Cherry Hill Mortgage Investment Corp
For the period ended Mar 31, 2026. Filed May 7, 2026.
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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, 2026 · Filed May 7, 2026
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 2025-09-30; filed 2025-11-06.
0001140361-25-040783
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2026-03-31; filed 2026-05-07.
0001140361-26-019561
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 158 previous paragraphs and 154 current paragraphs.
103 unchanged; 49 reworded; 2 added; 4 removed; 2 previous and 0 current paragraphs rearranged.
Tables are not compared: 52 previous and 50 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 (2)
Current report
Federal Reserve Chairman Jerome Powell’s current four-year term as Chair expires on May 15, 2026, although his term as a member of the Board of Governors extends through early 2028. President Donald Trump has nominated Kevin Warsh as Jerome Powell’s successor, but as of mid-April 2026, the Senate had yet to vote on Mr. Warsh’s confirmation. Any uncertainty surrounding the confirmation process may contribute to continued instability in financial markets. Additionally, future or perceived shifts in monetary policy priorities associated with a change in Federal Reserve leadership could increase interest rate volitivity and impact financial conditions.
Current report
Interest income for the three-month period ended March 31, 2026 was $15.9 million as compared to $15.8 million for the three-month period ended December 31, 2025. The change in interest income was nominal.
Removed paragraphs (4)
Previous 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.
Previous report
Realized loss on RMBS for the nine-month period ended September 30, 2025 was approximately $6.0 million as compared to $5.5 million for the nine-month period ended September 30, 2024. The increase of $0.5 million in realized loss on RMBS was due to the timing and volume of RMBS sales.
Previous report
Realized gain on investments in MSRs for the nine-month period ended September 30, 2025 was approximately $0 as compared to $0.5 million for the nine-month period ended September 30, 2024. The decrease of $0.5 million in realized gain on MSRs was because no MSRs were sold during the nine-month period ended September 30, 2025.
Previous report
During the three-month periods ended September 30, 2025 and June 30, 2025, our operating activities used cash of approximately $2.4 million and provided cash of approximately $12.5 million, respectively and our investing activities used cash of approximately $24.8 million and $19.0 million, respectively.
Reworded paragraphs (49)
Previous wording
As of November 14, 2024, 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.
Current wording
On November 14, 2024, we became 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.
Previous wording
In addition to Servicing Related Assets, we invest in RMBS, primarily those backed by 30-, 20- and 15-year fixed rate mortgages that offer what we believe to be favorable prepayment and duration characteristics. Our RMBS consist solely of Agency RMBS on which the payments of principal and interest are guaranteed by an Agency. In the past, we have invested in collateralized mortgage obligations guaranteed by an Agency (“Agency CMOs”) consisting of interest only securities (“IOs”) as well as non-Agency RMBS and may do so in the future subject to market conditions and availability of capital. We finance our RMBS with an amount of leverage, that varies from time to time depending on the particular characteristics of our portfolio, the availability of financing and market conditions. We do not have a targeted leverage ratio for our RMBS. Our borrowings for RMBS consist of short-term borrowings under master repurchase agreements.
Current wording
In addition to Servicing Related Assets, we invest in RMBS, primarily those backed by 30-, 20- and 15-year fixed rate mortgages that offer what we believe to be favorable prepayment and duration characteristics. Our RMBS consist solely of Agency RMBS on which the payments of principal and interest are guaranteed by an Agency. In the past, we have invested in Agency CMOs consisting of IOs as well as non-Agency RMBS and may do so in the future subject to market conditions and availability of capital. We finance our RMBS with an amount of leverage, that varies from time to time depending on the particular characteristics of our portfolio, the availability of financing and market conditions. We do not have a targeted leverage ratio for our RMBS. Our borrowings for RMBS consist of short-term borrowings under master repurchase agreements.
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, 2025, we owned 98.3% 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, 2026, we owned 98.5% 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
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 September 30, 2025, approximately $34.6 million was remaining pursuant to the Common Stock ATM Program. During the three-month period ended September 30, 2025, the Company issued and sold 674,204 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $2.90 per share for aggregate gross proceeds of approximately $2.0 million before fees of approximately $39,000. During the nine-month period ended September 30, 2025, the Company issued and sold 4,909,053 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.00 per share for aggregate gross proceeds of approximately $14.7 million before fees of approximately $293,000. 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.
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, 2026, approximately $34.6 million was remaining pursuant to the Common Stock ATM Program. During the three-month period ended March 31, 2026, the Company did not issue or sell any shares pursuant to the Common Stock ATM Program. During the year ended December 31, 2025, the Company issued and sold 4,909,053 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.00 per share for aggregate gross proceeds of approximately $14.7 million before fees of approximately $293,000.
Previous wording
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.
Current wording
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. The Company terminated the Preferred Series A ATM Program effective as of January 29, 2024.
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, 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 and nine-month periods ended September 30, 2025 and the year ended December 31, 2024, the Company did not repurchase any common stock pursuant to the share 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, 2026, 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, 2026 and the year ended December 31, 2025, the Company did not repurchase any common stock pursuant to the 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 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 and nine-month periods ended September 30, 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.
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, 2026 and the year ended December 31, 2025, the Company did not repurchase any 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.
Previous wording
Since September 2025, the Federal Reserve has reduced its federal funds rate target by 25 basis points to a range of 3.75% to 4.00% due to slowing job growth and increased unemployment. Even though inflation remains above its 2 percent target, the Federal Reserve has determined that in evaluating its dual mandate the downside risks to employment have risen.
Current wording
Since September 2025, the Federal Reserve has reduced its federal funds rate target by a cumulative 75 basis points to a range of 3.50% to 3.75% due to slowing job growth and increased unemployment. Even though inflation remains above its 2 percent target, the Federal Reserve has determined that in evaluating its dual mandate the downside risks to employment have risen.
Previous wording
In addition, at its October meeting, the Federal Reserve announced that it will cease reducing its balance sheet, which began in 2022, effective on December 1, 2025. Since 2022, the Federal Reserve has allowed a set amount of Treasury securities and Agency RMBS on its balance sheet to roll off each month without reinvestment. Currently, the Federal Reserve's monthly redemption cap on U.S. Treasury Securities is $5 billion and its redemption cap on agency debt/MBS is $35 billion with excess principal payments reinvested in U.S. Treasury securities. Despite these actions to ease monetary policy, the future course of monetary policy is uncertain. Federal Reserve Chairman Jerome Powell has said that future rate cuts are not a foregone conclusion and will depend on future economic data, including measures of inflation, and financial and international developments.
Current wording
As of December 1, 2025, the Federal Reserve has also ceased reducing its balance sheet. Since 2022, the Federal Reserve had been allowing a set amount of Treasury securities and Agency RMBS on its balance sheet to roll off each month without reinvestment. Prior to December 1, 2025, the Federal Reserve’s monthly redemption cap on U.S. Treasury Securities was $5 billion and its redemption cap on agency debt/MBS was $35 billion with excess principal payments reinvested in U.S. Treasury securities.
Previous wording
We have elected the fair value option to record our investments in MSRs in order to provide users of our consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, we record a valuation adjustment on our investments in MSRs on a quarterly basis to recognize the changes in fair value of our MSRs in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). The change in fair value of MSRs is recorded within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs, management uses internally developed pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. For additional information on our fair value methodology, see “Item 1. Consolidated Financial Statements – Note 9. Fair Value.”
Current wording
We have elected the fair value option to record our investments in MSRs in order to provide users of our consolidated financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, we record a valuation adjustment on our investments in MSRs on a quarterly basis to recognize the changes in fair value of our MSRs in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, costs to service and discount rates). The change in fair value of MSRs is recorded within “Unrealized gain (loss) on investments in Servicing Related Assets” on the consolidated statements of income (loss). Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields. In determining the valuation of MSRs, management uses internally developed pricing models that are based on certain unobservable market-based inputs. The Company classifies these valuations as Level 3 in the fair value hierarchy. For additional information on our fair value methodology, see “Item 1. Consolidated Financial Statements – Note 8. Fair Value.”
Previous wording
We finance the acquisition of our RMBS for our portfolio through repurchase transactions under master repurchase agreements. Repurchase transactions are treated as collateralized financing transactions and are carried at their contractual amounts as specified in the respective transactions. Accrued interest payable is included in “Accrued expenses and other liabilities” on the consolidated balance sheets. Securities financed through repurchase transactions remain on our consolidated balance sheet as an asset and cash received from the purchaser is recorded on our consolidated balance sheet as a liability. Interest paid in accordance with repurchase transactions is recorded in interest expense on the consolidated statements of income (loss).
Current wording
We finance the acquisition of our RMBS for our portfolio through repurchase transactions under master repurchase agreements. Repurchase transactions are treated as collateralized financing transactions and are carried at their contractual amounts as specified in the respective transactions. Accrued interest payable is included in “Accrued expenses and other liabilities” on the consolidated balance sheets. Securities financed through repurchase transactions remain on our consolidated balance sheet as an asset and cash received from the purchaser is recorded on our consolidated balance sheets as a liability. Interest paid in accordance with repurchase transactions is recorded in interest expense on the consolidated statements of income (loss).
Previous wording
Interest income for the nine-month period ended September 30, 2025 was $45.3 million as compared to $40.7 million for the nine-month period ended September 30, 2024. The increase of $4.6 million 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, 2026 was $15.9 million as compared to $14.8 million for the three-month period ended March 31, 2025. The increase of $1.1 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 nine-month period ended September 30, 2025 was $37.2 million as compared to $41.4 million for the nine-month period ended September 30, 2024. The decrease of $4.2 million in interest expense was due to a decrease in financing rates combined with a decrease in notes payable.
Current wording
Interest expense for the three-month period ended March 31, 2026 was $11.4 million as compared to $12.6 million for the three-month period ended December 31, 2025. The decrease of $1.2 million in interest expense was due to a decrease in financing rates.
Previous wording
Interest expense for the three-month period ended September 30, 2025 was $12.3 million as compared to $12.2 million for the three-month period ended June 30, 2025. The change in interest expense was nominal.
Current wording
Interest expense for the three-month period ended March 31, 2026 was $11.4 million as compared to $12.6 million for the three-month period ended March 31, 2025. The decrease of $1.2 million in interest expense was due to a decrease in financing rates.
Previous wording
Servicing fee income for the three-month period ended September 30, 2025 was $10.8 million as compared to $10.9 million for the three-month period ended June 30, 2025. The nominal decrease 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, 2026 was $10.2 million as compared to $10.6 million for the three-month period ended December 31, 2025. The decrease of $0.4 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, 2025 was $32.7 million as compared to $36.9 million for the nine-month period ended September 30, 2024. The decrease of $4.2 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, 2026 was $10.2 million as compared to $11.0 million for the three-month period ended March 31, 2025. The decrease of $0.8 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, 2025 were $2.3 million as compared to $2.0 million for the three-month period ended June 30, 2025. The increase of $300,000 in servicing costs was due to a reimbursement of deboarding fees incurred in the second quarter.
Current wording
Servicing costs for the three-month period ended March 31, 2026 were $2.3 million as compared to $2.5 million for the three-month period ended December 31, 2025. The decrease of $0.2 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, 2025 were $6.8 million as compared to $9.3 million for the nine-month period ended September 30, 2024. The decrease of $2.5 million in servicing costs was due to changes in the size of the portfolio and a one-time loan level interest adjustments and deboarding fees related to the MSR sale incurred during the nine-month period ended September 30, 2024.
Current wording
Servicing costs for the three-month period ended March 31, 2026 were $2.3 million as compared to $2.5 million for the three-month period ended March 31, 2025. The decrease of $0.2 million in servicing costs was due to changes in the size of the portfolio.
Previous wording
Realized gain on investments in MSRs for each of the three-month periods ended September 30, 2025 and June 30, 2025 was $0 because no MSRs were sold during these periods.
Current wording
Realized loss on RMBS for each of the three-month periods ended March 31, 2026 and December 31, 2025 was $0 because no RMBS securities were sold.
Previous wording
Realized loss on RMBS for the three-month period ended September 30, 2025 was $0 as compared to $2.1 million for the three-month period ended June 30, 2025. The decrease of $2.1 million in realized loss on RMBS was due to the timing and volume of RMBS sales.
Current wording
Realized loss on RMBS for the three-month period ended March 31, 2026 was $0 as compared to $4.0 million for the three-month period ended March 31, 2025. The decrease of $4.0 million in realized loss on RMBS was because no RMBS securities were sold during the three-month period ended March 31, 2026.
Previous wording
Realized gain on derivatives for the nine-month period ended September 30, 2025 was approximately $9.0 million as compared to $7.7 million for the nine-month period ended September 30, 2024. The increase of $1.3 million in realized gain on derivatives was substantially comprised of a decrease of $12.4 million in losses on TBAs and an increase of $4.4 million in gains on U.S. Treasury futures offset by a decrease of $5.5 million in gains on interest rate swaps and a decrease of $10.0 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives.
Current wording
Realized loss on derivatives for the three-month period ended March 31, 2026 was approximately $70 thousand as compared to $1.9 million for the three-month period ended December 31, 2025. The decrease of $1.8 million in realized loss on derivatives was substantially comprised of a decrease of $0.4 million in losses on TBAs and a decrease of $2.1 million in losses on U.S. Treasury futures offset by an increase in losses of $0.1 million on Eris SOFR swap futures and a decrease of $0.6 million in interest rate swaps periodic interest income due to changes in interest rates as well as the composition of derivatives.
Previous wording
Realized loss on derivatives for the three-month period ended September 30, 2025 was approximately $10.5 million as compared to a realized gain of $14.8 million for the three-month period ended June 30, 2025. The decrease of $25.3 million in realized gain on derivatives was substantially comprised of an decrease of $21.0 million in gains on TBAs and an decrease of $5.6 million in gain on U.S. Treasury futures offset by an decrease of $1.2 million in losses on interest rate swaps and an increase of $0.1 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives.
Current wording
Realized loss on derivatives for the three-month period ended March 31, 2026 was approximately $70 thousand as compared to a realized gain on derivatives of $4.6 million for the three-month period ended March 31, 2025. The decrease of $4.7 million in realized gain on derivatives was substantially comprised of an increase of $3.0 million in losses on TBAs, an increase in losses on Eris SOFR swap futures of $0.1 million, and a decrease of $2.7 million in interest rate swaps periodic interest income offset by a decrease of $1.1 million in losses on U.S. Treasury futures due to changes in interest rates as well as the composition of derivatives.
Previous wording
Unrealized gain on RMBS measured at fair value through earnings for the three-month period ended September 30, 2025 was $10.7 million as compared to $3.5 million for the three-month period ended June 30, 2025. The increase of $7.2 million in unrealized gain on RMBS measured at fair value through earnings was a result of drop in interest rates during the period combined with spread tightening.
Current wording
Unrealized loss on RMBS measured at fair value through earnings for the three-month period ended March 31, 2026 was $12.4 million as compared to an unrealized gain on RMBS measured at fair value through earnings of $6.6 million for the three-month period ended December 31, 2025. The decrease of $19.0 million in unrealized gain on RMBS measured at fair value through earnings was due to an increase 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, 2025 was $29.0 million as compared to $12.2 million for the nine-month period ended September 30, 2024. The increase of $16.8 million in unrealized gain on RMBS measured at fair value through earnings was due to a drop in interest rates during the period combined with spread tightening.
Current wording
Unrealized loss on RMBS measured at fair value through earnings for the three-month period ended March 31, 2026 was $12.4 million as compared to an unrealized gain on RMBS measured at fair value through earnings of $14.8 million for the three-month period ended March 31, 2025. The decrease of $27.2 million in unrealized gain on RMBS measured at fair value through earnings was due to an increase in interest rates and nominal spread widening during the quarter.
Previous wording
Unrealized gain on derivatives for the three-month period ended September 30, 2025 was approximately $2.5 million as compared to an unrealized loss of $19.1 million for the three-month period ended June 30, 2025. The decrease of $21.6 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 gain on derivatives for the three-month period ended March 31, 2026 was approximately $6.1 million as compared to an unrealized loss on derivatives of $0.4 million for the three-month period ended December 31, 2025. The increase of $6.5 million in unrealized gain 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, 2025 was approximately $39.4 million as compared to $12.0 million for the nine-month period ended September 30, 2024. The increase of $27.4 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 gain on derivatives for the three-month period ended March 31, 2026 was approximately $6.1 million as compared to an unrealized loss on derivatives of $22.7 million for the three-month period ended March 31, 2025. The increase of $28.8 million in unrealized gain 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 three-month period ended September 30, 2025 was approximately $5.9 million as compared to $2.7 million for the three-month period ended June 30, 2025. The increase of $3.2 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, 2026 was approximately $1.4 million as compared to $3.9 million for the three-month period ended December 31, 2025. The decrease of $2.5 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 nine-month period ended September 30, 2025 was approximately $15.0 million as compared to $14.0 million for the nine-month period ended September 30, 2024. The increase of $1.0 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.
Current wording
Unrealized loss on our investments in Servicing Related Assets for the three-month period ended March 31, 2026 was approximately $1.4 million as compared to $6.3 million for the three-month period ended March 31, 2025. The decrease of $4.9 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 was $2.2 million for the three-month period ended September 30, 2025 as compared to $1.9 million for the three-month period ended June 30, 2025. The increase of $0.3 million in general and administrative expense was due to an increase in professional fees.
Current wording
General and administrative expense was $1.7 million for three-month period ended March 31, 2026 as compared to $1.5 million for the three-month period ended December 31, 2025. The increase of $0.2 million in general and administrative expense was due to an increase in professional fees.
Previous wording
General and administrative expense was $6.2 million for nine-month period ended September 30, 2025 as compared to $8.1 million for the nine-month period ended September 30, 2024. The decrease of $1.9 million in general and administrative expense was due to a decrease in professional fees related to the Internalization.
Current wording
General and administrative expense was $1.7 million for three-month period ended March 31, 2026 as compared to $2.1 million for the three-month period ended March 31, 2025. The decrease of $0.4 million in general and administrative expense was due to an decrease in professional fees.
Previous wording
Compensation and benefits expense for the three-month period ended September 30, 2025 was $1.6 million as compared to $1.4 million for the three-month period ended June 30, 2025. The increase of $0.2 million in compensation and benefits was due to personnel changes.
Current wording
Compensation and benefits expense for the three-month period ended March 31, 2026 was $1.6 million as compared to $1.7 million for the three-month period ended December 31, 2025. The change in compensation and benefits was nominal.
Previous wording
Compensation and benefits expense for the nine-month period ended September 30, 2025 was $4.7 million as compared to $0.5 million for the nine-month period ended September 30, 2024. The increase of $4.2 million in compensation and benefits was because the Company started operating as an internally managed Company effective November 14, 2024.
Current wording
Compensation and benefits expense for the three-month period ended March 31, 2026 was $1.6 million as compared to $1.7 million for the three-month period ended March 31, 2025. The change in compensation and benefits was nominal.
Previous 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 1.8% and 2.2% of net income for the three-month periods ended September 30, 2025 and June 30, 2025, respectively and 1.8% and 2.0% of net income for the nine-month periods ended September 30, 2025 and September 30, 2024 respectively.
Current wording
Net income allocated to noncontrolling interests in the Operating Partnership, which are LTIP-OP Units owned by our directors, officers and employees represented approximately 1.4%, 1.7% and 1.9% of net income for the three-month periods ended March 31, 2026, December 31, 2025 and March 31, 2025 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-month period ended September 30, 2025, an unrealized gain on our available-for-sale RMBS was a result of changes in interest rates combined with spread tightening. During the three-month period ended June 30, 2025, a small unrealized gain on our available-for-sale RMBS was a result of changes in interest rates combined with spread widening. For the nine-month periods ended September 30, 2025 and 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, 2026, an increase in interest rates and nominal spread widening caused a net unrealized loss on our available-for-sale RMBS. During the three-month periods ended December 31, 2025 and March 31, 2025, a drop in interest rates and nominal spread tightening 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).
Previous wording
Earnings available for distribution (“EAD”) is a non-GAAP financial measure that we define as GAAP net income (loss), excluding realized gain (loss) on RMBS, unrealized gain (loss) on RMBS measured at fair value through earnings, realized and unrealized gain (loss) on derivatives, realized gain (loss) on acquired assets, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization) and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs. MSR amortization refers to the portion of the change in fair value of the MSR that is primarily due to the realization of cashflows, runoff resulting from prepayments and an adjustment for any gain or loss on the capital used to purchase the MSR. EAD also includes interest rate swap periodic interest income (expense) and drop income on TBA dollar roll transactions, which are included in “Realized gain (loss) on derivatives, net” on the consolidated statements of income (loss). EAD is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on our preferred stock.
Current wording
Earnings available for distribution (“EAD”) is a non-GAAP financial measure that we define as GAAP net income (loss), excluding realized gain (loss) on RMBS, unrealized gain (loss) on RMBS measured at fair value through earnings, realized and unrealized gain (loss) on derivatives, realized gain (loss) on acquired assets, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization) and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs. MSR amortization refers to the portion of the change in fair value of the MSR that is primarily due to the realization of cashflows, runoff resulting from prepayments and an adjustment for any gain or loss on the capital used to purchase the MSR. EAD also includes interest rate swap periodic interest income (expense) and drop income on TBA dollar roll transactions, which are included in “Realized gain (loss) on derivatives, net” on the consolidated statements of income (loss). EAD attributable to common stockholders is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on our preferred stock.
Previous wording
EAD for the nine-month period ended September 30, 2025 as compared to the nine-month period ended September 30, 2024 increased by approximately $3.1 million, or $.06 per average common share primarily due to a decrease in borrowing costs as well as Internalization expenses.
Current wording
EAD for the three-month period ended March 31, 2026 as compared to the three-month period ended December 31, 2025 increased by approximately $1.4 million, or $0.03 per average common share due to decrease in borrowing costs.
Previous wording
EAD for the three-month period ended September 30, 2025 as compared to the three-month period ended June 30, 2025 increased by approximately $0.1 million, primarily due to an increase in interest income, some of which was offset by an increase in expenses. EAD per average common share for the three-month period ended September 30, 2025 as compared to the three-month period ended June 30, 2025 decreased by approximately $0.01 due to an increase in common share count resulting from issuances under the Common Stock ATM Program.
Current wording
EAD for the three-month period ended March 31, 2026 as compared to the three-month period ended March 31, 2025 decreased by approximately $0.1 million, or $0.03 per average common share primarily due to a decrease in swap periodic interest income offset by an increase in net interest income.
Previous wording
Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $16.2 billion as of September 30, 2025.
Current wording
Aurora’s MSR portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $15.6 billion as of March 31, 2026.
Previous wording
Our primary uses of funds are the payment of interest, outstanding commitments, operating expenses, investments in new or replacement assets, margin calls and the repayment of borrowings, as well as dividends. Although we continue to maintain a higher level of unrestricted cash than prior to the pandemic, we expect to invest more of that unrestricted cash in our targeted assets if normalization of the economy continues. We may also use capital resources to repurchase additional shares of common stock under our stock repurchase program when we believe such repurchases are appropriate and/or the stock is trading at a significant discount to net asset value. We seek to maintain adequate cash reserves and other sources of available liquidity to meet any margin calls resulting from decreases in value related to a reasonably possible (in the opinion of management) change in interest rates.
Current wording
Our primary uses of funds are the payment of interest, compensation and benefits, outstanding commitments, operating expenses, investments in new or replacement assets, margin calls and the repayment of borrowings, as well as dividends. Although we continue to maintain a higher level of unrestricted cash than prior to the pandemic, we expect to invest more of that unrestricted cash in our targeted assets if normalization of the economy continues. We may also use capital resources to repurchase additional shares of common stock under our stock repurchase program when we believe such repurchases are appropriate and/or the stock is trading at a significant discount to net asset value. We seek to maintain adequate cash reserves and other sources of available liquidity to meet any margin calls resulting from decreases in value related to a reasonably possible (in the opinion of management) change in interest rates.
Previous wording
As of September 30, 2025, we had repurchase agreements with multiple counterparties and approximately $1,107.1 million of outstanding repurchase agreement borrowings from 14 of those counterparties, which were used to finance RMBS. As of September 30, 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 September 30, 2025 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, 2026, we had repurchase agreements with multiple counterparties and approximately $1,121.7 million of outstanding repurchase agreement borrowings from 17 of those counterparties, which were used to finance RMBS. As of March 31, 2026, 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, 2026 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.
Showing the first 40 of 49 pairs. Open the source sections for the rest.
Rearranged previous paragraphs (2)
Previous report — wording carried elsewhere
Interest income for the three-month period ended September 30, 2025 was $15.6 million as compared to $14.8 million for the three-month period ended June 30, 2025. The increase of $0.8 million in interest income was due to purchases of new securities and an increase in price premium accretion.
Previous report — wording carried elsewhere
Realized Gain on Investments in MSRs, Net