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
|
(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.
|
(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, 2019
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,088,514
|
$
|
-
|
$
|
3,088,514
|
$
|
-
|
||||||||
Interest rate swaps
|
12,036
|
-
|
12,036
|
-
|
||||||||||||
Interest rate swaptions
|
53
|
-
|
53
|
-
|
||||||||||||
TBA securities
|
(4,235
|
)
|
-
|
(4,235
|
)
|
-
|
||||||||||
December 31, 2018
|
||||||||||||||||
Mortgage-backed securities
|
$
|
3,014,503
|
$
|
-
|
$
|
3,014,503
|
$
|
-
|
||||||||
Interest rate swaps
|
14,557
|
-
|
14,557
|
-
|
||||||||||||
Interest rate swaptions
|
123
|
-
|
123
|
-
|
||||||||||||
TBA securities
|
(3,742
|
)
|
-
|
(3,742
|
)
|
-
|
·
|
One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company’s month-end 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 month-end 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)
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Interest income
|
$
|
32,433
|
$
|
39,935
|
$
|
(7,502
|
)
|
|||||
Interest expense
|
(18,892
|
)
|
(15,149
|
)
|
(3,743
|
)
|
||||||
Net interest income
|
13,541
|
24,786
|
(11,245
|
)
|
||||||||
Losses on RMBS and derivative contracts
|
(748
|
)
|
(38,056
|
)
|
37,308
|
|||||||
Net portfolio income (deficiency)
|
12,793
|
(13,270
|
)
|
26,063
|
||||||||
Expenses
|
(2,196
|
)
|
(3,107
|
)
|
911
|
|||||||
Net income (loss)
|
$
|
10,597
|
$
|
(16,377
|
)
|
$
|
26,974
|
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, 2019
|
$
|
10,597
|
$
|
(748
|
)
|
$
|
11,345
|
$
|
0.22
|
$
|
(0.02
|
)
|
$
|
0.24
|
||||||||||
December 31, 2018
|
(26,397
|
)
|
(40,707
|
)
|
14,310
|
(0.52
|
)
|
(0.80
|
)
|
0.28
|
||||||||||||||
September 30, 2018
|
(2,959
|
)
|
(20,150
|
)
|
17,191
|
(0.06
|
)
|
(0.39
|
)
|
0.33
|
||||||||||||||
June 30, 2018
|
1,346
|
(17,734
|
)
|
19,080
|
0.03
|
(0.34
|
)
|
0.37
|
||||||||||||||||
March 31, 2018
|
(16,377
|
)
|
(38,055
|
)
|
21,678
|
(0.31
|
)
|
(0.72
|
)
|
0.41
|
(1)
|
Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest income or
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, 2019
|
$
|
(19,032
|
)
|
$
|
(4,641
|
)
|
$
|
2,427
|
$
|
(16,818
|
)
|
|||||
December 31, 2018
|
(45,235
|
)
|
(8,737
|
)
|
784
|
$
|
(37,282
|
)
|
||||||||
September 30, 2018
|
12,693
|
3,293
|
272
|
$
|
9,128
|
|||||||||||
June 30, 2018
|
14,859
|
1,564
|
(852
|
)
|
$
|
14,147
|
||||||||||
March 31, 2018
|
41,994
|
8,407
|
(3,011
|
)
|
$
|
36,598
|
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, 2019
|
$
|
32,433
|
$
|
18,892
|
$
|
2,427
|
$
|
16,465
|
$
|
13,541
|
$
|
15,968
|
||||||||||||
December 31, 2018
|
37,002
|
19,739
|
784
|
18,955
|
17,263
|
18,047
|
||||||||||||||||||
September 30, 2018
|
39,054
|
18,893
|
272
|
18,621
|
20,161
|
20,433
|
||||||||||||||||||
June 30, 2018
|
38,590
|
16,579
|
(852
|
)
|
17,431
|
22,011
|
21,159
|
|||||||||||||||||
March 31, 2018
|
39,935
|
15,149
|
(3,011
|
)
|
18,160
|
24,786
|
21,775
|
(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, 2019
|
$
|
3,051,509
|
$
|
32,433
|
4.25
|
%
|
$
|
2,945,895
|
$
|
18,892
|
$
|
16,465
|
2.57
|
%
|
2.24
|
%
|
||||||||||||||||
December 31, 2018
|
3,264,230
|
37,002
|
4.53
|
%
|
3,173,428
|
19,739
|
18,955
|
2.49
|
%
|
2.39
|
%
|
|||||||||||||||||||||
September 30, 2018
|
3,601,776
|
39,054
|
4.34
|
%
|
3,385,829
|
18,893
|
18,621
|
2.23
|
%
|
2.20
|
%
|
|||||||||||||||||||||
June 30, 2018
|
3,717,690
|
38,590
|
4.15
|
%
|
3,534,567
|
16,579
|
17,431
|
1.88
|
%
|
1.97
|
%
|
|||||||||||||||||||||
March 31, 2018
|
3,745,298
|
39,935
|
4.27
|
%
|
3,576,533
|
15,149
|
18,160
|
1.69
|
%
|
2.03
|
%
|
($ in thousands)
|
||||||||||||||||
Net Interest Income
|
Net Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
March 31, 2019
|
$
|
13,541
|
$
|
15,968
|
1.68
|
%
|
2.01
|
%
|
||||||||
December 31, 2018
|
17,263
|
18,047
|
2.04
|
%
|
2.14
|
%
|
||||||||||
September 30, 2018
|
20,161
|
20,433
|
2.11
|
%
|
2.14
|
%
|
||||||||||
June 30, 2018
|
22,011
|
21,159
|
2.27
|
%
|
2.18
|
%
|
||||||||||
March 31, 2018
|
24,786
|
21,775
|
2.58
|
%
|
2.24
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 29 and 30 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 30 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, 2019
|
$
|
2,919,415
|
$
|
132,094
|
$
|
3,051,509
|
$
|
30,328
|
$
|
2,105
|
$
|
32,433
|
4.16
|
%
|
6.37
|
%
|
4.25
|
%
|
||||||||||||||||||
December 31, 2018
|
3,126,639
|
137,591
|
3,264,230
|
34,648
|
2,354
|
37,002
|
4.43
|
%
|
6.84
|
%
|
4.53
|
%
|
||||||||||||||||||||||||
September 30, 2018
|
3,463,325
|
138,451
|
3,601,776
|
36,716
|
2,338
|
39,054
|
4.24
|
%
|
6.76
|
%
|
4.34
|
%
|
||||||||||||||||||||||||
June 30, 2018
|
3,572,540
|
145,150
|
3,717,690
|
36,273
|
2,317
|
38,590
|
4.06
|
%
|
6.38
|
%
|
4.15
|
%
|
||||||||||||||||||||||||
March 31, 2018
|
3,610,527
|
134,771
|
3,745,298
|
38,725
|
1,210
|
39,935
|
4.29
|
%
|
3.59
|
%
|
4.27
|
%
|
($ 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, 2019
|
$
|
2,945,895
|
$
|
18,892
|
$
|
16,465
|
2.57
|
%
|
2.24
|
%
|
||||||||||
December 31, 2018
|
3,173,428
|
19,739
|
18,955
|
2.49
|
%
|
2.39
|
%
|
|||||||||||||
September 30, 2018
|
3,385,829
|
18,893
|
18,621
|
2.23
|
%
|
2.20
|
%
|
|||||||||||||
June 30, 2018
|
3,534,567
|
16,579
|
17,431
|
1.88
|
%
|
1.97
|
%
|
|||||||||||||
March 31, 2018
|
3,576,533
|
15,149
|
18,160
|
1.69
|
%
|
2.03
|
%
|
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, 2019
|
2.51
|
%
|
2.77
|
%
|
0.06
|
%
|
(0.20
|
)%
|
(0.27
|
)%
|
(0.53
|
)%
|
||||||||||||
December 31, 2018
|
2.39
|
%
|
2.74
|
%
|
0.10
|
%
|
(0.25
|
)%
|
0.00
|
%
|
(0.35
|
)%
|
||||||||||||
September 30, 2018
|
2.17
|
%
|
2.55
|
%
|
0.06
|
%
|
(0.32
|
)%
|
0.03
|
%
|
(0.35
|
)%
|
||||||||||||
June 30, 2018
|
1.99
|
%
|
2.48
|
%
|
(0.11
|
)%
|
(0.60
|
)%
|
(0.02
|
)%
|
(0.51
|
)%
|
||||||||||||
March 31, 2018
|
1.69
|
%
|
2.11
|
%
|
0.00
|
%
|
(0.42
|
)%
|
0.34
|
%
|
(0.08
|
)%
|
(in thousands)
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Realized gains (losses) on sales of RMBS
|
$
|
243
|
$
|
(8,338
|
)
|
$
|
8,581
|
|||||
Unrealized gains (losses) on RMBS
|
18,041
|
(71,712
|
)
|
89,753
|
||||||||
Total gains (losses) on RMBS
|
18,284
|
(80,050
|
)
|
98,334
|
||||||||
(Losses) gains on interest rate futures
|
(11,718
|
)
|
21,362
|
(33,080
|
)
|
|||||||
(Losses) gains on interest rate swaps
|
(2,295
|
)
|
10,508
|
(12,803
|
)
|
|||||||
Losses on receiver swaptions
|
-
|
(349
|
)
|
349
|
||||||||
(Losses) gains on payer swaptions
|
(378
|
)
|
2,066
|
(2,444
|
)
|
|||||||
(Losses) gains on TBA securities
|
(4,641
|
)
|
8,407
|
(13,048
|
)
|
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, 2019
|
2.24
|
%
|
2.41
|
%
|
3.72
|
%
|
4.27
|
%
|
2.61
|
%
|
||||||||||
December 31, 2018
|
2.51
|
%
|
2.69
|
%
|
4.09
|
%
|
4.64
|
%
|
2.80
|
%
|
||||||||||
September 30, 2018
|
2.95
|
%
|
3.06
|
%
|
4.08
|
%
|
4.63
|
%
|
2.40
|
%
|
||||||||||
June 30, 2018
|
2.73
|
%
|
2.85
|
%
|
4.04
|
%
|
4.57
|
%
|
2.34
|
%
|
||||||||||
March 31, 2018
|
2.56
|
%
|
2.74
|
%
|
3.91
|
%
|
4.44
|
%
|
2.31
|
%
|
(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)
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Management fees
|
$
|
1,285
|
$
|
1,712
|
$
|
(427
|
)
|
|||||
Overhead allocation
|
323
|
382
|
(59
|
)
|
||||||||
Accrued incentive compensation
|
(408
|
)
|
11
|
(419
|
)
|
|||||||
Directors fees and liability insurance
|
253
|
252
|
1
|
|||||||||
Audit, legal and other professional fees
|
301
|
296
|
5
|
|||||||||
Other direct REIT operating expenses
|
375
|
403
|
(28
|
)
|
||||||||
Other expenses
|
67
|
51
|
16
|
|||||||||
Total expenses
|
$
|
2,196
|
$
|
3,107
|
$
|
(911
|
)
|
·
|
One-twelfth of 1.5% of the first $250 million of the Company’s month end equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Company’s month end 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 month end equity that is greater than $500 million.
|
($ in thousands)
|
||||||||||||||||||||
Average
|
Average
|
Advisory Services
|
||||||||||||||||||
Orchid
|
Orchid
|
Management
|
Overhead
|
|||||||||||||||||
Three Months Ended
|
MBS
|
Equity
|
Fee
|
Allocation
|
Total
|
|||||||||||||||
March 31, 2019
|
$
|
3,051,509
|
$
|
363,204
|
$
|
1,285
|
$
|
323
|
$
|
1,608
|
||||||||||
December 31, 2018
|
3,264,230
|
395,911
|
1,404
|
433
|
1,837
|
|||||||||||||||
September 30, 2018
|
3,601,776
|
431,962
|
1,482
|
391
|
1,873
|
|||||||||||||||
June 30, 2018
|
3,717,690
|
469,974
|
1,606
|
361
|
1,967
|
|||||||||||||||
March 31, 2018
|
3,745,298
|
488,906
|
1,712
|
382
|
2,094
|
Structured
|
||||||||||||
PT RMBS
|
RMBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
March 31, 2019
|
9.5
|
8.4
|
9.2
|
|||||||||
December 31, 2018
|
6.7
|
9.0
|
7.2
|
|||||||||
September 30, 2018
|
7.5
|
11.5
|
8.6
|
|||||||||
June 30, 2018
|
8.7
|
11.8
|
9.8
|
|||||||||
March 31, 2018
|
6.5
|
11.6
|
7.7
|
($ 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, 2019
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,217
|
0.0%
|
4.78%
|
186
|
1-Sep-35
|
2.16
|
10.10%
|
2.89%
|
Fixed Rate RMBS
|
2,245,280
|
72.7%
|
4.35%
|
297
|
1-Mar-49
|
NA
|
NA
|
NA
|
|
Fixed Rate CMOs
|
717,995
|
23.2%
|
4.26%
|
344
|
15-Oct-44
|
NA
|
NA
|
NA
|
|
Total Mortgage-backed Pass-through
|
2,964,492
|
95.9%
|
4.33%
|
308
|
1-Mar-49
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
99,804
|
3.2%
|
3.74%
|
252
|
15-Jul-47
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
24,218
|
0.9%
|
2.64%
|
294
|
25-Jul-48
|
NA
|
4.51%
|
NA
|
|
Total Structured RMBS
|
124,022
|
4.1%
|
3.49%
|
261
|
25-Jul-48
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,088,514
|
100.0%
|
4.12%
|
296
|
1-Mar-49
|
NA
|
NA
|
NA
|
December 31, 2018
|
|||||||||
Adjustable Rate RMBS
|
$
|
1,437
|
0.0%
|
4.75%
|
190
|
1-Sep-35
|
4.51
|
10.04%
|
2.76%
|
Fixed Rate RMBS
|
2,130,974
|
70.7%
|
4.28%
|
275
|
1-Nov-48
|
NA
|
NA
|
NA
|
|
Fixed Rate CMOs
|
741,926
|
24.6%
|
4.27%
|
348
|
15-Oct-44
|
NA
|
NA
|
NA
|
|
Total Mortgage-backed Pass-through
|
2,874,337
|
95.3%
|
4.27%
|
294
|
1-Nov-48
|
NA
|
NA
|
NA
|
|
Interest-Only Securities
|
116,415
|
3.9%
|
3.74%
|
254
|
25-Jul-48
|
NA
|
NA
|
NA
|
|
Inverse Interest-Only Securities
|
23,751
|
0.8%
|
2.65%
|
297
|
15-Jul-47
|
NA
|
4.52%
|
NA
|
|
Total Structured RMBS
|
140,166
|
4.7%
|
3.55%
|
264
|
25-Jul-48
|
NA
|
NA
|
NA
|
|
Total Mortgage Assets
|
$
|
3,014,503
|
100.0%
|
4.06%
|
286
|
1-Nov-48
|
NA
|
NA
|
NA
|
($ in thousands)
|
||||||||||||||||
March 31, 2019
|
December 31, 2018
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
1,527,470
|
49.5
|
%
|
$
|
1,527,055
|
50.7
|
%
|
||||||||
Freddie Mac
|
1,557,610
|
50.4
|
%
|
1,483,406
|
49.2
|
%
|
||||||||||
Ginnie Mae
|
3,434
|
0.1
|
%
|
4,042
|
0.1
|
%
|
||||||||||
Total Portfolio
|
$
|
3,088,514
|
100.0
|
%
|
$
|
3,014,503
|
100.0
|
%
|
March 31, 2019
|
December 31, 2018
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
104.59
|
$
|
104.57
|
||||
Weighted Average Structured Purchase Price
|
$
|
15.14
|
$
|
15.14
|
||||
Weighted Average Pass-through Current Price
|
$
|
105.11
|
$
|
103.64
|
||||
Weighted Average Structured Current Price
|
$
|
12.89
|
$
|
14.04
|
||||
Effective Duration
(1)
|
1.450
|
2.078
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 bps change in rates. An effective duration of 1.450
indicates that an interest rate increase of 1.0% would be expected to cause a 1.450% decrease in the value of the RMBS in the Company’s investment portfolio at March 31, 2019. An effective duration of 2.078 indicates that an interest
rate increase of 1.0% would be expected to cause a 2.078% decrease in the value of the RMBS in the Company’s investment portfolio at December 31, 2018. 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)
|
||||||||||||||||||||||||
2019
|
2018
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
Pass-through RMBS
|
$
|
582,403
|
$
|
105.37
|
3.51
|
%
|
$
|
520,778
|
$
|
106.30
|
3.01
|
%
|
||||||||||||
Structured RMBS
|
-
|
-
|
-
|
27,729
|
21.50
|
5.39
|
%
|
($ in thousands)
|
||||||||||||||||||||
Difference Between Ending
|
||||||||||||||||||||
Ending
|
Maximum
|
Average
|
Borrowings and
|
|||||||||||||||||
Balance of
|
Balance of
|
Balance of
|
Average Borrowings
|
|||||||||||||||||
Three Months Ended
|
Borrowings
|
Borrowings
|
Borrowings
|
Amount
|
Percent
|
|||||||||||||||
March 31, 2019
|
$
|
2,866,738
|
$
|
3,022,771
|
$
|
2,945,895
|
$
|
(79,157
|
)
|
(2.69
|
)%
|
|||||||||
December 31, 2018
|
3,025,052
|
3,356,691
|
3,173,428
|
(148,376
|
)
|
(4.68
|
)%
|
|||||||||||||
September 30, 2018
|
3,321,803
|
3,532,904
|
3,385,829
|
(64,026
|
)
|
(1.89
|
)%
|
|||||||||||||
June 30, 2018
|
3,449,854
|
3,637,286
|
3,534,567
|
(84,713
|
)
|
(2.40
|
)%
|
|||||||||||||
March 31, 2018
|
3,619,280
|
3,931,856
|
3,576,533
|
42,747
|
1.20
|
%
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
2,866,738
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,866,738
|
||||||||||
Interest expense on repurchase agreements
(1)
|
12,363
|
-
|
-
|
-
|
12,363
|
|||||||||||||||
Totals
|
$
|
2,879,101
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,879,101
|
(1)
|
Interest expense on repurchase agreements is based on current interest rates as of March 31, 2019 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
|
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.
|
(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.
|
Shares Purchased
|
Maximum Number
|
|||||||||||||||
Total Number
|
Weighted-Average
|
as Part of Publicly
|
of Shares That May Yet
|
|||||||||||||
of Shares
|
Price Paid
|
Announced
|
Be Repurchased Under
|
|||||||||||||
Repurchased
(1)
|
Per Share
|
Programs
(2)
|
the Authorization
(2)
|
|||||||||||||
January 1, 2019 - January 31, 2019
|
469,975
|
$
|
6.43
|
469,975
|
857,202
|
|||||||||||
February 1, 2019 - February 28, 2019
|
-
|
-
|
-
|
857,202
|
||||||||||||
March 1, 2019 - March 31, 2019
|
813
|
6.58
|
-
|
857,202
|
||||||||||||
Totals / Weighted Average
|
470,788
|
$
|
6.43
|
469,975
|
857,202
|
(1)
|
Includes shares of the Company’s common stock acquired by the Company in connection with the satisfaction of tax withholding
obligations on vested employment-related awards under equity incentive plans. These repurchases do not reduce the number of shares available under the stock repurchase program authorization.
|
(2)
|
On July 29, 2015, the Company's Board of Directors authorized the repurchase of up to 2,000,000 shares of the Company's common
stock. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. Unless modified or revoked by the Board, the authorization
does not expire.
|
* |
Filed herewith.
|
** |
Furnished herewith.
|
*** |
Submitted electronically herewith.
|
† |
Management contract or compensatory plan.
|
Orchid Island Capital, Inc
.
|
||||
Registrant
|
||||
Date:
April 26, 2019
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chief Executive Officer, President and Chairman of the Board
|
||||
Date:
April 26, 2019
|
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.
|
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 the equivalent functions):
|
|
a)
|
all significant deficiencies and material weaknesses 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 26, 2019
|
|
/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 the equivalent functions):
|
|
a)
|
all significant deficiencies and material weaknesses 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 26, 2019
|
|
/s/ George H. Haas, IV
|
|
George H. 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 26, 2019
|
/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 26, 2019
|
/s/ George H. Haas, IV
|
|
George H. Haas, IV
Chief Financial Officer
|