Maryland
|
27-3269228
|
|
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Large accelerated filer
|
☐
|
Accelerated filer
|
☒
|
Non-accelerated filer
|
¨ (Do not check if a smaller reporting company)
|
Smaller reporting company
|
☐
|
|
|
Emerging growth company
|
☐
|
PART I. FINANCIAL INFORMATION
|
||
ITEM 1. Financial Statements
|
1
|
|
Condensed Balance Sheets (unaudited)
|
1
|
|
Condensed Statements of Operations (unaudited)
|
2
|
|
Condensed Statement of Stockholders’ Equity (unaudited)
|
3
|
|
Condensed Statements of Cash Flows (unaudited)
|
4
|
|
Notes to Condensed Financial Statements
|
5
|
|
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
25
|
|
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk
|
44
|
|
ITEM 4. Controls and Procedures
|
48
|
|
PART II. OTHER INFORMATION
|
||
ITEM 1. Legal Proceedings
|
49
|
|
ITEM 1A. Risk Factors
|
49
|
|
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
49
|
|
ITEM 3. Defaults upon Senior Securities
|
49
|
|
ITEM 4. Mine Safety Disclosures
|
49
|
|
ITEM 5. Other Information
|
49
|
|
ITEM 6. Exhibits
|
50
|
|
SIGNATURES
|
51
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||
CONDENSED BALANCE SHEETS
|
||||||||
($ in thousands, except per share data)
|
||||||||
(Unaudited)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
ASSETS:
|
||||||||
Mortgage-backed securities, at fair value
|
||||||||
Pledged to counterparties
|
$
|
3,029,117
|
$
|
2,991,586
|
||||
Unpledged
|
59,397
|
22,917
|
||||||
Total mortgage-backed securities
|
3,088,514
|
3,014,503
|
||||||
Cash and cash equivalents
|
125,933
|
108,282
|
||||||
Restricted cash
|
16,998
|
17,981
|
||||||
Accrued interest receivable
|
12,585
|
13,241
|
||||||
Derivative assets, at fair value
|
13,199
|
16,885
|
||||||
Receivable for securities sold, pledged to counterparties
|
-
|
221,746
|
||||||
Other assets
|
518
|
2,993
|
||||||
Total Assets
|
$
|
3,257,747
|
$
|
3,395,631
|
||||
LIABILITIES AND STOCKHOLDERS' EQUITY
|
||||||||
LIABILITIES:
|
||||||||
Repurchase agreements
|
$
|
2,866,738
|
$
|
3,025,052
|
||||
Payable for unsettled securities purchased
|
35,026
|
-
|
||||||
Dividends payable
|
3,995
|
3,931
|
||||||
Derivative liabilities, at fair value
|
5,346
|
5,947
|
||||||
Accrued interest payable
|
5,146
|
6,445
|
||||||
Due to affiliates
|
541
|
654
|
||||||
Other liabilities
|
541
|
17,523
|
||||||
Total Liabilities
|
2,917,333
|
3,059,552
|
||||||
COMMITMENTS AND CONTINGENCIES
|
||||||||
STOCKHOLDERS' EQUITY:
|
||||||||
Preferred stock, $0.01 par value; 100,000,000 shares authorized; no shares issued
|
||||||||
and outstanding as of March 31, 2019 and December 31, 2018
|
-
|
-
|
||||||
Common Stock, $0.01 par value; 500,000,000 shares authorized, 49,937,700
|
||||||||
shares issued and outstanding as of March 31, 2019 and 49,132,423 shares issued
|
||||||||
and outstanding as of December 31, 2018
|
499
|
491
|
||||||
Additional paid-in capital
|
373,705
|
379,975
|
||||||
Accumulated deficit
|
(33,790
|
)
|
(44,387
|
)
|
||||
Total Stockholders' Equity
|
340,414
|
336,079
|
||||||
Total Liabilities and Stockholders' Equity
|
$
|
3,257,747
|
$
|
3,395,631
|
||||
See Notes to Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||
CONDENSED STATEMENTS OF OPERATIONS
|
||||||||
(Unaudited)
|
||||||||
For the Three Months Ended March 31, 2019 and 2018
|
||||||||
($ in thousands, except per share data)
|
||||||||
2019
|
2018
|
|||||||
Interest income
|
$
|
32,433
|
$
|
39,935
|
||||
Interest expense
|
(18,892
|
)
|
(15,149
|
)
|
||||
Net interest income
|
13,541
|
24,786
|
||||||
Realized gains (losses) on mortgage-backed securities
|
243
|
(8,338
|
)
|
|||||
Unrealized gains (losses) on mortgage-backed securities
|
18,041
|
(71,712
|
)
|
|||||
(Losses) gains on derivative instruments
|
(19,032
|
)
|
41,994
|
|||||
Net portfolio income (loss)
|
12,793
|
(13,270
|
)
|
|||||
Expenses:
|
||||||||
Management fees
|
1,285
|
1,712
|
||||||
Allocated overhead
|
323
|
382
|
||||||
Accrued incentive compensation
|
(408
|
)
|
11
|
|||||
Directors' fees and liability insurance
|
253
|
252
|
||||||
Audit, legal and other professional fees
|
301
|
296
|
||||||
Direct REIT operating expenses
|
375
|
403
|
||||||
Other administrative
|
67
|
51
|
||||||
Total expenses
|
2,196
|
3,107
|
||||||
Net income (loss)
|
$
|
10,597
|
$
|
(16,377
|
)
|
|||
Basic and diluted net income (loss) per share
|
$
|
0.22
|
$
|
(0.31
|
)
|
|||
Weighted Average Shares Outstanding
|
48,904,587
|
53,065,845
|
||||||
Dividends declared per common share
|
$
|
0.24
|
$
|
0.31
|
||||
See Notes to Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||||||||||
CONDENSED STATEMENT OF STOCKHOLDERS' EQUITY
|
||||||||||||||||
(Unaudited)
|
||||||||||||||||
For the Three Months Ended March 31, 2019 and 2018
|
||||||||||||||||
($ in thousands, except per share data)
|
||||||||||||||||
Additional
|
Retained
|
|||||||||||||||
Common
|
Paid-in
|
Earnings
|
||||||||||||||
Stock
|
Capital
|
(Deficit)
|
Total
|
|||||||||||||
Balances, January 1, 2018
|
$
|
531
|
$
|
461,680
|
$
|
-
|
$
|
462,211
|
||||||||
Net loss
|
-
|
-
|
(16,377
|
)
|
(16,377
|
)
|
||||||||||
Cash dividends declared, $0.31 per share
|
-
|
(16,463
|
)
|
-
|
(16,463
|
)
|
||||||||||
Issuance of common stock pursuant to stock based
|
||||||||||||||||
compensation plan
|
-
|
35
|
-
|
35
|
||||||||||||
Amortization of stock based compensation
|
-
|
45
|
-
|
45
|
||||||||||||
Balances, March 31, 2018
|
$
|
531
|
$
|
445,297
|
$
|
(16,377
|
)
|
$
|
429,451
|
|||||||
Balances, January 1, 2019
|
$
|
491
|
$
|
379,975
|
$
|
(44,387
|
)
|
$
|
336,079
|
|||||||
Net income
|
-
|
-
|
10,597
|
10,597
|
||||||||||||
Cash dividends declared, $0.24 per share
|
-
|
(11,824
|
)
|
-
|
(11,824
|
)
|
||||||||||
Issuance of common stock pursuant to public offerings, net
|
13
|
8,490
|
-
|
8,503
|
||||||||||||
Issuance of common stock pursuant to stock based
|
||||||||||||||||
compensation plan
|
-
|
41
|
-
|
41
|
||||||||||||
Amortization of stock based compensation
|
-
|
42
|
-
|
42
|
||||||||||||
Shares repurchased and retired
|
(5
|
)
|
(3,019
|
)
|
-
|
(3,024
|
)
|
|||||||||
Balances, March 31, 2019
|
$
|
499
|
$
|
373,705
|
$
|
(33,790
|
)
|
$
|
340,414
|
|||||||
See Notes to Financial Statements
|
ORCHID ISLAND CAPITAL, INC.
|
||||||||
CONDENSED STATEMENTS OF CASH FLOWS
|
||||||||
(Unaudited)
|
||||||||
For the Three Months Ended March 31, 2019 and 2018
|
||||||||
($ in thousands)
|
||||||||
2019
|
2018
|
|||||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net income (loss)
|
$
|
10,597
|
$
|
(16,377
|
)
|
|||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities:
|
||||||||
Stock based compensation
|
83
|
80
|
||||||
Realized and unrealized (gains) losses on mortgage-backed securities
|
(18,284
|
)
|
80,050
|
|||||
Realized and unrealized losses (gains) on interest rate swaptions
|
378
|
(1,717
|
)
|
|||||
Realized and unrealized losses (gains) on interest rate swaps
|
2,522
|
(11,576
|
)
|
|||||
Realized losses (gains) on forward settling to-be-announced securities
|
4,641
|
(8,407
|
)
|
|||||
Changes in operating assets and liabilities:
|
||||||||
Accrued interest receivable
|
696
|
(1,105
|
)
|
|||||
Other assets
|
(339
|
)
|
(251
|
)
|
||||
Accrued interest payable
|
(1,299
|
)
|
636
|
|||||
Other liabilities
|
(477
|
)
|
218
|
|||||
Due from affiliates
|
(113
|
)
|
(1
|
)
|
||||
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES
|
(1,595
|
)
|
41,550
|
|||||
CASH FLOWS FROM INVESTING ACTIVITIES:
|
||||||||
From mortgage-backed securities investments:
|
||||||||
Purchases
|
(547,417
|
)
|
(517,829
|
)
|
||||
Sales
|
655,359
|
228,691
|
||||||
Principal repayments
|
94,785
|
78,720
|
||||||
(Payments on) proceeds from net settlement of to-be-announced securities
|
(11,146
|
)
|
9,161
|
|||||
Purchase of derivative financial instruments, net of margin cash received
|
(8,723
|
)
|
10,622
|
|||||
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES
|
182,858
|
(190,635
|
)
|
|||||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||||||
Proceeds from repurchase agreements
|
11,573,937
|
13,098,449
|
||||||
Principal payments on repurchase agreements
|
(11,732,251
|
)
|
(13,012,955
|
)
|
||||
Cash dividends
|
(11,760
|
)
|
(19,116
|
)
|
||||
Proceeds from issuance of common stock, net of issuance costs
|
8,503
|
-
|
||||||
Common stock repurchases
|
(3,024
|
)
|
-
|
|||||
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES
|
(164,595
|
)
|
66,378
|
|||||
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH
|
16,668
|
(82,707
|
)
|
|||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period
|
126,263
|
246,712
|
||||||
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period
|
$
|
142,931
|
$
|
164,005
|
||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
|
||||||||
Cash paid during the period for:
|
||||||||
Interest
|
$
|
20,190
|
$
|
14,513
|
||||
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING ACTIVITIES:
|
||||||||
Securities acquired settled in later period
|
$
|
35,026
|
$
|
32,054
|
||||
Securities sold settled in later period
|
-
|
159,300
|
||||||
See Notes to Financial Statements
|
(in thousands)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
Cash and cash equivalents
|
$
|
125,933
|
$
|
108,282
|
||||
Restricted cash
|
16,998
|
17,981
|
||||||
Total cash, cash equivalents and restricted cash
|
$
|
142,931
|
$
|
126,263
|
(in thousands)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
Pass-Through RMBS Certificates:
|
||||||||
Adjustable-rate Mortgages
|
$
|
1,217
|
$
|
1,437
|
||||
Fixed-rate Mortgages
|
2,245,280
|
2,130,974
|
||||||
Fixed-rate CMOs
|
717,995
|
741,926
|
||||||
Total Pass-Through Certificates
|
2,964,492
|
2,874,337
|
||||||
Structured RMBS Certificates:
|
||||||||
Interest-Only Securities
|
99,804
|
116,415
|
||||||
Inverse Interest-Only Securities
|
24,218
|
23,751
|
||||||
Total Structured RMBS Certificates
|
124,022
|
140,166
|
||||||
Total
|
$
|
3,088,514
|
$
|
3,014,503
|
(in thousands)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
Greater than five years and less than ten years
|
$
|
2,681
|
$
|
5,696
|
||||
Greater than or equal to ten years
|
3,085,833
|
3,008,807
|
||||||
Total
|
$
|
3,088,514
|
$
|
3,014,503
|
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
March 31, 2019
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
85,828
|
$
|
1,109,913
|
$
|
1,845,628
|
$
|
-
|
$
|
3,041,369
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
82,642
|
$
|
1,038,199
|
$
|
1,745,897
|
$
|
-
|
$
|
2,866,738
|
||||||||||
Net weighted average borrowing rate
|
2.85
|
%
|
2.73
|
%
|
2.67
|
%
|
-
|
2.70
|
%
|
|||||||||||
December 31, 2018
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
1,720,804
|
$
|
1,493,565
|
$
|
-
|
$
|
3,214,369
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
1,611,185
|
$
|
1,413,867
|
$
|
-
|
$
|
3,025,052
|
||||||||||
Net weighted average borrowing rate
|
-
|
2.72
|
%
|
2.57
|
%
|
-
|
2.65
|
%
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
March 31, 2019
|
December 31, 2018
|
||||||
Assets
|
|||||||||
Interest rate swaps
|
Derivative assets, at fair value
|
$
|
13,146
|
$
|
16,762
|
||||
Payer swaptions
|
Derivative assets, at fair value
|
53
|
123
|
||||||
Total derivative assets, at fair value
|
$
|
13,199
|
$
|
16,885
|
|||||
Liabilities
|
|||||||||
Interest rate swaps
|
Derivative liabilities, at fair value
|
$
|
1,111
|
$
|
2,205
|
||||
TBA securities
|
Derivative liabilities, at fair value
|
4,235
|
3,742
|
||||||
Total derivative liabilities, at fair value
|
$
|
5,346
|
$
|
5,947
|
|||||
Margin Balances Posted to (from) Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
2,347
|
$
|
4,711
|
||||
TBA securities
|
Restricted cash
|
3,064
|
6,236
|
||||||
Interest rate swaption contracts
|
Other liabilities
|
-
|
(268
|
)
|
|||||
Interest rate swap contracts
|
Restricted cash
|
4,812
|
-
|
||||||
Interest rate swap contracts
|
Other liabilities
|
-
|
(14,308
|
)
|
|||||
Total margin balances on derivative contracts
|
$
|
10,223
|
$
|
(3,629
|
)
|
($ in thousands)
|
||||||||||||||||
March 31, 2019
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2019
|
$
|
400,000
|
2.76
|
%
|
2.46
|
%
|
$
|
(909
|
)
|
|||||||
2020
|
500,000
|
2.97
|
%
|
2.21
|
%
|
(3,799
|
)
|
|||||||||
Total / Weighted Average
|
$
|
457,143
|
2.89
|
%
|
2.31
|
%
|
$
|
(4,708
|
)
|
|||||||
Treasury Note Futures Contracts (Short Position)(2)
|
||||||||||||||||
June 2019 5-year T-Note futures
|
||||||||||||||||
(Jun 2019 - Dec 2024 Hedge Period)
|
$
|
165,000
|
2.86
|
%
|
2.62
|
%
|
$
|
(1,789
|
)
|
($ in thousands)
|
||||||||||||||||
December 31, 2018
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2019
|
$
|
1,650,000
|
2.25
|
%
|
2.64
|
%
|
$
|
7,036
|
||||||||
2020
|
1,800,000
|
2.74
|
%
|
2.45
|
%
|
(4,503
|
)
|
|||||||||
Total / Weighted Average
|
$
|
1,725,000
|
2.51
|
%
|
2.54
|
%
|
$
|
2,533
|
||||||||
Treasury Note Futures Contracts (Short Position)(2)
|
||||||||||||||||
March 2019 5 year T-Note futures
|
||||||||||||||||
(Mar 2019 - Mar 2024 Hedge Period)
|
$
|
165,000
|
3.22
|
%
|
2.83
|
%
|
$
|
(3,185
|
)
|
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
|
(2)
|
T-Note futures contracts were valued at a price of $115.83 at March 31, 2019 and $114.69 at December 31, 2018. The notional
contract values of the short positions were $191.1 million and $185.6 million at March 31, 2019 and December 31, 2018, respectively.
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Net
|
|||||||||||||||||||
Fixed
|
Average
|
Estimated
|
Average
|
|||||||||||||||||
Notional
|
Pay
|
Receive
|
Fair
|
Maturity
|
||||||||||||||||
Amount
|
Rate
|
Rate
|
Value
|
(Years)
|
||||||||||||||||
March 31, 2019
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
1,100,000
|
1.67
|
%
|
2.69
|
%
|
$
|
8,757
|
1.3
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
660,000
|
2.15
|
%
|
2.63
|
%
|
3,278
|
4.6
|
|||||||||||||
$
|
1,760,000
|
1.85
|
%
|
2.66
|
%
|
$
|
12,035
|
2.5
|
||||||||||||
December 31, 2018
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
1,000,000
|
1.62
|
%
|
2.63
|
%
|
$
|
10,365
|
1.4
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
260,000
|
2.01
|
%
|
2.68
|
%
|
4,192
|
3.4
|
|||||||||||||
$
|
1,260,000
|
1.70
|
%
|
2.64
|
%
|
$
|
14,557
|
1.8
|
($ in thousands)
|
||||||||||||||||
Option
|
Underlying Swap
|
|||||||||||||||
Weighted
|
Average
|
Weighted
|
||||||||||||||
Average
|
Average
|
Adjustable
|
Average
|
|||||||||||||
Fair
|
Months to
|
Notional
|
Fixed
|
Rate
|
Term
|
|||||||||||
Expiration
|
Cost
|
Value
|
Expiration
|
Amount
|
Rate
|
(LIBOR)
|
(Years)
|
|||||||||
March 31, 2019
|
||||||||||||||||
≤ 1 year
|
||||||||||||||||
Payer Swaptions
|
$
|
308
|
$
|
53
|
2.3
|
$
|
100,000
|
2.71%
|
3 Month
|
7.0
|
||||||
December 31, 2018
|
||||||||||||||||
≤ 1 year
|
||||||||||||||||
Payer Swaptions
|
$
|
7,805
|
$
|
123
|
1.4
|
$
|
700,000
|
3.20%
|
3 Month
|
9.0
|
($ in thousands)
|
|||||||||||||||||||
Notional
|
Net
|
||||||||||||||||||
Amount
|
Cost
|
Market
|
Carrying
|
||||||||||||||||
Long (Short)(1)
|
Basis(2)
|
Value(3)
|
Value(4)
|
||||||||||||||||
March 31, 2019
|
|||||||||||||||||||
30-Year TBA securities:
|
|||||||||||||||||||
3.0
|
%
|
$
|
(200,000
|
)
|
$
|
(194,896
|
)
|
$
|
(199,131
|
)
|
$
|
(4,235
|
)
|
||||||
Total
|
$
|
(200,000
|
)
|
$
|
(194,896
|
)
|
$
|
(199,131
|
)
|
$
|
(4,235
|
)
|
|||||||
December 31, 2018
|
|||||||||||||||||||
30-Year TBA securities:
|
|||||||||||||||||||
3.0
|
%
|
$
|
(250,000
|
)
|
$
|
(240,164
|
)
|
$
|
(243,906
|
)
|
$
|
(3,742
|
)
|
||||||
Total
|
$
|
(250,000
|
)
|
$
|
(240,164
|
)
|
$
|
(243,906
|
)
|
$
|
(3,742
|
)
|
(1)
|
Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
|
(3)
|
Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.
|
(4)
|
Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and
is reported in derivative assets (liabilities) at fair value in our balance sheets.
|
(in thousands)
|
||||||||
2019
|
2018
|
|||||||
Eurodollar futures contracts (short positions)
|
$
|
(10,041
|
)
|
$
|
14,541
|
|||
T-Note futures contracts (short position)
|
(1,677
|
)
|
6,821
|
|||||
Interest rate swaps
|
(2,295
|
)
|
10,508
|
|||||
Receiver swaptions
|
-
|
(349
|
)
|
|||||
Payer swaptions
|
(378
|
)
|
2,066
|
|||||
Net TBA securities
|
(4,641
|
)
|
8,407
|
|||||
Total
|
$
|
(19,032
|
)
|
$
|
41,994
|
(in thousands)
|
||||||||||||||||||||||||
March 31, 2019
|
December 31, 2018
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
PT RMBS - fair value
|
$
|
2,918,623
|
$
|
-
|
$
|
2,918,623
|
$
|
2,854,540
|
$
|
10,776
|
$
|
2,865,316
|
||||||||||||
Structured RMBS - fair value
|
110,494
|
-
|
110,494
|
126,270
|
-
|
126,270
|
||||||||||||||||||
Accrued interest on pledged securities
|
12,253
|
-
|
12,253
|
12,904
|
35
|
12,939
|
||||||||||||||||||
Receivable for securities sold
|
-
|
-
|
-
|
220,654
|
-
|
220,654
|
||||||||||||||||||
Restricted cash
|
6,775
|
10,223
|
16,998
|
7,034
|
10,947
|
17,981
|
||||||||||||||||||
Total
|
$
|
3,048,145
|
$
|
10,223
|
$
|
3,058,368
|
$
|
3,221,402
|
$
|
21,758
|
$
|
3,243,160
|
(in thousands)
|
||||||||||||||||||||||||
March 31, 2019
|
December 31, 2018
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Orchid
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
Cash
|
$
|
4,201
|
$
|
-
|
$
|
4,201
|
$
|
3,852
|
$
|
14,576
|
$
|
18,428
|
||||||||||||
PT RMBS - fair value
|
-
|
-
|
-
|
1,557
|
-
|
1,557
|
||||||||||||||||||
U.S. Treasury securities - fair value
|
954
|
-
|
954
|
180
|
-
|
180
|
||||||||||||||||||
Total
|
$
|
5,155
|
$
|
-
|
$
|
5,155
|
$
|
5,589
|
$
|
14,576
|
$
|
20,165
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Assets
|
||||||||||||||||||||||||
Gross Amount Not
|
||||||||||||||||||||||||
Net Amount
|
Offset in the Balance Sheet
|
|||||||||||||||||||||||
of Assets
|
Financial
|
|||||||||||||||||||||||
Gross Amount
|
Gross Amount
|
Presented
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Offset in the
|
in the
|
Received as
|
Received as
|
Net
|
|||||||||||||||||||
Assets
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
March 31, 2019
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
13,146
|
$
|
-
|
$
|
13,146
|
$
|
-
|
$
|
-
|
$
|
13,146
|
||||||||||||
Interest rate swaptions
|
53
|
-
|
53
|
-
|
-
|
53
|
||||||||||||||||||
$
|
13,199
|
$
|
-
|
$
|
13,199
|
$
|
-
|
$
|
-
|
$
|
13,199
|
|||||||||||||
December 31, 2018
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
16,762
|
$
|
-
|
$
|
16,762
|
$
|
-
|
$
|
(14,308
|
)
|
$
|
2,454
|
|||||||||||
Interest rate swaptions
|
123
|
-
|
123
|
-
|
(123
|
)
|
-
|
|||||||||||||||||
$
|
16,885
|
$
|
-
|
$
|
16,885
|
$
|
-
|
$
|
(14,431
|
)
|
$
|
2,454
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Gross Amount Not
|
||||||||||||||||||||||||
Net Amount
|
Offset in the Balance Sheet
|
|||||||||||||||||||||||
of Liabilities
|
Financial
|
|||||||||||||||||||||||
Gross Amount
|
Gross Amount
|
Presented
|
Instruments
|
|||||||||||||||||||||
of Recognized
|
Offset in the
|
in the
|
Posted as
|
Cash Posted
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
March 31, 2019
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
2,866,738
|
$
|
-
|
$
|
2,866,738
|
$
|
(2,859,963
|
)
|
$
|
(6,775
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
1,111
|
-
|
1,111
|
-
|
(1,111
|
)
|
-
|
|||||||||||||||||
TBA securities
|
4,235
|
-
|
4,235
|
-
|
(3,064
|
)
|
1,171
|
|||||||||||||||||
$
|
2,872,084
|
$
|
-
|
$
|
2,872,084
|
$
|
(2,859,963
|
)
|
$
|
(10,950
|
)
|
$
|
1,171
|
|||||||||||
December 31, 2018
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
3,025,052
|
$
|
-
|
$
|
3,025,052
|
$
|
(3,018,018
|
)
|
$
|
(7,034
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
2,205
|
-
|
2,205
|
-
|
-
|
2,205
|
||||||||||||||||||
TBA securities
|
3,742
|
-
|
3,742
|
-
|
(3,742
|
)
|
-
|
|||||||||||||||||
$
|
3,030,999
|
$
|
-
|
$
|
3,030,999
|
$
|
(3,018,018
|
)
|
$
|
(10,776
|
)
|
$
|
2,205
|
($ in thousands, except per share amounts)
|
|||||||||||||
Weighted
|
|||||||||||||
Average
|
|||||||||||||
Price
|
|||||||||||||
Received
|
Net
|
||||||||||||
Type of Offering
|
Period
|
Per Share(1)
|
Shares
|
Proceeds(2)
|
|||||||||
2019
|
|||||||||||||
At the Market Offering Program(3)
|
First Quarter
|
$
|
6.84
|
1,267,894
|
$
|
8,503
|
|||||||
At the Market Offering Program(3)(4)
|
Second Quarter
|
6.74
|
1,432,466
|
9,504
|
|||||||||
Total
|
2,700,360
|
$
|
18,007
|
(1)
|
Weighted average price received per share is before deducting the underwriters’ discount, if applicable, and other offering costs.
|
(2)
|
Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.
|
(3)
|
The Company has entered into six equity distribution agreements, five of which have either been terminated because all shares were
sold or were replaced with a subsequent agreement.
|
(4)
|
Shares issued in the second quarter of 2019 are not reflected in the Company's financial statements as of March 31, 2019.
|
(in thousands, except per share amounts)
|
||||||||
Year
|
Per Share Amount
|
Total
|
||||||
2013
|
$
|
1.395
|
$
|
4,662
|
||||
2014
|
2.160
|
22,643
|
||||||
2015
|
1.920
|
38,748
|
||||||
2016
|
1.680
|
41,388
|
||||||
2017
|
1.680
|
70,717
|
||||||
2018
|
1.070
|
55,814
|
||||||
2019 - YTD(1)
|
0.320
|
15,824
|
||||||
Totals
|
$
|
10.225
|
$
|
249,796
|
(1)
|
On April 17, 2019, the Company declared a dividend of $0.08 per share to be paid on May 31, 2019. The effect of this dividend is
included in the table above, but is not reflected in the Company’s financial statements as of March 31, 2019.
|
($ in thousands, except per share data)
|
||||||||
Three Months Ended March 31,
|
||||||||
2019
|
2018
|
|||||||
Fully vested shares granted
|
-
|
3,886
|
||||||
Weighted average grant date price per share
|
$
|
-
|
$
|
9.28
|
||||
Compensation expense related to fully vested shares of common stock awards
|
$
|
-
|
$
|
36
|
($ in thousands, except per share data)
|
||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||
2019
|
2018
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
43,672
|
$
|
8.34
|
41,693
|
$
|
9.95
|
||||||||||
Vested and issued
|
(8,173
|
)
|
9.08
|
(6,406
|
)
|
10.28
|
||||||||||
Unvested, end of period
|
35,499
|
$
|
8.17
|
35,287
|
$
|
9.89
|
||||||||||
Compensation expense during period
|
$
|
42
|
$
|
45
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
115
|
$
|
121
|
||||||||||||
Intrinsic value, end of period
|
$
|
234
|
$
|
260
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
1.0
|
0.9
|
($ in thousands, except per share data)
|
||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||
2019
|
2018
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Outstanding, beginning of period
|
12,434
|
$
|
-
|
-
|
$
|
-
|
||||||||||
Granted and vested
|
7,350
|
6.41
|
-
|
-
|
||||||||||||
Issued
|
-
|
-
|
-
|
-
|
||||||||||||
Outstanding, end of period
|
19,784
|
$
|
7.01
|
-
|
$
|
-
|
||||||||||
Compensation expense during period
|
$
|
45
|
$
|
-
|
||||||||||||
Intrinsic value, end of period
|
$
|
130
|
$
|
-
|
(in thousands, except per-share information)
|
||||||||
Three Months Ended March 31,
|
||||||||
2019
|
2018
|
|||||||
Basic and diluted EPS per common share:
|
||||||||
Numerator for basic and diluted EPS per share of common stock:
|
||||||||
Net income (loss) - Basic and diluted
|
$
|
10,597
|
$
|
(16,377
|
)
|
|||
Weighted average shares of common stock:
|
||||||||
Shares of common stock outstanding at the balance sheet date
|
49,938
|
53,072
|
||||||
Unvested dividend eligible share based compensation
|
||||||||
outstanding at the balance sheet date
|
55
|
-
|
||||||
Effect of weighting
|
(1,088
|
)
|
(6
|
)
|
||||
Weighted average shares-basic and diluted
|
48,905
|
53,066
|
||||||
Net income (loss) per common share:
|
||||||||
Basic and diluted
|
$
|
0.22
|
$
|
(0.31
|
)
|
|||
Anti-dilutive incentive shares not included in calculation.
|
-
|
42
|
·
|
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active
markets (which include exchanges and over-the-counter markets with sufficient volume),
|
·
|
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted
prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
|
·
|
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in
the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques
typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.
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(in thousands)
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Quoted Prices
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in Active
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Significant
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Markets for
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Other
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Significant
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Identical
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Observable
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Unobservable
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Fair Value
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Assets
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Inputs
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