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
|
☒
|
ORCHID ISLAND CAPITAL, INC.
|
||||
TABLE OF CONTENTS
|
||||
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Condensed Financial Statements
|
1
|
|||
Condensed Consolidated Balance Sheets (unaudited)
|
1
|
|||
Condensed Consolidated Statements of Operations (unaudited)
|
2
|
|||
Condensed Consolidated Statement of Stockholders' Equity (unaudited)
|
3
|
|||
Condensed Consolidated Statements of Cash Flows (unaudited)
|
4
|
|||
Notes to Condensed Consolidated Financial Statements
|
5
|
|||
ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
|
24
|
|||
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk
|
43
|
|||
ITEM 4. Controls and Procedures
|
47
|
|||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
48
|
|||
ITEM 1A. Risk Factors
|
48
|
|||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
48
|
|||
ITEM 3. Defaults upon Senior Securities
|
48
|
|||
ITEM 4. Mine Safety Disclosures
|
48
|
|||
ITEM 5. Other Information
|
48
|
|||
ITEM 6. Exhibits
|
49
|
|||
SIGNATURES
|
50
|
(in thousands)
|
||||||||
March 31, 2018
|
December 31, 2017
|
|||||||
Cash and cash equivalents
|
$
|
127,168
|
$
|
214,363
|
||||
Restricted cash
|
36,837
|
32,349
|
||||||
Total cash, cash equivalents and restricted cash
|
$
|
164,005
|
$
|
246,712
|
(in thousands)
|
||||||||
March 31, 2018
|
December 31, 2017
|
|||||||
Pass-Through RMBS Certificates:
|
||||||||
Hybrid Adjustable-rate Mortgages
|
$
|
26,482
|
$
|
27,398
|
||||
Adjustable-rate Mortgages
|
1,754
|
1,754
|
||||||
Fixed-rate Mortgages
|
3,569,133
|
3,594,533
|
||||||
Total Pass-Through Certificates
|
3,597,369
|
3,623,685
|
||||||
Structured RMBS Certificates:
|
||||||||
Interest-Only Securities
|
120,199
|
86,918
|
||||||
Inverse Interest-Only Securities
|
28,216
|
34,208
|
||||||
Total Structured RMBS Certificates
|
148,415
|
121,126
|
||||||
Total
|
$
|
3,745,784
|
$
|
3,744,811
|
(in thousands)
|
||||||||
March 31, 2018
|
December 31, 2017
|
|||||||
Greater than one year and less than five years
|
$
|
15
|
$
|
29
|
||||
Greater than five years and less than ten years
|
3,049
|
3,281
|
||||||
Greater than or equal to ten years
|
3,742,720
|
3,741,501
|
||||||
Total
|
$
|
3,745,784
|
$
|
3,744,811
|
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
March 31, 2018
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
2,263,087
|
$
|
1,096,463
|
$
|
459,040
|
$
|
3,818,590
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
2,127,683
|
$
|
1,038,162
|
$
|
453,435
|
$
|
3,619,280
|
||||||||||
Net weighted average borrowing rate
|
-
|
1.91
|
%
|
1.88
|
%
|
1.57
|
%
|
1.86
|
%
|
|||||||||||
December 31, 2017
|
||||||||||||||||||||
Fair market value of securities pledged, including
|
||||||||||||||||||||
accrued interest receivable
|
$
|
-
|
$
|
1,983,958
|
$
|
1,266,590
|
$
|
475,975
|
$
|
3,726,523
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
1,871,833
|
$
|
1,208,518
|
$
|
453,435
|
$
|
3,533,786
|
||||||||||
Net weighted average borrowing rate
|
-
|
1.53
|
%
|
1.53
|
%
|
1.57
|
%
|
1.54
|
%
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
March 31, 2018
|
December 31, 2017
|
||||||
Assets
|
|||||||||
Interest rate swaps
|
Derivative assets, at fair value
|
$
|
25,107
|
$
|
13,745
|
||||
Payer swaptions
|
Derivative assets, at fair value
|
10,296
|
3,405
|
||||||
Receiver swaptions
|
Derivative assets, at fair value
|
760
|
-
|
||||||
TBA securities
|
Derivative assets, at fair value
|
16
|
10
|
||||||
Total derivative assets, at fair value
|
$
|
36,179
|
$
|
17,160
|
|||||
Liabilities
|
|||||||||
Interest rate swaps
|
Derivative liabilities, at fair value
|
$
|
-
|
$
|
215
|
||||
TBA securities
|
Derivative liabilities, at fair value
|
2,582
|
1,823
|
||||||
Total derivative liabilities, at fair value
|
$
|
2,582
|
$
|
2,038
|
|||||
Margin Balances Posted to (from) Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
5,415
|
$
|
5,545
|
||||
TBA securities
|
Restricted cash
|
2,857
|
1,508
|
||||||
TBA securities
|
Other liabilities
|
-
|
(59
|
)
|
|||||
Interest rate swaption contracts
|
Other liabilities
|
(7,169
|
)
|
(3,505
|
)
|
||||
Total margin balances on derivative contracts
|
$
|
1,103
|
$
|
3,489
|
($ in thousands)
|
||||||||||||||||
March 31, 2018
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2018
|
$
|
1,333,333
|
1.92
|
%
|
2.40
|
%
|
$
|
4,743
|
||||||||
2019
|
1,500,000
|
2.16
|
%
|
2.69
|
%
|
8,060
|
||||||||||
2020
|
1,500,000
|
2.64
|
%
|
2.81
|
%
|
2,480
|
||||||||||
Total / Weighted Average
|
$
|
1,454,545
|
2.28
|
%
|
2.66
|
%
|
$
|
15,283
|
||||||||
Treasury Note Futures Contracts (Short Position)
(2)
|
||||||||||||||||
June 2018 5-year T-Note futures
|
||||||||||||||||
(June 2018 - June 2023 Hedge Period)
|
$
|
165,000
|
2.94
|
%
|
2.87
|
%
|
$
|
(472
|
)
|
($ in thousands)
|
||||||||||||||||
December 31, 2017
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
Eurodollar Futures Contracts (Short Positions)
|
||||||||||||||||
2018
|
$
|
1,212,500
|
1.86
|
%
|
1.98
|
%
|
$
|
1,418
|
||||||||
2019
|
1,350,000
|
2.11
|
%
|
2.27
|
%
|
2,152
|
||||||||||
2020
|
987,500
|
2.59
|
%
|
2.36
|
%
|
(2,360
|
)
|
|||||||||
Total / Weighted Average
|
$
|
1,183,333
|
2.16
|
%
|
2.20
|
%
|
$
|
1,210
|
||||||||
Treasury Note Futures Contracts (Short Position)
(2)
|
||||||||||||||||
March 2018 10 year T-Note futures
|
||||||||||||||||
(Mar 2018 - Mar 2028 Hedge Period)
|
$
|
140,000
|
2.23
|
%
|
2.33
|
%
|
$
|
755
|
(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 $114.46 at March 31, 2018 and $124.05 at December 31, 2017. The notional contract values of the short positions were $188.9 million and $173.7 million at March 31, 2018 and December 31, 2017, respectively.
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Net
|
|||||||||||||||||||
Fixed
|
Average
|
Estimated
|
Average
|
|||||||||||||||||
Notional
|
Pay
|
Receive
|
Fair
|
Maturity
|
||||||||||||||||
Amount
|
Rate
|
Rate
|
Value
|
(Years)
|
||||||||||||||||
March 31, 2018
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
650,000
|
1.09
|
%
|
1.81
|
%
|
$
|
17,232
|
1.8
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
360,000
|
2.05
|
%
|
2.03
|
%
|
7,875
|
4.0
|
|||||||||||||
$
|
1,010,000
|
1.43
|
%
|
1.89
|
%
|
$
|
25,107
|
2.6
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||
Expiration > 1 to ≤ 3 years
|
$
|
650,000
|
1.09
|
%
|
1.31
|
%
|
$
|
10,318
|
2.1
|
|||||||||||
Expiration > 3 to ≤ 5 years
|
360,000
|
2.05
|
%
|
1.32
|
%
|
(2,216
|
)
|
4.3
|
||||||||||||
$
|
1,010,000
|
1.43
|
%
|
1.31
|
%
|
$
|
8,102
|
2.8
|
($ 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, 2018
|
||||||||||||||||
≤ 1 year
|
||||||||||||||||
Payer Swaptions
|
$
|
11,062
|
$
|
10,296
|
9.3
|
$
|
750,000
|
3.00%
|
3 Month
|
9.2
|
||||||
Receiver Swaptions
|
820
|
760
|
10.4
|
100,000
|
2.60%
|
3 Month
|
5.0
|
|||||||||
December 31, 2017
|
||||||||||||||||
≤ 1 year
|
||||||||||||||||
Payer Swaptions
|
$
|
2,367
|
$
|
3,405
|
8.0
|
$
|
200,000
|
2.16%
|
3 Month
|
6.0
|
($ in thousands)
|
|||||||||
Notional
|
Net
|
||||||||
Amount
|
Cost
|
Market
|
Carrying
|
||||||
Long (Short)
(1)
|
Basis
(2)
|
Value
(3)
|
Value
(4)
|
||||||
March 31, 2018
|
|||||||||
30-Year TBA securities:
|
|||||||||
3.0%
|
$
|
(400,000)
|
$
|
(387,621)
|
$
|
(390,187)
|
$
|
(2,566)
|
|
December 31, 2017
|
|||||||||
30-Year TBA securities:
|
|||||||||
3.0%
|
$
|
(300,000)
|
$
|
(299,371)
|
$
|
(300,153)
|
$
|
(782)
|
|
4.0%
|
(357,000)
|
(373,403)
|
(373,477)
|
(74)
|
|||||
4.5%
|
356,556
|
380,371
|
379,414
|
(957)
|
|||||
Total
|
$
|
(300,444)
|
$
|
(292,403)
|
$
|
(294,216)
|
$
|
(1,813)
|
(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 consolidated balance sheets.
|
(in thousands)
|
||||||||
Three Months Ended March 31,
|
||||||||
2018
|
2017
|
|||||||
Eurodollar futures contracts (short positions)
|
$
|
14,541
|
$
|
(571
|
)
|
|||
T-Note futures contracts (short position)
|
6,821
|
(3,851
|
)
|
|||||
Interest rate swaps
|
10,508
|
3
|
||||||
Receiver swaptions
|
(349
|
)
|
-
|
|||||
Payer swaptions
|
2,066
|
-
|
||||||
Net TBA securities
|
8,407
|
-
|
||||||
Total
|
$
|
41,994
|
$
|
(4,419
|
)
|
(in thousands)
|
||||||||||||||||||||||||
March 31, 2018
|
December 31, 2017
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
PT RMBS - fair value
|
$
|
3,529,357
|
$
|
-
|
$
|
3,529,357
|
$
|
3,612,244
|
$
|
-
|
$
|
3,612,244
|
||||||||||||
Structured RMBS - fair value
|
114,361
|
-
|
114,361
|
100,317
|
-
|
100,317
|
||||||||||||||||||
Accrued interest on pledged securities
|
14,568
|
-
|
14,568
|
13,962
|
-
|
13,962
|
||||||||||||||||||
Receivable for securities sold
|
160,304
|
-
|
160,304
|
-
|
-
|
-
|
||||||||||||||||||
Restricted cash
|
28,565
|
8,272
|
36,837
|
25,296
|
7,053
|
32,349
|
||||||||||||||||||
Total
|
$
|
3,847,155
|
$
|
8,272
|
$
|
3,855,427
|
$
|
3,751,819
|
$
|
7,053
|
$
|
3,758,872
|
(in thousands)
|
||||||||||||||||||||||||
March 31, 2018
|
December 31, 2017
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Orchid
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
Cash
|
$
|
1,146
|
$
|
7,169
|
$
|
8,315
|
$
|
67
|
$
|
3,564
|
$
|
3,631
|
||||||||||||
PT RMBS - fair value
|
548
|
-
|
548
|
-
|
-
|
-
|
||||||||||||||||||
U.S. Treasury securities - fair value
|
1,077
|
-
|
1,077
|
-
|
-
|
-
|
||||||||||||||||||
Total
|
$
|
2,771
|
$
|
7,169
|
$
|
9,940
|
$
|
67
|
$
|
3,564
|
$
|
3,631
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Assets
|
||||||||||||||||||||||||
Net Amount
|
Gross Amount Not Offset in the
|
|||||||||||||||||||||||
of Assets
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
Presented
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
in the
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Received as
|
Received as
|
Net
|
|||||||||||||||||||
Assets
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
March 31, 2018
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
25,107
|
$
|
-
|
$
|
25,107
|
$
|
-
|
$
|
-
|
$
|
25,107
|
||||||||||||
Interest rate swaptions
|
11,056
|
-
|
11,056
|
-
|
(7,169
|
)
|
3,887
|
|||||||||||||||||
TBA securities
|
16
|
-
|
16
|
-
|
-
|
16
|
||||||||||||||||||
$
|
36,179
|
$
|
-
|
$
|
36,179
|
$
|
-
|
$
|
(7,169
|
)
|
$
|
29,010
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||||||
Interest rate swaps
|
$
|
13,745
|
$
|
-
|
$
|
13,745
|
$
|
-
|
$
|
-
|
$
|
13,745
|
||||||||||||
Interest rate swaptions
|
3,405
|
-
|
3,405
|
-
|
(3,405
|
)
|
-
|
|||||||||||||||||
TBA securities
|
10
|
-
|
10
|
-
|
(10
|
)
|
-
|
|||||||||||||||||
$
|
17,160
|
$
|
-
|
$
|
17,160
|
$
|
-
|
$
|
(3,415
|
)
|
$
|
13,745
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Net Amount
|
Gross Amount Not Offset in the
|
|||||||||||||||||||||||
of Assets
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
Presented
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
in the
|
Instruments
|
|||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Posted as
|
Cash Posted
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
March 31, 2018
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
3,619,280
|
$
|
-
|
$
|
3,619,280
|
$
|
(3,590,715
|
)
|
$
|
(28,565
|
)
|
$
|
-
|
||||||||||
TBA securities
|
2,582
|
-
|
2,582
|
-
|
(2,582
|
)
|
-
|
|||||||||||||||||
$
|
3,621,862
|
$
|
-
|
$
|
3,621,862
|
$
|
(3,590,715
|
)
|
$
|
(31,147
|
)
|
$
|
-
|
|||||||||||
December 31, 2017
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
3,533,786
|
$
|
-
|
$
|
3,533,786
|
$
|
(3,508,490
|
)
|
$
|
(25,296
|
)
|
$
|
-
|
||||||||||
Interest rate swaps
|
215
|
-
|
215
|
-
|
-
|
215
|
||||||||||||||||||
TBA securities
|
1,823
|
-
|
1,823
|
-
|
(1,508
|
)
|
315
|
|||||||||||||||||
$
|
3,535,824
|
$
|
-
|
$
|
3,535,824
|
$
|
(3,508,490
|
)
|
$
|
(26,804
|
)
|
$
|
530
|
($ in thousands, except per share amounts)
|
|||||||||||||||||||||
Weighted
|
|||||||||||||||||||||
Average
|
|||||||||||||||||||||
Price
|
|||||||||||||||||||||
Book Value Per Share
|
Received
|
Net
|
|||||||||||||||||||
Type of Offering
|
Period
|
Beginning
|
Ending
|
Per Share
(1)
|
Shares
|
Proceeds
(2)
|
|||||||||||||||
2017
|
|||||||||||||||||||||
At the Market Offering Program
(3)
|
First Quarter
|
$
|
10.10
|
$
|
9.75
|
$
|
10.13
|
1,286,196
|
$
|
12,792
|
|||||||||||
At the Market Offering Program
(3)
|
Second Quarter
|
9.75
|
9.23
|
10.17
|
11,012,836
|
110,065
|
|||||||||||||||
At the Market Offering Program
(3)
|
Fourth Quarter
|
9.15
|
8.71
|
9.81
|
7,746,052
|
74,750
|
|||||||||||||||
20,045,084
|
$
|
197,607
|
(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.
|
(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 - YTD
(1)
|
0.400
|
21,249
|
||||||
Totals
|
$
|
9.235
|
$
|
199,407
|
(1)
|
On April 11, 2018, the Company declared a dividend of $0.09 per share to be paid on May 10, 2018. The effect of this dividend is included in the table above, but is not reflected in the Company's financial statements as of March 31, 2018.
|
($ in thousands, except per share data)
|
||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||
2018
|
2017
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
-
|
$
|
-
|
8,000
|
$
|
12.23
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Vested and issued
|
-
|
-
|
-
|
-
|
||||||||||||
Unvested, end of period
|
-
|
$
|
-
|
8,000
|
$
|
12.23
|
||||||||||
Compensation expense during period
|
$
|
-
|
$
|
24
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
-
|
$
|
8
|
||||||||||||
Intrinsic value, end of period
|
$
|
-
|
$
|
80
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
-
|
0.1
|
($ in thousands, except per share data)
|
||||||||
Three Months Ended March 31,
|
||||||||
2018
|
2017
|
|||||||
Fully vested shares granted
|
3,886
|
17,335
|
||||||
Weighted average grant date price per share
|
$
|
9.28
|
$
|
9.67
|
||||
Compensation expense related to fully vested shares of common stock awards
|
$
|
36
|
$
|
168
|
($ in thousands, except per share data)
|
||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||
2018
|
2017
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Shares
|
Fair Value
|
Shares
|
Fair Value
|
|||||||||||||
Unvested, beginning of period
|
41,693
|
$
|
9.95
|
45,305
|
$
|
10.33
|
||||||||||
Granted
|
-
|
-
|
15,707
|
9.55
|
||||||||||||
Vested and issued
|
(6,406
|
)
|
10.28
|
(4,830
|
)
|
10.52
|
||||||||||
Unvested, end of period
|
35,287
|
$
|
9.89
|
56,182
|
$
|
10.10
|
||||||||||
Compensation expense during period
|
$
|
45
|
$
|
62
|
||||||||||||
Unrecognized compensation expense, end of period
|
$
|
121
|
$
|
344
|
||||||||||||
Intrinsic value, end of period
|
$
|
260
|
$
|
561
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
0.9
|
1.5
|
(in thousands, except per-share information)
|
||||||||
Three Months Ended March 31,
|
||||||||
2018
|
2017
|
|||||||
Basic and diluted EPS per common share:
|
||||||||
Numerator for basic and diluted EPS per share of common stock:
|
||||||||
Net (loss) income - Basic and diluted
|
$
|
(16,377
|
)
|
$
|
2,449
|
|||
Weighted average shares of common stock:
|
||||||||
Shares of common stock outstanding at the balance sheet date
|
53,072
|
34,270
|
||||||
Unvested dividend eligible share based compensation
|
||||||||
outstanding at the balance sheet date
|
-
|
64
|
||||||
Effect of weighting
|
(6
|
)
|
(1,265
|
)
|
||||
Weighted average shares-basic and diluted
|
53,066
|
33,069
|
||||||
Net (loss) income per common share:
|
||||||||
Basic and diluted
|
$
|
(0.31
|
)
|
$
|
0.07
|
·
|
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.
|
(in thousands)
|
||||||||||||||||
Quoted Prices
|
||||||||||||||||
in Active
|
Significant
|
|||||||||||||||
Markets for
|
Other
|
Significant
|
||||||||||||||
Identical
|
Observable
|
Unobservable
|
||||||||||||||
Fair Value
|
Assets
|
Inputs
|
Inputs
|
|||||||||||||
Measurements
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
|||||||||||||
March 31, 2018
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,745,784
|
$
|
-
|
$
|
3,745,784
|
$
|
-
|
||||||||
Interest rate swaps
|
25,107
|
-
|
25,107
|
-
|
||||||||||||
Interest rate swaptions
|
11,056
|
-
|
11,056
|
-
|
||||||||||||
TBA securities
|
(2,566
|
)
|
-
|
(2,566
|
)
|
-
|
||||||||||
December 31, 2017
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,744,811
|
$
|
-
|
$
|
3,744,811
|
$
|
-
|
||||||||
Interest rate swaps
|
13,530
|
-
|
13,530
|
-
|
||||||||||||
Interest rate swaptions
|
3,405
|
-
|
3,405
|
-
|
||||||||||||
TBA securities
|
(1,813
|
)
|
-
|
(1,813
|
)
|
-
|
·
|
One-twelfth of 1.5% of the first $250 million of the Company's equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company's equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Company's equity that is greater than $500 million.
|
·
|
interest rate trends;
|
·
|
the difference between Agency RMBS yields and our funding and hedging costs;
|
·
|
competition for, and supply of, investments in Agency RMBS;
|
·
|
actions taken by the U.S. government, including the presidential administration, the Federal Reserve (the "Fed"), the Federal Open Market Committee (the "FOMC") and the U.S. Treasury;
|
·
|
prepayment rates on mortgages underlying our Agency RMBS, and credit trends insofar as they affect prepayment rates; and
|
·
|
other market developments.
|
·
|
our degree of leverage;
|
·
|
our access to funding and borrowing capacity;
|
·
|
our borrowing costs;
|
·
|
our hedging activities;
|
·
|
the market value of our investments; and
|
·
|
the requirements to qualify as a REIT and the requirements to qualify for a registration exemption under the Investment Company Act.
|
(in thousands)
|
||||||||||||
2018
|
2017
|
Change
|
||||||||||
Interest income
|
$
|
39,935
|
$
|
32,311
|
$
|
7,624
|
||||||
Interest expense
|
(15,149
|
)
|
(6,715
|
)
|
(8,434
|
)
|
||||||
Net interest income
|
24,786
|
25,596
|
(810
|
)
|
||||||||
Losses on RMBS and derivative contracts
|
(38,056
|
)
|
(20,727
|
)
|
(17,329
|
)
|
||||||
Net portfolio (deficiency) income
|
(13,270
|
)
|
4,869
|
(18,139
|
)
|
|||||||
Expenses
|
(3,107
|
)
|
(2,420
|
)
|
(687
|
)
|
||||||
Net (loss) income
|
$
|
(16,377
|
)
|
$
|
2,449
|
$
|
(18,826
|
)
|
Net Earnings Excluding Realized and Unrealized Gains and Losses
|
||||||||||||||||||||||||
(in thousands, except per share data)
|
||||||||||||||||||||||||
Per Share
|
||||||||||||||||||||||||
Net Earnings
|
Net Earnings
|
|||||||||||||||||||||||
Excluding
|
Excluding
|
|||||||||||||||||||||||
Realized and
|
Realized and
|
Realized and
|
Realized and
|
|||||||||||||||||||||
Net
|
Unrealized
|
Unrealized
|
Net
|
Unrealized
|
Unrealized
|
|||||||||||||||||||
Income
|
Gains and
|
Gains and
|
Income
|
Gains and
|
Gains and
|
|||||||||||||||||||
(GAAP)
|
Losses
(1)
|
Losses
|
(GAAP)
|
Losses
|
Losses
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2018
|
$
|
(16,377
|
)
|
$
|
(38,055
|
)
|
$
|
21,678
|
$
|
(0.31
|
)
|
$
|
(0.72
|
)
|
$
|
0.41
|
||||||||
December 31, 2017
|
(5,982
|
)
|
(29,540
|
)
|
23,558
|
(0.12
|
)
|
(0.61
|
)
|
0.49
|
||||||||||||||
September 30, 2017
|
15,183
|
(8,254
|
)
|
23,437
|
0.33
|
(0.18
|
)
|
0.52
|
||||||||||||||||
June 30, 2017
|
(9,643
|
)
|
(32,597
|
)
|
22,954
|
(0.26
|
)
|
(0.88
|
)
|
0.62
|
||||||||||||||
March 31, 2017
|
2,449
|
(20,727
|
)
|
23,176
|
0.07
|
(0.63
|
)
|
0.70
|
(1)
|
Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest expense on interest rate swaps
.
|
Gains (Losses) on Derivative Instruments
|
||||||||||||||||
(in thousands)
|
||||||||||||||||
Funding Hedges
|
||||||||||||||||
Recognized in
|
Attributed to
|
Attributed to
|
||||||||||||||
Income
|
TBA
|
Current
|
Future
|
|||||||||||||
Statement
|
Securities
|
Period
|
Periods
|
|||||||||||||
(GAAP)
|
Income (Loss)
|
(Non-GAAP)
|
(Non-GAAP)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
March 31, 2018
|
$
|
41,994
|
$
|
8,407
|
$
|
(3,011
|
)
|
$
|
36,598
|
|||||||
December 31, 2017
|
13,982
|
(2,094
|
)
|
(3,763
|
)
|
$
|
19,839
|
|||||||||
September 30, 2017
|
(5,470
|
)
|
(1,459
|
)
|
(3,761
|
)
|
$
|
(250
|
)
|
|||||||
June 30, 2017
|
(19,442
|
)
|
(2,384
|
)
|
(3,654
|
)
|
$
|
(13,404
|
)
|
|||||||
March 31, 2017
|
(4,419
|
)
|
-
|
(3,193
|
)
|
$
|
(1,226
|
)
|
Economic Interest Expense and Economic Net Interest Income
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on Borrowings
|
||||||||||||||||||||||||
Gains
|
||||||||||||||||||||||||
(Losses) on
|
||||||||||||||||||||||||
Derivative
|
||||||||||||||||||||||||
Instruments
|
Net Interest Income
|
|||||||||||||||||||||||
GAAP
|
Attributed
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||
Interest
|
Interest
|
to Current
|
Interest
|
Net Interest
|
Net Interest
|
|||||||||||||||||||
Income
|
Expense
|
Period
(1)
|
Expense
(2)
|
Income
|
Income
(3)
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2018
|
$
|
39,935
|
$
|
15,149
|
$
|
(3,011
|
)
|
$
|
18,160
|
$
|
24,786
|
$
|
21,775
|
|||||||||||
December 31, 2017
|
40,098
|
13,554
|
(3,763
|
)
|
17,317
|
26,544
|
22,781
|
|||||||||||||||||
September 30, 2017
|
38,974
|
12,638
|
(3,761
|
)
|
16,399
|
26,336
|
22,575
|
|||||||||||||||||
June 30, 2017
|
34,579
|
8,763
|
(3,654
|
)
|
12,417
|
25,816
|
22,162
|
|||||||||||||||||
March 31, 2017
|
32,311
|
6,715
|
(3,193
|
)
|
9,908
|
25,596
|
22,403
|
(1)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(2)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP interest expense.
|
(3)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||
Average
|
Yield on
|
Interest Expense
|
Average Cost of Funds
|
|||||||||||||||||||||||||||||
RMBS
|
Interest
|
Average
|
Average
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Held
(1)
|
Income
|
RMBS
|
Borrowings
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
|||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||
March 31, 2018
|
$
|
3,745,298
|
$
|
39,935
|
4.27
|
%
|
$
|
3,576,533
|
$
|
15,149
|
$
|
18,160
|
1.69
|
%
|
2.03
|
%
|
||||||||||||||||
December 31, 2017
|
3,837,575
|
40,098
|
4.18
|
%
|
3,621,931
|
13,554
|
17,317
|
1.50
|
%
|
1.91
|
%
|
|||||||||||||||||||||
September 30, 2017
|
3,834,083
|
38,974
|
4.07
|
%
|
3,494,266
|
12,638
|
16,399
|
1.45
|
%
|
1.88
|
%
|
|||||||||||||||||||||
June 30, 2017
|
3,499,922
|
34,579
|
3.95
|
%
|
3,164,532
|
8,763
|
12,417
|
1.11
|
%
|
1.57
|
%
|
|||||||||||||||||||||
March 31, 2017
|
3,142,095
|
32,311
|
4.11
|
%
|
2,922,157
|
6,715
|
9,908
|
0.92
|
%
|
1.36
|
%
|
($ in thousands)
|
||||||||||||||||
Net Interest Income
|
Net Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
March 31, 2018
|
$
|
24,786
|
$
|
21,775
|
2.58
|
%
|
2.24
|
%
|
||||||||
December 31, 2017
|
26,544
|
22,781
|
2.68
|
%
|
2.27
|
%
|
||||||||||
September 30, 2017
|
26,336
|
22,575
|
2.62
|
%
|
2.19
|
%
|
||||||||||
June 30, 2017
|
25,816
|
22,162
|
2.84
|
%
|
2.38
|
%
|
||||||||||
March 31, 2017
|
25,596
|
22,403
|
3.19
|
%
|
2.75
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the tables above, below and on page 31 are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.
|
(2)
|
Economic interest expense and economic net interest income
presented in the table above and the tables on page 31 includes the effect of our derivative instrument hedges for only the periods presented.
|
(3) |
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.
|
(4) |
Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||
Average RMBS Held
|
Interest Income
|
Realized Yield on Average RMBS
|
||||||||||||||||||||||||||||||||||
PT
|
Structured
|
PT
|
Structured
|
PT
|
Structured
|
|||||||||||||||||||||||||||||||
Three Months Ended
|
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
RMBS
|
RMBS
|
Total
|
|||||||||||||||||||||||||||
March 31, 2018
|
$
|
3,610,527
|
$
|
134,771
|
$
|
3,745,298
|
$
|
38,725
|
$
|
1,210
|
$
|
39,935
|
4.29
|
%
|
3.59
|
%
|
4.27
|
%
|
||||||||||||||||||
December 31, 2017
|
3,704,163
|
133,412
|
3,837,575
|
38,927
|
1,171
|
40,098
|
4.20
|
%
|
3.51
|
%
|
4.18
|
%
|
||||||||||||||||||||||||
September 30, 2017
|
3,687,533
|
146,550
|
3,834,083
|
38,476
|
498
|
38,974
|
4.17
|
%
|
1.36
|
%
|
4.07
|
%
|
||||||||||||||||||||||||
June 30, 2017
|
3,349,042
|
150,880
|
3,499,922
|
32,479
|
2,100
|
34,579
|
3.88
|
%
|
5.57
|
%
|
3.95
|
%
|
||||||||||||||||||||||||
March 31, 2017
|
2,990,937
|
151,158
|
3,142,095
|
29,772
|
2,539
|
32,311
|
3.98
|
%
|
6.72
|
%
|
4.11
|
%
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Balance of
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Three Months Ended
|
Borrowings
|
Basis
|
Basis
|
Basis
|
Basis
|
|||||||||||||||
March 31, 2018
|
$
|
3,576,533
|
$
|
15,149
|
$
|
18,160
|
1.69
|
%
|
2.03
|
%
|
||||||||||
December 31, 2017
|
3,621,931
|
13,554
|
17,317
|
1.50
|
%
|
1.91
|
%
|
|||||||||||||
September 30, 2017
|
3,494,266
|
12,638
|
16,399
|
1.45
|
%
|
1.88
|
%
|
|||||||||||||
June 30, 2017
|
3,164,532
|
8,763
|
12,417
|
1.11
|
%
|
1.57
|
%
|
|||||||||||||
March 31, 2017
|
2,922,157
|
6,715
|
9,908
|
0.92
|
%
|
1.36
|
%
|
Average GAAP Cost of Funds
|
Average Economic Cost of Funds
|
|||||||||||||||||||||||
Relative to Average
|
Relative to Average
|
|||||||||||||||||||||||
Average LIBOR
|
One-Month
|
Six-Month
|
One-Month
|
Six-Month
|
||||||||||||||||||||
One-Month
|
Six-Month
|
LIBOR
|
LIBOR
|
LIBOR
|
LIBOR
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2018
|
1.69
|
%
|
2.11
|
%
|
0.00
|
%
|
(0.42
|
)%
|
0.34
|
%
|
(0.08
|
)%
|
||||||||||||
December 31, 2017
|
1.36
|
%
|
1.62
|
%
|
0.14
|
%
|
(0.12
|
)%
|
0.55
|
%
|
0.29
|
%
|
||||||||||||
September 30, 2017
|
1.20
|
%
|
1.45
|
%
|
0.25
|
%
|
(0.00
|
)%
|
0.68
|
%
|
0.43
|
%
|
||||||||||||
June 30, 2017
|
1.05
|
%
|
1.43
|
%
|
0.06
|
%
|
(0.32
|
)%
|
0.52
|
%
|
0.14
|
%
|
||||||||||||
March 31, 2017
|
0.82
|
%
|
1.37
|
%
|
0.10
|
%
|
(0.45
|
)%
|
0.54
|
%
|
(0.01
|
)%
|
(in thousands)
|
||||||||||||
2018
|
2017
|
Change
|
||||||||||
Realized losses on sales of RMBS
|
$
|
(8,338
|
)
|
$
|
(1,350
|
)
|
$
|
(6,988
|
)
|
|||
Unrealized losses on RMBS
|
(71,712
|
)
|
(14,958
|
)
|
(56,754
|
)
|
||||||
Total losses on RMBS
|
(80,050
|
)
|
(16,308
|
)
|
(63,742
|
)
|
||||||
Gains (losses) on interest rate futures
|
21,362
|
(4,422
|
)
|
25,784
|
||||||||
Gains on interest rate swaps
|
10,508
|
3
|
10,505
|
|||||||||
Losses on receiver swaptions
|
(349
|
)
|
-
|
(349
|
)
|
|||||||
Gains on payer swaptions
|
2,066
|
-
|
2,066
|
|||||||||
Gains on TBA securities
|
8,407
|
-
|
8,407
|
5 Year
|
10 Year
|
15 Year
|
30 Year
|
Three
|
||||||||||||||||
U.S. Treasury
|
U.S. Treasury
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
||||||||||||||||
Rate
(1)
|
Rate
(1)
|
Mortgage Rate
(2)
|
Mortgage Rate
(2)
|
LIBOR
(3)
|
||||||||||||||||
March 31, 2018
|
2.56
|
%
|
2.74
|
%
|
3.91
|
%
|
4.44
|
%
|
2.31
|
%
|
||||||||||
December 31, 2017
|
2.21
|
%
|
2.40
|
%
|
3.39
|
%
|
3.95
|
%
|
1.61
|
%
|
||||||||||
September 30, 2017
|
1.93
|
%
|
2.33
|
%
|
3.11
|
%
|
3.81
|
%
|
1.32
|
%
|
||||||||||
June 30, 2017
|
1.88
|
%
|
2.30
|
%
|
3.17
|
%
|
3.90
|
%
|
1.26
|
%
|
||||||||||
March 31, 2017
|
1.93
|
%
|
2.40
|
%
|
3.41
|
%
|
4.20
|
%
|
1.13
|
%
|
(1)
|
Historical 5 and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
|
(2)
|
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac's Primary Mortgage Market Survey.
|
(3)
|
Historical LIBOR is obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||
2018
|
2017
|
Change
|
||||||||||
Management fees
|
$
|
1,712
|
$
|
1,302
|
$
|
410
|
||||||
Overhead allocation
|
382
|
368
|
14
|
|||||||||
Accrued incentive compensation
|
11
|
12
|
(1
|
)
|
||||||||
Directors fees and liability insurance
|
252
|
276
|
(24
|
)
|
||||||||
Audit, legal and other professional fees
|
296
|
170
|
126
|
|||||||||
Other direct REIT operating expenses
|
403
|
231
|
172
|
|||||||||
Other expenses
|
51
|
61
|
(10
|
)
|
||||||||
Total expenses
|
$
|
3,107
|
$
|
2,420
|
$
|
687
|
·
|
One-twelfth of 1.5% of the first $250 million of the Company's equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company's equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Company's equity that is greater than $500 million.
|
Structured
|
||||||||||||
PT RMBS
|
RMBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
March 31, 2018
|
6.5
|
11.6
|
7.7
|
|||||||||
December 31, 2017
|
7.0
|
13.6
|
9.1
|
|||||||||
September 30, 2017
|
8.3
|
14.9
|
10.3
|
|||||||||
June 30, 2017
|
7.0
|
12.7
|
9.5
|
|||||||||
March 31, 2017
|
7.5
|
14.3
|
9.9
|
($ in thousands)
|
|||||||||
Weighted
|
Weighted
|
||||||||
Percentage
|
Average
|
Average
|
Weighted
|
Weighted
|
|||||
of
|
Weighted
|
Maturity
|
Coupon
|
Average
|
Average
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
Reset in
|
Lifetime
|
Periodic
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
Months
|
Cap
|
Cap
|
|
March 31, 2018
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,754
|
0.0%
|
3.94%
|
203
|
1-Sep-35
|
3.17
|
10.05%
|
2.00%
|
Fixed Rate RMBS
|
3,569,133
|
95.3%
|
4.27%
|
327
|
1-Jan-48
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
26,482
|
0.7%
|
2.59%
|
298
|
1-Aug-43
|
56.76
|
7.59%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
3,597,369
|
96.0%
|
4.25%
|
327
|
1-Jan-48
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
120,199
|
3.2%
|
3.82%
|
281
|
25-Feb-48
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
28,216
|
0.8%
|
3.80%
|
313
|
15-Jul-47
|
NA
|
5.25%
|
NA
|
|
Total Structured RMBS
|
148,415
|
4.0%
|
3.82%
|
287
|
25-Feb-48
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,745,784
|
100.0%
|
4.24%
|
326
|
25-Feb-48
|
NA
|
NA
|
NA
|
December 31, 2017
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,754
|
0.0%
|
3.95%
|
206
|
1-Sep-35
|
5.50
|
10.05%
|
2.00%
|
Fixed Rate RMBS
|
3,594,533
|
96.0%
|
4.25%
|
338
|
1-Dec-47
|
NA
|
NA
|
NA
|
|
Hybrid Adjustable Rate RMBS
|
27,398
|
0.8%
|
2.59%
|
301
|
1-Aug-43
|
59.77
|
7.59%
|
2.00%
|
|
Total Mortgage-backed Pass-through
|
3,623,685
|
96.8%
|
4.24%
|
338
|
1-Dec-47
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
86,918
|
2.3%
|
3.75%
|
262
|
15-Apr-47
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
34,208
|
0.9%
|
4.02%
|
318
|
15-Jul-47
|
NA
|
5.11%
|
NA
|
|
Total Structured RMBS
|
121,126
|
3.2%
|
3.82%
|
278
|
15-Jul-47
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,744,811
|
100.0%
|
4.23%
|
336
|
1-Dec-47
|
NA
|
NA
|
NA
|
($ in thousands)
|
||||||||||||||||
March 31, 2018
|
December 31, 2017
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
2,248,935
|
60.0
|
%
|
$
|
2,242,213
|
59.9
|
%
|
||||||||
Freddie Mac
|
1,490,267
|
39.8
|
%
|
1,496,615
|
40.0
|
%
|
||||||||||
Ginnie Mae
|
6,582
|
0.2
|
%
|
5,983
|
0.1
|
%
|
||||||||||
Total Portfolio
|
$
|
3,745,784
|
100.0
|
%
|
$
|
3,744,811
|
100.0
|
%
|
March 31, 2018
|
December 31, 2017
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
107.46
|
$
|
107.52
|
||||
Weighted Average Structured Purchase Price
|
$
|
14.35
|
$
|
13.82
|
||||
Weighted Average Pass-through Current Price
|
$
|
104.65
|
$
|
106.79
|
||||
Weighted Average Structured Current Price
|
$
|
14.17
|
$
|
12.50
|
||||
Effective Duration
(1)
|
3.769
|
2.989
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 bps change in rates. An effective duration of 3.769 indicates that an interest rate increase of 1.0% would be expected to cause a 3.769% decrease in the value of the RMBS in the Company's investment portfolio at March 31, 2018. An effective duration of 2.989 indicates that an interest rate increase of 1.0% would be expected to cause a 2.989% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2017. These figures include the structured securities in the portfolio, but do not include the effect of the Company's funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
|
($ in thousands)
|
||||||||||||||||||||||||
2018
|
2017
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
Pass-through RMBS
|
$
|
520,778
|
$
|
106.30
|
3.01
|
%
|
$
|
1,682,894
|
$
|
108.13
|
2.95
|
%
|
||||||||||||
Structured RMBS
|
27,729
|
21.50
|
5.39
|
%
|
54,346
|
16.35
|
5.32
|
%
|
($ in thousands)
|
||||||||||||||||
Difference Between Ending
|
||||||||||||||||
Ending
|
Average
|
Borrowings and
|
||||||||||||||
Balance of
|
Balance of
|
Average Borrowings
|
||||||||||||||
Three Months Ended
|
Borrowings
|
Borrowings
|
Amount
|
Percent
|
||||||||||||
March 31, 2018
|
3,619,280
|
3,576,533
|
42,747
|
1.20
|
%
|
|||||||||||
December 31, 2017
|
3,533,786
|
3,621,931
|
(88,145
|
)
|
(2.43
|
)%
|
||||||||||
September 30, 2017
|
3,710,077
|
3,494,266
|
215,811
|
6.18
|
%
|
|||||||||||
June 30, 2017
|
3,278,456
|
3,164,532
|
113,924
|
3.60
|
%
|
|||||||||||
March 31, 2017
|
3,050,608
|
2,922,157
|
128,451
|
4.40
|
%
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
3,619,280
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,619,280
|
||||||||||
Interest expense on repurchase agreements
(1)
|
14,120
|
-
|
-
|
-
|
14,120
|
|||||||||||||||
Totals
|
$
|
3,633,400
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,633,400
|
(1)
|
Interest expense on repurchase agreements is based on current interest rates as of March 31, 2018 and the remaining term of the liabilities existing at that date.
|
(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 - YTD
(1)
|
0.400
|
21,249
|
||||||
Totals
|
$
|
9.235
|
$
|
199,407
|
(1)
|
On April 11, 2018, the Company declared a dividend of $0.09 per share to be paid on May 10, 2018. 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, 2018.
|
(1)
|
Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager, and assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.
|
(2)
|
Includes the effect of derivatives and other securities used for hedging purposes.
|
(3)
|
Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.
|
(4)
|
Estimated dollar change in portfolio value expressed as a percent of stockholders' equity as of such date.
|
|
* |
Filed herewith.
|
** |
Furnished herewith.
|
*** |
Submitted electronically herewith.
|
† |
Management contract or compensatory plan.
|
Orchid Island Capital, Inc
.
|
||||
Registrant
|
||||
Date:
April 27, 2018
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chief Executive Officer, President and Chairman of the Board
|
||||
Date:
April 27, 2018
|
By:
|
/s/ George H. Haas, IV
|
||
George H. Haas, IV
Secretary, Chief Financial Officer, Chief Investment Officer and Director (Principal Financial and Accounting Officer)
|
1-year
|
3-year
|
5-year
|
|
Peer-relative financial performance
|
9.00%
|
15.75%
|
20.25%
|
Agency RMBS rate relative performance
|
6.00%
|
10.50%
|
13.50%
|
Peer-relative book value performance
|
5.00%
|
8.75%
|
11.25%
|
Total for Measurement Period
|
20.00%
|
35.00%
|
45.00%
|
1-year
|
3-year
|
5-year
|
|
Peer-relative financial performance
|
Threshold + 5.0%
|
Threshold + 10.0%
|
Threshold + 15.0%
|
Agency RMBS rate relative performance
|
Threshold + 5.0%
|
Threshold + 10.0%
|
Threshold + 15.0%
|
Peer-relative book value performance
|
Threshold + 2.0%
|
Threshold + 4.0%
|
Threshold + 6.0%
|
1-year
|
3-year
|
5-year
|
|
Peer-relative financial performance
|
9.00%
|
15.75%
|
20.25%
|
Agency RMBS rate relative performance
|
6.00%
|
10.50%
|
13.50%
|
Peer-relative book value performance
|
5.00%
|
8.75%
|
11.25%
|
Total for Measurement Period
|
20.00%
|
35.00%
|
45.00%
|
1-year
|
3-year
|
5-year
|
|
Peer-relative financial performance
|
Threshold + 5.0%
|
Threshold + 10.0%
|
Threshold + 15.0%
|
Agency RMBS rate relative performance
|
Threshold + 5.0%
|
Threshold + 10.0%
|
Threshold + 15.0%
|
Peer-relative book value performance
|
Threshold + 2.0%
|
Threshold + 4.0%
|
Threshold + 6.0%
|
Participant:
|
||
Date of Grant:
|
||
Award Type and Description:
|
Other Equity-Based Award granted pursuant to Article X of the Plan.
|
|
Total Number of Deferred Stock Units:
|
COMPANY
Orchid Island Capital, Inc.
By:
|
|||
Name: | |||
Title:
|
|||
PARTICIPANT
|
|||
Name: | |||
Address: |
·
|
Unless otherwise specified, capitalized terms used but not defined in this DSU Election Form shall have the meaning attributed to them in the Deferred Stock Unit Grant Notice (the "
Grant Notice
"), the Deferred Stock Unit Agreement (the "
Agreement
") or the Orchid Island Capital, Inc. 2012 Equity Incentive Plan, as amended from time to time (the "
Plan
"), as applicable.
|
·
|
You must complete this DSU Election Form by the Election Deadline and select a payment date on which you will receive the shares of Common Stock underlying the DSUs. You must complete this DSU Election Form even if you want the shares of Common Stock underlying your DSUs to be paid to you at the default time specified in the Agreement.
|
·
|
Notwithstanding the foregoing, if you fail to complete and timely submit this DSU Election Form, the shares of Common Stock underlying your DSUs will be paid to you at the default time specified in the Agreement.
|
·
|
Unless otherwise specified, capitalized terms used but not defined in this DER Election Form shall have the meaning attributed to them in the Deferred Stock Unit Grant Notice (the "
Grant Notice
"), the Deferred Stock Unit Agreement (the "
Agreement
") or the Orchid Island Capital, Inc. 2012 Equity Incentive Plan, as amended from time to time (the "
Plan
"), as applicable.
|
·
|
You must complete this DER Election Form by the Election Deadline and select a payment date on which you will receive the Dividend Equivalents (or the shares of Common Stock underlying any reinvested Dividend Equivalents). You must complete this DER Election Form even if you want the Dividend Equivalents to be paid to you at the default time specified in the Agreement.
|
·
|
Notwithstanding the foregoing, if you fail to complete and timely submit this DER Election Form, the Dividend Equivalents will be paid to you at the default time specified in the Agreement.
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Orchid Island Capital, Inc. (the "registrant");
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a)
|
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b)
|
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c)
|
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d)
|
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing equivalent functions):
|
|
a)
|
all significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
|
b)
|
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: April 27, 2018
|
|
/s/ Robert E. Cauley
|
|
Robert E. Cauley
|
|
Chairman of the Board, Chief Executive Officer and President
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Orchid Island Capital, Inc. (the "registrant");
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a)
|
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b)
|
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c)
|
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d)
|
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing equivalent functions):
|
|
a)
|
all significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
|
b)
|
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: April 27, 2018
|
|
/s/ G. Hunter Haas, IV
|
|
G. Hunter Haas, IV
|
|
Chief Financial Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
April 27, 2018
|
/s/ Robert E. Cauley
|
|
Robert E. Cauley,
Chairman of the Board and
Chief Executive Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
April 27, 2018
|
/s/ G. Hunter Haas, IV
|
|
G. Hunter Haas, IV
Chief Financial Officer
|