Maturity		Original Face Value				Book Value				Gains				Losses				Carrying Value(A)				Number of Securities			Rating		Coupon				Yield(C)				Maturity (Years)
Over 10 Years		$	1,257,086			$	945,851			$	14,536			$	(6,891	)		$	953,496				121		(B)			3.06	%			2.93	%			28
Total/Weighted Average		$	1,257,086			$	945,851			$	14,536			$	(6,891	)		$	953,496				121					3.06	%			2.93	%			28

RMBS Unrealized Loss Positions

As of March 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)
Less than Twelve Months		$	833,308			$	704,077			$	(37,942	)		$	666,135				78		(B)			2.97	%			2.85	%			28
Total/Weighted Average		$	833,308			$	704,077			$	(37,942	)		$	666,135				78					2.97	%			2.85	%			28

As of December 31, 2021

																							Weighted Average
Duration in Loss Position		Original Face Value				Book Value				Gross Unrealized Losses				Carrying Value(A)				Number of Securities			Rating		Coupon				Yield(C)				Maturity (Years)
Less than Twelve Months		$	612,547			$	611,306			$	(6,783	)		$	604,523				56		(B)			2.76	%			2.62	%			29
Twelve or More Months			6,629				6,022				(108	)			5,914				1		(B)			3.00	%			2.83	%			28
Total/Weighted Average		$	619,176			$	617,328			$	(6,891	)		$	610,437				57					2.77	%			2.62	%			29

Servicing Related Assets Summary

As of March 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		$	20,441,178			$	246,103				3.48	%			26.2			$	21,731
MSR Total/Weighted Average		$	20,441,178			$	246,103				3.48	%			26.2			$	21,731

As of December 31, 2021

		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		$	20,773,278			$	218,727				3.51	%			26.3			$	(11,062	)
MSR Total/Weighted Average		$	20,773,278			$	218,727				3.51	%			26.3			$	(11,062	)

Geographic Concentration of Servicing Related Assets

As of March 31, 2022

		Percentage of Total Outstanding Unpaid Principal Balance
California			14.1	%
Virginia			9.2	%
New York			8.8	%
Maryland			6.9	%
Texas			6.2	%
North Carolina			5.6	%
All other			49.2	%
Total			100.0	%

As of December 31, 2021

		Percentage of Total Outstanding Unpaid Principal Balance
California			13.8	%
Virginia			9.3	%
New York			8.8	%
Maryland			6.9	%
Texas			6.2	%
North Carolina			5.6	%
All other			49.4	%
Total			100.0	%

Equity Incentive Plan Information

		LTIP-OP Units																	Shares of Common Stock								Number of Securities Remaining Available For Future Issuance Under Equity				Weighted Average Issuance
		Issued					Forfeited				Converted				Redeemed				Issued				Forfeited				Compensation Plans				Price
December 31, 2020			(341,847	)				916				28,417				-				(108,388	)			3,155				1,082,253
Number of securities issued or to be issued upon exercise			(49,800	)	(A)			-				-				-				-				-				(49,800	)		$	8.81
Number of securities issued or to be issued upon exercise			-					-				16,378				-				(16,378	)			-				-			$	9.00
March 31, 2021			(391,647	)				916				44,795				-				(124,766	)			3,155				1,032,453
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	)	(B)			-				-								-				-				(68,250	)		$	8.40
March 31, 2022			(459,897	)				916				44,795								(144,980	)			3,155				943,989

(A)

Subject to forfeiture in certain circumstances prior to January 4, 2024.

(B)

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

Earnings per Common Share Information

		Three Months Ended March 31,
		2022				2021
Numerator:
Net income		$	28,729			$	21,228
Net income allocated to noncontrolling interests in Operating Partnership			(633	)			(434	)
Dividends on preferred stock			2,463				2,463
Net income applicable to common stockholders		$	25,633			$	18,331
Denominator:
Weighted average common shares outstanding			18,252,523				17,065,735
Weighted average diluted shares outstanding			18,272,737				17,087,959
Basic and Diluted EPS:
Basic		$	1.40			$	1.07
Diluted		$	1.40			$	1.07