Cherry Hill Mortgage Investment Corp
For the period ended Mar 31, 2025. Filed May 6, 2025.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2025 · Filed May 6, 2025
CHMI$2.34-4.1%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2024-09-30; filed 2024-11-12.
0001140361-24-046194
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2025-03-31; filed 2025-05-06.
0001140361-25-017536
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 161 previous paragraphs and 155 current paragraphs.
101 unchanged; 44 reworded; 9 added; 14 removed; 2 previous and 1 current paragraphs rearranged.
Tables are not compared: 50 previous and 53 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (9)
Current report
Prior to November 14, 2024, we were externally managed and advised by Cherry Hill Mortgage Management, LLC (“CHMM”) which was responsible for our investment strategies and decisions and our day-to-day operations, subject to the supervision and oversight of our board of directors. Effective as of November 14, 2024, we completed an “Internalization Event” within the meaning of the management agreement with CHMM by, among other things, directly hiring the senior management team and other personnel who had historically provided services to us through CHMM. Upon consummation of the Internalization Event, the management agreement terminated in accordance with its terms without payment of a termination fee and we ceased being externally managed (the “Internalization”). As a result of the Internalization, we began operating as a fully integrated, internally managed company.
Current report
Since December 18, 2024, the federal funds rate target has remained steady at 4.25% to 4.5%. This decision followed three consecutive rate cuts starting from September 18, 2024, totaling a 1.0% decrease. The September 2024 cut was the first in four years, following a period of tightened monetary policy in 2022 and 2023 to combat high inflation, which peaked at 9.1% in June 2022. By March 2025, inflation had declined to 2.4%.
Current report
The Federal Reserve has indicated its readiness to adjust monetary policy if new risks arise. Additionally, it has slowed the runoff of its balance sheet. On April 1, 2025, the monthly redemption cap on U.S. Treasury Securities was reduced from $25 billion to $5 billion, following a previous reduction from $60 billion to $25 billion in June 2024. The $35 billion cap on agency debt/MBS remains unchanged, with excess principal payments reinvested in U.S. Treasury securities.
Current report
Recently, Federal Reserve Chair Jerome Powell has indicated that the imposition of significant tariffs in the U.S. would likely cause inflation and unemployment to rise, threatening the Federal Reserve’s dual mandate to pursue maximum employment and stable prices. However, he said that the Federal Reserve will await taking action until the data demonstrates the impact of any new tariffs on the U.S. economy.
Current report
Realized loss on RMBS for the three-month period ended March 31, 2025 was approximately $4.0 million as compared to $1.1 million for the three-month period ended December 31, 2024. The increase of $2.9 million in realized loss on RMBS was due to the timing and volume of RMBS sales.
Current report
General and administrative expense was $2.1 million for three-month period ended March 31, 2025 as compared to $2.5 million for the three-month period ended December 31, 2024. The decrease of $0.4 million in general and administrative expense was due to a decrease in professional fees related to the Internalization.
Current report
Compensation and Benefits
Current report
Compensation and benefits expense for the three-month period ended March 31, 2025 was $1.7 million as compared to $1.1 million for the three-month period ended December 31, 2024. The increase of $0.6 million in compensation and benefits was because the Company started operating as an internally managed Company effective November 14, 2024.
Current report
Compensation and benefits expense for the three-month period ended March 31, 2025 was $1.7 million as compared to $0.1 million for the three-month period ended March 31, 2024. The increase of $1.6 million in compensation and benefits was because the Company started operating as an internally managed Company effective November 14, 2024.
Removed paragraphs (14)
Previous report
This section discusses our results of operations for the current quarter ended September 30, 2024 compared to the immediately preceding prior quarter ended June 30, 2024.
Previous report
Since September 18, 2024, the Federal Reserve has lowered its federal funds rate target by 0.75% to between 4.50% to 4.75%. Over the past year, the Federal Reserve had kept constant its federal funds rate target after sharply increasing the target and otherwise tightening monetary policy in 2022 and 2023 to combat an increase in U.S. inflation. Inflation peaked in June of 2022 with consumer prices rising at a rate of 9.1% on a year-over-year basis, but has subsequently declined to 2.4% on a year-over-year basis in September of 2024. Based on this decline in inflation and other data, the Federal Reserve has stated that an easing of monetary policy is appropriate and that future rate cuts are likely. The Federal Reserve has also reduced the speed of the runoff of its balance sheet. On June 1, 2024, the Federal Reserve lowered its a monthly redemption cap on Treasury securities to $25 billion from $60 billion and maintained its $35 billion redemption cap on agency debt/MBS. The Federal Reserve reinvests principle payments in excess of these caps into Treasury securities in a manner that approximates the maturity composition of outstanding Treasury securities outstanding.
Previous report
Realized loss on RMBS for the nine-month period ended September 30, 2024 was approximately $5.5 million as compared to $21.5 million for the nine-month period ended September 30, 2023. The decrease of $16.0 million in realized loss on RMBS was because fewer RMBS securities were sold during the nine-month period ended September 30, 2024.
Previous report
Realized loss on investments in MSRs for the three-month period ended September 30, 2024 was approximately $200,000 as compared to a gain of $741,000 for the three-month period ended June 30, 2024. The loss of $200,000 represents early pay off adjustments on the loans that were sold during the three-month period ended June 30, 2024.
Previous report
Realized gain on investments in MSRs for the nine-month period ended September 30, 2024 was approximately $500,000 as compared to $0 for the nine-month period ended September 30, 2023. The increase of $500,000 in realized gain on MSRs was because no MSRs were sold during the nine-month period ended September 30, 2023.
Previous report
General and administrative expense for was $3.4 million for each of the three-month periods ended September 30, 2024 and June 30, 2024.
Previous report
Management Agreement
Previous report
The Management Agreement with our Manager provides that our Manager is entitled to receive a management fee, the reimbursement of certain expenses and, in certain circumstances, a termination fee. The management fee is an amount equal to 1.5% per annum of our stockholders’ equity, adjusted as set forth in the Management Agreement, and calculated and payable quarterly in arrears. We will also be required to pay a termination fee equal to three times the average annual management fee earned by our Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination. Such termination fee will be payable upon termination or non-renewal of the Management Agreement by us without cause or by our Manager if we materially breach the Management Agreement. The Management Agreement requires the Company and the Manager to terminate the Management Agreement without payment of any termination fee pursuant to the consummation of an internalization event (as defined in the Management Agreement).
Previous report
We pay all of our direct operating expenses, except those specifically required to be borne by our Manager under the Management Agreement. Our Manager is responsible for all costs incident to the performance of its duties under the Management Agreement. We believe that our Manager uses the proceeds from its management fee in part to pay the Services Provider for services provided under the Services Agreement. Our officers receive no cash compensation directly from us. Our Manager provides us with our officers. Our Manager is entitled to be reimbursed for an agreed upon portion of the costs of the wages, salary and other benefits with respect to our chief financial officer, and, prior to January 1, 2022, our general counsel, originally based on the percentages of their working time and efforts spent on matters related to the Company. The amount of the wages, salary and benefits reimbursed with respect to the officers our Manager provides to us is subject to the approval of the compensation committee of our board of directors.
Previous report
The term of the Management Agreement expires on October 22, 2025 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 we or our Manager may elect not to renew the Management Agreement upon expiration of its initial term or any renewal term by providing written notice of non-renewal at least 180 days, but not more than 270 days, before expiration. In the event we elect not to renew the term, we will be required to pay our Manager the termination fee described above unless such non-renewal occurs in connection with the consummation of an internalization event. We may terminate the Management Agreement at any time for cause effective upon 30 days prior written notice of termination from us to our Manager, in which case no termination fee would be due. Our board of directors will review our Manager’s performance prior to the automatic renewal of the Management Agreement and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of our board of directors or of the holders of a majority of our outstanding common stock, we may terminate the Management Agreement based upon unsatisfactory performance by our Manager that is materially detrimental to us or a determination by our independent directors that the management fees payable to our Manager are not fair, subject to the right of our Manager to prevent such a termination by agreeing to a reduction of the management fees payable to our Manager. Upon any termination of the Management Agreement based on unsatisfactory performance or unfair management fees, we are required to pay our Manager the termination fee described above. Our Manager may terminate the Management Agreement, without payment of the termination fee, in the event we become regulated as an investment company under the Investment Company Act. Our Manager may also terminate the Management Agreement upon 60 days’ written notice if we default in the performance of any material term of the Management Agreement and the default continues for a period of 30 days after written notice to us, whereupon we would be required to pay our Manager the termination fee described above.
Previous report
On July 9, 2024, the Company announced that the special committee of the Company’s board of directors, which committee is comprised entirely of independent and disinterested members of the board, after consultation with its independent legal and financial advisors and as part of the special committee’s previously announced exploration of strategic alternatives, determined and recommended to the board of directors that it is advisable and in the best interests of the Company and its stockholders to internalize management of the Company, terminate the Management Agreement and take all steps necessary to begin operating the Company as a fully integrated, internally managed mortgage REIT. Following such recommendation from the special committee, the Company’s board of directors authorized and approved the Internalization and authorized and directed the Company’s officers to take all actions necessary to cause the Company to effect the Internalization.
Previous report
On July 11, 2024, we received a letter from counsel to the Manager informing us that it is the Manager’s position that no termination of the Management Agreement may be declared based on an Internalization Event absent the agreement of the Manager, no Internalization Event has occurred and, as a result of our July 9, 2024 announcement, the contractual termination fee in the amount of approximately $18.4 million is due. On July 17, 2024, counsel to the special committee responded to the Manager and denied the assertions made by the Manager’s counsel and explained that the Internalization Event would not require the payment of a termination fee pursuant to the plain terms of the Management Agreement. At this time, it is not known whether this matter will result in litigation. Should this matter result in litigation, the Company intends to vigorously contest this matter.
Previous report
Joint Marketing Recapture Agreement
Previous report
In May 2018, Aurora entered into a recapture purchase and sale agreement with RoundPoint, one of Aurora’s subservicers and from August 2020 to September 2023, 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, RoundPoint will sell the loan to Fannie Mae or Freddie Mac, as applicable, retain the sale proceeds and transfer the related MSR to Aurora. During the period where RoundPoint was a wholly-owned subsidiary of Freedom Mortgage, RoundPoint outsourced such recapture services to Freedom Mortgage on RoundPoint’s behalf.
Reworded paragraphs (44)
Previous wording
The following discussion and analysis should be read in conjunction with our consolidated financial statements and the accompanying notes included in “Part I, Item 1. Consolidated Financial Statements” of this Quarterly Report on Form 10-Q.
Current wording
The following discussion and analysis should be read in conjunction with our consolidated financial statements and the accompanying notes included in “Part I, Item 1. Consolidated Financial Statements” of this Quarterly Report on Form 10-Q. All currency amounts are presented in thousands, except per share amounts or as otherwise noted.
Previous wording
We are a public residential real estate finance company focused on acquiring, investing in and managing residential mortgage assets in the United States. We were incorporated in Maryland on October 31, 2012, and we commenced operations on or about October 9, 2013 following the completion of our initial public offering and a concurrent private placement. Our common stock, our 8.20% Series A Cumulative Redeemable Preferred Stock (our “Series A Preferred Stock”) and our 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (our “Series B Preferred Stock”) are listed and traded on the New York Stock Exchange under the symbols “CHMI”, “CHMI-PRA” and “CHMI-PRB”, respectively. We are externally managed by our Manager, Cherry Hill Mortgage Management, LLC, an SEC-registered investment adviser.
Current wording
We are a fully integrated, internally managed residential real estate finance company focused on acquiring, investing in and managing residential mortgage assets in the United States. We were incorporated in Maryland on October 31, 2012, and we commenced operations on or about October 9, 2013, following the completion of our initial public offering and a concurrent private placement. Our common stock, our Series A Preferred Stock and our Series B Preferred Stock are listed and traded on the NYSE under the symbols “CHMI”, “CHMI-PRA” and “CHMI-PRB”, respectively. As of November 14, 2024, we are a fully integrated, internally managed mortgage REIT. Prior to November 14, 2024, we were externally managed by Cherry Hill Mortgage Management, LLC, an SEC-registered investment adviser.
Previous wording
We elected to be taxed as a REIT for U.S. federal income tax purposes commencing with our short taxable year ended December 31, 2013. We operate so as to continue to qualify to be taxed as a REIT. Our asset acquisition strategy focuses on acquiring a diversified portfolio of residential mortgage assets that balances the risk and reward opportunities our Manager observes in the marketplace. Aurora has or is in the process of obtaining the licenses necessary to invest in mortgage servicing rights (“MSRs”) on a nationwide basis and is an approved seller/servicer for Fannie Mae and Freddie Mac.
Current wording
We elected to be taxed as a REIT for U.S. federal income tax purposes commencing with our short taxable year ended December 31, 2013. We operate so as to continue to qualify to be taxed as a REIT. Our asset acquisition strategy focuses on acquiring a diversified portfolio of residential mortgage assets that balances the risk and reward opportunities our internal management team observes in the marketplace. Aurora has or is in the process of obtaining the licenses necessary to invest in mortgage servicing rights (“MSRs”) on a nationwide basis and is an approved seller/servicer for Fannie Mae and Freddie Mac.
Previous wording
We conduct substantially all of our operations and own substantially all of our assets through our Operating Partnership. We are the sole general partner of our Operating Partnership. As of September 30, 2024, we owned 98.0% of our Operating Partnership. Our Operating Partnership, in turn, owns all of the outstanding common stock of CHMI Sub-REIT, Inc. (the “Sub-REIT”). The Sub-REIT has elected to be taxed as a REIT under the Code commencing with its taxable year ended December 31, 2020.
Current wording
We conduct substantially all of our operations and own substantially all of our assets through our Operating Partnership. We are the sole general partner of our Operating Partnership. As of March 31, 2025, we owned 98.1% of our Operating Partnership. Our Operating Partnership, in turn, owns all of the outstanding common stock of CHMI Sub-REIT, Inc. (the “Sub-REIT”). The Sub-REIT has elected to be taxed as a REIT under the Code commencing with its taxable year ended December 31, 2020.
Previous wording
The Company has an at-the-market offering program for its common stock (the “Common Stock ATM Program”) pursuant to which it may offer and sell through one or more sales agents, up to $150.0 million in shares of its common stock at prices prevailing at the time, subject to volume and other regulatory limitations. As of September 30, 2024, approximately $49.3 million was remaining pursuant to the Common Stock ATM Program. During the three and nine-month period ended September 30, 2024, the Company issued and sold 1,530,917 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.59 per share for aggregate gross proceeds of approximately $5.5 million before fees of approximately $110,000. During the year ended December 31, 2023, the Company issued and sold 6,470,004 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $4.87 per share for aggregate gross proceeds of approximately $31.5 million before fees of approximately $631,000.
Current wording
Pursuant to the Company’s Common Stock ATM Program, the Company may offer and sell through one or more sales agents, up to $150.0 million in shares of its common stock at prices prevailing at the time, subject to volume and other regulatory limitations. As of March 31, 2025, approximately $45.6 million was remaining pursuant to the Common Stock ATM Program. During the three-month period ended March 31, 2025, the Company issued and sold 1,005,846 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.56 per share for aggregate gross proceeds of approximately $3.6 million before fees of approximately $72,000. During the year ended December 31, 2024, the Company issued and sold 1,544,917 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.59 per share for aggregate gross proceeds of approximately $5.6 million before fees of approximately $111,000.
Previous wording
In September 2019, the Company initiated a share repurchase program that allows for the repurchase of up to an aggregate of $10.0 million of its common stock. As of September 30, 2024, approximately $4.7 million was remaining under the share repurchase program. Shares of common stock 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 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 common stock repurchase program does not require the purchase of any minimum number of shares of common stock, 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, 2024 and the year ended December 31, 2023, the Company did not repurchase any shares of its common stock pursuant to the common stock repurchase program.
Current wording
In September 2019, the Company initiated a share repurchase program that allows for the repurchase of up to an aggregate of $10.0 million of its common stock. As of March 31, 2025, approximately $4.7 million was remaining under the share repurchase program. 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, 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-month period ended March 31, 2025 and the year ended December 31, 2024, the Company did not repurchase any common stock pursuant to the share repurchase program.
Previous wording
In December 2023, the Company initiated a preferred stock repurchase program that allows for the repurchase of up to an aggregate of $50.0 million of its shares of Series A Preferred Stock and Series B Preferred Stock. Shares of preferred stock 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 under the Exchange Act. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The preferred stock repurchase program does not require the purchase of any minimum number of shares of preferred stock, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three-month period ended September 30, 2024, the Company did not repurchase any shares of its preferred stock pursuant to the repurchase program. During the nine-month period ended September 30, 2024, the Company repurchased 395,897 shares of its Series B Preferred Stock at a weighted average purchase price of $23.77 per share and paid aggregate brokerage commissions of approximately $11,900 on such repurchases. The difference between the consideration transferred and the carrying value of the preferred stock repurchased resulted in a gain attributable to common stockholders of $78,000 for the nine-month period ended September 30, 2024. During the year ended December 31, 2023, the Company did not repurchase any shares of its preferred stock pursuant to the repurchase program. Shares of preferred stock that are repurchased by the Company cease to be outstanding but remain authorized for future issuance.
Current wording
In December 2023, the Company initiated a preferred stock repurchase program that allows for the repurchase of up to an aggregate of $50.0 million of its shares of preferred stock. Shares of preferred stock 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 under the Exchange Act. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The preferred stock repurchase program does not require the purchase of any minimum number of shares of preferred stock, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three-month period ended March 31, 2025, the Company did not repurchase any shares of its preferred stock pursuant to the repurchase program. During the year ended December 31, 2024, the Company repurchased 395,897 shares of its Series B Preferred Stock at a weighted average purchase price of $23.77 per share and paid aggregate brokerage commissions of approximately $11,900 on such repurchases. The difference between the consideration transferred and the carrying value of the preferred stock repurchased resulted in a gain attributable to common stockholders of $78,000 for the year ended December 31, 2024. Shares of preferred stock that are repurchased by the Company cease to be outstanding but remain authorized for future issuance.
Previous wording
The Federal Reserve’s actions to ease monetary policy by reducing its federal funds rate and reduce the speed at which it is decreasing its balance sheet will generally lower interest rates across asset classes, including for Agency RMBS. Lower rates could reduce our funding costs and spur economic activity, increasing our net interest income. Higher prepayment could reduce the length of cash flows from the MSRs and accelerate the premium amortization on the RMBS portfolio. In the event that the Federal Reserve reverses course and tightens monetary policy in the future by increasing the federal funds rate and/or the rate of its run off of its balance sheet, these actions could result in higher interest rates, including for Agency RMBS, and reduce economic activity in the United States, as well as decrease spreads on interest rates, which can reduce our net interest income and increase our funding costs. They may also negatively impact our results as we have certain assets and liabilities that are sensitive to changes in interest rates. In addition, lower net interest income resulting from higher rates is partially offset by lower prepayments which extends the length of cash flows from the MSRs and slows the premium amortization on the RMBS portfolio.
Current wording
To the extent the Federal Reserve takes future action to ease monetary policy by reducing its federal funds rate and/or further reduce the speed at which it is decreasing its balance sheet, it will generally lower interest rates across asset classes, including for Agency RMBS. Lower rates could reduce our funding costs and spur economic activity, increasing our net interest income. Higher prepayment could reduce the length of cash flows from the MSRs and accelerate the premium amortization on the RMBS portfolio. In the event that the Federal Reserve reverses course and tightens monetary policy in the future by increasing the federal funds rate and/or the rate of its run off of its balance sheet, these actions could result in higher interest rates, including for Agency RMBS, and reduce economic activity in the United States, as well as decrease spreads on interest rates, which can reduce our net interest income and increase our funding costs. They may also negatively impact our results as we have certain assets and liabilities that are sensitive to changes in interest rates. In addition, lower net interest income resulting from higher rates is partially offset by lower prepayments which extends the length of cash flows from the MSRs and slows the premium amortization on the RMBS portfolio.
Previous wording
Interest income for the nine-month period ended September 30, 2024 was $40.7 million as compared to $37.2 million for the nine-month period ended September 30, 2023. The increase of $3.5 million in interest income was due to purchases of new securities as well as replacing lower yielding securities with higher yielding securities coupled with portfolio positioning.
Current wording
Interest income for the three-month period ended March 31, 2025 was $14.8 million as compared to $15.1 million for the three-month period ended December 31, 2024. The decrease of $0.3 million in interest income was due to a smaller RMBS portfolio.
Previous wording
Interest income for the three-month period ended September 30, 2024 was $14.3 million as compared to $13.7 million for the three-month period ended June 30, 2024. The increase of $650,000 in interest income was due to purchases of new securities as well as replacing lower yielding securities with higher yielding securities.
Current wording
Interest income for the three-month period ended March 31, 2025 was $14.8 million as compared to $12.7 million for the three-month period ended March 31, 2024. The increase of $2.1 million in interest income was due to purchases of new securities as well as replacing lower yielding securities with higher yielding securities.
Previous wording
Interest expense for the three-month period ended September 30, 2024 was $14.2 million as compared to $13.5 million for the three-month period ended June 30, 2024. The increase of $700,000 in interest expense was due to an increase in repurchase agreement borrowings.
Current wording
Interest expense for the three-month period ended March 31, 2025 was $12.6 million as compared to $14.4 million for the three-month period ended December 31, 2024. The decrease of $1.8 million in interest expense was due to a decrease in financing rates combined with a decrease in repurchase agreement borrowings and notes payable.
Previous wording
Interest expense for the nine-month period ended September 30, 2024 was $41.4 million as compared to $38.5 million for the nine-month period ended September 30, 2023. The increase of $2.9 million in interest expense was due to an increase in repurchase agreement borrowings.
Current wording
Interest expense for the three-month period ended March 31, 2025 was $12.6 million as compared to $13.6 million for the three-month period ended March 31, 2024. The decrease of $1.0 million in interest expense was due to a decrease in financing rates combined with a decrease in notes payable.
Previous wording
Servicing fee income for the three-month period ended September 30, 2024 was $11.7 million as compared to $12.4 million for the three-month period ended June 30, 2024. The decrease of $670,000 in servicing fee income was due to changes in the size of the portfolio.
Current wording
Servicing fee income for the three-month period ended March 31, 2025 was $11.0 million as compared to $11.6 million for the three-month period ended December 31, 2024. The decrease of $0.6 million in servicing fee income was due to changes in the size of the portfolio.
Previous wording
Servicing fee income for the nine-month period ended September 30, 2024 was $36.9 million as compared to $40.5 million for the nine-month period ended September 30, 2023. The decrease of $3.6 million in servicing fee income was due to changes in the size of the portfolio.
Current wording
Servicing fee income for the three-month period ended March 31, 2025 was $11.0 million as compared to $12.9 million for the three-month period ended March 31, 2024. The decrease of $1.9 million in servicing fee income was due to changes in the size of the portfolio.
Previous wording
Servicing costs for the three-month period ended September 30, 2024 were $3.2 million as compared to $3.5 million for the three-month period ended June 30, 2024. The decrease of $250,000 in servicing costs was due to changes in the size of the portfolio.
Current wording
Servicing costs for the three-month period ended March 31, 2025 were $2.5 million as compared to $3.1 million for the three-month period ended December 31, 2024. The decrease of $0.6 million in servicing costs was due to changes in the size of the portfolio.
Previous wording
Servicing costs for the nine-month period ended September 30, 2024 were $9.3 million as compared to $8.1 million for the nine-month period ended September 30, 2023. The increase of $1.2 million in servicing costs was due to one-time loan level interest adjustments and de-boarding fees related to the MSR sale.
Current wording
Servicing costs for the three-month period ended March 31, 2025 were $2.5 million as compared to $2.6 million for the three-month period ended March 31, 2024. The decrease of $0.1 million in servicing costs was due to changes in the size of the portfolio.
Previous wording
Realized loss on RMBS for the three-month period ended September 30, 2024 was approximately $3.7 million as compared to $1.9 million for the three-month period ended June 30, 2024. The increase of $1.8 million in realized loss on RMBS was because more RMBS securities were sold during the three-month period ended September 30, 2024.
Current wording
Realized loss on RMBS for the three-month period ended March 31, 2025 was approximately $4.0 million as compared to $0 for the three-month period ended March 31, 2024. The increase of $4.0 million in realized loss on RMBS was because no RMBS securities were sold during the three-month period ended March 31, 2024.
Previous wording
Realized loss on derivatives for the three-month period ended September 30, 2024 was approximately $8.0 million as compared to gain of $9.4 million for the three-month period ended June 30, 2024. The increase of $17.4 million in realized loss on derivatives was substantially comprised of an increase of $21.8 million in losses on TBAs offset by $3.8 million in gains on U.S. Treasury futures and an increase of $560,000 in interest rate swaps periodic interest income due to changes in interest rates.
Current wording
Realized gain on derivatives for the three-month period ended March 31, 2025 was approximately $4.6 million as compared to $13.6 million for the three-month period ended December 31, 2024. The decrease of $9.0 million in realized gain on derivatives was substantially comprised of a decrease of $7.2 million in gains on TBAs, an increase of $0.5 million in losses on U.S. Treasury futures and an decrease of $1.3 million in interest rate swaps periodic interest income due to changes in interest rates.
Previous wording
Realized gain on derivatives for the nine-month period ended September 30, 2024 was approximately $7.7 million as compared to $26.7 million for the nine-month period ended September 30, 2023. The decrease of $19.0 million in realized gain on derivatives was substantially comprised of an increase of $36.3 million in losses on TBAs offset by a decrease of $9.0 million in losses on interest rate swaps and a decrease of $8.5 million in losses on U.S. Treasury futures due to changes in interest rates.
Current wording
Realized gain on derivatives for the three-month period ended March 31, 2025 was approximately $4.6 million as compared $6.3 million for the three-month period ended March 31, 2024. The decrease of $1.7 million in realized gain on derivatives was substantially comprised of a decrease of $4.3 million in gains on interest rate swaps and a decrease of $2.2 million in interest rate swaps periodic interest income offset by a decrease of $4.0 million in losses on TBAs and a decrease of $1.0 million in losses on U.S. Treasury futures due to changes in interest rates.
Previous wording
Unrealized gain on RMBS measured at fair value through earnings for the three-month period ended September 30, 2024 was $25.0 million as compared to a loss of $4.4 million for the three-month period ended June 30, 2024. The increase of $29.4 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the quarter.
Current wording
Unrealized gain on RMBS measured at fair value through earnings for the three-month period ended March 31, 2025 was $14.8 million as compared to a loss of $31.7 million for the three-month period ended December 31, 2024. The increase of $46.5 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the quarter.
Previous wording
Unrealized gain on RMBS measured at fair value through earnings for the nine-month period ended September 30, 2024 was $12.2 million as compared to a loss of $26.6 million for the nine-month period ended September 30, 2023. The increase of $38.8 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the period.
Current wording
Unrealized gain on RMBS measured at fair value through earnings for the three-month period ended March 31, 2025 was $14.8 million as compared to a loss of $8.3 million for the three-month period ended March 31, 2024. The increase of $23.1 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the quarter.
Previous wording
Unrealized loss on derivatives for the three-month period ended September 30, 2024 was approximately $21.3 million as compared to $3.0 million for the three-month period ended June 30, 2024. The increase of $18.3 million in unrealized loss on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.
Current wording
Unrealized loss on derivatives for the three-month period ended March 31, 2025 was approximately $22.7 million as compared to a gain of $21.8 million for the three-month period ended December 31, 2024. The increase of $44.5 million in unrealized loss on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.
Previous wording
Unrealized loss on derivatives for the nine-month period ended September 30, 2024 was approximately $12.0 million as compared to a gain of $12.9 million for the nine-month period ended September 30, 2023. The increase of $24.9 million in unrealized loss on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.
Current wording
Unrealized loss on derivatives for the three-month period ended March 31, 2025 was approximately $22.7 million as compared to a gain of $12.3 million for the three-month period ended March 31, 2024. The increase of $35.0 million in unrealized loss on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.
Previous wording
Unrealized loss on our investments in Servicing Related Assets for the nine-month period ended September 30, 2024 was approximately $14.0 million as compared to $13.1 million for the nine-month period ended September 30, 2023. The increase of $936,000 in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.
Current wording
Unrealized loss on our investments in Servicing Related Assets for the three-month period ended March 31, 2025 was approximately $6.3 million as compared to a gain of $6.9 million for the three-month period ended December 31, 2024. The increase of $13.2 million in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.
Previous wording
Unrealized loss on our investments in Servicing Related Assets for the three-month period ended September 30, 2024 was approximately $7.5 million as compared to $3.3 million for the three-month period ended June 30, 2024. The increase of $4.2 million in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.
Current wording
Unrealized loss on our investments in Servicing Related Assets for the three-month period ended March 31, 2025 was approximately $6.3 million as compared to $3.3 million for the three-month period ended March 31, 2024. The increase of $3.0 million in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.
Previous wording
General and administrative expense for the nine-month period ended September 30, 2024 was $8.6 million as compared to $5.1 million for the nine-month period ended September 30, 2023. The increase of $3.5 million in general and administrative expense was due to an increase in professional fees.
Current wording
General and administrative expense was $2.1million for three-month period ended March 31, 2025 as compared to $1.7 million for the three-month period ended March 31, 2024. The increase of $0.4 million in general and administrative expense was due to an increase in professional fees.
Previous wording
Net income allocated to noncontrolling interests in the Operating Partnership, which are LTIP-OP Units owned by directors and officers of the Company and by certain other individuals who provide services to us through the Manager, represented approximately 2.0% and 2.4% of net income for the three-month periods ended September 30, 2024 and June 30, 2024, respectively, and 2.0% and 1.9% of net income for the nine-month periods ended September 30, 2024 and September 30, 2023, respectively.
Current wording
Net income allocated to noncontrolling interests in the Operating Partnership, which are LTIP-OP Units owned by directors, officers and employees of the Company and by certain individuals who provided services to us through the Manager prior to the Internalization, represented approximately 1.9%, 2.0% and 2.0% of net income for the three-month periods ended March 31, 2025, December 31, 2024 and March 31, 2024 respectively.
Previous wording
Our GAAP equity changes as the values of our RMBS are marked to market each quarter, among other factors. The primary causes of mark to market changes are changes in interest rates and nominal spreads. During the three and nine-month periods ended September 30, 2024, a drop in interest rates caused a net unrealized gain on our available-for-sale RMBS. Unrealized gain (loss) on available-for-sale RMBS is recorded in accumulated other comprehensive income (loss).
Current wording
Our GAAP equity changes as the values of our RMBS are marked to market each quarter, among other factors. The primary causes of mark to market changes are changes in interest rates and nominal spreads. During the three-month period ended March 31, 2025, a drop in interest rates caused a net unrealized gain on our available-for-sale RMBS. During the three-month periods ended December 31, 2024 and March 31, 2024, a rise in interest rates caused a net unrealized loss on our available-for-sale RMBS. Unrealized gain (loss) on available-for-sale RMBS is recorded in accumulated other comprehensive income (loss).
Previous wording
EAD for the nine-month period ended September 30, 2024 as compared to the nine-month period ended September 30, 2023 decreased by approximately $5.1 million, or $0.25 per average common share due to changes in interest rates and an increase in expenses.
Current wording
EAD for the three-month period ended March 31, 2025 as compared to the three month period ended December 31, 2024 increased by approximately $2.1 million, or $0.07 per average common share due to an increase in drop income on TBA dollar rolls and a decrease in borrowing costs as well as Internalization expenses.
Previous wording
EAD for the three-month period ended September 30, 2024 as compared to the three month period ended June 30, 2024 increased by approximately $248,000, or $0.00 per average common share.
Current wording
EAD for the three-month period ended March 31, 2025 as compared to the three month period ended March 31, 2024 increased by approximately $1.4 million, or $0.04 per average common share primarily due to a decrease in borrowing costs.
Previous wording
Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $17.6 billion as of September 30, 2024.
Current wording
Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $17.0 billion as of March 31, 2025.
Previous wording
As of September 30, 2024, we had repurchase agreements with 35 counterparties and approximately $1,108.5 million of outstanding repurchase agreement borrowings from 13 of those counterparties, which were used to finance RMBS. As of September 30, 2024, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date at the same price that we initially sold the security plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold generally represents the market value of the security less a discount or “haircut”. The weighted average haircut on our repurchase debt at September 30, 2024 was approximately 4.4%. During the term of the repurchase transaction, which can be as short as a few days, the counterparty holds the security and posts margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the transaction. If this value declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.
Current wording
As of March 31, 2025, we had repurchase agreements with 35 counterparties and approximately $1,049.9 million of outstanding repurchase agreement borrowings from 12 of those counterparties, which were used to finance RMBS. As of March 31, 2025, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date at the same price that we initially sold the security plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold generally represents the market value of the security less a discount or “haircut.” The weighted average haircut on our repurchase debt at March 31, 2025 was approximately 4.3%. During the term of the repurchase transaction, which can be as short as a few days, the counterparty holds the security and posts margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the transaction. If this value declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.
Previous wording
The increase in the Company’s borrowings under its repurchase agreements as of September 30, 2024 as compared to June 30, 2024 was primarily due to the purchase of new RMBS securities, a large portion of which are financed through repurchase agreements.
Current wording
The decrease in the Company’s borrowings under its repurchase agreements as of March 31, 2025 as compared to December 31, 2024 was primarily due to the sale of RMBS, a large portion of which are financed through repurchase agreements.
Previous wording
These short-term borrowings were used to finance certain of our investments in RMBS. The RMBS repurchase agreements are guaranteed by the Company. The weighted average difference between the market value of the assets and the face amount of available financing for the RMBS repurchase agreements, or the haircut, was 4.4% as of September 30, 2024 and 4.3% December 31, 2023. The following tables provide additional information regarding borrowings under our repurchase agreements (dollars in thousands):
Current wording
These short-term borrowings were used to finance certain of our investments in RMBS. The RMBS repurchase agreements are guaranteed by the Company. The weighted average difference between the market value of the assets and the face amount of available financing for the RMBS repurchase agreements, or the haircut, was 4.3% as of March 31, 2025 and 4.4% as of December 31, 2024. The following tables provide additional information regarding borrowings under our repurchase agreements (dollars in thousands):
Previous wording
The amount of collateral as of September 30, 2024 and December 31, 2023, including cash, was $1.2 billion and $984.2 million, respectively.
Current wording
The amount of collateral as of March 31, 2025 and December 31, 2024, including cash, was $1,098.1 million and $1,123.7 million, respectively.
Previous wording
The weighted average term to maturity of our borrowings under repurchase agreements as of September 30, 2024 and December 31, 2023 was 30 days and 21 days, respectively.
Current wording
The weighted average term to maturity of our borrowings under repurchase agreements as of March 31, 2025 and December 31, 2024 was 25 days and 18 days, respectively.
Previous wording
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. 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 2024, the Borrowers entered into an amendment that extended the revolving period for an additional 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. Amounts borrowed bear interest at a weighted average borrowing rate of 8.2%. At September 30, 2024 and December 31, 2023, approximately $57.7 million and $64.5 million, respectively, was outstanding under the Freddie Mac MSR Revolver.
Current wording
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. 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 2024, the Borrowers entered into an amendment that extended the revolving period for an additional 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. Amounts borrowed bear interest at a weighted average borrowing rate of 7.2%. At March 31, 2025 and December 31, 2024, approximately $56.5 million was outstanding under the Freddie Mac MSR Revolver.
Previous wording
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. Amounts borrowed bear interest at a weighted average borrowing rate of 8.1%. 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, 2024 and December 31, 2023, approximately $94.1 million and $106.0 million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.
Current wording
Fannie Mae MSR Revolving Facility. In October 2021, Aurora and QRS III entered into 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. Amounts borrowed bear interest at a weighted average borrowing rate of 7.1%. 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 March 31, 2025 and December 31, 2024, approximately $93.6 million and $95.6 million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.
Previous wording
Our operating activities provided cash of approximately $4.4 million and used cash of approximately $10.6 million and our investing activities used cash of approximately $96.9 million and $167.7 million during the three and nine-month periods ended September 30, 2024. The cash used by our investing activities resulted substantially from RMBS purchases offset by principal paydowns of RMBS and sales of RMBS and MSRs.
Current wording
Our operating activities provided cash of approximately $0.7 million and our investing activities provided cash of approximately $19.5 million during the three-month period ended March 31, 2025. The cash provided by our investing activities resulted substantially from RMBS sales and principal paydowns of RMBS offset by purchases of RMBS.
Previous wording
Our ability to make distributions to our stockholders will depend upon the performance of our investment portfolio, and, in turn, upon our Manager’s management of our business. Distributions will be made quarterly in cash to the extent that cash is available for distribution. We may not be able to generate sufficient cash available for distribution to pay distributions to our stockholders. In addition, our board of directors may change our distribution policy with respect to our common stock in the future. No assurance can be given that we will be able to make any other distributions to our stockholders at any time in the future or that the level of any distributions we do make to our stockholders will achieve a market yield or increase or even be maintained over time.
Current wording
Our ability to make distributions to our stockholders will depend upon the performance of our investment portfolio, and, in turn, upon the management of our business by our management team. Distributions will be made quarterly in cash to the extent that cash is available for distribution. We may not be able to generate sufficient cash available for distribution to pay distributions to our stockholders. In addition, our board of directors may change our distribution policy with respect to our common stock in the future. No assurance can be given that we will be able to make any other distributions to our stockholders at any time in the future or that the level of any distributions we do make to our stockholders will achieve a market yield or increase or even be maintained over time.
Showing the first 40 of 44 pairs. Open the source sections for the rest.
Rearranged current paragraphs (1)
Current report — wording carried from elsewhere
Prior to January 29, 2024, the Company had an at-the-market offering program for its Series A Preferred Stock (the “Preferred Series A ATM Program”) pursuant to which it could offer and sell through one or more sales agents up to $35.0 million in shares of its Series A Preferred Stock at prices prevailing at the time, subject to volume and other regulatory limitations. During the year ended December 31, 2024 the Company did not issue and sell any shares of Series A Preferred Stock pursuant to the Preferred Series A ATM Program. The Company terminated the Preferred Series A ATM Program effective as of January 29, 2024.
Rearranged previous paragraphs (2)
Previous report — wording carried elsewhere
Realized Gain (Loss) on Investments in MSRs, Net
Previous report — wording carried elsewhere
We attempt to reduce the exposure of our MSRs to voluntary prepayments through the structuring of recapture agreements with Aurora’s subservicers.